The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with the Securities
and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
are not an offer to sell these securities, nor are they soliciting an offer to buy these securities, in any state where the offer or sale
is not permitted.
SUBJECT TO COMPLETION, DATED OCTOBER
15, 2021
|
Citigroup Global Markets Holdings Inc.
|
October----,
2021
Medium-Term Senior Notes,
Series N
Pricing Supplement No. 2021-USNCH[
]
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-255302 and 333-255302-03
|
Equity Linked Securities Linked to the Worst Performing
of the Invesco QQQ TrustSM, Series 1 and the SPDR S&P 500 ETF Trust Due April 27, 2022
|
▪
|
The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and
guaranteed by Citigroup Inc. The securities offer periodic coupon payments at an annualized rate that is generally higher than the yield
on our conventional debt securities of the same maturity. In exchange for this higher yield, you must be willing to accept the risk that,
if a downside event (as described below) occurs, the value of what you receive may be significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity (excluding the final coupon payment). The risk will depend solely on the performance
of the worst performing of the underlyings specified below.
|
|
▪
|
You will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in
any one of the underlyings. Although you will have downside exposure to the worst performing underlying, you will not receive dividends
with respect to any underlying or participate in any appreciation of any underlying.
|
|
▪
|
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of
not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities
are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying
|
Initial underlying value*
|
Downside threshold value**
|
Equity ratio***
|
Invesco QQQ TrustSM, Series 1
|
$
|
$
|
|
SPDR S&P 500 ETF Trust
|
$
|
$
|
|
* For each underlying, its closing value on the pricing date
** For each underlying, 85% of its initial underlying value
***For each underlying, the
stated principal amount divided by its initial underlying value
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
October 22, 2021
|
Issue date:
|
October 27, 2021
|
Valuation date:
|
April 22, 2022, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
|
Maturity date:
|
April 27, 2022
|
Coupon payment dates:
|
November 29, 2021, December 27, 2021, January 27, 2022, February 28, 2022, March 28, 2022 and the maturity date
|
Coupon payments:
|
On each coupon payment date, the securities will pay a coupon equal to at least 0.54166667% of the stated principal amount of the securities (equivalent to a coupon rate of at least approximately 6.50% per annum, or at least approximately 3.25% for the term of the securities) (to be determined on the pricing date)
|
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity,
you will receive the final coupon payment plus:
▪ If a downside event
does not occur: $1,000
▪ If a downside event
occurs: a fixed number of underlying shares of the worst performing underlying equal to its equity ratio (or, if we elect, the cash value
of those shares based on its final underlying value)
If a downside event occurs, you will receive underlying shares of
the worst performing underlying (or, in our sole discretion, cash) that will be worth significantly less than the stated principal amount
of your securities, and possibly nothing, at maturity (other than the final coupon payment).
|
Downside event:
|
A downside event will occur if the final underlying value of the worst performing underlying is less than its downside threshold value
|
Listing:
|
The securities will not be listed on any securities exchange
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer
|
Per security:
|
$1,000
|
$7.50
|
$992.50
|
Total:
|
$
|
$
|
$
|
(Key Terms continued
on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $931.00 per security, which will be less than the issue price.
The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our 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 this
pricing supplement.
(2) For more information on the distribution of the securities, see
“Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates
may profit from expected hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds
and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, prospectus supplement and prospectus, which
can be accessed via the hyperlinks below:
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
|
|
KEY TERMS (continued)
|
Final underlying value:
|
For each underlying, its closing value on the valuation date
|
Worst performing underlying:
|
The underlying with the lowest underlying return
|
Underlying return:
|
For each underlying, (i) its final underlying value minus its initial underlying value, divided by (ii) its initial underlying value
|
CUSIP / ISIN:
|
17328NC97 / US17328NC971
|
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlyings are their respective shares that are traded on a U.S. national securities exchange. Please see the accompanying
product supplement for more information.
Underlying Prospectuses. In addition to this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus, you should read the prospectus for each underlying on file
at the SEC website, which can be accessed via the hyperlinks below. The contents of these prospectuses and any documents incorporated
by reference therein are not incorporated by reference herein or in any way made a part hereof.
