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Citigroup Global Markets Holdings Inc. |
Free Writing Prospectus to Pricing Supplement No.
2023-USNCH[ ]
Registration Statement Nos. 333-270327 and 333-270327-01
Dated April 27, 2023; Filed pursuant to Rule 433 |
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Contingent Income Auto-Callable Securities Due May , 2026 Based on
the Worst Performing of the Nasdaq-100 Index® , the Russell 2000® Index and the S&P 500®
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: |
The Nasdaq-100 Index® (ticker symbol: “NDX”), 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: |
May 5, 2023 |
| Issue date: |
May 10, 2023 |
| Valuation dates, potential redemption dates and contingent coupon payment dates: |
The expected valuation dates, potential redemption dates and contingent
coupon payment dates are set forth below: |
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Valuation dates* |
Potential redemption dates* |
Contingent coupon payment dates** |
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August 7, 2023 |
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August 10, 2023 |
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November 6, 2023 |
November 6, 2023 |
November 9, 2023 |
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February 5, 2024 |
February 5, 2024 |
February 8, 2024 |
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May 6, 2024 |
May 6, 2024 |
May 9, 2024 |
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August 5, 2024 |
August 5, 2024 |
August 8, 2024 |
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November 5, 2024 |
November 5, 2024 |
November 8, 2024 |
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February 5, 2025 |
February 5, 2025 |
February 10, 2025 |
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May 5, 2025 |
May 5, 2025 |
May 8, 2025 |
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August 5, 2025 |
August 5, 2025 |
August 8, 2025 |
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November 5, 2025 |
November 5, 2025 |
November 10, 2025 |
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February 5, 2026 |
February 5, 2026 |
February 10, 2026 |
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May 5, 2026 (the “final valuation date”) |
N/A |
May 8, 2026 (the “maturity date”) |
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* Each valuation date is subject to postponement if such date is not
a scheduled trading day or certain market disruption events occur, as described in the accompanying product supplement. Each potential
redemption date is subject to postponement on the same basis as a valuation date.
** If the valuation date immediately preceding any contingent coupon
payment date (other than the final valuation date) is postponed, that contingent coupon payment date will also be postponed so that it
falls on the third business day after such valuation date, as postponed. |
| Maturity date: |
Unless earlier automatically redeemed, May 8, 2026 |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously automatically redeemed, the securities will pay a contingent coupon equal to 2.25% of the stated principal amount of the securities (9.00% per annum) if and only if the closing level of the worst performing underlying index on the related valuation date is greater than or equal to its downside threshold level. If the closing level of the worst performing underlying index on any quarterly valuation date is less than its downside threshold level, you will not receive any contingent coupon payment on the related contingent coupon payment date. If the closing level of the worst performing underlying index is less than its downside threshold level on one or more valuation dates and, on a subsequent valuation date, the closing level of the worst performing underlying index is greater than or equal to its downside threshold level, your contingent coupon payment for that subsequent valuation date will include all previously unpaid contingent coupon payments (without interest on amounts previously unpaid). However, if the closing level of the worst performing underlying index is less than its downside threshold level on any valuation date and on each subsequent valuation date thereafter, you will not receive the unpaid contingent coupon payments in respect of those valuation dates. |
| 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 |
| Downside threshold level: |
For each underlying index, 70.00% of its initial index level |
| CUSIP / ISIN: |
17331HS64 / US17331HS643 |
| Payment at maturity1: |
If the securities are not automatically redeemed prior to maturity,
for each $1,000 stated principal amount security you hold at maturity, you will receive cash in an amount determined as follows:
·
If the final index level of the worst performing
underlying index on the final valuation date is greater than or equal to its downside threshold level: $1,000 + the contingent
coupon payment due at maturity (including any previously unpaid contingent coupon payments)
·
If the final index level of the worst performing
underlying index on the final valuation date is less than its downside threshold level: $1,000 + ($1,000 × the index return
of the worst performing underlying index on the final valuation date)
If the final index level of the worst performing underlying index
on the final valuation date is less than its downside threshold level, you will receive less, and possibly significantly less, than 70.00%
of the stated principal amount of your securities at maturity, and you will not receive any contingent coupon payment (including any previously
unpaid contingent coupon payments) at maturity. |
| Automatic early redemption: |
If, on any potential redemption date, the closing level of the worst performing underlying index on that date is greater than or equal to its initial index level, 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 $1,000 per security plus the related contingent coupon payment (including any previously unpaid contingent coupon payments) |
| Index return: |
For each underlying index on any valuation date or potential redemption date, (i) its closing level on that valuation date or potential redemption date minus its initial index level, divided by (ii) its initial index level |
| Worst performing underlying index: |
For any valuation date or potential redemption date, the underlying index with the lowest index return on that valuation date or potential redemption date |
| Preliminary Pricing supplement: |
Preliminary Pricing supplement dated April 27, 2023 |
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Hypothetical Payout At Maturity1
(if the securities have not been
previously redeemed) |
| Index Return of Worst Performing Underlying Index on the Final Valuation Date |
Payment at Maturity (excluding any coupon payable at maturity) |
| +40.00% |
$1,000.00 |
| +30.00% |
$1,000.00 |
| +20.00% |
$1,000.00 |
| +10.00% |
$1,000.00 |
| 0.00% |
$1,000.00 |
| -10.00% |
$1,000.00 |
| -20.00% |
$1,000.00 |
| -30.00% |
$1,000.00 |
| -31.00% |
$690.00 |
| -40.00% |
$600.00 |
| -50.00% |
$500.00 |
| -60.00% |
$400.00 |
| -70.00% |
$300.00 |
| -80.00% |
$200.00 |
| -90.00% |
$100.00 |
| -100.00% |
$0.00 |
1 All payments are subject to our credit risk
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| 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 $911.50 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. |
| · | You will not receive any contingent coupon payment for any quarter in which the closing level of the worst performing underlying index
on the related valuation date is less than its downside threshold level. |
| · | 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. |
| · | The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments. |
| · | The securities offer downside exposure to the worst performing underlying index, but no upside exposure to the underlying indices. |
| · | The performance of the securities will depend on the closing levels of the underlying indices solely on the relevant valuation dates,
which makes the securities particularly sensitive to the volatility of the underlying indices. |
| · | 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. |
| · | 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 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.