Autocallable Equity Linked Securities Linked
to the Worst Performing of Alphabet Inc., Apple Inc., Meta Platforms, Inc. and Microsoft Corporation Due December 11, 2023
KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlyings:
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Underlying
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Initial underlying value*
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Final barrier value**
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Alphabet Inc.
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$2,850.41
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$1,995.287
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Apple Inc.
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$161.84
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$113.288
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Meta Platforms, Inc.
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$306.84
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$214.788
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Microsoft Corporation
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$323.01
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$226.107
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*For
each underlying, its closing value on the strike date
**For each underlying, 70.00% of its initial
underlying value
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Stated principal amount:
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$1,000 per security
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Strike date:
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December 3, 2021
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Pricing date:
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December 6, 2021
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Issue date:
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December 9, 2021
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Valuation date:
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December 6, 2023, subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
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Maturity date:
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Unless earlier redeemed, December 11, 2023
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Coupon payments:
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On each coupon payment date, unless previously redeemed, the securities will pay a coupon equal to 0.8667% of the stated principal amount of the securities (equivalent to a coupon rate of approximately 10.40% per annum)
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Coupon payment dates:
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January 11, 2022, February 10, 2022, March 10, 2022, April 11, 2022, May 11, 2022, June 9, 2022, July 11, 2022, August 11, 2022, September 9, 2022, October 12, 2022, November 10, 2022, December 9, 2022, January 11, 2023, February 9, 2023, March 9, 2023, April 12, 2023, May 11, 2023, June 9, 2023, July 11, 2023, August 10, 2023, September 11, 2023, October 12, 2023, November 9, 2023 and the maturity date
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
you will receive at maturity for each security you then hold (in addition to the final coupon payment):
§ If
the final underlying value of the worst performing underlying on the valuation date is greater than or equal to its final barrier
value: $1,000
§ If
the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value:
$1,000 + ($1,000 × the underlying return of the
worst performing underlying on the valuation date)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value, you will
receive significantly less than the stated principal amount of your securities, and possibly nothing (other than the final coupon payment),
at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer(3)
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Per security:
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$1,000.00
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$4.00
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$996.00
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Total:
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$
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$
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$
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(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 $912.50 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) CGMI will receive an underwriting
fee of up to $4.00 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-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary is
a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-09 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.
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KEY TERMS (continued)
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Automatic early redemption:
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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 $1,000.00 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.
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Potential autocall dates:
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September 6, 2022, October 6, 2022, November 7, 2022, December 6, 2022, January 6, 2023, February 6, 2023, March 6, 2023, April 6, 2023, May 8, 2023, June 6, 2023, July 6, 2023, August 7, 2023, September 6, 2023, October 6, 2023 and November 6, 2023, 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.
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Final underlying value:
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For each underlying, its closing value on the valuation date
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Worst performing underlying:
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For any date, the underlying with the lowest underlying return determined as of that date
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Underlying return:
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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
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CUSIP / ISIN:
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17329UNJ6 / US17329UNJ69
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Citigroup Global Markets Holdings Inc.
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Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. It is important that you read the accompanying product supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of each underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of (i) Apple Inc. and Microsoft Corporation are their respective shares of common stock, (ii) Meta Platforms, Inc. are its
shares of Class A common stock and (iii) Alphabet Inc. are its shares of Class C common stock. Please see the accompanying product supplement
for more information.
Citigroup Global Markets Holdings Inc.
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Hypothetical Examples
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 are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may
be made on the securities.
The examples below are based on the following hypothetical values and
do not reflect the actual initial underlying values or final barrier values of the underlyings. For the actual initial underlying value
and final barrier 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 final barrier value of
each underlying, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
Underlying
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Hypothetical initial underlying value
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Hypothetical final barrier value
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Alphabet Inc.
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
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Apple Inc.
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
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Meta Platforms, Inc.
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
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Microsoft Corporation
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$100.00
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$70.00 (70.00% of its hypothetical initial underlying value)
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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.
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Hypothetical final underlying value of Alphabet Inc.
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Hypothetical final underlying value of Apple Inc.
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Hypothetical final underlying value of Meta Platforms, Inc.
