|
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
29, 2022 |
| Citigroup Global Markets Holdings Inc. |
September ----,
2022
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2022-USNCH14218
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03 |
Trigger Jump Securities
Based on Shares of the Energy Select Sector SPDR® Fund Due October-----, 2025
Principal at Risk Securities
Overview
| ▪ | 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 and do not repay a fixed amount of
principal at maturity. Instead, the securities offer a payment at maturity that may be greater than or less than the stated principal
amount, depending on the performance of shares of the Energy Select Sector SPDR® Fund (the “underlying shares”)
from the initial share price to the final share price. |
| ▪ | The securities offer modified exposure to the performance of the underlying shares, with the
greater of (i) a fixed return at maturity if the underlying shares do not depreciate by more than 20.00% from the pricing date to the
valuation date and (ii) 1-to-1 participation in any appreciation of the underlying shares. In exchange for those features, investors in
the securities must be willing to forgo any dividends that may be paid on the underlying shares. In addition, investors in the securities
must be willing to accept full downside exposure to the underlying shares if the underlying shares depreciate by more than 20.00%. If
the underlying shares depreciate by more than 20.00% from the pricing date to the valuation date, you will lose 1% of the stated principal
amount of your securities for every 1% by which the final share price is less than the initial share price. There is no minimum payment
at maturity. |
| ▪ | In order to obtain the modified exposure to the underlying shares that the securities provide, investors must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount 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. |
| Underlying shares: |
Shares of the Energy Select Sector SPDR® (ticker symbol: “XLE”) (the “underlying share issuer” or “ETF”) |
| Aggregate stated principal amount: |
$ |
| Stated principal amount: |
$10.00 per security |
| Pricing date: |
September , 2022 (expected to be September 30, 2022) |
| Issue date: |
October , 2022 (expected to be October 5, 2022) |
| Valuation date: |
September , 2025 (expected to be September 30, 2025), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
| Maturity date: |
October , 2025 (expected to be October 3, 2025) |
| Payment at maturity: |
For each $10.00 stated principal amount security you hold at maturity:
▪
If the final share price is greater than or equal to the trigger price:
$10.00 + the greater of (i) the fixed return amount and (ii) $10.00 × the share return
▪
If the final share price is less than the trigger price:
$10.00 + ($10.00 × the share return)
If the final share price is less than the trigger price, your payment
at maturity will be less, and possibly significantly less, than $8.00 per security. You should not invest in the securities unless you
are willing and able to bear the risk of losing a significant portion and up to all of your investment. |
| Initial share price: |
$ , the closing price of the underlying shares on the pricing date |
| Final share price: |
The closing price of the underlying shares on the valuation date |
| Fixed return amount: |
$3.80 per security (38.00% of the stated principal amount). You will receive the fixed return amount only if the final share price is greater than or equal to the trigger price. |
| Share return: |
The final share price minus the initial share price, divided by the initial share price |
| Trigger price: |
$ , 80.00% of the initial share price |
| Listing: |
The securities will not be listed on any securities exchange |
| CUSIP / ISIN: |
17330U546 / US17330U5469 |
| Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
| Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee |
Proceeds to issuer |
| Per security: |
$10.00 |
$0.25(2) |
$9.70 |
| |
|
$0.05(3) |
|
| Total: |
$ |
$ |
$ |
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $8.98 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 $0.30 for each $10.00 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 $0.25 for each $10.00 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 $0.05 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-6.
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 hyperlinks below:
Product Supplement No. EA-02-09 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured 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. |
|
Trigger Jump Securities Based on Shares of the Energy
Select Sector SPDR® Fund Due October , 2025
Principal at Risk Securities
|
| |
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, such as market disruption events
and other events affecting the underlying shares. These events and their consequences are described in the accompanying product supplement
in the sections “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Consequences
of a Market Disruption Event; Postponement of a Valuation Date”, “—Dilution and Reorganization Adjustments” and
“—Delisting, Liquidation or Termination of an Underlying ETF,” and not in this pricing supplement. The accompanying
underlying supplement contains important disclosures regarding the underlying shares 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.
