Autocallable Equity Linked Securities Linked to the
Worst Performing of the Nasdaq-100 Index® and the Russell 2000® Index Due June 9, 2023
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.
|
Underlyings:
|
Underlying
|
Initial
underlying value*
|
Downside
threshold value**
|
|
Nasdaq-100
Index®
|
15,712.04
|
12,569.632
|
|
Russell
2000® Index
|
2,159.310
|
1,727.448
|
|
* For each underlying, its closing value on the strike date
** For each underlying, 80% of its initial underlying value
|
Stated principal amount:
|
$1,000 per security
|
Strike date:
|
December 3, 2021
|
Pricing date:
|
December 6, 2021
|
Issue date:
|
December 9, 2021
|
Valuation date:
|
June 6, 2023, subject to postponement if such date is not a scheduled trading day or
certain market disruption events occur
|
Maturity date:
|
Unless earlier redeemed, June 9, 2023
|
Coupon payment dates:
|
June 9, 2022, December 9, 2022 and the maturity date
|
Coupon payments:
|
On each coupon payment date, unless previously redeemed, the securities will pay a
coupon equal to 3.525% of the stated principal amount of the securities (equivalent to a coupon rate of 7.05% per annum)
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold, the final coupon payment plus:
▪
If a downside event does not occur: $1,000
▪
If a downside event occurs: $1,000 + [$1,000 × the buffer rate × (the underlying return of the worst performing
underlying on the valuation date + the buffer percentage)]
If the securities are not automatically redeemed prior to maturity
and a downside event occurs, which means that the worst performing underlying on the valuation date has depreciated from its initial
underlying value by more than the buffer percentage, you will lose more than 1% of the stated principal amount of your securities
at maturity for every 1% by which that depreciation exceeds the buffer percentage. Accordingly, the lower the final underlying value
of the worst performing underlying on the valuation date, the less benefit you will receive from the buffer.
|
Downside event:
|
A downside event will occur if the final underlying value of the worst performing underlying
on the valuation date is less than its downside threshold value
|
Buffer percentage:
|
20%
|
Buffer rate:
|
The initial underlying value of the worst performing underlying
divided by its downside threshold value, which is 125%
|
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(3)
|
Per security:
|
$1,000.00
|
$2.00
|
$998.00
|
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 $935.00 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) CGMI will receive an underwriting
fee of up to $2.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give
effect to the actual total underwriting fee. 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.
(3) The per security proceeds to issuer
indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
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, underlying 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, underlying supplement,
prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
Product
Supplement No. EA-02-09 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus
Supplement and Prospectus each dated May 11, 2021
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)
|
Automatic early redemption:
|
If, on any potential autocall date, the closing value of the worst performing
underlying on that potential autocall date is greater than or equal to its initial underlying value, each security you then hold
will be automatically called on that potential autocall date for redemption on the immediately following coupon payment date for
an amount in cash equal to $1,000 plus the related coupon payment. The automatic early redemption feature may significantly
limit your potential return on the securities. If the worst performing underlying performs in a way that would otherwise
be favorable, the securities are likely to be automatically called for redemption prior to maturity, cutting short your opportunity
to receive coupon payments. The securities may be automatically called for redemption as early as the first potential autocall date
specified below.
|
Potential autocall dates:
|
June 6, 2022 and December 6, 2022, each subject to postponement as if such date were the valuation
date as described in the accompanying product supplement. If a scheduled potential autocall date is postponed by one or
more business days, the immediately following coupon payment date will be postponed by an equal number of business days.
|
Final underlying value:
|
For each underlying, its closing value on the valuation date
|
Worst performing underlying:
|
For any date, the underlying with the lowest underlying return on that date
|
Underlying return:
|
For each underlying on any date, (i) its closing value on that date minus its initial underlying
value, divided by (ii) its initial underlying value
|
CUSIP / ISIN:
|
17329UU25 / US17329UU257
|
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. The accompanying underlying supplement contains information about each underlying that is not
repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying 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.
Citigroup Global Markets Holdings Inc.
|
|
|
Hypothetical Examples
of the Payment at Maturity on the Securities
The table below indicates what your payment at maturity would be for
various hypothetical underlying returns of the worst performing underlying on the valuation date, assuming the securities are not automatically
redeemed prior to maturity. Your actual payment at maturity (if the securities are not automatically redeemed prior to maturity) will
depend on the actual final underlying value of the worst performing underlying on the valuation date.
