KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup
Inc.
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Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed
by Citigroup Inc.
|
Underlying
indices:
|
Underlying
indices
|
Initial
index level*
|
Downside
threshold level**
|
Coupon
barrier level***
|
|
Russell
2000® Index (ticker symbol: “RTY”)
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|
|
|
|
S&P
500® Index (ticker symbol: “SPX”)
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|
|
|
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Nasdaq-100
Index® (ticker symbol: “NDX”)
|
|
|
|
|
*
For each underlying index, its closing level on the pricing date
**For each underlying index, 70% of its initial index level
***For each underlying index, 75% of its initial index level
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
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$1,000 per security
|
Pricing date:
|
October , 2021 (expected to be October 22, 2021)
|
Issue date:
|
October , 2021 (three business days after the pricing
date)
|
Final valuation date:
|
January , 2024 (expected to be January 22, 2024), subject to
postponement if such date is not a scheduled trading day for any underlying index or if certain market disruption events occur with
respect to any underlying index.
|
Maturity date:
|
Unless earlier redeemed by us, January , 2024 (expected to
be January 25, 2024)
|
Contingent coupon payment dates:
|
For each observation period, the third business day after the observation period end-date
for such observation period, except that the contingent coupon payment date for the final observation period will be the maturity
date.
|
Contingent coupon:
|
On each quarterly contingent coupon payment date, unless previously redeemed by us,
the securities will pay a contingent coupon equal to 2.325% of the stated principal amount of the securities (9.30% per annum) if
and only if a coupon barrier event has not occurred during the related observation period. If a coupon barrier
event occurs during an observation period, you will not receive any contingent coupon payment on the related contingent coupon payment
date. A coupon barrier event will occur if the closing level of any underlying index is less than its coupon barrier
level on any trading day for that underlying index during an observation period.
|
Payment at maturity:
|
Unless earlier redeemed by us, for each $1,000
stated principal amount security you hold at maturity, you will receive cash in an amount determined as follows (in
addition to the final contingent coupon payment, if any):
▪
If the final index level of the worst performing underlying index is greater than or equal to its downside threshold
level: $1,000
▪
If the final index level of the worst performing underlying index is less than its downside threshold level:
$1,000 + ($1,000 × the index
return of the worst performing underlying index)
If the final index level of the worst performing underlying
index is less than its downside threshold level, you will receive less, and possibly significantly less, than 70% of the stated principal
amount of your securities at maturity.
|
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
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$12.50(2)
|
$984.375
|
|
|
$3.125(3)
|
|
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 $920.50 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, 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 $15.625 for each $1,000 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and
their financial advisors will collectively receive from CGMI a fixed selling concession of $12.50 for each $1,000 security they sell.
Additionally, it is possible that 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) Reflects a structuring fee payable
to Morgan Stanley Wealth Management by CGMI of $3.125 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-8.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this pricing
supplement and the accompanying product supplement, 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, each of which can be accessed
via the following hyperlinks:
Product
Supplement No. EA-04-09 dated May 11, 2021 Underlying
Supplement No. 10 dated May 11, 2021
Prospectus
Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
KEY TERMS (continued)
|
|
Coupon barrier event:
|
A coupon barrier event will occur with respect to an observation period if the closing level of
any underlying index is less than its coupon barrier level on any trading day for that underlying index
during that observation period.
|
Observation periods:
|
Each observation period will consist of each day from but excluding an observation period end-date
to and including the following observation period end-date, provided that the first observation period will consist of each day from
but excluding the pricing date to and including the first observation period end-date.
|
Observation period end-dates:
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Expected to be January 24, 2022, April 22, 2022, July 22, 2022, October 24, 2022, January 23, 2023,
April 24, 2023, July 24, 2023, October 23, 2023 and January 22, 2024
|
Trading day:
|
For any underlying index, a scheduled trading day for that underlying index on which a market disruption
event has not occurred with respect to that underlying index.
|
Redemption:
|
We may call the securities, in whole and not in part, for mandatory redemption on any potential
redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will
receive for each security you then hold an amount in cash equal to the early redemption payment. If the securities are
redeemed, no further payments will be made.