Dilution and Reorganization Adjustments. The initial share price and
the trigger price are each a “Relevant Price” for purposes of the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in the accompanying
product supplement. Accordingly, the initial share price and the trigger price are each subject to adjustment upon the occurrence of any
of the events described in that section.
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
Investment Summary
The securities can be used:
| ▪ | As an alternative to direct exposure to the underlying shares that provides a fixed return of 38.00% if
the underlying shares have not depreciated by more than 20.00% from the pricing date to the valuation date and offers an uncapped 1-to-1
participation in the appreciation of the underlying shares in excess of the fixed return; and |
| ▪ | To enhance returns and potentially outperform the underlying shares in a moderately bullish scenario. |
If the final share price is less than the trigger price, the securities
are exposed on a 1-to-1 basis to the percentage decline of the final share price from the initial share price. Accordingly, investors
may lose their entire initial investment in the securities.
| Maturity: |
3 years |
| Fixed return amount: |
$3.80 (38.00% of the stated principal amount) |
| Trigger price: |
80.00% of the initial share price |
| Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the securities. |
| Interest: |
None |
Key Investment Rationale
This investment does not pay interest but offers a fixed return of 38.00%
at maturity if the underlying shares do not depreciate by more than 20.00% from the pricing
date to the valuation date and an uncapped 1-to-1 participation in the appreciation of the underlying shares in excess of the fixed return.
However, if the underlying shares depreciate by more than 20.00% from the initial share price to the final share price, the payment
at maturity will be less than $8.00 per security, and could be zero. Investors may lose their entire initial investment in the securities.
All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
| Upside Scenario: |
If the final share price is greater than or equal to the trigger price, the payment at maturity for each security will be equal to $10.00 plus the greater of (i) the fixed return amount and (ii) $10.00 multiplied by the share return. There is no maximum payment at maturity. |
| Downside Scenario: |
If the final share price is less than the trigger price, which means that the underlying shares have depreciated by more than 20.00% from the initial share price to the final share price, you will lose 1% for every 1% decline in the value of the underlying shares from the initial share price to the final share price (e.g., a 50% depreciation in the underlying shares will result in a payment at maturity of $5.00 per security). There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment. |
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical share returns.
Investors in the securities will not receive any dividends on the
underlying shares or the securities included in or held by the underlying share issuer. The diagram and examples below do not show any
effect of lost dividend yield over the term of the securities. See “Summary Risk Factors—Investing in the securities is
not equivalent to investing in the underlying shares” below.
Trigger Jump Securities
Payment at Maturity Diagram |
 |
| n The Securities |
n The Underlying Shares |
The examples below are based on a hypothetical initial share price of
$100.00 and a hypothetical trigger price of $80.00, and do not reflect the actual initial share price or trigger price. For the actual
initial share price and trigger price, 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 share price and trigger price and not
the hypothetical values indicated below. For ease of analysis, figures below may have been rounded.
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
Example 1—Upside Scenario A. The hypothetical final share
price is $105.00 (a 5.00% increase from the hypothetical initial share price), which is greater than the hypothetical trigger price.
Payment at maturity per security = $10.00 + the greater of (i) fixed
return amount and (ii) $10.00 × the share return
= $10.00 + the greater of (i) $3.80 and (ii) $10.00 × 5.00%
= $10.00 + $3.80
= $13.80
Because the hypothetical final share price is greater than the hypothetical
trigger price and the fixed return is greater than the share return, your total return on the securities at maturity in this scenario
would equal the fixed return of 38.00%.
Example 2—Upside Scenario B. The hypothetical final share
price is $150.00 (a 50.00% increase from the hypothetical initial share price), which is greater than the hypothetical trigger
price.
