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Citigroup Global Markets Holdings Inc.
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Free Writing Prospectus to Pricing Supplement No. 2023-USNCH19840 Registration Statement Nos. 333-270327 and 333-270327-01 Dated December 13, 2023; Filed pursuant to Rule 433 |
Jump Securities with Auto-Callable
Feature Based Upon the Worst Performing of the S&P 500® Index and the Russell 2000® Index Due December , 2029
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, underlying 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 indices: | The S&P 500® Index (ticker symbol: “SPX”) and the Russell 2000® Index (ticker symbol: “RTY”) |
| Stated principal amount: | $1,000 per security |
| Pricing date: | December 22, 2023 |
| Issue date: | December 28, 2023 |
| Maturity date: | December 28, 2029 |
| Valuation dates, potential redemption dates and premiums: | The valuation dates, potential redemption dates and premiums are listed below. The premium applicable to each valuation date is the amount indicated below. | ||
Valuation Date*
December 30, 2024 March 24, 2025 June 23, 2025 September 22, 2025 December 22, 2025 March 23, 2026 June 22, 2026 September 22, 2026 December 22, 2026 March 22, 2027 June 22, 2027 September 22, 2027 December 22, 2027 March 22, 2028 June 22, 2028 September 22, 2028 December 22, 2028 March 22, 2029 June 22, 2029 September 24, 2029 December 24, 2029 |
Potential
Redemption
January 6, 2025 March 27, 2025 June 26, 2025 September 25, 2025 December 26, 2025 March 26, 2026 June 25, 2026 September 25, 2026 December 28, 2026 March 25, 2027 June 25, 2027 September 27, 2027 December 28, 2027 March 27, 2028 June 27, 2028 September 27, 2028 December 28, 2028 March 27, 2029 June 27, 2029 September 27, 2029 N/A
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Premium
8.00% of the stated principal amount 10.00% of the stated principal amount 12.00% of the stated principal amount 14.00% of the stated principal amount 16.00% of the stated principal amount 18.00% of the stated principal amount 20.00% of the stated principal amount 22.00% of the stated principal amount 24.00% of the stated principal amount 26.00% of the stated principal amount 28.00% of the stated principal amount 30.00% of the stated principal amount 32.00% of the stated principal amount 34.00% of the stated principal amount 36.00% of the stated principal amount 38.00% of the stated principal amount 40.00% of the stated principal amount 42.00% of the stated principal amount 44.00% of the stated principal amount 46.00% of the stated principal amount 48.00% of the stated principal amount | |
*Each valuation date is subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to any of the underlying indices ** If the valuation date immediately preceding any potential redemption date is postponed, that potential redemption date will also be postponed so that it falls on the third business day after such valuation date, as postponed | |||
| Automatic early redemption: | If, on any valuation date prior to the final valuation date, the closing level of the worst performing underlying index is greater than or equal to its initial index level, the securities will be automatically redeemed on the potential redemption date immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not be entitled to receive the premium applicable to any later valuation date. |
| Index return: | For each underlying index on any valuation date, (i) its closing level on such valuation date minus its initial index level, divided by (ii) its initial index level |
| Initial index level: | For each underlying index, its closing level on the pricing date |
| Final index level: | For each underlying index, its closing level on the final valuation date |
| Trigger level: | For each underlying index, 80% of its initial index level |
| Worst performing underlying index: | On any valuation date, the underlying index with the lowest index return on such valuation date |
| Payment at maturity1: | If the securities have not previously been redeemed, you will receive at maturity, for each $1,000 stated principal amount security you then hold, an amount in cash equal to: · If the final index level of the worst performing underlying index on the final valuation date is greater than or equal to its initial index level: $1,000 + the premium applicable to the final valuation date · If
the final index level of the worst performing underlying index on the final valuation date is less than its initial index
level but greater than or equal to its trigger level: · If
the final index level of the worst performing underlying index on the final valuation date is less than its trigger level: If the securities are not automatically redeemed prior to maturity and the final index level of the worst performing underlying index on the final valuation date is less than its trigger level, your payment at maturity will be less, and possibly significantly less, than $800.00 per security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion or all of your investment. |
| CUSIP/ISIN: | 17291TS25 / US17291TS255 |
| Preliminary pricing supplement: | https://www.sec.gov/Archives/edgar/data/200245/000095010323017448/dp203948_424b2-us2360689.htm |
| Hypothetical Payment1 | |
| If the first valuation date on which the closing level of the worst performing underlying index is greater than or equal to its initial index level is . . . | . . . then you will receive the following payment per security upon automatic redemption or at maturity, as applicable |
| 1st valuation date | $1,080.00 |
| 2nd valuation date | $1,100.00 |
| 3rd valuation date | $ 1,120.00 |
| 4th valuation date | $ 1,140.00 |
| 5th valuation date | $ 1,160.00 |
| 6th valuation date | $1,180.00 |
| 7th valuation date | $ 1,200.00 |
| 8th valuation date | $ 1,220.00 |
| 9th valuation date | $ 1,240.00 |
| 10th valuation date | $ 1,260.00 |
| 11th valuation date | $ 1,280.00 |
| 12th valuation date | $ 1,300.00 |
| 13th valuation date | $ 1,320.00 |
| 14th valuation date | $ 1,340.00 |
| 15th valuation date | $ 1,360.00 |
| 16th valuation date | $ 1,380.00 |
| 17th valuation date | $ 1,400.00 |
| 18th valuation date | $ 1,420.00 |
| 19th valuation date | $ 1,440.00 |
| 20th valuation date | $ 1,460.00 |
| The final valuation date | $ 1,480.00 |
| 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 $914.00 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, underlying 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, underlying 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 Indices
For more information about the underlying indices, 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. |
| · | The trigger feature of the securities exposes you to particular risks. |
| · | The securities do not pay interest. |
| · | Your potential return on the securities is limited. |
| · | The securities are subject to the risks of both of the underlying indices and will be negatively affected if either one of the underlying indices performs poorly, even if the other performs well. |
| · | You will not benefit in any way from the performance of the better performing underlying index. |
| · | The term of the securities may be as short as one year. |
| · | You will be subject to risks relating to the relationship between the underlying indices. |
| · | Investing in the securities is not equivalent to investing in the underlying indices or the stocks that constitute the underlying indices. |
| · | Your return on the securities depends on the closing levels of the underlying indices on a limited number of days. |
| · | 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 was determined for Citigroup Global Market Holdings Inc. by its affiliate using proprietary pricing models. |
| · | The estimated value of the securities would be lower if it were calculated based on Citigroup Global Market Holdings Inc.’s secondary market rate. |
| · | The estimated value of the securities is not an indication of the price, if any, at which CGMI 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 CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. |
| · | The Russell 2000® Index is subject to risks associated with small capitalization stocks. |
| · | Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities. |
| · | Citigroup Global Market Holdings Inc.’s offering of the securities does not constitute a recommendation of either underlying index. |
| · | The levels of the underlying indices may be adversely affected by Citigroup Global Market Holdings Inc.’s or its affiliates’ hedging and other trading activities. |
| · | Citigroup Global Market Holdings Inc. and its affiliates may have economic interests that are adverse to yours as a result of the business activities of Citigroup Global Market Holdings Inc.’s affiliates. |
| · | The calculation agent, which is an affiliate of Citigroup Global Market Holdings Inc., will make important determinations with respect to the securities. |
| · | Adjustments to the underlying indices may affect the value of your 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.