|
Potential redemption dates:
|
The contingent coupon payment dates related to the observation period end-dates beginning in January
2022 and ending in October 2023
|
Early redemption payment:
|
The stated principal amount of $1,000 per security plus the related contingent coupon payment,
if any
|
Final index level:
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For each underlying index, its closing level on the final valuation date
|
Index return:
|
For each underlying index, (i) its final index level minus its initial index level, divided
by (ii) its initial index level
|
Worst performing underlying index:
|
The underlying index with the lowest index return
|
CUSIP / ISIN:
|
17329UHL8 / US17329UHL89
|
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain
events may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product
supplement in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement contains
important disclosures regarding each underlying index that are 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
before deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are defined in the
accompanying product supplement.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Investment Summary
The securities provide an opportunity for investors to earn a quarterly
contingent coupon payment, which is an amount equal to $23.25 (2.325% of the stated principal amount) per security, with respect to each
quarterly observation period during which a coupon barrier event does not occur. A coupon barrier event will occur during an observation
period if the closing level of any underlying index is less than its coupon barrier level on any trading
day for that underlying index during that observation period. The quarterly contingent coupon payment, if any, will be payable quarterly
on the relevant contingent coupon payment date, which is the third business day after the related observation period end-date or, in
the case of the quarterly contingent coupon payment, if any, with respect to the final observation period, the maturity date. If a coupon
barrier event occurs during an observation period, investors will receive no quarterly contingent coupon payment on the related contingent
coupon payment date. It is possible that a coupon barrier event will occur with respect to some or all of the observation periods during
the term of the securities so that you will receive few or no quarterly contingent coupon payments. We refer to these payments as contingent
because there is no guarantee that you will receive a payment on any contingent coupon payment date.
We may call the securities, in whole and not in part, for mandatory
redemption on any potential redemption date upon not less than three business days’ notice for an early redemption payment equal
to the stated principal amount plus the quarterly contingent coupon payment, if any, due on that contingent coupon payment date.
Thus, the term of the securities may be limited to three months. If we redeem the securities prior to maturity, you will not receive
any additional contingent coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a
similar yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlying
indices are performing in a manner that would otherwise have been favorable to you. On the other hand, we will be less likely to redeem
the securities when the underlying indices are performing unfavorably from your perspective, including when the closing level of any
underlying index is below its respective coupon barrier level and/or when the final index level of any underlying index is expected to
be below its respective downside threshold level, such that you will receive no quarterly contingent coupon payments and/or that you
will suffer a significant loss on your initial investment in the securities at maturity. Thus, if we do not redeem the securities prior
to maturity, it is more likely that you will receive few or no quarterly contingent coupon payments and suffer a significant loss at
maturity.
If the securities have not previously been redeemed by us and the final
index level of the worst performing underlying index is greater than or equal to its downside threshold level, you will be repaid the
stated principal amount of your securities at maturity. However, if the securities have not previously been redeemed by us and the final
index level of the worst performing underlying index is less than its downside threshold level, investors will be exposed to the decline
in the closing level of the worst performing underlying index, as compared to its initial index level, on a 1-to-1 basis. Under these
circumstances, the payment at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount times
(b) the index return of the worst performing underlying index, which means that the payment at maturity will be less than 75% of
the stated principal amount of the securities and could be zero.
Investors in the securities must be willing to accept the risk of losing
their entire principal and also the risk of receiving few or no quarterly contingent coupon payments over the term of the securities.
The stated payments on the securities are based solely on the performance of the worst performing of the three underlying
indices. As a result, investors will be negatively affected by adverse movements in any one of the underlying indices,
regardless of the performance of the others. In addition, investors will not participate in any appreciation of any of the underlying
indices.
Key Investment Rationale
The securities offer investors an opportunity to earn a quarterly contingent
coupon payment equal to 2.325% of the stated principal amount with respect to each quarterly observation period during which a coupon
barrier event does not occur. The securities may be redeemed by us prior to maturity for the stated principal amount per security plus
the applicable quarterly contingent coupon payment, if any, and the payment at maturity will vary depending on the final index level
of the worst performing underlying index, as follows:
Scenario
1
|
On any potential redemption date (beginning
approximately three months after the issue date), we exercise our right to call the securities.