Prospectus for Invesco QQQ TrustSM, Series 1 dated January
31, 2021:
https://www.sec.gov/Archives/edgar/data/1067839/000119312521019335/d78829d485bpos.htm
Prospectus for SPDR S&P 500 ETF Trust dated January 14, 2021:
https://www.sec.gov/Archives/edgar/data/884394/000119312521008848/d100787d485bpos.htm
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Examples
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the various hypothetical final underlying values indicated below. The outcomes illustrated below are not exhaustive,
and your actual payment at maturity on the securities may differ from any example illustrated below.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values, downside threshold values or equity ratios of the underlyings. For the actual initial
underlying value, downside threshold value and equity ratio of each underlying, see the cover page of this pricing supplement. We have
used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities
work. However, you should understand that the actual payments on the securities will be calculated based on the actual initial underlying
value, downside threshold value and equity ratio of each underlying, and not the hypothetical values indicated below.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical downside threshold value
|
Hypothetical equity ratio
|
Invesco QQQ TrustSM, Series 1
|
$100
|
$85 (85% of its hypothetical initial underlying value)
|
10.00000
|
SPDR S&P 500 ETF Trust
|
$100
|
$85 (85% of its hypothetical initial underlying value)
|
10.00000
|
The hypothetical examples below illustrate the calculation of the payment
at maturity on the securities, assuming that the final underlying values of the underlyings are as indicated below.
|
Hypothetical final underlying value of the Invesco QQQ TrustSM, Series 1
|
Hypothetical final underlying value of the SPDR S&P 500 ETF Trust
|
Hypothetical payment at maturity per $1,000 security (excluding the final coupon payment)
|
Example 1
|
$130
(underlying return =
($130 – $100) / $100 = 30%)
|
$120
(underlying return =
($120 – $100) / $100 = 20%)
|
$1,000.00
|
Example 2
|
$50
(underlying return =
($50 – $100) / $100 = -50%)
|
$90
(underlying return =
($90 – $100) / $100 = -10%)
|
A number of underlying shares of the worst performing underlying (or, in our sole discretion, cash) worth $500.00 based on its final underlying value
|
Example 3
|
$140
(underlying return =
($140 – $100) / $100 = 40%)
|
$30
(underlying return =
($30 – $100) / $100 = -70%)
|
A number of underlying shares of the worst performing underlying (or, in our sole discretion, cash) worth $300.00 based on its final underlying value
|
Example 1: In this example, the SPDR S&P
500 ETF Trust has the lowest underlying return and, therefore, is the worst performing underlying. In this scenario, the final underlying
value of the worst performing underlying is greater than its downside threshold value and, as a result, a downside event does not
occur. Accordingly, at maturity, you would receive the $1,000 stated principal amount of the securities plus the final coupon payment.
You would not participate in the appreciation of any of the underlyings.
Example 2: In this example, the Invesco QQQ TrustSM,
Series 1 has the lowest underlying return and, therefore, is the worst performing underlying. In this scenario, the final underlying value
of the worst performing underlying is less than its downside threshold value and, as a result, a downside event occurs. Accordingly, at
maturity, you would receive for each security you then hold a fixed number of underlying shares of the worst performing underlying equal
to its equity ratio (or, at our option, the cash value thereof) plus the final coupon payment.
In this scenario, the value of a number of underlying shares of the
worst performing underlying equal to its equity ratio, based on its final underlying value, would be $500.00. Therefore, the value of
the underlying shares of the worst performing underlying (or, in our discretion, cash) you receive at maturity would be significantly
less than the stated principal amount of your securities. You would incur a loss based on the performance of the worst performing underlying.
If the final underlying value of the worst performing underlying is
less than its downside threshold value, we will have the option to deliver to you on the maturity date either a number of underlying shares
of the worst performing underlying equal to its equity ratio or the cash value of those underlying shares based on their final underlying
value. The value of those underlying shares on the maturity date may be different than their final underlying value.
Citigroup Global Markets Holdings Inc.
|
|
Example 3: In this example, the SPDR S&P 500 ETF Trust has
the lowest underlying return and, therefore, is the worst performing underlying. In this scenario, the final underlying value of the worst
performing underlying is less than its downside threshold value and, as a result, a downside event occurs. Accordingly, at maturity, you
would receive for each security you then hold a fixed number of underlying shares of the worst performing underlying equal to its equity
ratio (or, at our option, the cash value thereof) plus the final coupon payment.
In this scenario, the value of a number of underlying shares of the
worst performing underlying equal to its equity ratio, based on its final underlying value, would be $300.00. Therefore, the value of
the underlying shares of the worst performing underlying (or, in our discretion, cash) you receive at maturity would be significantly
less than the stated principal amount of your securities. You would incur a loss based on the performance of the worst performing underlying.
