| Citigroup Global Markets Holdings Inc. |
Free Writing Prospectus to Pricing Supplement No.
2022-USNCH[ ] Registration Statement Nos. 333-255302; 333-255302-03
Dated May 4, 2022; Filed pursuant to Rule 433 |
Contingent Income Callable Securities
Due May , 2025 Based on the Worst Performing of the Russell 2000® Index , the S&P 500®
Index and the Nasdaq-100 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.
| Summary Terms |
| Issuer: |
Citigroup Global Markets Holdings Inc. |
| Guarantor: |
Citigroup Inc. |
| Underlying indices: |
Russell 2000® Index (ticker symbol: “RTY”), S&P 500® Index (ticker symbol: “SPX”) and the Nasdaq-100 Index® (ticker symbol: “NDX”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
May 6, 2022 |
| Issue date: |
May 11, 2022 |
| Final valuation date: |
Expected to be May 6, 2025, subject to postponement if such date is not a scheduled trading day for any underlying index or if certain market disruption events occur with respect to any underlying index. |
| Maturity date: |
Unless earlier redeemed by us, May 9, 2025 |
| Contingent coupon payment dates: |
For each observation period, the third business day after the observation period end-date for such observation period, except that the contingent coupon payment date for the final observation period will be the maturity date. |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously redeemed by us, the securities will pay a contingent coupon equal to 3.0625% of the stated principal amount of the securities (12.25% 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 x 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 65% of the stated principal amount
of your securities at maturity. |
| 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 |
| 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. |
| Observation period end-dates: |
Expected to be August 8, 2022, November 7, 2022, February 6, 2023, May 8, 2023, August 7, 2023, November 6, 2023, February 6, 2024, May 6, 2024, August 6, 2024, November 6, 2024, February 6, 2025 and May 6, 2025 |
| 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 |
| Coupon barrier level: |
For each underlying index, 75% of its initial index level |
| Downside threshold level: |
For each underlying index, 65% of its initial index level |
| Worst performing underlying index: |
The underlying index with the lowest index return |
| Redemption: |
We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to the early redemption payment. If the securities are redeemed, no further payments will be made. |
| Potential redemption dates: |
The contingent coupon payment dates related to the observation period end-dates beginning in August 2022 and ending in February 2025 |
| Early redemption payment: |
The stated principal amount of $1,000 per security plus the related contingent coupon payment, if any |
| Index return: |
For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial index level |
| CUSIP/ISIN: |
17330FSC6 / US17330FSC67 |
| Preliminary pricing supplement: |
https://www.sec.gov/Archives/edgar/data/0000200245/000095010322007903/
dp172581_424b2-us2291465.htm |
|
Hypothetical Payout at Maturity1
(if the securities have not previously
been redeemed) |
| Index Return of Worst Performing Underlying Index on the Final Valuation Date |
Payment at Maturity (excluding any coupon payable at maturity) |
| +40% |
$1,000.00 |
| +30% |
$1,000.00 |
| +20% |
$1,000.00 |
| +10% |
$1,000.00 |
| 0% |
$1,000.00 |
| -10% |
$1,000.00 |
| -20% |
$1,000.00 |
| -35% |
$1,000.00 |
| -36% |
$640.00 |
| -40% |
$600.00 |
| -50% |
$500.00 |
| -60% |
$400.00 |
| -70% |
$300.00 |
| -80% |
$200.00 |
| -90% |
$100.00 |
| -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 $898.00 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. 333-255302 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 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. |
| · | You will not receive any contingent coupon payment
for any quarterly observation period during which a coupon barrier event occurs. |
| · | The quarterly contingent coupon payment is contingent
on the closing level of each underlying index on each trading day throughout the observation periods. |
| · | The securities are subject to the risks of all of
the underlying indices and will be negatively affected if any one of the underlying indices performs poorly, even if the others perform
well. |
| · | You will not benefit in any way from the performance
of the better performing underlying indices. |
| · | You will be subject to risks relating to the relationship
among the underlying indices. |
| · | 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 index. |
| · | We may redeem the securities at our option, which
will limit your ability to receive the contingent coupon payments. |
| · | The securities offer downside exposure to the worst
performing underlying index, but no upside exposure to the underlying indices. |
| · | The payment at maturity depends on the closing level
of the worst performing underlying index on a single day. |
| · | 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 was determined
for Citigroup Global Market 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 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. |
| · | The securities are linked to the Russell 2000®
Index and will be subject to risks associated with small capitalization stocks. |
| · | Changes that affect the underlying indices may affect
the value of your securities. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of any underlying index. |
| · | The level of an 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 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.