Hypothetical
Underlying Return of Worst Performing Underlying on the Valuation Date
|
Hypothetical
Payment at Maturity(1)
|
50.00%
|
$1,035.250
|
20.00%
|
$1,035.250
|
10.00%
|
$1,035.250
|
0.00%
|
$1,035.250
|
-10.00%
|
$1,035.250
|
-20.00%
|
$1,035.250
|
-20.01%
|
$1,035.125
|
-30.00%
|
$910.250
|
-40.00%
|
$785.250
|
-50.00%
|
$660.250
|
-60.00%
|
$535.250
|
-70.00%
|
$410.250
|
-80.00%
|
$285.250
|
-90.00%
|
$160.250
|
-100.00%
|
$35.250
|
(1) Includes final coupon payment. Each security has a stated
principal amount of $1,000.00.
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not automatically redeemed prior to maturity. You should understand that the term of the
securities, and your opportunity to receive the coupon payments on the securities, may be limited by the automatic early redemption feature
of the securities, which is not reflected in the examples below. The outcomes illustrated below are not exhaustive, and your actual payment
at maturity on the securities (if the securities are not earlier automatically redeemed) 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 or downside threshold values of the underlyings. For the actual initial underlying
value and downside threshold value 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 and downside threshold
value of each underlying, and not the hypothetical values indicated below.
Underlying
|
Hypothetical
initial underlying value
|
Hypothetical
downside threshold value
|
Nasdaq-100
Index®
|
100
|
80
(80% of its hypothetical initial underlying value)
|
Russell
2000® Index
|
100
|
80
(80% of its hypothetical initial underlying value)
|
The hypothetical examples below illustrate the calculation of the payment
at maturity on the securities, assuming that the securities have not been earlier automatically redeemed and that the final underlying
values of the underlyings are as indicated below.
|
Hypothetical
final underlying value of Nasdaq-100 Index®
|
Hypothetical
final underlying value of Russell 2000® Index
|
Hypothetical
payment at maturity per $1,000 security
|
Example
1
|
130
(underlying return =
(130 – 100) / 100 = 30%)
|
120
(underlying return =
(120 – 100) / 100 = 20%)
|
$1,035.25
|
Example
2
|
75
(underlying return =
(75 – 100) / 100 = -25%)
|
90
(underlying return =
(90 – 100) / 100 = -10%)
|
$972.75
|
Example
3
|
140
(underlying return =
(140 – 100) / 100 = 40%)
|
30
(underlying return =
(30 – 100) / 100 = -70%)
|
$410.25
|
Citigroup Global Markets Holdings Inc.
|
|
|
Example 1: In this example, the Russell 2000®
Index has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this scenario,
the final underlying value of the worst performing underlying on the valuation date 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 Nasdaq-100
Index® has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this
scenario, the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold value
and, as a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 + [$1,000 × the
buffer rate × (the underlying return of the worst performing underlying on the valuation date + the buffer percentage)] + the final
coupon payment
= $1,000 + [$1,000 × 125% × (-25% + 20%)]
+ $35.25
= $1,000 + [$1,000 × 125% × (-5%)] +
$35.25
= $1,000 + -$62.50 + $35.25
= $972.75
In this scenario, because the final underlying value
of the worst performing underlying on the valuation date is less than its downside threshold value, you would lose a portion of your
investment in the securities. Your payment at maturity (excluding the final coupon payment) would reflect a loss of more than 1% (based
on the buffer rate) of the stated principal amount of your securities for every 1% by which the depreciation of the worst performing
underlying on the valuation date has exceeded the buffer percentage.
Example 3: In this example, the Russell 2000®
Index has the lowest underlying return and, therefore, is the worst performing underlying on the valuation date. In this scenario,
the final underlying value of the worst performing underlying on the valuation date is less than its downside threshold value and, as
a result, a downside event occurs. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 + [$1,000 × the
buffer rate × (the underlying return of the worst performing underlying on the valuation date + the buffer percentage)] + the final
coupon payment
= $1,000 + [$1,000 × 125% × (-70% + 20%)]
+ $35.25
= $1,000 + [$1,000 × 125% × (-50%)] +
$35.25
= $1,000 + -$625 + $35.25
= $410.25
In this scenario, because the final underlying value
of the worst performing underlying on the valuation date is less than its downside threshold value, you would lose a portion of your
investment in the securities. Your payment at maturity (excluding the final coupon payment) would reflect a loss of more than 1% (based
on the buffer rate) of the stated principal amount of your securities for every 1% by which the depreciation of the worst performing
underlying on the valuation date has exceeded the buffer percentage. A comparison of this example with the previous example illustrates
the diminishing benefit of the buffer the lower the final underlying value of the worst performing underlying on the valuation date.
