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Citigroup Global Markets Holdings Inc.
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Free Writing Prospectus to Pricing Supplement No.
2023-USNCH[ ]
Registration Statement Nos. 333-270327 and 333-270327-01
Dated June 29, 2023; Filed pursuant to Rule 433 |
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Contingent Income Callable Securities
Due July , 2025 Based on the Performance of Shares of the Invesco S&P 500® Equal Weight ETF
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, 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 the Invesco S&P 500® Equal Weight ETF (ticker symbol: “RSP”) (the “underlying share issuer”) |
| Stated principal amount: |
$1,000 per security |
| Pricing date: |
July 7, 2023 |
| Issue date: |
July 12, 2023 |
| Valuation dates and contingent coupon payment dates: |
The valuation dates and contingent coupon payment dates are set forth
below: |
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Valuation dates* |
Contingent coupon payment dates** |
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October 9, 2023 |
October 12, 2023 |
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January 8, 2024 |
January 11, 2024 |
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April 8, 2024 |
April 11, 2024 |
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July 8, 2024 |
July 11, 2024 |
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October 7, 2024 |
October 10, 2024 |
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January 7, 2025 |
January 10, 2025 |
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April 7, 2025 |
April 10, 2025 |
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July 7, 2025 (the “final valuation date”) |
July 10, 2025 (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.
** 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. |
| 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 beginning in October 2023 and ending in April 2025 |
| Early redemption payment: |
The stated principal amount of $1,000 per security plus the related contingent coupon payment, if any |
| Maturity date: |
Unless earlier redeemed, July 10, 2025 |
| Contingent coupon: |
On each quarterly contingent coupon payment date, unless previously redeemed by us, the securities will pay a contingent coupon equal to 2.175% of the stated principal amount of the securities (8.70% per annum) if and only if the closing price of the underlying shares on the related valuation date is greater than or equal to the coupon barrier price. If the closing price of the underlying shares on any quarterly valuation date is less than the coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date. |
| 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 share price is greater than or equal to
the downside threshold price:
$1,000
·
If the final share price is less than the downside
threshold price:
$1,000 + ($1,000 x the share return)
If the final share price is less than the downside threshold price,
you will receive less, and possibly significantly less, than 80.00% of the stated principal amount of your securities at maturity. |
| Initial share price: |
The closing price of the underlying shares on the pricing date |
| Final share price: |
The closing price of the underlying shares on the final valuation date |
| Coupon barrier price: |
80.00% of the initial share price |
| Downside threshold price: |
80.00% of the initial share price |
| Share return: |
(i) The final share price minus the initial share price, divided by (ii) the initial share price |
| CUSIP/ISIN: |
17291RRR5 / US17291RRR56 |
| Preliminary pricing supplement: |
https://www.sec.gov/Archives/edgar/data/200245/000095010323009588/
dp196136_424b2-us2336685.htm |
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Hypothetical Payout at Maturity1
(if the securities have not previously
been redeemed) |
| Change in Underlying |
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 |
| -21% |
$790.00 |
| -25% |
$750.00 |
| -50% |
$500.00 |
| -75% |
$250.00 |
| -100% |
$0 |
| 1All 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 $924.00 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,
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, 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 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 price of the underlying shares is less than the coupon barrier price on the related valuation date. |
| · | Higher contingent coupon rates are associated with
greater risk. |
| · | You may not be adequately compensated for assuming
the downside risk of the underlying shares. |
| · | 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 underlying
shares, but no upside exposure to the underlying shares. |
| · | The performance of the securities will depend on
the closing price of the underlying shares solely on the relevant valuation dates, which makes the securities particularly sensitive to
the volatility of the underlying shares. |
| · | The payment at maturity depends on the closing price
of the underlying shares 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 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 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 CGMI 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 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. |
| · | Citigroup Global Market Holdings Inc.’s offering
of the securities does not constitute a recommendation of the underlying shares. |
| · | Governmental regulatory actions, such as sanctions,
could adversely affect your investment in the securities. |
| · | The price of the underlying shares 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. |
| · | 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 price and performance of the underlying shares
may not completely track the performance of its underlying index or the net asset value per share of the underlying share issuer. |
| · | Even if the underlying share issuer pays a dividend
that it identifies as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets
the criteria specified in the accompanying product supplement. |
| · | The securities will not be adjusted for all events
that could affect the price of the underlying shares. |
| · | The securities may become linked to shares of an
issuer other than the original underlying share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying
shares. |
| · | The calculation agent, which is an affiliate of Citigroup
Global Market Holdings Inc., will make important determinations with respect to the securities. |
| · | Changes made by the investment adviser to the underlying
share issuer or by the sponsor of the ETF underlying index may adversely affect the underlying shares. |
| · | 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.