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 DECEMBER 6, 2021
|
Citigroup Global Markets Holdings Inc.
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December-----,
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
|
Autocallable Phoenix Securities
Based on the Common Stock of Meta Platforms, Inc. Due April-----,
2022
|
§
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The securities offer the potential for contingent coupon payments at an annualized rate that, if
all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same maturity.
In exchange for this higher potential yield, you must be willing to accept the risks that (i) your actual yield may be lower than the
yield on our conventional debt securities of the same maturity because you may not receive one or either contingent coupon payments; (ii)
your actual yield may be negative because, at maturity, you may receive significantly less than the stated principal amount of your securities
and possibly nothing; and (iii) the securities may be automatically redeemed prior to maturity. Each of these risks will depend on the
performance of the shares of common stock of Meta Platforms, Inc. (the “underlying shares”), as described below. Although
you will be exposed to downside risk with respect to the underlying shares, you will not participate in any appreciation of the underlying
shares or receive any dividends paid on the underlying shares. If the final share price is less than the final barrier price, you will
receive a number of underlying shares per security at maturity (or, if we elect, the cash value of those shares based on the final share
price) that are worth less than the stated principal amount per security. There is no minimum payment at maturity.
|
|
§
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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:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
|
Shares of common stock of Meta Platforms, Inc. (ticker symbol: “FB”) (the “underlying share issuer”)
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Strike date:
|
December 3, 2021
|
Pricing date:
|
December , 2021 (expected to be December 6, 2021)
|
Issue date:
|
December , 2021 (three business days after the pricing date).
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Interim valuation date:
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Expected to be March 6, 2022, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Final valuation dates:
|
Expected to be April 6, 2022, April 7, 2022, April 8, 2022, April 11, 2022 and April 12, 2022, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
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Unless earlier redeemed, April , 2022 (expected to be April 18, 2022), subject to postponement as described under “Additional Information” below
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Contingent coupon payment dates:
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For the interim valuation date, the third business day after such interim valuation date; and for the final valuation dates, the maturity date
|
Contingent coupon:
|
On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon if and only if the relevant share price for the interim valuation date or with respect to the final valuation dates, as applicable, is greater than or equal to the coupon barrier price. The amount of the contingent coupon payment with respect to the interim valuation date is equal to 1.75% of the stated principal amount of the securities. The amount of the contingent coupon payment with respect to the final valuation dates is equal to 1.75% of the stated principal amount of the securities if a contingent coupon payment was paid with respect to the interim valuation date, or 3.50% of the stated principal amount of the securities if a contingent coupon payment was not paid with respect to the interim valuation date (i.e., it would include the previously unpaid contingent coupon payment). However, if the relevant share price on any interim valuation date or with respect to the final valuation dates, as applicable, is less than the coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date. You are not assured of receiving any contingent coupon payment over the term of the securities.
|
Initial share price:
|
$306.84, the closing price of the underlying shares on the strike date
|
Final share price:
|
The arithmetic average of the closing price of the underlying shares on each of the five final valuation dates
|
Relevant share price:
|
For any contingent coupon payment date other than the maturity date, the relevant share price is the closing price of the underlying shares on the interim valuation date immediately preceding that contingent coupon payment date. For the maturity date, the relevant share price is the final share price.
|
Coupon barrier price:
|
$266.951, 87.00% of the initial share price
|
Final barrier price:
|
$266.951, 87.00% of the initial share price
|
Share return:
|
(i) The final share price minus the initial share price, divided by (ii) the initial share price
|
Equity ratio:
|
3.74601, the stated principal amount divided by the final barrier price
|
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) (2)
|
Underwriting fee(3)
|
Proceeds to issuer(3)
|
Per security:
|
$1,000.00
|
$3.60
|
$996.40
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $923.50 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) The issue price for investors purchasing
the securities in fiduciary accounts is $996.40 per security.
(3) CGMI will receive an underwriting
fee of $3.60 for each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement
agents for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $3.60 for each security they sell in
this offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement
fee for sales to fiduciary accounts. The total underwriting fees 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.
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 (the “SEC”)
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, each of which can be accessed via the hyperlinks below:
Product Supplement No. EA-04-09 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.
|
Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
If, on the interim valuation date, the closing price of the underlying shares is greater than or equal to the initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000 plus the related contingent coupon payment.
