Citigroup Global Markets Holdings Inc. |
Free Writing Prospectus to Pricing Supplement No.
2024-USNCH21899
Registration Statement Nos. 333-270327 and 333-270327-01
Dated May 16, 2024; Filed pursuant to Rule 433 |
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Dual Directional Trigger PLUS Based
on Shares of the VanEck® Gold Miners ETF Due July , 2025
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 shares: |
Shares of the VanEck® Gold Miners ETF (ticker symbol: “GDX”) (the “underlying share issuer” or the “ETF”) |
Stated principal amount: |
$1,000 per security |
Pricing date: |
May 31, 2024 |
Issue date: |
June 5, 2024 |
Valuation date: |
June 30, 2025, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. |
Maturity date: |
July 3, 2025 |
Payment at maturity1: |
For each $1,000 stated principal amount security you hold at maturity:
§
If the final share price is greater than the initial
share price:
$1,000 + the leveraged return amount, subject to the maximum upside return
§
If the final share price is less than or equal to the
initial share price but greater than or equal to the trigger price:
$1,000 + ($1,000 × the absolute share return)
§
If the final share price is less than the trigger price:
$1,000 + ($1,000 × the share return)
If the final share price is less than the trigger price, 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 and up to all of your investment. |
Initial share price: |
The closing price of the underlying shares on the pricing date |
Final share price: |
The closing price of the underlying shares on the valuation date |
Maximum upside return: |
$179.00 per security (17.90% of the stated principal amount). If the underlying shares appreciate, the payment at maturity per security will not exceed $1,000 plus the maximum upside return. |
Absolute share return: |
The absolute value of the share return |
Leveraged return amount: |
$1,000 × the share return × the upside leverage factor |
Upside leverage factor: |
200.00% |
Hypothetical Payout at Maturity1 |
Change in Underlying Shares |
Return on Securities |
+50.00% |
+17.90% |
+40.00% |
+17.90% |
+30.00% |
+17.90% |
+20.00% |
+17.90% |
+10.00% |
+17.90% |
+8.95% |
+17.90% |
+5.00% |
+10.00% |
0.00% |
0.00% |
-5.00% |
+5.00% |
-10.00% |
+10.00% |
-20.00% |
+20.00% |
-21.00% |
-21.00% |
-30.00% |
-30.00% |
-40.00% |
-40.00% |
-50.00% |
-50.00% |
-60.00% |
-60.00% |
-80.00% |
-80.00% |
-100.00% |
-100.00% |
1All payments are subject to our credit risk |
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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 $920.50 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,
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 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 some or all of your investment. |
| · | The securities do not pay interest. |
| · | Your potential return on the securities is limited. |
| · | Investing in the securities is not equivalent to
investing in the underlying shares. |
| · | Your payment at maturity depends on the closing price
of the underlying shares on a single day. |
| · | 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 Markets 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 Markets 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 VanEck® Gold Miners ETF is subject to risks associated
with non-U.S. markets. |
| · | Fluctuations in exchange rates will affect the price of the underlying shares. |
| · | The VanEck® Gold Miners ETF is subject to risks associated
with the gold and silver mining industries. |
| · | The price and performance of the underlying share issuer may not completely
track the performance of its underlying index or its net asset value per share. |
| · | Citigroup Global Markets Holdings Inc.’s offering
of the securities does not constitute a recommendation of the underlying shares. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | The price of the underlying shares may be adversely
affected by Citigroup Global Markets Holdings Inc.’s or its affiliates’ hedging and other trading activities. |
| · | Even if the 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 the underlying shares. |
| · | The securities may become linked to shares of an
issuer other than the original underlying share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying
shares. |
| · | 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. |
| · | The calculation agent, which is an affiliate of Citigroup
Global Markets Holdings Inc., will make important determinations with respect to the securities. |
| · | Changes made by the investment adviser to the underlying
share issuer or by the sponsor of the index underlying the underlying shares may adversely affect the underlying shares |
| · | 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.