Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
05 Septiembre 2024 - 11:47AM
Edgar (US Regulatory)
|
Citigroup Global Markets Holdings Inc.
|
Free Writing Prospectus
to Pricing Supplement No. 2024-USNCH23538
Registration Statement Nos. 333-270327 and 333-270327-01
Dated September
5, 2024; Filed pursuant to Rule 433 |
Trigger Jump Securities with Auto-Callable
Feature Based Upon the Worst Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the S&P
500® Index Due October , 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
EURO STOXX 50® Index (ticker symbol: “SX5E”), 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: |
September
30, 2024 |
| Issue
date: |
October
3, 2024 |
| Maturity
date: |
October
4, 2029 |
| Valuation
dates, |
The
valuation dates and potential redemption dates are listed below. The premium applicable to each valuation date is set forth below. |
potential
redemption
dates and premiums: |
Valuation Date*
October 7, 2025
December 30, 2025
March 30, 2026
June 30, 2026
September 30, 2026
December 30, 2026
March 30, 2027
June 30, 2027
September 30, 2027
December 30, 2027
March 30, 2028
June 30, 2028
October 2, 2028
January 2, 2029
April 3, 2029
July 2, 2029
October 1, 2029 (the
“final valuation date”) |
Potential Redemption Date**
October 10, 2025
January 5, 2026
April 2, 2026
July 6, 2026
October 5, 2026
January 5, 2027
April 2, 2027
July 6, 2027
October 5, 2027
January 5, 2028
April 4, 2028
July 6, 2028
October 5, 2028
January 5, 2029
April 6, 2029
July 6, 2029
N/A |
Premium
12.500% of the stated principal amount
15.625% of the stated principal amount
18.750% of the stated principal amount
21.875% of the stated principal amount
25.000% of the stated principal amount
28.125% of the stated principal amount
31.250% of the stated principal amount
34.375% of the stated principal amount
37.500% of the stated principal amount
40.625% of the stated principal amount
43.750% of the stated principal amount
46.875% of the stated principal amount
50.000% of the stated principal amount
53.125% of the stated principal amount
56.250% of the stated principal amount
59.375% of the stated principal amount
62.500% 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:
$1,000
· If
the final index level of the worst performing underlying index on the final valuation date is less than its trigger level:
$1,000 + ($1,000 x the index return of the worst performing underlying index on the final valuation date)
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: |
17333ABU2
/ US17333ABU25 |
| Preliminary
pricing supplement: |
https://www.sec.gov/Archives/edgar/data/200245/000095010324013214/dp217677_424b2-us2411734d.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 |
$1,125.00 |
| 2nd
valuation date |
$1,156.25 |
| 3rd
valuation date |
$1,187.50 |
| 4th
valuation date |
$1,218.75 |
| 5th
valuation date |
$1,250.00 |
| 6th
valuation date |
$1,281.25 |
| 7th
valuation date |
$1,312.50 |
| 8th
valuation date |
$1,343.75 |
| 9th
valuation date |
$1,375.00 |
| 10th
valuation date |
$1,406.25 |
| 11th
valuation date |
$1,437.50 |
| 12th
valuation date |
$1,468.75 |
| 13th
valuation date |
$1,500.00 |
| 14th
valuation date |
$1,531.25 |
| 15th
valuation date |
$1,562.50 |
| 16th
valuation date |
$1,593.75 |
| The
final valuation date |
$1,625.00 |
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 $896.00 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 each of
the underlying indices and will be negatively affected if any underlying index performs poorly, even if the others perform well. |
| · | You will not benefit in any way from the performance
of the better performing underlying indices. |
| · | The term of the securities may be as short as one
year. |
| · | You will be subject to risks relating to the relationship
among 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, is 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 EURO STOXX 50® Index is subject
to risks associated with foreign equity securities. |
| · | The performance of the EURO STOXX 50® Index will
not be adjusted for changes in the exchange rate between the euro and the U.S. dollar. |
| · | 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 Markets Holdings Inc.’s offering
of the securities does not constitute a recommendation of any underlying index. |
| · | The levels of the underlying indices may be adversely
affected by Citigroup Global Markets Holdings Inc.’s or its 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. |
| · | The calculation agent, which is an affiliate of Citigroup
Global Markets Holdings Inc., will make important determinations with respect to the securities. |
| · | Changes that affect 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.
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