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Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will be entitled to receive at maturity, for each $1,000 stated principal amount security you then hold:
▪ If
the final share price is greater than or equal to the final barrier price: $1,000 plus the contingent coupon payment due
at maturity (including any previously unpaid contingent coupon payment)
▪ If
the final share price is less than the final barrier price: a fixed number of underlying shares equal to the equity ratio (or,
if we elect, the cash value of those shares based on the final share price)
If the final share price is less than the final barrier price,
you will receive underlying shares (or, in our sole discretion, cash) expected to be worth less than the stated principal amount of your
securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity (including any previously
unpaid contingent coupon payment).
|
CUSIP / ISIN:
|
17328NV62 / US17328NV625
|
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, certain
events may occur that could affect whether you receive a contingent coupon payment on a contingent coupon payment date or the securities
are automatically redeemed as well as your payment at maturity or, in the case of a delisting of the underlying shares, could give us
the right to call the securities prior to maturity for an amount that may be less than the stated principal amount. These events, including
market disruption events and other events affecting the underlying shares, and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date,” “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an
Underlying ETF—Dilution and Reorganization Adjustments” and “—Delisting of an Underlying Company,” and not
in this pricing supplement. It is important that you read the accompanying product supplement, prospectus supplement and prospectus together
with this pricing supplement before deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments. The initial share price,
the coupon barrier price and the final barrier price are each a “Relevant Value” for purposes of the section “Description
of the Securities— Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and
Reorganization Adjustments” in the accompanying product supplement. Accordingly, the initial share price, the coupon barrier
price and the final barrier price are each subject to adjustment upon the occurrence of any of the events described in that section.
Postponement of a Final Valuation Date; Postponement of the Maturity
Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed to the next
succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation date, the calculation
agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading day on which a market disruption
event does not occur. If any final valuation date is postponed so that it coincides with a subsequent scheduled final valuation date,
each such subsequent final valuation date will be postponed to the next succeeding scheduled trading day (subject to further postponement
as provided above if a market disruption event occurs on such succeeding scheduled trading day). However, in no event will any scheduled
final valuation date be postponed more than five scheduled trading days after that originally scheduled final valuation date as a result
of a market disruption event occurring on that scheduled final valuation date or on any earlier scheduled final valuation date (in each
case, as any such scheduled final valuation date may be postponed). If the last final valuation date is postponed so that it falls less
than three business days prior to the scheduled maturity date, the maturity date will be postponed to the third business day after the
last final valuation date as postponed. The provisions in this paragraph supersede the related provisions in the accompanying product
supplement to the extent the provisions in this paragraph are inconsistent with those provisions. The terms “scheduled trading day”
and “market disruption event” are defined in the accompanying product supplement. The interim valuation date is subject to
postponement on the terms set forth with respect to valuation dates in the accompanying product supplement.
Citigroup Global Markets Holdings Inc.
|
Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
|
|
Hypothetical Examples
The table below illustrates various hypothetical payments on the securities
at maturity for a range of hypothetical final share prices (the final share price is the arithmetic average of the closing price of the
underlying shares on each of the five final valuation dates) of the underlying shares, assuming the securities are not automatically redeemed.
The outcomes illustrated in the table are not exhaustive, and the actual payment at maturity you receive on the securities may differ
from any example illustrated below.
The table and examples that follow are based on the following hypothetical
values and assumptions in order to illustrate how the securities work and do not reflect the actual initial share price, coupon barrier
price, final barrier price, or equity ratio, each of which will be determined on the pricing date:
Initial share price:
|
$100.00 (the hypothetical closing price of the underlying shares on the pricing date)
|
Coupon barrier price:
|
$87.00 (87.00% of the hypothetical initial share price)
|
Final barrier price:
|
$87.00 (87.00% of the hypothetical initial share price)
|
Contingent coupon:
|
With respect to the interim valuation date and with respect to the final valuation dates, 1.75% of the stated principal amount
|
Equity ratio:
|
11.49425
|
For ease
of analysis, figures in the table and examples below have been rounded.
