Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
December 11 2024 - 3:55PM
Edgar (US Regulatory)
Citigroup Global Markets Holdings Inc.
|
Free Writing Prospectus
to Pricing Supplement No. 2024-USNCH24993
Registration Statement Nos. 333-270327; 333-270327-01
Dated December 11, 2024; Filed pursuant to Rule
433
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Contingent Income Auto-Callable Securities
Due June , 2025 Based on the Worst Performing of the Common Stock of Fortinet, Inc. and the Common Stock of Palo Alto Networks, Inc.
Principal at Risk Securities
This document provides a summary of the terms of the securities.
Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement, prospectus supplement
and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
| Summary Terms |
| Issuer: |
Citigroup Global Markets Holdings Inc. |
| Guarantor: |
Citigroup Inc. |
| Underlying shares: |
The shares of common stock of Fortinet, Inc. (ticker symbol: “FTNT UW”) and the shares of common stock of Palo Alto Networks, Inc. (ticker symbol: “PANW UW”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
December 13, 2024 |
| Issue date: |
December 18, 2024 |
| Valuation dates, potential redemption dates and contingent coupon payment dates: |
The expected valuation dates, potential redemption dates and contingent coupon payment dates are set forth below:
|
| |
Valuation dates* |
Potential redemption dates* |
Contingent coupon payment dates** |
| |
January 13, 2025 |
January 13, 2025 |
January 16, 2025 |
| |
February 13, 2025 |
February 13, 2025 |
February 19, 2025 |
| |
March 13, 2025 |
March 13, 2025 |
March 18, 2025 |
| |
April 14, 2025 |
April 14, 2025 |
April 17, 2025 |
| |
May 13, 2025 |
May 13, 2025 |
May 16, 2025 |
| |
June 13, 2025 (the “final valuation
date”) |
N/A |
June 18, 2025 (the “maturity
date”) |
| |
* Each valuation date is subject to postponement if such date is not a scheduled trading day or certain market disruption events occur, as described in the accompanying product supplement. Each potential redemption date is subject to postponement on the same basis as a valuation date.
** If the valuation date immediately preceding any contingent coupon payment date (other than the final valuation date) is postponed, that contingent coupon payment date will also be postponed so that it falls on the third business day after such valuation date, as postponed. |
| Maturity date: |
Unless earlier automatically redeemed, June 18, 2025 |
| Contingent coupon: |
On each monthly contingent coupon payment date, unless previously automatically redeemed, the securities will pay a contingent coupon equal to 1.25% of the stated principal amount of the securities (15.00% per annum, or 7.50% for the term of the securities) if and only if the closing price of the worst performing underlying shares on the related valuation date is greater than or equal to its downside threshold price. If the closing price of the worst performing underlying shares on any monthly valuation date is less than its downside threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date. |
| Initial share price: |
For each of the underlying shares, its closing price on the pricing date |
| Final share price: |
For each of the underlying shares, its closing price on the final valuation date |
| Downside threshold price: |
For each of the underlying shares, 70.50% of its initial share price |
| CUSIP/ISIN: |
17333A4F3 / US17333A4F30 |
| Payment at maturity1: |
If the securities are not automatically redeemed prior to maturity,
for each $1,000 stated principal amount security you hold at maturity, you will receive cash in an amount determined as follows:
· If the final share price of the worst performing underlying shares on the final valuation date is greater than or equal to its
downside threshold price: $1,000 + the contingent coupon payment due at maturity
· If the final share price of the worst performing underlying shares on the final valuation date is less than its downside threshold
price: $1,000 + ($1,000 × the share return of the worst performing underlying shares on the final valuation date)
If the final share price of the worst performing underlying shares
on the final valuation date is less than its downside threshold price, you will receive less, and possibly significantly less, than 70.50%
of the stated principal amount of your securities at maturity, and you will not receive any contingent coupon payment at maturity.
|
| Automatic early redemption: |
If, on any potential redemption date, the closing price of the worst performing underlying shares on that date is greater than or equal to its initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to the early redemption payment. If the securities are redeemed, no further payments will be made. |
| Early redemption payment: |
The stated principal amount of $1,000 per security plus the related contingent coupon payment |
| Share return: |
For each of the underlying shares on any valuation date or potential redemption date, (i) its closing price on that valuation date or potential redemption date minus its initial share price, divided by (ii) its initial share price |
| Worst performing underlying shares: |
For any valuation date or potential redemption date, the underlying shares with the lowest share return on that valuation date or potential redemption date |
| Preliminary pricing supplement: |
https://www.sec.gov/Archives/edgar/data/200245/000095010324017556/dp221945_424b2-us2432046d.htm |
|
Hypothetical Payout at Maturity1
(if the securities have not previously
been redeemed)
|
| Share Return of Worst Performing Underlying Shares on the Final Valuation Date |
Payment at Maturity (excluding any coupon payable at maturity) |
| +40.00% |
$1,000.00 |
| +30.00% |
$1,000.00 |
| +20.00% |
$1,000.00 |
| +10.00% |
$1,000.00 |
| 0.00% |
$1,000.00 |
| -10.00% |
$1,000.00 |
| -20.00% |
$1,000.00 |
| -29.50% |
$1,000.00 |
| -30.00% |
$700.00 |
| -40.00% |
$600.00 |
| -50.00% |
$500.00 |
| -60.00% |
$400.00 |
| -70.00% |
$300.00 |
| -80.00% |
$200.00 |
| -90.00% |
$100.00 |
| -100.00% |
$0.00 |
1All payments are subject to our credit risk
| |
On the date of the accompanying preliminary pricing supplement, Citigroup
Global Markets Holdings Inc. expects that the estimated value of the securities on the pricing date will be at least $929.50 per security,
which will be less than the public offering price. The estimated value of the securities is based on Citigroup Global Markets Inc.’s
(“CGMI”) proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate. It is not an
indication of actual profit to CGMI or other of Citigroup Global Markets Holdings Inc.’s affiliates, nor is it an indication of
the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation
of the Securities” in the accompanying preliminary pricing supplement.