■
The securities will be redeemed for (i) the stated principal amount plus (ii) the quarterly contingent coupon
payment with respect to the related observation period, if any.
■
Investors will not participate in any appreciation of any of the underlying indices from their applicable initial index
levels.
|
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Scenario
2
|
The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is greater than or equal to its downside threshold level.
■
You will be repaid the stated principal amount of your securities at maturity plus the quarterly contingent
coupon payment, if any.
■
Investors will not participate in any appreciation of any of the underlying indices from their applicable initial index
levels.
|
Scenario
3
|
The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is less than its downside threshold level.
■
The payment due at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount
times (b) the index return of the worst performing underlying index on the final valuation date.
■
Investors will lose a significant portion, and may lose all, of their principal in this scenario.
|
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
How the Securities
Work
The following diagrams illustrate potential payments on the securities.
The first diagram illustrates how to determine whether a contingent coupon payment will be paid with respect to a quarterly observation
period. The second diagram illustrates how to determine the payment at maturity if the securities are not redeemed by us prior to maturity.
Diagram #1: Quarterly Contingent Coupon Payments
Diagram #2: Payment at Maturity if No Early Redemption
Occurs
For more information about contingent coupon payments and the
payment at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page PS-6.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
Hypothetical Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly observation period and how to calculate the payment at maturity on the securities if
we do not redeem the securities prior to maturity. You should understand that the term of the securities, and your opportunity to receive
the contingent coupon payments on the securities, may be limited to as short as three months if we elect to redeem the securities prior
to the maturity date, which is not reflected in the examples below. For ease of analysis, figures in the examples below may have been
rounded.
The examples below are based on the following hypothetical values and
do not reflect the actual initial index levels of any of the underlying indices or their applicable coupon barrier levels and downside
threshold levels. For the actual initial index level, coupon barrier level and downside threshold level of each underlying index, 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 index level, coupon barrier level and downside threshold level of each underlying index,
and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded:
Hypothetical quarterly contingent coupon
payment:
|
$23.25 (2.325% of the stated principal
amount) per security
|
Hypothetical initial index level:
|
For each underlying index, 100.00
|
Hypothetical coupon barrier level:
|
For each underlying index, 75.00, which, with respect
to each underlying index, is 75% of its hypothetical initial index level
|
Hypothetical downside threshold level:
|
For each underlying index, 70.00, which, with respect
to each underlying index, is 70% of its hypothetical initial index level
|
How to determine whether a contingent coupon is
payable with respect to a quarterly observation period:
|
Hypothetical
lowest closing level of each underlying index on any trading day during an observation period
|
Hypothetical
contingent coupon payment per security
|
|
Russell
2000® Index
|
S&P
500® Index
|
Nasdaq-100
Index®
|
Example
1
|
90.000 (greater than or equal to coupon
barrier level)
|
95.00 (greater than or equal to coupon
barrier level)
|
87.00 (greater than or equal to coupon
barrier level)
|
$23.25
|
Example
2
|
88.000 (greater than or equal to coupon barrier
level)
|
93.00 (greater than or equal to coupon barrier
level)
|
65.00 (less than coupon barrier level)
|
$0
|
Example
3
|
55.000 (less than coupon barrier level)
|
60.00 (less than coupon barrier level)
|
90.00 (greater than or equal to coupon barrier
level)
|
$0
|
Example
4
|
50.000 (less than coupon barrier level)
|
60.00 (less than coupon barrier level)
|
45.00 (less than coupon barrier level)
|
$0
|
Example 1: In this example,
the closing levels of each underlying index are greater than or equal to their respective coupon barrier levels on each trading day during
an observation period. As a result, a coupon barrier event does not occur and investors in the securities would receive the contingent
coupon payment of $23.25 per security on the related contingent coupon payment date.
Example 2, 3 and 4: In
these examples, one or more underlying indices close below their respective coupon barrier levels on at least one trading day during
an observation period. As a result, investors would not receive any contingent coupon payment on the related contingent coupon payment
date.