Payment at maturity per security = $10.00 + the greater of (i) fixed
return amount and (ii) $10.00 × the share return
= $10.00 + the greater of (i) $3.80 and (ii) $10.00 × 50.00%
= $10.00 + $5.00
= $15.00
Because the hypothetical final share price is greater than the hypothetical
trigger price and the share return is greater than the fixed return, your total return on the securities at maturity in this scenario
would reflect 1-to-1 exposure to the appreciation of the underlying shares.
Example 3—Upside Scenario C. The hypothetical final share
price is $95.00 (a 5.00% decrease from the hypothetical initial share price), which is greater than the hypothetical trigger price.
Payment at maturity per security = $10.00 + the greater of (i) fixed
return amount and (ii) $10.00 × the share return
= $10.00 + the greater of (i) $3.80 and (ii) $10.00 × -5.00%
= $10.00 + $3.80
= $13.80
Even though the underlying shares depreciated from the hypothetical
initial share price to the hypothetical final share price, because the hypothetical final share price is greater than the hypothetical
trigger price and the fixed return is greater than the share return, your total return on the securities at maturity in this scenario
would equal the fixed return of 38.00%.
Example 4—Downside Scenario. The hypothetical final share
price is $30.00 (a 70.00% decrease from the hypothetical initial share price), which is less than the hypothetical trigger price.
Payment at maturity per security = $10.00 + ($10.00 × the share
return)
= $10.00 + ($10.00 × -70.00%)
= $10.00 + -$7.00
= $3.00
Because the underlying shares depreciated from the hypothetical initial
share price to the hypothetical final share price by more than 20.00%, your payment at maturity in this scenario would reflect 1-to-1
exposure to the negative performance of the underlying shares.
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 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 the underlying shares. 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 some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If the final share
price is less than the trigger price, you will lose 1% of the stated principal amount of the securities for every 1% by which the final
share price is less than the initial share price. There is no minimum payment at maturity on the securities, and you could lose your entire
investment. |
| ▪ | The trigger feature of the securities exposes you to particular risks. If the final share price is less than the trigger price,
you will lose 1% of the stated principal amount of the securities for every 1% by which the final share price is less than the initial
share price. The securities offer no protection at all if the underlying shares depreciate by more than 20.00% from the initial share
price to the final share price. As a result, you may lose your entire investment in the securities. |
| ▪ | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities. |
| ▪ | Investing in the securities is not equivalent to investing in the underlying shares. You will not have voting rights, rights
to receive dividends or other distributions or any other rights with respect to the underlying shares. The payment scenarios described
in this pricing supplement do not show any effect of lost dividend yield over the term of the securities. |
| ▪ | Your payment at maturity depends on the closing price of the underlying shares on a single day. Because your payment at maturity
depends on the closing price of the underlying shares solely on the valuation date, you are subject to the risk that the closing price
of the underlying shares on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of
the securities. If you had invested directly in the underlying shares or in another instrument linked to the underlying shares that you
could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing prices of the underlying
shares, you might have achieved better returns. |
| ▪ | 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, 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 |
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
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 the underlying shares, dividend yields on the underlying
shares and the securities held by the underlying shares and interest rates. CGMI’s views on these inputs may differ from your or
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs
to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value
of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated
value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value. |
| ▪ | 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 we will pay to investors in the securities, which do not
bear interest. |
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted
for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| ▪ | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| ▪ | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors, including the
price and volatility of the securities held by the underlying shares, the dividend yields on the underlying shares and the securities
held by the underlying shares, 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 price of the underlying shares may not result in a comparable change in the
value of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less
than the issue price. |
| ▪ | 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. |
| ▪ | 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 |
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
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.
| ▪ | The Energy Select Sector SPDR® Fund is subject to concentrated risks associated
with the energy sector. The stocks included in the index underlying the Energy Select Sector SPDR® Fund and that are
generally tracked by the Energy Select Sector SPDR® Fund are stocks of companies whose primary business is directly associated
with the energy sector, including the following two sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment and services.
