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, underlying 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 SEPTEMBER
17, 2021
|
Citigroup Global Markets Holdings Inc.
|
September , 2021
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2021-USNCH9106
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-255302 and 333-255302-03
|
Autocallable Securities Linked to the Worst Performing
of the iShares® MSCI Emerging Markets ETF, the Nasdaq-100 Index® and the Russell 2000® Index
Due September 24, 2026
|
▪
|
The securities offered by this pricing supplement are unsecured
debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities,
the securities do not pay interest, do not guarantee the repayment of principal at maturity and are subject to potential automatic early
redemption on a periodic basis on the terms described below. Your return on the securities will depend solely on the performance of the
worst performing of the underlyings specified below.
|
|
▪
|
The securities offer the potential for automatic early redemption
at a premium following the first valuation date (other than the final valuation date) on which the closing value of the worst performing
underlying on that valuation date is greater than or equal to its initial underlying value. If the securities are not automatically redeemed
prior to maturity, the securities will provide for (i) repayment of the stated principal amount plus a premium at maturity if
the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to its initial underlying
value or (ii) repayment of the stated principal amount at maturity, with no premium, if the final underlying value of the worst performing
underlying on the final valuation date is less than its initial underlying value but greater than or equal to its final barrier value
specified below. However, if the securities are not automatically redeemed prior to maturity and the final underlying value of the
worst performing underlying on the final 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 its final underlying value is less than its initial underlying value.
|
|
▪
|
You will be subject to risks associated with each of
the underlyings and will be negatively affected by adverse movements in any one of the underlyings. Although you will have downside
exposure to the worst performing underlying on the final valuation date, you will not receive dividends with respect to any underlying
or participate in any appreciation of any underlying.
|
|
▪
|
Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup
Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc.
|
KEY TERMS
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlyings:
|
Underlying
|
Initial underlying value*
|
Final barrier value**
|
|
iShares® MSCI Emerging Markets ETF
|
$
|
$
|
|
Nasdaq-100 Index®
|
|
|
|
Russell 2000® Index
|
|
|
|
*For each underlying, its closing value on the pricing date
**For each underlying, 60.00% of its initial underlying
value
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
September 21, 2021
|
Issue date:
|
September 24, 2021
|
Valuation dates:
|
September 26, 2022, September 21, 2023, September 23, 2024, September 22, 2025 and September 21, 2026 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
|
Maturity date:
|
Unless earlier redeemed, September 24, 2026
|
Automatic early redemption:
|
If, on any valuation date prior to the final valuation date, the closing value of the worst performing underlying on that valuation date is greater than or equal to its initial underlying value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following any valuation date prior to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation date.
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity, you
will receive at maturity for each security you then hold:
§ If
the final underlying value of the worst performing underlying on the final valuation date is greater than or equal to its initial
underlying value: $1,000 + the premium applicable to the final valuation date
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its initial underlying value
but greater than or equal to its final barrier value: $1,000
§ If
the final underlying value of the worst performing underlying on the final valuation date is less than its final barrier value:
$1,000 + ($1,000 × the underlying return of the worst
performing underlying on the final valuation date)
If the securities are not automatically redeemed prior to maturity
and the final underlying value of the worst performing underlying on the final 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, at maturity.
|
Listing:
|
The securities will not be listed on any securities exchange
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer(3)
|
Per security:
|
$1,000.00
|
$41.25
|
$958.75
|
Total:
|
$
|
$
|
$
|
(Key Terms continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $871.50 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 $41.25 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-7.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
Prospectus
Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are not
insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
Citigroup Global Markets Holdings Inc.
|
|
KEY TERMS (continued)
|
Premium:
|
The premium applicable to each valuation date will be determined on the
pricing date and will be at least the percentage indicated below. The premium may be significantly less than the appreciation of any
underlying from the pricing date to the applicable valuation date.
|
|
• September 26, 2022:
|
8.40% of the stated principal amount
|
|
• September 21, 2023:
|
16.80% of the stated principal amount
|
|
• September 23, 2024:
|
25.20% of the stated principal amount
|
|
• September 22, 2025:
|
33.60% of the stated principal amount
|
|
• September 21, 2026:
|
42.00% of the stated principal amount
|
Final underlying value:
|
For each underlying, its closing value on the final valuation date
|
Worst performing underlying:
|
For any valuation date, the underlying with the lowest underlying return determined as of that valuation date
|
Underlying return:
|
For each underlying on any valuation date, (i) its closing value on that valuation date minus its initial underlying value, divided by (ii) its initial underlying value
|
CUSIP / ISIN:
|
17329QQK9 / US17329QQK93
|
Citigroup Global Markets Holdings Inc.