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Hypothetical final underlying value of Microsoft Corporation
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Hypothetical payment at maturity per $1,000.00 security (excluding the final coupon payment)
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Example 1
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$140
(underlying return =
($140 - $100) / $100 = 40%)
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$130
(underlying return =
($130 - $100) / $100 = 30%)
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$1,000.00
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Example 2
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$120
(underlying return =
($120 - $100) / $100 = 20%)
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$45
(underlying return =
($45 - $100) / $100 = -55%)
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$110
(underlying return =
($110 - $100) / $100 = 10%)
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$450.00
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Example 3
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$0
(underlying return =
($0 - $100) / $100 =
-100%)
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$65
(underlying return =
($65 - $100) / $100 = -35%)
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$80
(underlying return =
($80 - $100) / $100 = -20%)
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$50
(underlying return =
($50 - $100) / $100 = -50%)
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$0.00
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Example 1: On the valuation
date, Alphabet Inc. 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 final barrier value.
Accordingly, at maturity, you would receive the 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: On the valuation
date, Meta Platforms, Inc. 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 final barrier value.
Accordingly, at maturity, you would receive a payment per security (excluding the final coupon payment) calculated as follows:
Payment at maturity = $1,000.00 + ($1,000.00 × the underlying
return of the worst performing underlying on the valuation date)
= $1,000.00 + ($1,000.00 × -55.00%)
= $1,000.00 + -$550.00
= $450.00
In this scenario, you would receive significantly less than the stated
principal amount of your securities at maturity. You would incur a loss based on the performance of the worst performing underlying on
the valuation date, even though the final underlying values of the other underlyings are greater than their respective final barrier values.
Example 3: On the valuation
date, Alphabet Inc. 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 final barrier value. Accordingly,
at maturity, you would receive a payment per security (excluding the final coupon payment) calculated as follows:
Payment at maturity = $1,000.00 + ($1,000.00 × the underlying
return of the worst performing underlying on the valuation date)
= $1,000.00 + ($1,000.00 × -100.00%)
= $1,000.00 + -$1,000.00
Citigroup Global Markets Holdings Inc.
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= $0.00
In this scenario, because the final underlying value of the worst performing
underlying on the valuation date is $0 you would lose your entire investment in the securities.
Citigroup Global Markets Holdings Inc.
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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.
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§
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You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not provide
for the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed prior
to maturity, your payment at maturity will depend on the final underlying value of the worst performing underlying on the valuation date.
If the final underlying value of the worst performing underlying on the valuation date is less than its final barrier value, you will
lose 1% of the stated principal amount of your securities for every 1% by which the worst performing underlying on the valuation date
has declined from its initial underlying value. 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.
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§
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The initial underlying values, which were 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.
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§
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Higher coupon rates are associated with greater risk. The securities offer coupon payments at an annualized rate 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 risk that the value of what you receive at maturity may
be significantly less than the stated principal amount of your securities and may be zero. The volatility of, and correlation between,
the closing values of the underlyings are important factors affecting these risks. Greater expected volatility of, and lower expected
correlation between, the closing values of the underlyings as of the pricing date may result in a higher coupon rate, but 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 final barrier value, such that you will not be repaid the stated principal amount of your securities at maturity.
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§
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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.
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§
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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.
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§
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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.
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§
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You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the 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.
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§
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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.
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§
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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 you receive 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.
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Citigroup Global Markets Holdings Inc.
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§
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The performance of the securities will depend on the closing value of the worst performing
underlying solely on the potential autocall dates and the valuation date, which makes the securities particularly sensitive to volatility
of the worst performing underlying. If the securities are not automatically redeemed prior to maturity, the amount you receive at
maturity will depend solely on the closing value of the worst performing underlying on the valuation date. Whether your securities will
be automatically redeemed prior to maturity depends solely on the closing value of the worst performing underlying on each potential autocall
date. As a result, the performance of the securities will be sensitive to the volatility of the worst performing underlying. You should
understand that each of the underlyings have historically been highly volatile.
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§
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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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§
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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 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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§
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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, 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.
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§
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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, and correlation between, the closing values of
the underlyings, 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.
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§
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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 an interest rate 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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§
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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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§
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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 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
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Citigroup Global Markets Holdings Inc.
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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.
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§
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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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§
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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.
