Citigroup Global Markets Holdings Inc.
|
Free Writing Prospectus to Pricing Supplement No. 2022-USNCH11246
Registration Statement Nos. 333-255302; 333-255302-03
Dated March 16, 2021; Filed pursuant to Rule 433 |
Contingent Income Auto-Callable
Securities Due March , 2025 Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select
Sector SPDR® Fund and the Industrial Select Sector SPDR® Fund
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 Financial Select Sector SPDR® Fund (ticker symbol: “XLF”), Shares of Energy Select Sector SPDR®
Fund (ticker symbol: “XLE”) and Shares of Industrial Select Sector SPDR® Fund (ticker symbol: “XLI”) |
| Stated
principal amount: |
$10
per security |
| Pricing
date: |
March
25, 2022 |
| Issue
date: |
March
30, 2022 |
| Valuation
dates: |
Expected
to be June 27, 2022, September 26, 2022, December 27, 2022, March 27, 2023, June 26, 2023, September 25, 2023, December 26, 2023,
March 25, 2024, June 25, 2024, September 25, 2024, December 26, 2024 and March 25, 2025 (the “final valuation date”),
each subject to postponement if such date is not a scheduled trading day for any underlying shares or if certain market disruption
events occur with respect to any underlying shares. |
| Maturity
date: |
Unless
earlier automatically redeemed, March 28, 2025 |
| Contingent
coupon payment dates: |
For
each valuation date, the third business day after such valuation date, except that the contingent coupon payment date for the final
valuation date will be the maturity date |
| Contingent
coupon: |
On
each quarterly contingent coupon payment date, unless previously automatically redeemed, the securities will pay a contingent coupon
equal to 2.00% of the stated principal amount of the securities (8.00% per annum) if and only if the closing price of the
worst performing underlying shares on the related valuation date is greater than or equal to the applicable downside threshold price.
If the closing price of the worst performing underlying shares on any quarterly valuation date is less than the applicable 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 $10 stated principal amount security you hold at maturity, you will receive cash in an amount
determined as follows:
· If
the final share price of the worst performing underlying shares on the final valuation date is greater than or equal to the
applicable downside threshold price: $10 + the contingent coupon payment due at maturity
· If
the final share price of the worst performing underlying shares on the final valuation date is less than the applicable downside
threshold price: $10 + ($10 × the share return of the worst performing underlying shares on the final valuation date)
If the final share price of the
worst performing underlying shares on the final valuation date is less than the applicable downside threshold price, you will receive
less, and possibly significantly less, than 55% 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 valuation date (other than the final valuation date), the closing price of the worst performing underlying shares on that
valuation date is greater than or equal to the applicable 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 $10 per security plus the related contingent coupon payment |
| Initial
share price: |
The
closing price of the applicable underlying shares on the pricing date |
| Final
share price: |
For
each of the underlying shares, the applicable closing price on the final valuation date |
| Downside
threshold price: |
For
each of the underlying shares, 55.00% of the applicable initial share price |
| Share
return: |
For
each of the underlying shares on any valuation date, (i) its closing price on that valuation date minus its initial share
price, divided by (ii) its initial share price |
| Worst
performing underlying shares: |
For
any valuation date, the underlying shares with the lowest share return on that valuation date |
| CUSIP/ISIN: |
17330L843
/ US17330L8431 |
| Preliminary
pricing supplement: |
https://www.sec.gov/Archives/edgar/data/200245/
000095010322004843/dp169474_424b2-us2286456.htm
|
Hypothetical
Payout at Maturity1
(if
the securities have not previously been redeemed) |
| Share
Return of Worst Performing Underlying Shares on the Final Valuation Date |
Payment
at Maturity (excluding any coupon payable at maturity) |
| +40% |
$10.00 |
| +30% |
$10.00 |
| +20% |
$10.00 |
| +10% |
$10.00 |
| 0% |
$10.00 |
| -10% |
$10.00 |
| -20% |
$10.00 |
| -30% |
$10.00 |
| -40% |
$10.00 |
| -55% |
$10.00 |
| -56% |
$4.40 |
| -60% |
$4.00 |
| -70% |
$3.00 |
| -80% |
$2.00 |
| -90% |
$1.00 |
| -100% |
$0 |
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 $9.085 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. 333-255302 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 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 level of the worst performing underlying shares on the related valuation date is less than the applicable
downside threshold price. |
| · | The securities are subject to the risks of all of
the underlying shares and will be negatively affected if any one of the underlying shares performs poorly, even if the others perform
well. |
| · | You will not benefit in any way from the performance
of the better performing underlying shares. |
| · | You will be subject to risks relating to the relationship
among the underlying shares. |
| · | Higher contingent coupon rates are associated with
greater risk. |
| · | You may not be adequately compensated for assuming
the downside risk of the worst performing underlying shares. |
| · | The securities may be automatically called prior
to maturity, limiting your opportunity to receive contingent coupon payments. |
| · | The securities offer downside exposure to the worst
performing underlying shares, but no upside exposure to the underlying shares. |
| · | The performance of the securities will depend on
the closing prices 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 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 would be lower
if it were calculated based on Citigroup Global Market 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 Market 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 Market Inc., and the value that will be indicated on any brokerage account statements prepared
by Citigroup Global Market Inc. or its affiliates, will reflect a temporary upward adjustment. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | Changes made by the investment
adviser to any underlying share issuer or by the sponsor of any ETF underlying index may adversely affect any underlying shares. |
| · | The index tracked by the Financial Select Sector
SPDR® Fund underwent a significant change on September 16, 2016 and, as a result, the index tracked by the Financial Select
Sector SPDR® Fund will differ in important ways from the index tracked by the Financial Select Sector SPDR®
Fund in the past. |
| · | The Financial Select Sector SPDR®
Fund is subject to risks associated with the financial services sector. |
| · | The Financial Select Sector
SPDR® Fund may be disproportionately affected by the performance of a small number of stocks. |
| · | Citigroup Inc. is an issuer of equity securities
held by the Financial Select Sector SPDR® Fund. |
| · | The Energy Select Sector
SPDR® Fund is subject to concentrated risks associated with the energy sector. |
| · | The Industrial Select Sector SPDR® Fund
is subject to risks associated with the industrial sector. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of any underlying shares. |
| · | The prices of the underlying shares may be adversely
affected by our or our 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 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.