|
|
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. The accompanying underlying supplement contains information about each underlying that is not repeated
in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined
in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of an underlying
on any date is (i) in the case of an underlying that is an underlying index, its closing level on such date and (ii) in the case of an
underlying that is an underlying ETF, the closing price of its underlying shares on such date, as provided in the accompanying product
supplement. The “underlying shares” of an underlying ETF are its shares that are traded on a U.S. national securities exchange.
Please see the accompanying product supplement for more information.
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing value of the worst performing underlying on any valuation date prior
to the final valuation date is greater than or equal to its initial underlying value. The table assumes that the premium applicable to
each valuation date will be set at the lowest value indicated under “Key Terms” above. The actual premium applicable to each
valuation date will be determined on the pricing date.
If the first valuation date on which the closing value of the worst performing underlying on that valuation date is greater than or equal to its initial underlying value is...
|
...then you will receive the following payment per security upon automatic early redemption:
|
September 26, 2022
|
$1,000.00 + applicable premium = $1,000.00 + $84.00 = $1,084.00
|
September 21, 2023
|
$1,000.00 + applicable premium = $1,000.00 + $168.00 = $1,168.00
|
September 23, 2024
|
$1,000.00 + applicable premium = $1,000.00 + $252.00 = $1,252.00
|
September 22, 2025
|
$1,000.00 + applicable premium = $1,000.00 + $336.00 = $1,336.00
|
If, on any valuation date prior to the final valuation date, the
closing value of any underlying is greater than or equal to its initial underlying value, but the closing value of any other underlying
is less than its initial underlying value, you will not receive the premium indicated above following that valuation date. In order to
receive the premium indicated above, the closing value of each underlying on the applicable valuation date must be greater than
or equal to its initial underlying value.
Payment at Maturity Diagram
The diagram below illustrates your payment at maturity of the securities,
assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns of the worst performing
underlying on the final valuation date. Your payment at maturity (if the securities are not earlier automatically redeemed) will be determined
based solely on the performance of the worst performing underlying on the final valuation date. The diagram assumes that the premium applicable
to the final valuation date will be set at the lowest value indicated under “Key Terms” above. The actual premium applicable
to the final valuation date will be determined on the pricing date.
Investors in the securities will not receive any dividends with respect
to the underlyings. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlyings” below.
Payment at Maturity Diagram
|
|
n The Securities
|
n The Worst Performing Underlying on the Final Valuation Date
|
Citigroup Global Markets Holdings Inc.
|
|
Hypothetical Examples of the Payment at Maturity
The examples below are intended to illustrate how, 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 final valuation date. Your actual payment at maturity per security, if the securities are not automatically redeemed
prior to maturity, will depend on the actual final underlying value of the worst performing underlying on the final valuation date. 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 payment at maturity 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. The
examples below assume that the premium applicable to the final valuation date will be set at the lowest value indicated under “Key
Terms” above. The actual premium applicable to the final valuation date will be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical final barrier value
|
iShares® MSCI Emerging Markets ETF
|
$100.00
|
$60.00 (60.00% of its hypothetical initial underlying value)
|
Nasdaq-100 Index®
|
100.00
|
60.00 (60.00% of its hypothetical initial underlying value)
|
Russell 2000® Index
|
100.00
|
60.00 (60.00% of its hypothetical initial underlying value)
|
Example 1—Upside Scenario. The final underlying value of
the worst performing underlying on the final valuation date is 110.00, resulting in a 10.00% underlying return for the worst performing
underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation
date is greater than its initial underlying value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® MSCI Emerging Markets ETF*
|
$110.00
|
10.00%
|
Nasdaq-100 Index®
|
140.00
|
40.00%
|
Russell 2000® Index
|
130.00
|
30.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000 + the premium applicable to
the final valuation date
= $1,000 + $420
= $1,420
In this scenario, because the final underlying value of the worst performing
underlying on the final valuation date is greater than its initial underlying value, you would be repaid the stated principal amount of
your securities at maturity plus the premium applicable to the final valuation date.