Maturity Date
|
Hypothetical final share price(1)
|
Hypothetical share return
|
Hypothetical payment at maturity or cash value of the underlying shares received at maturity(2)(3) per security
|
$150.00
|
50.00%
|
$1,017.500
|
$140.00
|
40.00%
|
$1,017.500
|
$130.00
|
30.00%
|
$1,017.500
|
$120.00
|
20.00%
|
$1,017.500
|
$110.00
|
10.00%
|
$1,017.500
|
$100.00
|
0.00%
|
$1,017.500
|
$90.00
|
-10.00%
|
$1,017.500
|
$87.00
|
-13.00%
|
$1,017.500
|
$86.99
|
-13.01%
|
$999.885
|
$70.00
|
-30.00%
|
$804.598
|
$60.00
|
-40.00%
|
$689.655
|
$50.00
|
-50.00%
|
$574.713
|
$40.00
|
-60.00%
|
$459.770
|
$30.00
|
-70.00%
|
$344.828
|
$20.00
|
-80.00%
|
$229.885
|
$10.00
|
-90.00%
|
$114.943
|
$0.00
|
-100.00%
|
$0.000
|
|
(1)
|
The final share price is equal to the arithmetic average of the closing price of the underlying shares on each of the five final valuation
dates. You will be repaid the stated principal amount of your securities if, and only if, the final share price is greater than or equal
to the final barrier price.
|
|
(2)
|
You will receive a contingent coupon payment at maturity if, and only if, the final share price is greater than or equal to the coupon
barrier price. For purposes of this table, it is assumed that there is no previously unpaid contingent coupon payment.
|
|
(3)
|
Assumes that the final share price is the same as the closing price of the underlying shares on the maturity date.
|
The examples below illustrate various possible outcomes under the securities.
The examples do not illustrate all possible outcomes, and the return you actually receive on an investment in the securities may differ
from any example shown below. References below to the total return on an investment in the securities take into account all contingent
coupon payments received (if any) on or prior to the date of redemption or maturity.
Examples
assuming the securities are automatically redeemed prior to maturity:
Example 1: The hypothetical closing price of the underlying shares
on the interim valuation date is $110.00, which is greater than the hypothetical initial share price. Because the hypothetical
closing price of the underlying shares is greater than the hypothetical initial share price on the interim valuation date, the securities
would be automatically redeemed on the first contingent coupon payment date for $1,017.50 per security, consisting of the stated principal
amount of $1,000 plus the related contingent coupon payment of $17.50. In this scenario, the term of the securities would be approximately
three months and you would receive a total return of 1.75% on your investment in the securities.
In this example, the automatic early redemption feature of the securities
would limit the term of the securities to three months, which is less than the full term to maturity. If the securities are automatically
redeemed early, you will not receive any additional contingent coupon payment after the redemption, and you may not be able to reinvest
in other investments that offer comparable terms or returns. Although in this example the hypothetical closing price of the underlying
shares on the interim valuation date immediately before
Citigroup Global Markets Holdings Inc.
|
Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
|
|
redemption is greater than the hypothetical initial share price, investors
in the securities will not share in any appreciation of the underlying shares.
Examples
assuming the securities are not automatically redeemed prior to maturity:
Example 2: The hypothetical closing price of the underlying shares
on the interim valuation date is less than the hypothetical initial share price but greater than the hypothetical coupon
barrier price, and the hypothetical final share price is $120.00, which is greater than the hypothetical final barrier price. In
this scenario, you would receive a contingent coupon payment of $17.50 per security on the contingent coupon payment date prior to maturity
and, on the maturity date, would receive $1,017.50 per security, consisting of the stated principal amount of $1,000 plus the contingent
coupon payment of $17.50 due at maturity. The total return on your investment in the securities in this example is 3.50%, which is the
maximum return you may receive on an investment in the securities. As this example illustrates, the return you receive on an investment
in the securities may be less than the return you could have received on a direct investment in the underlying shares.
Example 3: The hypothetical closing price of the underlying shares
is less than the hypothetical coupon barrier price on the interim valuation date, and the hypothetical final share price is $90.00,
which is greater than the hypothetical final barrier price. Because the hypothetical closing price of the underlying shares is
less than the hypothetical coupon barrier price on the interim valuation date, you would not receive any contingent coupon payment on
the contingent coupon payment date related to the interim valuation date. On the maturity date, because the final share price is greater
than the final barrier price, you would receive $1,035.00 per security, consisting of the stated principal amount of $1,000 plus the
contingent coupon payment of $17.50 due at maturity plus the contingent coupon payment of $17.50 related to the interim valuation
date. In this scenario, your total return on your investment in the securities would be 3.50%.