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 some 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 securities are not automatically redeemed
prior to maturity and a downside event occurs, which means that the worst performing underlying
on the valuation date has depreciated from its initial underlying value by more than the
buffer percentage, you will lose more than 1% of the stated principal amount of your securities
for every 1% by which that depreciation exceeds the buffer percentage. You should understand
that any decline in the final underlying value of the worst performing underlying on the
valuation date beyond the buffer percentage will result in a magnified loss to your investment
based on the buffer rate, which will progressively offset any protection that the buffer
percentage would offer. The lower the final underlying value of the worst performing underlying
on the valuation date, the less benefit you will receive from the buffer. 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.
|
|
▪
|
The initial underlying values, which have been set on the strike
date, may be higher than the closing values of the underlyings on the pricing date. If
the closing values of the underlyings on the pricing date are less than the initial underlying
values that were set on the strike date, the terms of the securities may be less favorable
to you than the terms of an alternative investment that may be available to you that offers
a similar payout as the securities but with the initial underlying values set on the pricing
date.
|
|
▪
|
The securities may be automatically redeemed prior to maturity,
limiting your opportunity to receive coupon payments. On any potential autocall date,
the securities will be automatically called for redemption if the closing value of the worst
performing underlying on that potential autocall date is greater than or equal to its initial
underlying value. As a result, if the worst performing underlying performs in a way that
would otherwise be favorable, the securities are likely to be automatically redeemed, cutting
short your opportunity to receive coupon payments. If the securities are automatically redeemed
prior to maturity, you may not be able to reinvest your funds in another investment that
provides a similar yield with a similar level of risk.
|
|
▪
|
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 on the valuation
date 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.
|
|
▪
|
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
|
Citigroup Global Markets Holdings Inc.
|
|
|
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 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 potential autocall dates and the valuation date,
which makes the securities particularly sensitive to volatility in the closing values of
the underlyings on or near the potential autocall dates and the valuation date. Whether
the securities will be automatically redeemed prior to maturity will depend on the closing
values of the underlyings solely on the potential autocall dates, regardless of the closing
values of the underlyings on other days during the term of the securities. If the securities
are not automatically redeemed prior to maturity, 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 potential autocall dates and 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.
|
Citigroup Global Markets Holdings Inc.
|
|
|
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 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.
|
|
▪
|
The Russell 2000® Index will be subject to risks
associated with small capitalization stocks. The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. The stock
prices of smaller companies may be more volatile than stock prices of large capitalization
companies. These companies tend to be less well-established than large market capitalization
companies. Small capitalization companies may be less able to withstand adverse economic,
market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market
conditions.
|
|
▪
|
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
|
Citigroup Global Markets Holdings Inc.
|
|
|
calculation agent, which is an affiliate
of ours, will make important determinations with respect to the securities” in the accompanying product supplement.
|
▪
|
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.
|
|
▪
|
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.
|
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.
|
|
|
Information About 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. All stocks included in the Nasdaq-100 Index®
are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq Stock Market, Inc. and is
calculated, maintained and published by Nasdaq, Inc.
Please refer to the section “Equity Index Descriptions—The
Nasdaq-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index®
from publicly available information and have not independently verified any information regarding the Nasdaq-100 Index®.
This pricing supplement relates only to the securities and not to the Nasdaq-100 Index®. We make no representation as
to the performance of the Nasdaq-100 Index® 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 Nasdaq-100 Index® 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 Nasdaq-100 Index® on December
3, 2021 was 15,712.04.
The graph below shows the closing value of the Nasdaq-100 Index®
for each day such value was available from January 3, 2011 to December 3, 2021. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take the historical closing values as an indication of future performance.
Nasdaq-100
Index® – Historical Closing Values
January 3, 2011 to December
3, 2021
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
Information About the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index 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 Russell 2000® Index 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 Russell 2000® Index on December
3, 2021 was 2,159.310.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 3, 2011 to December 3, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take the historical closing values as an indication of future performance.
Russell
2000® Index – Historical Closing Values
January 3, 2011 to December
3, 2021
|
|
Citigroup Global Markets Holdings Inc.
|
|
|
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:
|
·
|
a portion of each
coupon payment made with respect to the securities will be attributable to interest on the
Deposit; and
|
|
·
|
the remainder will
represent premium attributable to your grant of the Put Option (“Put Premium”).
|
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.
|
|
|
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 up to $2.00 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described
in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession
of up to $2.00 for each security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
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 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 three 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
three-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.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024