Example 2—Par Scenario. The final underlying value of the
worst performing underlying on the final valuation date is 80.00, resulting in a -20.00% underlying return for the worst performing underlying
on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation date
is less than its initial underlying value but greater than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® MSCI Emerging Markets ETF
|
$100.00
|
0.00%
|
Nasdaq-100 Index® *
|
80.00
|
-20.00%
|
Russell 2000® Index
|
110.00
|
10.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000
In this scenario, the worst performing underlying on the final valuation
date has depreciated from its initial underlying value to its final underlying value so that its final underlying value is less than its
initial underlying value but not below its final barrier value. As a result, you would be repaid the stated principal amount of your securities
at maturity but would not receive any positive return on your investment.
Citigroup Global Markets Holdings Inc.
|
|
Example 3—Downside Scenario. The final underlying value
of the worst performing underlying on the final valuation date is 30.00, resulting in a -70.00% underlying return for the worst performing
underlying on the final valuation date. In this example, the final underlying value of the worst performing underlying on the final valuation
date is less than its final barrier value.
Underlying
|
Hypothetical final underlying value
|
Hypothetical underlying return
|
iShares® MSCI Emerging Markets ETF
|
$80.00
|
-20.00%
|
Nasdaq-100 Index®
|
105.00
|
5.00%
|
Russell 2000® Index*
|
30.00
|
-70.00%
|
* Worst performing underlying on the final valuation date
Payment at maturity per security = $1,000 + ($1,000 × the underlying
return of the worst performing underlying on the final valuation date)
= $1,000 + ($1,000 × -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the worst performing underlying on the final valuation
date has depreciated from its initial underlying value to its final underlying value and its final underlying value is less than its final
barrier value. As a result, your total return at maturity in this scenario would be negative and would reflect 1-to-1 exposure to the
negative performance of the worst performing underlying on the final valuation date.
Citigroup Global Markets Holdings Inc.
|
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with each underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
|
§
|
You may lose 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 final valuation
date. If the final underlying value of the worst performing underlying on the final 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 final
valuation date has declined from its initial underlying value. There is no minimum payment at maturity on the securities, and you may
lose up to all of your investment.
|
|
§
|
Your potential return on the securities is limited. Your potential return on the securities is limited to the applicable premium
payable upon automatic early redemption or at maturity, as described on the cover page of this pricing supplement. If the closing value
of the worst performing underlying on one of the valuation dates is greater than or equal to its initial underlying value, you will be
repaid the stated principal amount of your securities and will receive the fixed premium applicable to that valuation date, regardless
of how significantly the closing value of the worst performing underlying on that valuation date may exceed its initial underlying value.
Accordingly, any premium may result in a return on the securities that is significantly less than the return you could have achieved on
a direct investment in any or all of the underlyings.
|
|
§
|
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest prior to maturity.
You should not invest in the securities if you seek current income during the term of the securities.
|
|
§
|
The securities are subject to heightened risk because they have multiple underlyings. The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
|
|
§
|
The securities are subject to the risks of each of the underlyings and will be negatively affected if any one underlying performs
poorly. You are subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively
affected. The securities are not linked to a basket composed of the underlyings, where the blended performance of the underlyings would
be better than the performance of the worst performing underlying alone. Instead, you are subject to the full risks of whichever of the
underlyings is the worst performing underlying.
|
|
§
|
You will not benefit in any way from the performance of any better performing underlying. The return on the securities depends
solely on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
|
|
§
|
You will be subject to risks relating to the relationship between the underlyings. It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that their closing values tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly. It is impossible to predict
what the relationship between the underlyings will be over the term of the securities. The underlyings differ in significant ways and,
therefore, may not be correlated with each other.
|
|
§
|
The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing value of
the worst performing underlying on any valuation date (other than the final valuation date) is greater than or equal to its initial underlying
value, the securities will be automatically redeemed. If the securities are automatically redeemed following any valuation date prior
to the final valuation date, they will cease to be outstanding and you will not receive the premium applicable to any later valuation
date. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of
risk.
|
|
§
|
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 applicable premium payable upon an automatic early redemption or at maturity and may be significantly less than
the return on any underlying over the term of the securities.