Example 4: The hypothetical closing price of the underlying shares
on the interim valuation date is less than the hypothetical initial share price but greater than the hypothetical coupon
barrier price, and the hypothetical final share price is $20.00, which is less than the hypothetical final barrier price. Because
the hypothetical closing price of the underlying shares is greater than the hypothetical coupon barrier price on the interim valuation
date, you would receive the contingent coupon payment of $17.50 per security on the contingent coupon payment date prior to the maturity
date. On the maturity date, because the final share price is less than the final barrier price, you would receive for each security you
then hold a fixed number of underlying shares equal to the equity ratio (or, at our option, the cash value thereof).
In this scenario, the value of a number of underlying shares equal to
the equity ratio, based on the final share price, would be approximately $230. Therefore, the value of the underlying shares (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 underlying shares from the initial share price to the final share price. In addition, because the
final share price is below the coupon barrier price, you would not receive any contingent coupon payment at maturity.
If the final share price is less than the final barrier price, we will
have the option to deliver to you on the maturity date either a number of underlying shares equal to the equity ratio or the cash value
of those underlying shares based on their final share price. The price of those underlying shares on the maturity date may be different
than their final share price.
Example 5: The hypothetical closing price of the underlying shares
on the interim valuation date is less than the hypothetical coupon barrier price, and the hypothetical final share price is $0.00.
In this scenario, you would receive no contingent coupon payments over the term of the securities, and you would not be repaid any of
your stated principal amount at maturity, for a total loss on your investment in the securities.
Citigroup Global Markets Holdings Inc.
|
Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
|
|
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 the underlying shares. 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 have not been automatically called prior to maturity
and the final share price is less than the final barrier price, you will not be repaid the stated principal amount of your securities
at maturity and, instead, will receive a number of underlying shares equal to the equity ratio (or, in our sole discretion, cash based
on the value thereof). As a result, investors will be exposed to any further depreciation of the underlying shares that may occur between
the final share price and the closing price of the underlying shares on the maturity date. These underlying shares will be worth less
than the stated principal amount per security and may be worth nothing. You should not invest in the securities if you are unwilling or
unable to bear the risk of losing the entire stated principal amount of your securities.
|
At maturity, if the final share price is
less than the final barrier price, you will have similar downside market risk as a purchaser of the underlying shares at the final barrier
price (except that you will not receive any dividends). This will result in a smaller loss on the securities (disregarding dividends)
than would be incurred by a purchaser of the underlying shares at the initial share price, unless the final share price is zero. However,
you will be exposed at an increased rate to the decline in the price of the underlying shares below the final barrier price, with a loss
on the securities of more than 1% for each additional 1% of the initial share price by which the final share price is less than the final
barrier price. Therefore, the lower the final share price, the closer your loss of principal will be to the percentage decline of the
underlying shares from the initial share price. For example, if the initial share price was $100, the final barrier price was $87.00 (87.00%
of the initial share price) and the final share price is below the final barrier price, the number of underlying shares equal to the equity
ratio at maturity would be approximately 11.49 shares per $1,000 security ($1,000 divided by the $87.00 final barrier price). If the final
share price was $40 (60% less than the initial share price), the value of a number of underlying shares equal to the equity ratio based
on the final share price would be approximately $460 per security (approximately 11.49 shares times $40). If you had purchased the underlying
shares at the initial share price, you would have 10 shares worth approximately $400 based on the final share price, a difference of approximately
$60 compared with the value of a number of underlying shares equal to the equity ratio based on the final share price. However, if the
final share price was $20 (80% less than the initial share price), the value of a number of underlying shares equal to the equity ratio
based on the final share price would be approximately $230 per security (approximately 11.49 underlying shares times $20). If you had
purchased the underlying shares at the initial share price, you would have 10 shares worth approximately $200 based on the final share
price, a difference of only approximately $30 compared with the value of a number of underlying shares equal to the equity ratio based
on the final share price. If the final share price was $0 (100% less than the initial share price), the value of a number of underlying
shares equal to the equity ratio based on the final share price would be $0, the same as if you had purchased the underlying shares at
the initial share price, and you would lose the entire stated principal amount of your securities.