If the final underlying value of the worst performing
underlying is less than its downside threshold value, we will have the option to deliver to you on the maturity date either a number of
underlying shares of the worst performing underlying equal to its equity ratio or the cash value of those underlying shares based on their
final underlying value. The value of those underlying shares on the maturity date may be different than their final underlying value.
Citigroup Global Markets Holdings Inc.
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
|
▪
|
You may lose a significant portion or all of your investment. Unlike conventional debt
securities, the securities do not provide for the repayment of the stated principal amount at maturity in all circumstances. If the final
underlying value of the worst performing underlying is less than its downside threshold value, a downside event will occur and you will
not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares of the worst performing
underlying (or, in our sole discretion, cash based on its final underlying value) that will be worth significantly less than the stated
principal amount and possibly nothing. There is no minimum payment at maturity on the securities (excluding the final coupon payment),
and you may lose up to all of your investment.
|
We may elect, in our
sole discretion, to pay you cash at maturity in lieu of delivering any underlying shares of the worst performing underlying. If we elect
to pay you cash at maturity in lieu of delivering any underlying shares of the worst performing underlying, the amount of that cash may
be less than the market value of the underlying shares on the maturity date because the market value will likely fluctuate between the
valuation date and the maturity date. Conversely, if we do not exercise our cash election right and instead deliver underlying shares
of the worst performing underlying to you on the maturity date, the market value of such underlying shares may be less than the cash amount
you would have received if we had exercised our cash election right. We will have no obligation to take your interests into account when
deciding whether to exercise our cash election right.
|
▪
|
The securities will be adversely affected by volatility in the closing values of the underlyings. The more volatile the closing
values of the underlyings, the more likely it is that a downside event will occur and that you will not receive the full stated principal
amount of your securities at maturity. In general, the higher the coupon on the securities, the greater the expected likelihood as of
the pricing date that a downside event will occur and, as a result, that you will incur a significant
loss at maturity.
|
|
▪
|
Higher coupon payment rates are associated with greater risk. The securities offer coupon payments at a per annum rate that
is higher than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon payment
rate, investors in the securities will be subject to significantly greater risk than investors in our conventional debt securities, including
the risk that you may lose a significant portion, and up to all, of your investment at maturity (excluding the final coupon payment).
The volatility of and the correlation between the underlyings are important factors affecting these risks. In general, the higher the
expected volatility of the underlyings, and the lower the expected correlation between the underlyings, the greater the coupon payment
rate on the securities. However, higher expected volatility and lower expected correlation would also represent a greater expected likelihood
as of the pricing date that the final underlying value of the worst performing underlying will be less than its downside threshold value,
such that you will not be repaid the stated principal amount of your securities at maturity.
|
|
▪
|
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
|
|
▪
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
|
|
▪
|
You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying. The securities may underperform a similar investment in all of the underlyings or a similar alternative investment linked
to a basket composed of the underlyings, since in either such case the performance of any better performing underlying would be blended
with the performance of the worst performing underlying, resulting in a better return than the return of the worst performing underlying.
|
|
▪
|
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the
|
Citigroup Global Markets Holdings Inc.
|
|
securities. All that is necessary for the securities to perform
poorly is for one of the underlyings to perform poorly. It is impossible to predict what the relationship between the underlyings will
be over the term of the securities. The underlyings differ in significant ways and, therefore, may not be correlated with each other.
|
▪
|
The securities offer downside exposure to the worst performing underlying, but no upside exposure to any underlying. You will
not participate in any appreciation in the value of any underlying over the term of the securities. Consequently, your return on the securities
will be limited to the coupon payments and may be significantly less than the return on any underlying over the term of the securities.
In addition, as an investor in the securities, you will not receive any dividends or other distributions or have any other rights with
respect to any of the underlyings.
|
|
▪
|
The performance of the securities will depend on the closing values of the underlyings solely on the valuation date, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation date. What you
receive at maturity will depend solely on the closing value of the worst performing underlying on the valuation date, and not on any other
day during the term of the securities. Because the performance of the securities depends on the closing values of the underlyings on a
limited number of dates, the securities will be particularly sensitive to volatility in the closing values of the underlyings on or near
the valuation date. You should understand that the closing value of each underlying has historically been highly volatile.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of
the underlyings, the dividend yields on the underlyings and interest rates. CGMI’s views on these inputs may differ from your or
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs
to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value
of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated
value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole
Citigroup Global Markets Holdings Inc.
|
|
discretion. As a result, our secondary market rate is not
a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
▪
|
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. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.
|
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing values of the underlyings, the volatility of, and correlation between, the closing
values of the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating
to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based
on many unpredictable factors” in the accompanying product supplement. Changes in the closing values of the underlyings may not
result in a comparable change in the value of your securities. You should understand that the value of your securities at any time prior
to maturity may be significantly less than the issue price.
|
|
▪
|
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. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
|
|
▪
|
Our offering of the securities is not a recommendation of any underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlyings is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlyings or in
instruments related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates may affect the closing values of the underlyings in a way that
negatively affects the value of and your return on the securities.
|
|
▪
|
The closing value of an underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlyings or in financial instruments related to the underlyings on a regular basis (taking long or short
positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers.