Investors in the securities will not receive a contingent coupon
payment with respect to an observation period if the closing level of any underlying index is less than its coupon barrier level
on any trading day for that underlying index during that observation period, even if the closing level of that underlying index
is greater than its coupon barrier level on some or all other trading days during that observation period, and even if the closing levels
of the other underlying indices are greater than their respective coupon barrier levels on each trading day during that observation period.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
How to determine the payment at maturity on the
securities if we do not elect to redeem the securities prior to maturity:
|
Hypothetical
final index level of the Russell 2000® Index
|
Hypothetical
final index level of the S&P 500® Index
|
Hypothetical
final index level of the Nasdaq-100 Index®
|
Hypothetical
payment at maturity per security
|
Example
5
|
110.000
(index return =
10%)
|
120.00
(index return =
20%)
|
115.00
(index return =
15%)
|
$1,000.00,
plus the quarterly contingent coupon payment, if any
|
Example
6
|
105.000
(index return =
5%)
|
40.00
(index return =
-60%)
|
100.00
(index return =
0%)
|
$400.00
|
Example
7
|
85.000
(index return =
-15%)
|
90.00
(index return =
-10%)
|
20.00
(index return =
-80%)
|
$200.00
|
Example 5: In this example,
the Russell 2000® Index is the worst performing underlying index. In this scenario, the final index level of the worst
performing underlying index is greater than its downside threshold level. Accordingly, at maturity, you would be repaid the stated
principal amount of the securities plus the quarterly contingent coupon payment, if any, but you would not participate in the appreciation
of any of the underlying indices even though all of the underlying indices have appreciated from their respective initial index levels.
Example 6: In this example,
the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level of the worst
performing underlying index is less than its downside threshold level. Accordingly, at maturity, you would receive a payment per security
calculated as follows:
Payment at maturity = $1,000
+ ($1,000 × the index return of the S&P 500® Index)
= $1,000 + ($1,000 × -60%)
= $1,000 + -$600
= $400
In this scenario, you would
receive significantly less than the stated principal amount of your securities and you will not receive a quarterly contingent coupon
payment at maturity. You would incur a loss based on the performance of the worst performing underlying index, even though the final
index levels of the other underlying indices are greater than their respective downside threshold levels.
Example 7: In this example,
the Nasdaq-100 Index® is the worst performing underlying index and its final index level is less than its downside threshold
level. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000
+ ($1,000 × the index return of the Nasdaq-100 Index®)
= $1,000 + ($1,000 × -80%)
= $1,000 + -$800
= $200
In this scenario, because the final index level of the worst performing
underlying index is less than its downside threshold level, you would lose a significant portion of your investment in the securities
and you will not receive a quarterly contingent coupon payment at maturity, even though the final index levels of the other underlying
indices are greater than their respective downside threshold levels.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
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 that are 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 of the underlying indices. Accordingly, the securities are appropriate
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 appropriateness 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 we do not redeem the
securities prior to maturity and the final index level of the worst performing underlying
index is less than its downside threshold level, you will lose a significant portion or all
of your investment, based on a loss of 1% of the stated principal amount of the securities
for every 1% by which the final index level of the worst performing underlying index is less
than its initial index level, regardless of the performance of the other underlying indices.
There is no minimum payment at maturity on the securities, and you may lose up to all of
your investment. If the final index level of any underlying index is less than its downside
threshold level, you will be fully exposed to any depreciation of the worst performing underlying
index from its initial index level to its final index level.
|
|
▪
|
You will not receive any contingent coupon payment for any quarterly
observation period during which a coupon barrier event occurs. A contingent coupon payment
will be made on a contingent coupon payment date if and only if a coupon barrier event does
not occur during the related observation period. A coupon barrier event will occur with respect
to an observation period if the closing level of any underlying index is less
than its coupon barrier level on any trading day for that underlying index
during that observation period. If a coupon barrier event occurs during any observation period,
you will not receive any contingent coupon payment on the related contingent coupon payment
date, and if a coupon barrier event occurs during every observation period, you will not
receive any contingent coupon payments over the term of the securities.