|
§
|
The initial share price, which was set on the strike date, may be higher than the closing
price of the underlying shares on the pricing date. If the closing price of the underlying shares on the pricing date is less than
the initial share price that was 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 share price set
on the pricing date.
|
|
§
|
You will not receive any contingent coupon payment on any contingent coupon payment date for which the relevant share price is
less than the coupon barrier price on the interim valuation date or with respect to the final valuation dates, as applicable. A contingent
coupon payment will be made on a contingent coupon payment date if and only if the relevant share price for the interim valuation date
or with respect to the final valuation dates, as applicable, is greater than or equal to the coupon barrier price. If the relevant share
price is less than the coupon barrier price for the interim valuation date or with respect to the final valuation dates, as applicable,
you will not receive any contingent coupon payment on the related contingent coupon payment date. You will only receive a contingent coupon
payment that has not been paid on the contingent coupon payment date related to the interim valuation date if and only if the relevant
share price with respect to the final valuation dates is greater than or equal to the coupon barrier price. If the relevant share price
is below the coupon barrier price for the interim valuation date and with respect to the final valuation dates, you will not receive any
contingent coupon payments over the term of the securities.
|
|
§
|
Higher contingent coupon rates are associated with greater risk. The securities offer contingent coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities, including
the risks that you may not receive a contingent coupon payment on one or more, or any, contingent coupon
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
|
|
payment dates, the securities will
not be automatically redeemed and the amount you receive at maturity may be significantly less than the stated principal amount of your
securities and may be zero. The volatility of the underlying shares is an important factor affecting these risks. Greater expected volatility
of the underlying shares as of the pricing date may result in a higher contingent coupon rate, but it also represents a greater expected
likelihood as of the pricing date that (i) the relevant share price will be less than the coupon barrier price for the interim valuation
date or with respect to the final valuation dates, such that you will not receive one or more, or any, contingent coupon payments during
the term of the securities, (ii) the relevant share price will be less than the initial share price on the interim valuation date, such
that the securities are not automatically redeemed and (iii) the final share price will be less than the final barrier price, such that
you will not be repaid the stated principal amount of your securities at maturity.
|
§
|
You may not be adequately compensated for assuming the downside risk of the underlying shares. The potential contingent coupon
payments on the securities are the compensation you receive for assuming the downside risk of the underlying shares, as well as all the
other risks of the securities. That compensation is effectively “at risk” and may, therefore, be less than you currently anticipate.
First, the actual yield you realize on the securities could be lower than you anticipate because the coupon is “contingent”
and you may not receive a contingent coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the contingent
coupon payments are the compensation you receive not only for the downside risk of the underlying shares, but also for all of the other
risks of the securities, including the risk that the securities may be automatically redeemed prior to maturity, interest rate risk and
our and Citigroup Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the
contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the downside
risk of the underlying shares.
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The securities may be automatically redeemed prior to maturity, limiting your opportunity to receive contingent coupon payments.
The securities will be automatically redeemed prior to maturity if the closing price of the underlying shares on the interim valuation
date is greater than or equal to the initial share price. Thus, the term of the securities may be limited to as short as approximately
three months. If the securities are automatically redeemed prior to maturity, you will not receive any additional contingent coupon payment.
Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
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The amount of each contingent coupon payment, if payable, is not calculated based on a per annum rate. If payable, the contingent
coupon payment with respect to the interim valuation date and with respect to the final valuation dates will be equal to a fixed amount
that will be the same for both periods, even though the period between the issue date and the interim valuation date is longer than the
subsequent period between the interim valuation date and the final valuation dates.
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The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares. You will
not participate in any appreciation in the price of the underlying shares over the term of the securities. Consequently, your return on
the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than the return on
the underlying shares over the term of the securities. In addition, you will not receive any dividends or other distributions or have
any other rights with respect to the underlying shares over the term of the securities.
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The performance of the securities will depend on the closing price of the underlying shares solely on the relevant valuation dates,
which makes the securities particularly sensitive to the volatility of the underlying shares. Whether any contingent coupons will
be paid prior to maturity and whether the securities will be automatically redeemed prior to maturity will depend on the closing price
of the underlying shares solely on the interim valuation date, regardless of the closing price of the underlying shares on other days
during the term of the securities. If the securities are not automatically redeemed, the amount you receive at maturity will depend solely
on the closing price of the underlying shares on the final valuation dates and not on any other days during the term of the securities.