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§
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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.
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§
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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.
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§
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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 during the term of the securities, such as
market disruption events and other events with respect to an underlying, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk
Factors Relating to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with
respect to the securities” in the accompanying product supplement.
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Even if an underlying pays a dividend that it identifies
as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified
in the accompanying product supplement. In general, an adjustment will not be made under the terms of the securities for any cash
dividend paid by an underlying unless the amount of the dividend per share, together with any other dividends paid in the same quarter,
exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing value of that underlying
on the date of declaration of the dividend. Any dividend will reduce the closing value of the underlying by the amount of the dividend
per share. If an underlying pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities
will be adversely affected. See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying
Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying
product supplement.
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The securities will not be adjusted for all events that may
have a dilutive effect on or otherwise adversely affect the closing value of an underlying. For example, we will not make any adjustment
for ordinary dividends or extraordinary dividends that do not meet the criteria described above, partial tender offers or additional
underlying share issuances. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular
event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying
shares of an underlying would not.
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The securities may become linked to an underlying other than
an original underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares of that original
underlying. For example, if an underlying enters into a merger agreement that provides for holders of its underlying shares to receive
shares of another entity and such shares are marketable securities, the closing value of that underlying following consummation of the
merger will be based on the value of such other shares. Additionally, if the underlying shares of an underlying are delisted, the calculation
agent may select a successor underlying. See “Description of the Securities—Certain Additional Terms for Securities Linked
to an Underlying Company or an Underlying ETF” in the accompanying product supplement.
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If the underlying shares of an underlying 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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Citigroup Global Markets Holdings Inc.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as described in “United States Federal Tax Considerations” below. If the IRS
were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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As described in “United States Federal Tax Considerations”
below, in connection with any information reporting requirements we may have in respect of the securities under applicable law, we intend
to treat a portion of each coupon payment as attributable to interest and the remainder to option premium. However, in light of the uncertain
treatment of the securities, it is possible that other persons having withholding or information reporting responsibility in respect of
the securities may treat a security differently, for instance, by treating the entire coupon payment as ordinary income at the time received
or accrued by a holder and/or treating some or all of each coupon payment on a security to a non-U.S. investor as subject to withholding
tax at a rate of 30%.
If withholding applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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Information About Alphabet Inc.
Alphabet Inc. operates as a holding company. The company, through its
subsidiaries, provides web-based search, advertisements, maps, software applications, mobile operating systems, consumer content, enterprise
solutions, commerce, and hardware products. The underlying shares of Alphabet Inc. are registered under the Securities Exchange Act of
1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Alphabet Inc. pursuant to the Exchange
Act can be located by reference to the SEC file number 001-37580 through the SEC’s website at http://www.sec.gov. In addition, information
regarding Alphabet 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 Alphabet Inc. trade on the Nasdaq Global Select Market under the ticker symbol
“GOOG.”
We have derived all information regarding Alphabet Inc. from publicly
available information and have not independently verified any information regarding Alphabet Inc. This pricing supplement relates only
to the securities and not to Alphabet Inc. We make no representation as to the performance of Alphabet Inc. over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Alphabet Inc. 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 Alphabet Inc. on December 3, 2021 was $2,850.41.
The graph below shows the closing value of Alphabet Inc. for each day
such value was available from March 27, 2014 to December 3, 2021. We obtained the closing values 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 values 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 historical closing
values as an indication of future performance.
Alphabet Inc. – Historical Closing Values
March 27, 2014 to December 3, 2021
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Citigroup Global Markets Holdings Inc.
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Information About Apple Inc.
Apple Inc. designs, manufactures, and markets personal computers and
related personal computing and mobile communication devices along with a variety of related software, services, peripherals, and networking
solutions. Apple Inc. sells its products worldwide through its online stores, its retail stores, its direct sales force, third-party wholesalers,
and resellers. The underlying shares of Apple Inc. are registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by Apple Inc. pursuant to the Exchange Act can be located by reference to the
SEC file number 001-36743 through the SEC’s website at http://www.sec.gov. In addition, information regarding Apple 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 Apple Inc. trade on the Nasdaq Global Select Market under the ticker symbol “AAPL.”