|
|
▪
|
The quarterly contingent coupon payment is contingent on the
closing level of each underlying index on each trading day throughout the observation
periods. Whether the quarterly contingent coupon payment will be made with respect to
an observation period will be based on the closing level of each underlying index
on each trading day during that observation period. If the closing level of any
underlying index is less than its coupon barrier level on any trading day during
an observation period, you will not receive a contingent coupon payment on the related contingent
coupon payment date, even if the closing level of that underlying index is greater than its
coupon barrier level on all other trading days during that observation period, and even if
the closing levels of the other underlying indices are greater than their respective coupon
barrier levels on each trading day during that observation period. As a result, the potential
to receive a contingent coupon payment with respect to an observation period can be knocked
out by a temporary event that affects only one underlying index on only one day during that
observation period.
|
|
▪
|
The securities are subject to the risks of all of the underlying
indices and will be negatively affected if any one of the underlying indices performs poorly,
even if the others perform well. You are subject to risks associated with all of the
underlying indices. If any one of the underlying indices performs poorly, you will be negatively
affected, even if the other underlying indices perform well. The securities are not linked
to a basket composed of the underlying indices, where the better performance of one or two
could ameliorate the poor performance of the others. Instead, you are subject to the full
risks of whichever of the underlying indices is the worst performing.
|
|
▪
|
You will not benefit in any way from the performance of the better
performing underlying indices. The return on the securities depends solely on the performance
of the worst performing of the three underlying indices, and you will not benefit in any
way from the performance of the better performing underlying indices. The securities may
underperform a similar alternative investment linked to a basket composed of the underlying
indices, since in such case the performance of the better performing underlying indices would
be blended with the performance of the worst performing of the three underlying indices,
resulting in a better return than the return of the worst performing of the three underlying
indices.
|
|
▪
|
You will be subject to risks relating to the relationship among
the underlying indices. It is preferable from your perspective for the underlying indices
to be correlated with each other, in the sense that they tend to increase or decrease at
similar times and by similar magnitudes. By investing in the securities, you assume the risk
that the underlying indices will not exhibit this relationship. The less correlated the underlying
indices, the more likely it is that any one of the underlying indices will perform
|
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlying indices to perform poorly; the performance of
any underlying index that is not the worst performing of the three underlying indices is not relevant to your return on the securities.
It is impossible to predict what the relationship among the underlying indices will be over the term of the securities. The S&P
500® Index represents large capitalization stocks in the United States, the Russell 2000® Index represents
small capitalization stocks in the United States and the Nasdaq-100 Index® represents 100 of the largest non-financial
companies listed on the Nasdaq Stock Market. Accordingly, the underlying indices represent markets that differ in significant ways and,
therefore, may not be correlated with each other.
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at an annualized rate that, if all are
paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels
of expected risk as of the pricing date for the securities, including the risk that you may
not receive a contingent coupon payment on one or more, or any, contingent coupon payment
dates and the risk that the amount you receive at maturity may be significantly less than
the stated principal amount of your securities and may be zero. The volatility of and the
correlation among the underlying indices are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation among, the underlying indices as of
the pricing date may result in a higher contingent coupon rate, but would also represent
a greater expected likelihood as of the pricing date that a coupon barrier event will occur
during one or more observation periods, such that you will not receive one or more, or any,
contingent coupon payments during the term of the securities and that the final index level
of the worst performing underlying index will be less than its downside threshold level,
such that you will suffer a substantial loss of principal at maturity.
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You may not be adequately compensated for assuming the downside
risk of the worst performing underlying index. The potential contingent coupon payments
on the securities are the compensation you receive for assuming the downside risk of the
worst performing underlying index, as well as all the other risks of the securities. That
compensation is effectively “at risk” and may, therefore, be less than you currently
anticipate. First, the actual yield you realize on the securities could be lower than you
anticipate because the coupon is “contingent” and you may not receive a contingent
coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the
contingent coupon payments are the compensation you receive not only for the downside risk
of the worst performing underlying index, but also for all of the other risks of the securities,
including the risk that the securities may be redeemed by us beginning approximately three
months after the issue date, interest rate risk and our and/or Citigroup Inc.’s credit
risk. If those other risks increase or are otherwise greater than you currently anticipate,
the contingent coupon payments may turn out to be inadequate to compensate you for all the
risks of the securities, including the downside risk of the worst performing underlying index.