Because the securities are linked to the performance of the Energy Select Sector SPDR® Fund, an investment in the securities
exposes investors to concentrated risks associated with investments in the energy sector. |
Energy
companies develop and produce crude oil and natural gas and/or provide drilling and other energy resources production and distribution
related services. Stock prices for these types of companies are mainly affected by the business, financial and operating conditions of
the particular company, as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and
demand for various energy products and services. Some of the factors that may influence supply and demand for energy products and services
include: general economic conditions and growth rates; weather conditions; the cost of exploring for, producing and delivering oil and
gas; technological advances affecting energy efficiency and energy consumption; the ability of the Organization of Petroleum Exporting
Countries (OPEC) to set and maintain production levels of oil; currency fluctuations; inflation; natural disasters; civil unrest, acts
of sabotage or terrorism; and other regional or global events. The profitability of energy companies may also be adversely affected by
existing and future laws, regulations, government actions and other legal requirements relating to protection of the environment, health
and safety matters and others that may increase the costs of conducting their business or may reduce or delay available business opportunities.
Increased supply or weak demand for energy products and services, as well as various developments leading to higher costs of doing business
or missed business opportunities, would adversely impact the performance of companies in the energy sector. The value of the securities
may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting
the energy sector or one of the sub-sectors of the energy sector than a different investment linked to securities of a more broadly diversified
group of issuers.
| ▪ | Our offering of the securities does not constitute a recommendation of the underlying shares. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares 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
underlying shares or the securities held by the underlying shares or in instruments related to the underlying shares or such securities
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying shares. These
and other activities of our affiliates may affect the price of the underlying shares in a way that has a negative impact on your interests
as a holder of the securities. |
| ▪ | The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in
the underlying shares or the securities held by the underlying shares and other financial instruments related to the underlying shares
or such securities and may adjust such positions during the term of the securities. Our affiliates also trade the underlying shares or
the securities held by the underlying shares and other financial instruments related to the underlying shares or such securities on a
regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate
transactions on behalf of customers. These activities could affect the price of the underlying shares in a way that negatively affects
the value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities
declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with the underlying share issuer or the issuers of the securities
held by the underlying shares, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against any such
issuer that are available to them without regard to your interests. |
| ▪ | Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be required
under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general,
an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares unless the amount
of the dividend per underlying share, together with any other dividends paid in the same fiscal |
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
quarter, exceeds the dividend paid per
underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the underlying shares on
the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount of the dividend
per underlying share. If the underlying share issuer pays any dividend for which an adjustment is not made under the terms of the securities,
holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional Terms for Securities
Linked to Company Shares or ETF Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends”
in the accompanying product supplement.
| ▪ | The securities will not be adjusted for all events that could affect the price of the underlying shares. For example, we will
not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above. Moreover, the
adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be
adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would not. |
| ▪ | The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence of
a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters into a merger
agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such other entity will
become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares
are delisted or the underlying shares is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another
underlying shares to be the underlying shares. See “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation or
Termination of an Underlying ETF” in the accompanying product supplement. |
| ▪ | 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, events with respect to the underlying share issuer that may require a dilution
adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary judgments that
could significantly affect your 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. |
▪
The price and performance of the Energy Select Sector SPDR®
Fund may not completely track the performance of its underlying index or its net asset value per share. The Energy Select Sector
SPDR® Fund 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 Energy Select Sector SPDR® Fund 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 Energy Select Sector SPDR® Fund and its underlying index. In addition, corporate
actions with respect to the equity securities constituting the Energy Select Sector SPDR® Fund’s underlying index
or held by the Energy Select Sector SPDR® Fund (such as mergers and spin-offs) may impact the variance between the performance
of the Energy Select Sector SPDR® Fund and its underlying index. Finally, because the underlying shares are traded on NYSE
Arca, Inc. and are subject to market supply and investor demand, the market value of the Energy Select Sector SPDR® Fund
may differ from its net asset value per share.