We have derived all information regarding Apple Inc. from publicly available
information and have not independently verified any information regarding Apple Inc. This pricing supplement relates only to the securities
and not to Apple Inc. We make no representation as to the performance of Apple Inc. over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Apple Inc. 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 Apple Inc. on December 3, 2021 was $161.84.
The graph below shows the closing value of Apple Inc. 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. If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs
or mergers, then the closing values 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 historical closing
values as an indication of future performance.
Apple Inc. – Historical Closing Values
January 3, 2011 to December 3, 2021
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Citigroup Global Markets Holdings Inc.
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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.
We have derived all information regarding Meta Platforms, Inc. from
publicly available information and have not independently verified any information regarding Meta Platforms, Inc. This pricing supplement
relates only to the securities and not to Meta Platforms, Inc. We make no representation as to the performance of Meta Platforms, Inc.
over the term of the securities.
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.
Historical Information
The closing value of Meta Platforms, Inc. on December 3, 2021 was $306.84.
The graph below shows the closing value of Meta Platforms, Inc. for
each day such value was available from May 17, 2012 to December 3, 2021. We obtained the closing values 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 values 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 historical closing
values as an indication of future performance.
Meta Platforms, Inc. – Historical Closing Values
May 17, 2012 to December 3, 2021
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Citigroup Global Markets Holdings Inc.
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Information About Microsoft Corporation
Microsoft Corporation develops, manufactures, licenses, sells, and supports
software products. The company offers operating system software, server application software, business and consumer applications software,
software development tools, and Internet and intranet software. Microsoft Corporation also develops video game consoles and digital music
entertainment devices. The underlying shares of Microsoft Corporation are registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC by Microsoft Corporation pursuant to the Exchange Act
can be located by reference to the SEC file number 001-37845 through the SEC’s website at http://www.sec.gov. In addition, information
regarding Microsoft Corporation may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The underlying shares of Microsoft Corporation trade on the Nasdaq Global Select Market under the
ticker symbol “MSFT.”
We have derived all information regarding Microsoft Corporation from
publicly available information and have not independently verified any information regarding Microsoft Corporation. This pricing supplement
relates only to the securities and not to Microsoft Corporation. We make no representation as to the performance of Microsoft Corporation
over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. Microsoft Corporation 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 Microsoft Corporation on December 3, 2021 was $323.01.
The graph below shows the closing value of Microsoft Corporation 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. If certain corporate transactions occurred during the historical period shown below, including, but not limited
to, spin-offs or mergers, then the closing values 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
historical closing values as an indication of future performance.
Microsoft Corporation – Historical Closing Values
January 3, 2011 to December 3, 2021
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”) written by you with respect to
the underlying shares, secured by a cash deposit equal to the stated principal amount of the security (the “Deposit”). In
the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current law; however,
our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that
alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date of this preliminary
pricing supplement and is subject to confirmation on the pricing date. Under this treatment:
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a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
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the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
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We will specify in the final pricing supplement the portion of each
coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
Assuming the treatment of a security as a Put Option and a Deposit is
respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should not be
taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders” in the accompanying product supplement.
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in the
section of the accompanying product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S.
Holder (as defined in the accompanying product supplement) of the securities, under current law you generally should not be subject to
U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in
respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply
with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations –Tax
Consequences to Non-U.S. Holders – Dividend Equivalents under Section 871(m) of the Code” in the accompanying product supplement,
Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section
871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities,
as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice,
exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one. Based on the terms of the
securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion that
the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with
respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m). However, the final
determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for the securities, and
it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities are not subject
to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its
application may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
While we currently do not intend to withhold on payments on the securities
to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussion in the accompanying product
supplement regarding “FATCA”), in light of the uncertain treatment of the securities other persons having withholding or information
reporting responsibility in respect of the securities may treat some or all of each coupon payment on a security as subject to withholding
tax at a rate of 30%. Moreover, it is possible that in the future we may determine that we should withhold at a rate of 30% on coupon
payments on the securities. We will not be required to pay any additional amounts with respect to amounts withheld.
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.
Citigroup Global Markets Holdings Inc.
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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 $4.00 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 $4.00 for each security they sell. For the avoidance of doubt, any fees or 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.
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