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We may redeem the securities at our option, which will limit
your ability to receive the contingent coupon payments. We may redeem the securities
on any potential redemption date upon not less than three business days’ notice. In
the event that we redeem the securities, you will receive the stated principal amount of
your securities and the related contingent coupon payment, if any. Thus, the term of the
securities may be limited to as short as three months. If we redeem the securities prior
to maturity, you will not receive any additional contingent coupon payments. Moreover, you
may not be able to reinvest your funds in another investment that provides a similar yield
with a similar level of risk. If we redeem the securities prior to maturity, it is likely
to be at a time when the underlying indices are performing in a manner that would otherwise
have been favorable to you. By contrast, if the underlying indices are performing unfavorably
from your perspective, we are less likely to redeem the securities. If we redeem the securities,
we will do so at a time that is advantageous to us and without regard to your interests.
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The securities offer downside exposure to the worst performing
underlying index, but no upside exposure to the underlying indices. You will not participate
in any appreciation in the level of any of the underlying indices over the term of the securities.
Consequently, your return on the securities will be limited to the contingent coupon payments
you receive, if any, and may be significantly less than the return on the underlying indices
over the term of the securities. In addition, you will not receive any dividends or other
distributions or have any other rights with respect to the underlying indices or the stocks
included in the underlying indices over the term of the securities.
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The payment at maturity depends on the closing level of the worst
performing underlying index on a single day. If the closing level of the worst performing
underlying index on the final valuation date is less than its downside threshold level, you
will not receive the full stated principal amount of your securities at maturity, even if
the closing level of the worst performing underlying index is greater than its downside threshold
level on other dates during the term of the securities.
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The securities are subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the securities
and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed
to you under the securities.
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The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity. The securities will not be listed
on any securities exchange. Therefore, there may be little or no secondary market for the
securities.
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Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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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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The estimated value of the securities on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate, will be less than
the issue price. The difference is attributable to certain costs associated with selling,
structuring and hedging the securities that are included in the issue price. These costs
include (i) the selling concessions and structuring fees paid in connection with the offering
of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less
than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations
under the securities. These costs adversely affect the economic terms of the securities because,
if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use
of our internal funding rate, rather than our secondary market rate, to price the securities.
See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
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The estimated value of the securities was determined for us by
our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed
on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the
volatility of and correlation among the underlying indices, dividend yields on the stocks
included in the underlying indices and interest rates. CGMI’s views on these inputs
may differ from your or others’ views, and as an underwriter in this offering, CGMI’s
interests may conflict with yours. Both the models and the inputs to the models may prove
to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the securities for
other purposes, including for accounting purposes. You should not invest in the securities
because of the estimated value of the securities. Instead, you should be willing to hold
the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were
calculated based on our secondary market rate. The estimated value of the securities
included in this pricing supplement is calculated based on our internal funding rate, which
is the rate at which we are willing to borrow funds through the issuance of the securities.
Our internal funding rate is generally lower than our secondary market rate, which is the
rate that CGMI will use in determining the value of the securities for purposes of any purchases
of the securities from you in the secondary market. If the estimated value included in this
pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely be lower. We determine our internal funding rate based on factors such
as the costs associated with the securities, which are generally higher than the costs associated
with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not the same as the coupon that is payable on the securities.
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Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price
of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on
the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as
adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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The estimated value of the securities is not an indication of
the price, if any, at which CGMI or any other person may be willing to buy the securities
from you in the secondary market. Any such secondary market price will fluctuate over
the term of the securities based on the market and other factors described in the next risk
factor. Moreover, unlike the estimated value included in this pricing supplement, any value
of the securities determined for purposes of a secondary market transaction will be based
on our secondary market rate, which will likely result in a lower value for the securities
than if our internal funding rate were used. In addition, any secondary market price for
the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate
stated principal amount of the securities to be purchased in the secondary market transaction,
and the expected cost of unwinding related hedging transactions. As a result, it is likely
that any secondary market price for the securities will be less than the issue price.
