| Citigroup Global Markets Holdings Inc. |
Free Writing Prospectus to Pricing Supplement No. 2022-USNCH11170
Registration Statement Nos. 333-255302; 333-255302-03
Dated March 10, 2022; Filed pursuant to Rule 433 |
Market-Linked Notes Based on the EURO STOXX 50®
Index Due April 5, 2029
This document provides a summary of the terms of the notes.
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 index: |
The EURO STOXX 50® Index (ticker symbol: “SX5E”) |
| Stated principal amount: |
$10 per note |
| Pricing date: |
March 31, 2022 |
| Issue date: |
April 5, 2022 |
| Valuation date: |
March 29, 2029, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
| Maturity date: |
April 5, 2029 |
| Payment at maturity: |
For each note you hold at maturity, the $10.00 stated principal amount plus the note return amount, which will be either zero or positive |
| Note return amount1: |
▪
If the final index level is greater than the initial index level:
$10.00 × the upside participation rate × the index
return
▪ If
the final index level is less than or equal to the initial index level:
$0 |
| Upside participation rate: |
117.00% |
| Initial index level: |
The closing level of the underlying index on the pricing date |
| Final index level: |
The closing level of the underlying index on the valuation date |
| Hypothetical Payout at Maturity1 |
| Change in Underlying |
Return on Notes |
| +80.00% |
93.60% |
| +70.00% |
81.90% |
| +60.00% |
70.20% |
| +50.00% |
58.50% |
| +40.00% |
46.80% |
| +30.00% |
35.10% |
| +20.00% |
23.40% |
| +10.00% |
11.70% |
| +5.00% |
5.85% |
| 0.00% |
0.00% |
| -5.00% |
0.00% |
| -10.00% |
0.00% |
| -25.00% |
0.00% |
| -50.00% |
0.00% |
| -75.00% |
0.00% |
| -100.00% |
0.00% |
| 1All payments are subject to our credit risk |
On the date of the accompanying pricing supplement, the estimated value
of the notes is $8.94 per note, which is less than the public offering price. The estimated value of the notes 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 notes from you at any time
after issuance. See “Valuation of the Notes” 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. 333-255302 and 333-255302-03) 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 Index
For more information about the underlying index, 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 not receive any return on your investment
in the notes. |
| · | The notes do not pay interest. |
| · | The notes are riskier than notes with a shorter term. |
| · | Although the notes provide for the repayment of the
stated principal amount at maturity, you may nevertheless suffer a loss on your investment in real value terms if the underlying index
declines or does not appreciate sufficiently from the initial index level to the final index level. |
| · | Investing in the notes is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index. |
| · | Your payment at maturity depends on the closing level
of the underlying index on a single day. |
| · | The notes are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc. |
| · | The notes will not be listed on any securities exchange
and you may not be able to sell them prior to maturity. |
| · | Sale of the notes prior to maturity may result in
a loss of principal. |
| · | The estimated value of the notes 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 notes was determined for
Citigroup Global Market Holdings Inc. by its affiliate using proprietary pricing models. |
| · | The estimated value of the notes would be lower if
it were calculated based on Citigroup Global Market Holdings Inc.’s secondary market rate. |
| · | The estimated value of the notes is not an indication
of the price, if any, at which CGMI or any other person may be willing to buy the notes from you in the secondary market. |
| · | The value of the notes 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. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the notes. |
| · | The underlying index is subject to risks associated
with non-U.S. markets. |
| · | The underlying index performance will not be adjusted
for changes in the exchange rate between the euro and the U.S. dollar. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the notes does not constitute a recommendation of the underlying index. |
| · | The level of the underlying index 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 notes. |
| · | Adjustments to the underlying index may affect the
value of your notes. |
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 notes, and you should consult your tax adviser.