Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
19 July 2024 - 7:15AM
Edgar (US Regulatory)
| Citigroup Global Markets Holdings
Inc. |
Free Writing Prospectus
to Pricing Supplement No. 2024-USNCH22716
Registration Statement
Nos. 333-270327; 333-270327-01
Dated July 18,
2024; Filed pursuant to Rule 433 |
Contingent Income Callable Securities Due July , 2026 Based on
the Worst Performing of the Nasdaq-100 Index® , the Russell 2000® Index and the S&P 500®
Index
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.
| Issuer: |
Citigroup Global Markets Holdings Inc. |
| Guarantor: |
Citigroup Inc. |
| Underlying indices: |
The Nasdaq-100 Index® (ticker symbol: “NDX”), the Russell 2000® Index (ticker symbol: “RTY”) and the S&P 500® Index (ticker symbol: “SPX”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
July 26, 2024 |
| Issue date: |
July 31, 2024 |
| Observation period end-dates, potential redemption dates and contingent coupon payment dates: |
The expected observation period end-dates, potential redemption dates and contingent coupon payment dates are set forth below: |
| |
Observation period end-dates |
Potential redemption dates |
Contingent coupon payment dates |
| |
October 28, 2024 |
October 31, 2024 |
October 31, 2024 |
| |
January 27, 2025 |
January 30, 2025 |
January 30, 2025 |
| |
April 28, 2025 |
May 1, 2025 |
May 1, 2025 |
| |
July 28, 2025 |
July 31, 2025 |
July 31, 2025 |
| |
October 27, 2025 |
October 30, 2025 |
October 30, 2025 |
| |
January 26, 2026 |
January 29, 2026 |
January 29, 2026 |
| |
April 27, 2026 |
April 30, 2026 |
April 30, 2026 |
| |
July 27, 2026 (the “final valuation date”) |
N/A |
July 30, 2026 (the “maturity date”) |
| Maturity date: |
Unless earlier redeemed by us, July 30, 2026 |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously redeemed by us, the securities will pay a contingent coupon equal to 2.45% of the stated principal amount of the securities (9.80% per annum) if and only if a coupon barrier event has not occurred during the related observation period. If a coupon barrier event occurs during an observation period, you will not receive any contingent coupon payment on the related contingent coupon payment date. A coupon barrier event will occur if the closing level of any underlying index is less than its coupon barrier level on any trading day for that underlying index during an observation period. |
| Payment at maturity1: |
Unless earlier redeemed by us, for each $1,000 stated principal
amount security you hold at maturity, you will receive cash in an amount determined as follows (in addition to the final contingent coupon
payment, if any):
· If
the final index level of the worst performing underlying index is greater than or equal to its downside threshold level: $1,000
· If the final index level of the worst performing underlying index is less than its downside
threshold level:
$1,000 + ($1,000 × the index return of the worst
performing underlying index
If the final index level of the worst performing underlying
index is less than its downside threshold level, you will receive less, and possibly significantly less, than 70.00% of the stated principal
amount of your securities at maturity. |
| Coupon barrier event: |
A coupon barrier event will occur with respect to an observation period if the closing level of any underlying index is less than its coupon barrier level on any trading day for that underlying index during that observation period. |
| Observation periods: |
Each observation period will consist of each day from but excluding an observation period end-date to and including the following observation period end-date, provided that the first observation period will consist of each day from but excluding the pricing date to and including the first observation period end-date. |
| Trading day: |
For any underlying index, a scheduled trading day for that underlying index on which a market disruption event has not occurred with respect to that underlying index. |
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 $924.00 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.
For more information about the underlying indices, including historical
performance information, see the accompanying preliminary pricing supplement.
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 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.