|
|
§
|
You will not receive dividends or have any other rights with respect to the underlyings. You will not receive any dividends
with respect to the underlyings. This lost dividend yield may be significant over the term of the securities. The payment scenarios described
in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlyings or the stocks included in the underlyings.
|
Citigroup Global Markets Holdings Inc.
|
|
|
§
|
The performance of the securities will depend on the closing values of the underlyings solely on the valuation dates, which makes
the securities particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. Whether
the securities will be automatically redeemed prior to maturity will depend on the closing values of the underlyings solely on the valuation
dates (other than the final valuation date), regardless of the closing values of the underlyings on other days during the term of the
securities. If the securities are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the
closing value of the worst performing underlying on the final valuation date, and not on any other day during the term of the securities.
Because the performance of the securities depends on the closing values of the underlyings on a limited number of dates, the securities
will be particularly sensitive to volatility in the closing values of the underlyings on or near the valuation dates. You should understand
that the closing value of each underlying has historically been highly volatile.
|
|
§
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities.
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity.
|
|
§
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging
the securities that are included in the issue price. These costs include (i) any selling concessions or other fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of
the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection
with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they
were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See
“The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
|
§
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of, and correlation between, the closing values of
the underlyings, dividend yields on the underlyings and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities
set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
|
§
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole 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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Citigroup Global Markets Holdings Inc.
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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 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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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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The iShares® MSCI Emerging Markets ETF is subject to risks associated with emerging markets. The stocks included
in the iShares® MSCI Emerging Markets ETF have been issued by companies in various foreign emerging markets. Foreign equity
securities involve risks associated with the securities markets in foreign countries, including risks of volatility in those markets,
governmental intervention in those markets and cross-shareholdings in companies in certain countries. There is also generally less publicly
available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the Securities
and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements
different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. Stocks issued by companies in emerging markets may be subject to heightened risks, including risks of relatively
unstable governments, nationalization of businesses, restrictions on foreign ownership, prohibitions on the repatriation of assets and
less protection of property rights. The economies of countries with emerging markets may be based on only a few industries, be highly
vulnerable to changes in local or global trade conditions and suffer from extreme and volatile debt burdens or inflation rates. Local
securities markets may trade a small number of securities and be unable to respond effectively to increases in trading volume, potentially
increasing price volatility. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in
such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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Fluctuations in exchange rates will affect the closing value of the iShares® MSCI Emerging Markets ETF. Because
the iShares® MSCI Emerging Markets ETF includes stocks that trade outside the United States and the closing value of the
iShares® MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, the iShares® MSCI
Emerging Markets ETF is subject to currency exchange rate risk with respect to each of the currencies in which such stocks trade. Exchange
rate movements may be volatile and may be driven by numerous factors specific to the relevant countries, including the supply of, and
the demand for, the applicable currencies, as well as government policy and intervention and macroeconomic factors. Exchange rate movements
may also be influenced significantly by speculative trading. In general, if the U.S. dollar strengthens against the currencies in which
the stocks included in the iShares® MSCI Emerging Markets ETF trade, the closing value of the iShares® MSCI
Emerging Markets ETF will be adversely affected for that reason alone.
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The Russell 2000® Index is subject to risks associated with small capitalization stocks. The stocks that constitute
the Russell 2000® Index are issued by companies with relatively small market capitalization. The stock prices of smaller
companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than
large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and
competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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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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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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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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Citigroup Global Markets Holdings Inc.
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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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In the case of an underlying that is an underlying ETF, even if the 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 the
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 the 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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In the case of an underlying that is an underlying ETF, the securities will not be adjusted for all events that may have a dilutive
effect on or otherwise adversely affect the closing value of the 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 the
underlying would not.
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In the case of an underlying that is an underlying ETF, the securities may become linked to an underlying other than the original
underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares of that original underlying.
For example, if the 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 the 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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In the case of the underlying that is an underlying ETF, the value and performance of the underlying shares of the underlying may
not completely track the performance of the underlying index that the underlying seeks to track or the net asset value per share of the
underlying. In the case of the underlying that is an underlying ETF, the underlying does not fully replicate the underlying index
that it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance of
the underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying index. All
of these factors may lead to a lack of correlation between the performance of the underlying and its underlying index. In addition, corporate
actions with respect to the equity securities held by the underlying (such as mergers and spin-offs) may impact the variance between the
performance of the underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and are subject
to market supply and investor demand, the closing value of the underlying may differ from the net asset value per share of the underlying.