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The value of the securities prior to maturity will fluctuate
based on many unpredictable factors. The value of your securities prior to maturity will
fluctuate based on the level and volatility of the underlying indices and a number of other
factors, including the price and volatility of the stocks included in the underlying indices,
the correlation among the underlying indices, dividend yields on
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Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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the stocks included in the underlying
indices, interest rates generally, the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected
in our secondary market rate. Changes in the levels of the underlying indices 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 securities are linked to the Russell 2000®
Index and will be subject to risks associated with small capitalization stocks. The stocks
that constitute the Russell 2000® Index are issued by companies with relatively
small market capitalization. The stock prices of smaller companies may be more volatile than
stock prices of large capitalization companies. These companies tend to be less well-established
than large market capitalization companies. Small capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward stock price
pressure under adverse market conditions.
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Changes that affect the underlying indices may affect the value
of your securities. The sponsors of the Russell 2000® Index, the S&P
500® Index and the Nasdaq-100 Index® may add, delete or substitute
the stocks that constitute those indices or make other methodological changes that could
affect the levels of those indices. We are not affiliated with any such index sponsor and,
accordingly, we have no control over any changes any such index sponsor may make. Such changes
could be made at any time and could adversely affect the performance of the underlying indices
and the value of and your payment at maturity on the securities.
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Our offering of the securities does not constitute a recommendation
of any underlying index. The fact that we are offering the securities does not mean that
we believe that investing in an instrument linked to the underlying indices 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 stocks that constitute the
underlying indices or in instruments related to the underlying indices, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the
underlying indices. These and other activities of our affiliates’ may affect the levels
of the underlying indices in a way that has a negative impact on your interests as a holder
of the securities.
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Governmental regulatory actions, such as sanctions, could adversely
affect your investment in the securities. Governmental regulatory actions, including,
without limitation, sanctions-related actions by the U.S. or a foreign government, could
prohibit or otherwise restrict persons from holding the securities or underlying shares,
or engaging in transactions in them, and any such action could adversely affect the value
of underlying shares. These regulatory actions could result in restrictions on the securities
and could result in the loss of a significant portion or all of your initial investment in
the securities, including if you are forced to divest the securities due to the government
mandates, especially if such divestment must be made at a time when the value of the securities
has declined.
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The level of an underlying index may be adversely affected by
our or our affiliates’ hedging and other trading activities. We expect to hedge
our obligations under the securities through CGMI or other of our affiliates, who may take
positions directly in the stocks included in the underlying indices and other financial instruments
related to the underlying indices or the stocks included in the underlying indices and may
adjust such positions during the term of the securities. Our affiliates also trade the stocks
included in the underlying indices and other related financial instruments 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 levels of the underlying indices in a way that negatively affects the value of 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 may
currently or from time to time engage in business with the issuers of the stocks included
in the underlying indices, including extending loans to, making equity investments in or
providing advisory services to such companies. In the course of this business, we or our
affiliates may acquire non-public information which we will not disclose to you. Moreover,
if any of our affiliates is or becomes a creditor of any such company, they may exercise
any remedies against such company that are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make
important determinations with respect to the securities. If certain events occur, such
as market disruption events or the discontinuance of an underlying index, CGMI, as calculation
agent,
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Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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will be required to make discretionary
judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities.
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The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax
treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of
the securities are uncertain, and the IRS or a court might not agree with the treatment of
the securities as described in “United States Federal Tax Considerations” below.
If the IRS were successful in asserting an alternative treatment of the securities, the tax
consequences of the ownership and disposition of the securities might be materially and adversely
affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely
affect the U.S. federal tax treatment of the securities, possibly retroactively.
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Non-U.S. investors should note that persons
having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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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 Russell Investments, a subsidiary of Russell Investment Group. The Russell
2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of
Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—Disclaimers” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing level of the Russell 2000® Index on October
19, 2021 was 2,275.914.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 3, 2011 to October 19, 2021. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000® Index as an indication
of future performance.
Russell
2000® Index – Historical Closing Levels
January 3, 2011 to October
19, 2021
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* The red line indicates the hypothetical downside threshold level
with respect to the Russell 2000® Index of 1,593.140, assuming the closing level of the Russell 2000® Index
on October 19, 2021 were its initial index level.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information About
the S&P 500® Index
The S&P 500® Index consists of 500 common stocks
selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated and maintained
by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the ticker symbol “SPX.”