Because the performance of the securities depends on the closing price of the underlying shares on a limited number of dates, the securities
will be particularly sensitive to volatility in the closing price of the underlying shares. You should understand that the underlying
shares have historically been highly volatile.
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The payment at maturity on the securities is based on the arithmetic average of the closing price of the underlying shares on each
of the five final valuation dates. As a result, you are subject to the risk that the closing price of the underlying shares on each
of the five final valuation dates will result in a less favorable return than you would have received had the final share price been based
on the closing price on other days during the term of the securities. If you had invested in another instrument linked to the underlying
shares that you could sell for full value at a time selected by you, you might have achieved better returns. In addition, because the
final share price is based on the average of the closing prices of the underlying shares on each of the five final valuation dates, your
return on the securities may be less favorable than it would have been if it were based on the closing price of the underlying shares
on only one of those five dates.
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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.
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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
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Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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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.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, will be 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) the placement 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.
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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 the underlying shares, the dividend yield on the
underlying shares 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.
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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 the same as the coupon that is payable on the securities.
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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.
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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.
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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 price and volatility of the underlying shares and a number of other factors, including the
dividend yields on the underlying shares, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the price of the underlying shares 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.
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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.
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Our offering of the securities does not constitute a recommendation of the underlying shares by CGMI or its affiliates or by the
placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or that the placement
agents or their affiliates believe, that investing in an instrument linked to the underlying shares is likely to achieve favorable returns.
In fact, as we and the placement agents are part of global financial institutions, our affiliates and the placement
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Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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agents and their affiliates may have
positions (including short positions) in the underlying shares or in instruments related to the underlying shares, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other activities
of our affiliates or the placement agents or their affiliates may affect the price of the underlying shares in a way that has a negative
impact on your interests as a holder of the securities.
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The price of the underlying shares 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 directly in the
underlying shares and other financial instruments related to the underlying shares and may adjust such positions during the term of the
securities. Our affiliates and the placement agents and their affiliates also trade the underlying shares and other financial instruments
related to the underlying shares 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 price of the underlying shares
in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates or
the placement agents or their affiliates while the value of the securities declines.
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours as a result
of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates may currently or
from time to time engage in business with the underlying share issuer, including extending loans to, making equity investments in or providing
advisory services to the underlying share issuer. In the course of this business, we or our affiliates or the placement agents or their
affiliates may acquire non-public information about the underlying share issuer, which we and they will not disclose to you. Moreover,
if any of our affiliates or the placement agents or their affiliates is or becomes a creditor of the underlying share issuer, they may
exercise any remedies against the underlying share issuer that are available to them without regard to your interests.
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You will have no rights and will not receive dividends with respect to the underlying shares unless and until you receive underlying
shares at maturity. If any change to the underlying shares is proposed, such as an amendment to the underlying share issuer’s
organizational documents, you will not have the right to vote on such change, but you will be subject to such change in the event you
receive its underlying shares at maturity. Any such change may adversely affect the market price of the underlying shares.
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Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary,
no adjustment will be required under the securities for that dividend unless it meets the criteria specified in the accompanying product
supplement. In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying
shares unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the
underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the
amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment is not made under
the terms of the securities, holders of the securities will be adversely affected. 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 could affect the price of the underlying
shares. 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 public offerings of the underlying shares. 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 would not.
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If the underlying shares are delisted, we may call the securities prior to maturity for an
amount that may be less than the stated principal amount. If we exercise this call right, you will receive the amount described under
“Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting
of an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less, than
the stated principal amount of the securities.
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The calculation agent, which is an affiliate of ours, will make important determinations
with respect to the securities. If certain events occur, such as market disruption events, corporate events with respect to the underlying
share issuer that may require a dilution adjustment or the delisting of the underlying shares, 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.
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The securities may become linked to shares of an issuer other than the original underlying
share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying
share issuer enters into a merger agreement that provides for holders of the underlying shares to receive stock of another entity, the
stock of such other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally,
if the underlying shares are delisted and we do not exercise our call right, the calculation agent may, in its sole discretion, select
shares of another issuer to be the underlying shares. See “Description of the Securities— Certain Additional Terms for Securities
Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments,” and “—Delisting
of an Underlying Company” in the accompanying product supplement.
