| Citigroup Global Markets Holdings
Inc. |
Free
Writing Prospectus to Pricing Supplement No. 2022-USNCH13405
Registration
Statement Nos. 333-255302; 333-255302-03
Dated
August 9, 2022; Filed pursuant to Rule 433 |
Market-Linked Notes Based on the S&P 500® Index
Due September 6, 2028
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 S&P 500® Index (ticker symbol: “SPX”) |
| Stated principal amount: |
$10 per note |
| Pricing date: |
August 31, 2022 |
| Issue date: |
September 6, 2022 |
| Valuation date: |
August 31, 2028, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur. |
| Maturity date: |
September 6, 2028 |
| 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, subject to the maximum return at maturity
▪ If the final index level is less than or equal to the initial index level:
$0 |
| Upside participation rate: |
100.00% |
| 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 |
| Maximum return at maturity: |
$6.30 per note (63.00% of the stated principal amount). The payment at maturity per note will not exceed $10.00 plus the maximum return at maturity. |
| Hypothetical Payout at Maturity1 |
| Change in Underlying |
Return on Notes |
| +80.00% |
63.00% |
| +70.00% |
63.00% |
| +63.00% |
63.00% |
| +50.00% |
50.00% |
| +40.00% |
40.00% |
| +30.00% |
30.00% |
| +20.00% |
20.00% |
| +10.00% |
10.00% |
| +5.00% |
5.00% |
| 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 $8.96 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. |
| · | Your potential return on the notes is limited |
| · | 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. |
| · | 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.