|
Citigroup Global Markets Holdings Inc.
and Citigroup Inc. have filed registration statements (including the accompanying preliminary pricing supplement, product supplement,
prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this
communication relates. Before you invest, you should read the accompanying preliminary pricing supplement, product supplement, prospectus
supplement and prospectus in those registration statements (File Nos. 333-270327 and 333-270327-01) and the other documents Citigroup
Global Markets Holdings Inc. and Citigroup Inc. have filed with the SEC for more complete information about Citigroup Global Markets
Holdings Inc., Citigroup Inc. and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at
www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146.
Underlying Shares
For more information about the underlying shares, including historical
performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks set forth below are discussed in more detail in the “Summary
Risk Factors” section in the accompanying preliminary pricing supplement. Please review those risk factors carefully prior to making
an investment decision.
| · | You may lose a significant portion or all of your
investment. |
| · | You will not receive any contingent coupon payment
for any month in which the closing price of the worst performing underlying shares on the related valuation date is less than its downside
threshold price. |
| · | The securities are subject to the risks of each of
the underlying shares and will be negatively affected if any one of the underlying shares performs poorly, even if the others perform
well. |
| · | You will not benefit in any way from the performance
of the better performing underlying shares. |
| · | You will be subject to risks relating to the relationship
among the underlying shares. |
| · | Higher contingent coupon rates are associated with
greater risk. |
| · | You may not be adequately compensated for assuming
the downside risk of the worst performing underlying shares. |
| · | The securities may be automatically redeemed prior
to maturity, limiting your opportunity to receive contingent coupon payments. |
| · | The securities offer downside exposure to the worst
performing underlying shares, but no upside exposure to the underlying shares. |
| · | The performance of the securities will depend on
the closing prices of the underlying shares solely on the relevant valuation dates, which makes the securities particularly sensitive
to the volatility of the underlying shares. |
| · | The securities are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
| · | The securities will not be listed on any securities
exchange and you may not be able to sell them prior to maturity. |
| · | The estimated value of the securities on the pricing
date, based on CGMI’s proprietary pricing models and Citigroup Global Markets Holdings Inc.’s internal funding rate, will
be less than the issue price. |
| · | The estimated value of the securities would be lower
if it were calculated based on Citigroup Global Markets Holdings Inc.’s secondary market rate. |
| · | The estimated value of the securities is not an indication
of the price, if any, at which Citigroup Global Markets Inc. or any other person may be willing to buy the securities from you in the
secondary market. |
| · | The value of the securities prior to maturity will
fluctuate based on many unpredictable factors. |
| · | Immediately following issuance, any secondary market
bid price provided by Citigroup Global Markets Inc., and the value that will be indicated on any brokerage account statements prepared
by Citigroup Global Markets Inc. or its affiliates, will reflect a temporary upward adjustment. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | Citigroup Global Markets Holdings Inc.’s offering
of the securities does not constitute a recommendation of any underlying shares. |
| · | The prices of the underlying shares may be adversely
affected by our or our affiliates’ hedging and other trading activities. |
| | · | Citigroup Global Markets Holdings Inc. and its affiliates
may have economic interests that are adverse to yours as a result of the business activities of Citigroup Global Markets Holdings Inc.’s
affiliates. |
| · | You will have no rights and will not receive dividends
with respect to the underlying shares. |
| · | Even if any underlying share issuer pays a dividend
that it identifies as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets
the criteria specified in the accompanying product supplement. |
| · | The securities will not be adjusted for all events
that could affect the price of any of the underlying shares. |
| · | If any of the underlying shares are delisted, we
may call the securities prior to maturity for an amount that may be less than the stated principal amount. |
| · | The securities may become linked to shares of an
issuer other than one of the original underlying share issuers upon the occurrence of a reorganization event or upon the delisting of
any of the underlying shares. |
| · | The calculation agent, which is an affiliate of Citigroup
Global Markets Holdings Inc., will make important determinations with respect to the securities. |
| · | The U.S. federal tax consequences of an investment
in the securities are unclear. |
Tax Considerations
You should review carefully the discussion in the accompanying preliminary
pricing supplement under the heading “United States Federal Tax Considerations” concerning the U.S. federal tax consequences
of an investment in the securities, and you should consult your tax adviser.
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