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During periods of market volatility, securities included in
the underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the underlying. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under
these circumstances, the closing value of the underlying may vary substantially from the net asset value per share of the underlying.
For all of the foregoing reasons, the performance of the underlying may not correlate with the performance of its underlying index and/or
its net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your return on the
securities.
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Changes that affect the underlyings may affect the value of your securities. The sponsors of the underlyings may at any time
make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings. We are
not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such
changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
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The U.S. federal tax consequences of an investment in the securities are
unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan
to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts.
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. Even if the treatment of the securities as prepaid forward contracts is
respected, a security may be treated as a “constructive ownership transaction,” with potentially adverse consequences described
below under “United States Federal Tax Considerations.” 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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If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
Citigroup Global Markets Holdings Inc.
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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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Information About the iShares® MSCI Emerging
Markets ETF
The iShares® MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. The MSCI Emerging Markets Index was
developed by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance
in the global emerging markets.
The iShares® MSCI Emerging Markets ETF is an investment
portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares® MSCI
Emerging Markets ETF. iShares®, Inc. is a registered investment company that consists of numerous separate investment portfolios,
including the iShares® MSCI Emerging Markets ETF.
Information provided to or filed with the SEC by iShares®,
Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
The underlying shares of the iShares® MSCI Emerging Markets ETF trade on the NYSE Arca under the ticker symbol “EEM.”
Please refer to the section “Fund Descriptions— The iShares®
ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the iShares®
MSCI Emerging Markets ETF from publicly available information and have not independently verified any information regarding the iShares®
MSCI Emerging Markets ETF. This pricing supplement relates only to the securities and not to the iShares® MSCI Emerging
Markets ETF. We make no representation as to the performance of the iShares® MSCI Emerging Markets ETF over the term of
the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the iShares® MSCI Emerging Markets ETF is not involved in any
way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the iShares® MSCI Emerging Markets
ETF on September 16, 2021 was $51.59.
The graph below shows the closing value of the iShares®
MSCI Emerging Markets ETF for each day such value was available from January 3, 2011 to September 16, 2021. We obtained the closing values
from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication of future performance.
iShares® MSCI Emerging Markets ETF – Historical Closing Values
January 3, 2011 to September 16, 2021
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Citigroup Global Markets Holdings Inc.
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Information About the Nasdaq-100 Index®
The Nasdaq-100 Index® is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on the Nasdaq Stock Market. All stocks included in the Nasdaq-100 Index®
are traded on a major U.S. exchange. The Nasdaq-100 Index® was developed by the Nasdaq Stock Market, Inc. and is calculated,
maintained and published by Nasdaq, Inc.
Please refer to the section “Equity Index Descriptions—
The NASDAQ-100 Index®” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Nasdaq-100 Index®
from publicly available information and have not independently verified any information regarding the Nasdaq-100 Index®.
This pricing supplement relates only to the securities and not to the Nasdaq-100 Index®. We make no representation as to
the performance of the Nasdaq-100 Index® over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Nasdaq-100 Index® is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Nasdaq-100 Index® on September
16, 2021 was 15,515.91.
The graph below shows the closing value of the Nasdaq-100 Index®
for each day such value was available from January 3, 2011 to September 16, 2021. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take historical closing values as an indication of future performance.
Nasdaq-100 Index® – Historical Closing Values
January 3, 2011 to September 16, 2021
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Citigroup Global Markets Holdings Inc.
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Information About the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—
The Russell Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000® Index on September
16, 2021 was 2,232.911.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 3, 2011 to September 16, 2021. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take historical closing values as an indication of future performance.
Russell 2000® Index – Historical Closing Values
January 3, 2011 to September 16, 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.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment,
and the IRS or a court might not agree with it. 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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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of
the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange or retirement
of a security should be long-term capital gain or loss if you held the security for more than one year.
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Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize in respect
of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term capital
gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant
rate over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability on
the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able
to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Securities Treated as Prepaid Forward Contracts—Possible Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser regarding
the potential application of the “constructive ownership” rule.
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.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, 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” 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.
If withholding tax applies to 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 $41.25 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 $41.25 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 certain terms of the securities have not yet
been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the pricing
date.
For a period of approximately four 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 four-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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