Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
February 29 2024 - 12:32PM
Edgar (US Regulatory)
|
Citigroup Global Markets Holdings Inc.
|
Free Writing Prospectus to Pricing Supplement
No. 2024-USNCH[ ]
Registration Statement Nos. 333-270327; 333-270327-01
Dated February 29, 2024; Filed pursuant to Rule
433 |
Contingent Income Auto-Callable Securities Due March , 2027 Based
on the Performance of the Common Stock of Target Corporation
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: |
Target Corporation (ticker symbol: “TGT UN”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
March 8, 2024 |
| Issue date: |
March 13, 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** |
| |
June 10, 2024 |
June 10, 2024 |
June 13, 2024 |
| |
September 9, 2024 |
September 9, 2024 |
September 12, 2024 |
| |
December 9, 2024 |
December 9, 2024 |
December 12, 2024 |
| |
March 10, 2025 |
March 10, 2025 |
March 13, 2025 |
| |
June 9, 2025 |
June 9, 2025 |
June 12, 2025 |
| |
September 8, 2025 |
September 8, 2025 |
September 11, 2025 |
| |
December 8, 2025 |
December 8, 2025 |
December 11, 2025 |
| |
March 9, 2026 |
March 9, 2026 |
March 12, 2026 |
| |
June 8, 2026 |
June 8, 2026 |
June 11, 2026 |
| |
September 8, 2026 |
September 8, 2026 |
September 11, 2026 |
| |
December 8, 2026 |
December 8, 2026 |
December 11, 2026 |
| |
March 8, 2027 (the “final valuation date”) |
N/A |
March 11, 2027 (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, March 11, 2027 |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously automatically redeemed, the securities will pay a contingent coupon equal to 2.65% of the stated principal amount of the securities (10.60% per annum) if and only if the closing price of the underlying shares on the related valuation date is greater than or equal to the downside threshold price. If the closing price of the underlying shares on any quarterly valuation date is less than the downside threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date. |
| 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 is greater than or equal to the downside threshold price: $1,000 + the contingent coupon payment due at
maturity
· If
the final share price is less than the downside threshold price:
$1,000 + ($1,000 × the share return)
If the final share price is less than the downside threshold
price, you will receive less, and possibly significantly less, than 65.00% 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 underlying shares on that date is greater than or equal to the 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 |
| 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 final valuation date |
| Downside threshold price: |
65.00% of the initial share price |
| Share return: |
(i) The final share price minus the initial share price, divided by (ii) the initial share price |
| CUSIP / ISIN: |
17291LMA0 / US17291LMA07 |
| Preliminary pricing supplement: |
Preliminary pricing supplement dated February 29, 2024 |
|
Hypothetical
Payout at Maturity1
(if the securities have not
been previously redeemed) |
| Share Return of 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 |
| -35.00% |
$1,000.00 |
| -36.00% |
$640.00 |
| -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 |
1 All 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 $921.00 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, 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 quarter in which the closing price of the
underlying shares is less than the downside threshold price on the related valuation date. |
| · | Higher contingent coupon rates are associated with greater risk. |
| · | You may not be adequately compensated for assuming the downside risk of the 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 underlying shares, but no upside exposure to the underlying
shares. |
| · | The performance of the securities will depend on the closing price 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 Citigroup Global Markets Inc.’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 price 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 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. |
| · | If 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 the original underlying share issuer
upon the occurrence of a reorganization event or upon the delisting 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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