“Standard & Poor’s,” “S&P” and
“S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been licensed
for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P U.S. Indices—License
Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important disclosures
regarding the S&P 500® Index.
Historical Information
The closing level of the S&P 500® Index on October
19, 2021 was 4,519.63.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 3, 2011 to October 19, 2021. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500® Index as an indication
of future performance.
S&P
500® Index – Historical Closing Levels
January 3, 2011 to October
19, 2021
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* The red line indicates the hypothetical downside threshold level
with respect to the S&P 500® Index of 3,163.741, assuming the closing level of the S&P 500® Index
on October 19, 2021 were its initial index level.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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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. The Nasdaq-100 Index® is reported by Bloomberg L.P. under the ticker
symbol “NDX.”
“Nasdaq-100 Index®” is a trademark of Nasdaq,
Inc and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Nasdaq-100 Index®—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Nasdaq-100 Index®” in the accompanying underlying supplement for important disclosures regarding the Nasdaq-100
Index®.
Historical Information
The closing level of the Nasdaq-100 Index® on October
19, 2021 was 15,410.72.
The graph below shows the closing levels of the Nasdaq-100 Index®
for each day such level was available from January 3, 2011 to October 19, 2021. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the Nasdaq-100 Index® as an indication
of future performance.
Nasdaq-100
Index® – Historical Closing Levels
January 3, 2011 to October
19, 2021
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* The red line indicates the hypothetical downside threshold level
with respect to the Nasdaq-100 Index® of 10,787.504, assuming the closing level of the Nasdaq-100 Index®
on October 19, 2021 were its initial index level.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting
requirements we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination
or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes as prepaid forward contracts with associated
coupon payments that will be treated as gross income to you at the time received or accrued in accordance with your regular method of
tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current
law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be
upheld, and that alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date
of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S.
federal income tax consequences should result under current law:
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Any coupon payments on the securities should be taxable as
ordinary income to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax
purposes.
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Upon a sale or exchange
of a security (including retirement at maturity), you should recognize capital gain or loss
equal to the difference between the amount realized and your tax basis in the security. For
this purpose, the amount realized does not include any coupon paid on retirement and may
not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss if you held the security
for more than one year.
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We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant aspects
of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities may withhold
on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a rate of 30%. To the
extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities, we intend to so withhold.
In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with certification requirements to
establish that you are not a U.S. person and are eligible for such an exemption or reduction under an applicable tax treaty. You should
consult your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any amounts
withheld and the certification requirement described above.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the
regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us as of the date of this preliminary pricing supplement,
our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one within
the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under
Section 871(m). However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the
pricing date for the securities, and it is possible that the securities will be subject to withholding tax under Section 871(m) based
on the circumstances as of that date.
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may
depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential
application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts withheld.
Citigroup Global Markets Holdings Inc.
|
Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $15.625 for each $1,000 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley
Wealth Management, and their financial advisors collectively a fixed selling concession of $12.50 for each $1,000 security they sell.
In addition, Morgan Stanley Wealth Management will receive a structuring fee of $3.125 for each security they sell. For the avoidance
of doubt, the fees and selling concessions described in this pricing supplement will not be rebated if the securities are redeemed prior
to maturity.
The costs included in the original issue price of the securities will
include a fee paid by CGMI to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership
interest, for providing certain electronic platform services with respect to this offering.
CGMI is an affiliate of ours. Accordingly, this offering will conform
with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the
Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will
not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of the client.
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.
A portion of the net proceeds from the sale of the securities will
be used to hedge our obligations under the securities. We expect to hedge our obligations under the securities through CGMI or other
of our affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value of the securities
declines. This hedging activity could affect the closing levels of the underlying indices and, therefore, the value of and your return
on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities,
see “Use of Proceeds and Hedging” in the accompanying prospectus.
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.”
Citigroup Global Markets Holdings Inc.
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Contingent Income Callable Securities Due January , 2024
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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