These activities could affect the closing values of the underlyings in a way that negatively affects the value of and your return on the
securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur during the term of the securities, such as market disruption events and other events with respect to an underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product
supplement.
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Even if an underlying 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. In general, an adjustment
will not be made under the terms of the securities for any cash dividend paid by an underlying unless the amount of the dividend per share,
together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing value of that underlying on the date of declaration of the dividend. Any dividend will reduce the
closing value of the underlying by the amount of the dividend per share. If an underlying pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities will be adversely affected.
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Citigroup Global Markets Holdings Inc.
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See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” in the accompanying product supplement.
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The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing
value of an underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not
meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make
may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by
such an event in a circumstance in which a direct holder of the underlying shares of an underlying would not.
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The securities may become linked to an underlying other than an original underlying upon the occurrence of a reorganization event
or upon the delisting of the underlying shares of that original underlying. For example, if an underlying enters into a merger agreement
that provides for holders of its underlying shares to receive shares of another entity and such shares are marketable securities, the
closing value of that underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares of an underlying are delisted, the calculation agent may select a successor underlying. See “Description of
the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying
product supplement.
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The value and performance of the underlying shares of an underlying may not completely track the performance of the underlying
index that the underlying seeks to track or the net asset value per share of the underlying. Each underlying does not fully replicate
the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition,
the performance of an underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying
index. All of these factors may lead to a lack of correlation between the performance of an underlying and its underlying index. In addition,
corporate actions with respect to the equity securities held by an underlying (such as mergers and spin-offs) may impact the variance
between the performance of an underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and
are subject to market supply and investor demand, the closing value of an underlying may differ from the net asset value per share of
an underlying.
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During periods of market volatility, securities
included in an underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate
accurately the net asset value per share of an underlying and the liquidity of an underlying may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of an underlying. Further, market volatility
may adversely affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares.
As a result, under these circumstances, the closing value of an underlying may vary substantially from the net asset value per share of
an underlying. For all of the foregoing reasons, the performance of an underlying may not correlate with the performance of its underlying
index and/or its net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your
return on the securities.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are
not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such
changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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As described in “United States Federal Tax Considerations”
below, in connection with any information reporting requirements we may have in respect of the securities under applicable law, we intend
to treat a portion of each coupon payment as attributable to interest and the remainder to option premium. However, in light of the uncertain
treatment of the securities, it is possible that other persons having withholding or information reporting responsibility in respect of
the securities may treat a security differently, for instance, by treating the entire coupon payment as ordinary income at the time received
or accrued by a holder and/or treating some or all of each coupon payment on a security to a non-U.S. investor as subject to withholding
tax at a rate of 30%.
If withholding applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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Information About the
Invesco QQQ TrustSM, Series 1
The Invesco QQQ TrustSM, Series 1 is an exchange-traded fund
that seeks to provide investment results that, before expenses, generally correspond to the performance of the Nasdaq-100 Index®.
The Nasdaq-100 Index® is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies
listed on the Nasdaq Stock Market based on market capitalization. The Invesco QQQ TrustSM, Series 1 is a registered investment
company.
Information provided to or filed with the SEC by the Invesco QQQ TrustSM,
Series 1 pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-61001 and 811-08947, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the Invesco QQQ TrustSM, Series 1 trade on the Nasdaq Global Market under the ticker symbol “QQQ.”
You may receive underlying shares of the Invesco QQQ TrustSM,
Series 1 at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related to the
Invesco QQQ TrustSM, Series 1 on file at the SEC, which can be accessed via the hyperlink below.
Prospectus dated January 31, 2021: https://www.sec.gov/Archives/edgar/data/1067839/000119312521019335/d78829d485bpos.htm
The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.