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Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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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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Non-U.S.
investors should note that persons having withholding responsibility in respect of the securities may withhold on any coupon payment paid
to a non-U.S. investor, generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities,
we intend to so withhold.
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 “United States Federal Tax Considerations” in this pricing
supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as
well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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Information About Meta
Platforms, Inc.
Meta Platforms, Inc. (formally known as Facebook, Inc.) develops technologies
that facilitate the sharing of information, photographs, website links, and videos. Users have the ability to share and restrict information
based on their own specific criteria. The underlying shares of Meta Platforms, Inc. are registered under the Securities Exchange Act of
1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Meta Platforms, Inc. pursuant to the
Exchange Act can be located by reference to the SEC file number 001-35551 through the SEC’s website at http://www.sec.gov. In addition,
information regarding Meta Platforms, Inc. may be obtained from other sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The underlying shares of Meta Platforms, Inc. trade on the Nasdaq Global Select Market
under the ticker symbol “FB.”
Meta Platforms, Inc. has announced that it intends for the underlying
shares to cease trading under the ticker symbol “FB” and begin trading under its new ticker symbol, “MVRS,” on
the Nasdaq Global Select Market, which Meta Platforms, Inc. expects to be effective at some point during the first quarter of 2022.
This pricing supplement relates only to the securities offered hereby
and does not relate to the underlying shares of Meta Platforms, Inc. or other securities of Meta Platforms, Inc. We have derived all disclosures
contained in this pricing supplement regarding Meta Platforms, Inc. from the publicly available documents described above. In connection
with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation
of such documents or made any due diligence inquiry with respect to Meta Platforms, Inc.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Meta Platforms, Inc. is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Neither we nor any of our affiliates
make any representation to you as to the performance of the underlying shares of Meta Platforms, Inc.
Historical Information
The closing price of the underlying
shares of Meta Platforms, Inc. on December 3, 2021 was $306.84. The graph below shows the closing price of the underlying shares of Meta
Platforms, Inc. for each day such price was available from January 3, 2011 to December 3, 2021. We obtained the closing prices and other
information below from Bloomberg L.P., without independent verification. If certain corporate transactions occurred during the historical
period shown below, including, but not limited to, spin-offs or mergers, then the closing prices of the underlying shares of Meta Platforms,
Inc. shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction
had occurred prior to the first day in the period shown below. You should not take the historical prices of the underlying shares of
Meta Platforms, Inc. as an indication of future performance.
Underlying Shares of Meta Platforms, Inc. – Historical Closing Prices
January 3, 2011 to December 3, 2021
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* The red line indicates the coupon
barrier price and final barrier price of $266.951, equal to 87.00% of the closing price on December 3, 2021.
Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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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 the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. 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.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with
your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss equal
to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment.
Such gain or loss should be short-term capital gain or loss. If, upon retirement of the securities, you receive underlying shares, you
should not recognize gain or loss with respect to the underlying shares received, other than any fractional underlying share for which
you receive cash. Your basis in any underlying shares received, including any fractional underlying share deemed received, should be equal
to your tax basis in the securities.
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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 have 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.
This discussion does not address
the U.S. federal tax consequences of the ownership or disposition of the underlying shares that you may receive at maturity. You should
consult your tax adviser regarding the particular U.S. federal tax consequences of the ownership and disposition of the underlying shares.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold. In
order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to establish
that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts withheld
and the certification requirement described above.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m)
of the Code 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.
Citigroup Global Markets Holdings Inc.
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Autocallable Phoenix Securities Based on the Common Stock of Meta Platforms, Inc. Due April-----, 2022
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We will not be required to pay any additional amounts with respect to
amounts withheld.
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 $3.60 for each security sold in this offering. The amount of the underwriting fee to CGMI will be equal to the placement fee paid
to the placement agents. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and,
from the underwriting fee to CGMI, will receive a placement fee of $3.60 for each security they sell in this offering to accounts other
than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts.
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. For the avoidance
of doubt, the fees and commissions described on the cover of this pricing supplement will not be rebated or subject to amortization if
the securities are automatically redeemed.
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 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.”
© 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
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