We have derived all information regarding the Invesco QQQ TrustSM,
Series 1 from publicly available information and have not independently verified any information regarding the Invesco QQQ TrustSM,
Series 1. This pricing supplement relates only to the securities and not to the Invesco QQQ TrustSM, Series 1. We make no representation
as to the performance of the Invesco QQQ TrustSM, Series 1 over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Invesco QQQ TrustSM, Series 1 is not involved in any way in this
offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Invesco QQQ TrustSM, Series 1 on
October 12, 2021 was $357.14.
The graph below shows the closing value of the Invesco QQQ TrustSM,
Series 1 for each day such value was available from January 3, 2011 to October 12, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take historical closing values as an indication of future performance.
Invesco QQQ TrustSM,
Series 1 – Historical Closing Values
January 3, 2011 to October 12,
2021
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Citigroup Global Markets Holdings Inc.
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Information About the SPDR S&P 500 ETF Trust
The SPDR® S&P 500® ETF Trust is an
exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance of the S&P
500® Index. The S&P 500® Index consists of the common stocks of 500 issuers selected to provide a performance
benchmark for the large capitalization segment of the U.S. equity markets. The SPDR® S&P 500® ETF Trust
is managed by State Street Bank and Trust Company (“SSBTC”), as trustee of the SPDR® S&P 500®
ETF Trust and PDR Services LLC (“PDRS”), as sponsor of the SPDR® S&P 500® ETF Trust.
Information provided to or filed with the SEC by the SPDR®
S&P 500® ETF Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended,
can be located by reference to SEC file numbers 033-46080 and 811-06125, respectively, through the SEC’s website at http://www.sec.gov.
In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents. The underlying shares of the SPDR S&P 500 ETF Trust trade on the NYSE Arca under the ticker symbol
“SPY.”
You may receive underlying shares of the SPDR S&P 500 ETF Trust
at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus related to the SPDR S&P
500 ETF Trust on file at the SEC, which can be accessed via the hyperlink below.
Prospectus dated January
14, 2021: https://www.sec.gov/Archives/edgar/data/884394/000119312521008848/d100787d485bpos.htm
The contents of that prospectus and any documents incorporated by reference
therein are not incorporated by reference herein or in any way made a part hereof.
We have derived all information regarding the SPDR S&P 500 ETF Trust
from publicly available information and have not independently verified any information regarding the SPDR S&P 500 ETF Trust. This
pricing supplement relates only to the securities and not to the SPDR S&P 500 ETF Trust. We make no representation as to the performance
of the SPDR S&P 500 ETF Trust over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the SPDR S&P 500 ETF Trust is not involved in any way in this offering and
has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR
S&P 500 ETF Trust on October 12, 2021 was $433.62.
The graph below shows the closing
value of the SPDR S&P 500 ETF Trust for each day such value was available from January 3, 2011 to October 12, 2021. We obtained the
closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of
future performance.
SPDR S&P 500 ETF Trust –
Historical Closing Values
January 3, 2011 to October 12,
2021
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Citigroup Global Markets Holdings Inc.
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United States Federal
Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”) written by you with respect to
the underlying shares, secured by a cash deposit equal to the stated principal amount of the security (the “Deposit”). In
the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current law; however,
our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that
alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date of this preliminary
pricing supplement and is subject to confirmation on the pricing date. Under this treatment:
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a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
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the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
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We will specify in the final pricing supplement the portion of each
coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
Assuming the treatment of a security as a Put Option and a Deposit is
respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should not be
taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders” in the accompanying product supplement.
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in the
section of the accompanying product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S.
Holder (as defined in the accompanying product supplement) of the securities, under current law you generally should not be subject to
U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in
respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply
with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of the Code” in the accompanying product supplement,
Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section
871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities,
as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice,
exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one. Based on the terms of the
securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion that
the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with
respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m). However, the final
determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for the securities, and
it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities are not subject
to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its
application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
While we currently do not intend to withhold on payments on the securities
to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussion in the accompanying product
supplement regarding “FATCA”), in light of the uncertain treatment of the securities other persons having withholding or information
reporting responsibility in respect of the securities may treat some or all of each coupon payment on a security as subject to withholding
tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of 30% on coupon
payments on the securities. We will not be required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $7.50 for each security sold
in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $7.50
for each security they sell. See “Plan of Distribution; Conflicts of Interest” in the accompanying product supplement and
“Plan of Distribution” in each of the accompanying prospectus supplement and prospectus for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the pricing date because certain terms of the securities have not yet
been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the pricing
date.
For a period of approximately two months following issuance of the securities,
the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated for the securities
on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial
information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary
upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the securities.
The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the two-month temporary adjustment period.
However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk Factors—The securities
will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2021 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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