During periods of market volatility, securities
underlying the Energy Select Sector SPDR® Fund may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the Energy Select Sector SPDR® Fund and the liquidity of the Energy
Select Sector SPDR® Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market
participants to create and redeem shares of the Energy Select Sector SPDR® Fund. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the Energy Select Sector SPDR®
Fund. As a result, under these circumstances, the market value of the Energy Select Sector SPDR® Fund may vary substantially
from its net asset value per share. For all of the foregoing reasons, the performance of the Energy Select Sector SPDR®
Fund might 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 in the secondary market and/or reduce your payment at maturity.
| ▪ | Changes made by the investment adviser to the underlying
share issuer or by the sponsor of the index underlying the underlying shares may adversely affect the underlying shares. We are not
affiliated with the investment adviser to the underlying share issuer or with the sponsor of the index underlying the underlying shares.
Accordingly, we have no control over any changes such investment adviser or sponsor may make to the underlying share issuer or the index
underlying the underlying shares. Such changes could be made at any time and could adversely affect the performance of the underlying
shares. |
| ▪ | 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 |
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
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.
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.
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. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
Information About
the Energy Select Sector SPDR® Fund
The Energy Select Sector SPDR®
Fund is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance
of publicly traded equity securities of companies in the S&P Energy Select Sector Index. The S&P Energy Select Sector Index is
intended to provide an indication of the pattern of common stock price movements of companies that are components of the S&P 500®
Index and are involved in the development or production of energy. The S&P Energy Select Sector Index includes companies in the following
two industries: (i) oil, gas and consumable fuels and (ii) energy equipment and services.
The Energy Select Sector SPDR®
Fund is managed by the Select Sector SPDR® Trust, a registered investment company. The Select Sector SPDR®
Trust consists of nine separate investment portfolios, including the Energy Select Sector SPDR® Fund. Information provided
to or filed with the SEC by the Select Sector SPDR® Trust 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 333-57791 and 811-08837, 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 Energy Select Sector SPDR® Fund
trade on the NYSE Arca under the ticker symbol “XLE.”
Please refer to the sections “Risk
Factors” and “Fund Descriptions—The Select Sector SPDR® Funds” in the accompanying underlying supplement
for important disclosures regarding the Energy Select Sector SPDR® Fund, including certain risks that are associated with
an investment linked to the Energy Select Sector SPDR® Fund.
This pricing supplement relates
only to the securities offered hereby and does not relate to the Energy Select Sector SPDR® Fund or other securities of
the underlying share issuer. We have derived all disclosures contained in this pricing supplement regarding the Energy Select Sector SPDR®
Fund and the underlying share issuer from the publicly available documents described above. In connection with the offering of the securities,
none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation of such documents or made any
due diligence inquiry with respect to the underlying share issuer or the Energy Select Sector SPDR® Fund.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way
in this offering and has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates
make any representation to you as to the performance of the Energy Select Sector SPDR® Fund.
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
Historical Information
The graph below shows the closing prices of the underlying
shares for each day such price was available from January 3, 2012 to September 28, 2022. The table that follows shows the high
and low closing prices of, and dividends paid on, the underlying shares for each quarter
in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification.
You should not take the historical prices of the underlying shares as an indication of future performance.
Energy Select Sector SPDR® Fund – Historical Closing Prices
January 3, 2012 to September 28, 2022 |
 |
* The red line indicates the hypothetical trigger price of $58.080,
assuming the closing price on September 28, 2022 were the initial share price.
| Energy Select Sector SPDR® Fund |
High |
Low |
Dividends |
| 2012 |
|
|
|
| First Quarter |
$76.29 |
$69.46 |
$0.28462 |
| Second Quarter |
$72.42 |
$62.00 |
$0.31109 |
| Third Quarter |
$76.57 |
$64.96 |
$0.00000 |
| Fourth Quarter |
$74.94 |
$68.59 |
$0.33369 |
| 2013 |
|
|
|
| First Quarter |
$79.99 |
$72.86 |
$0.72805 |
| Second Quarter |
$83.28 |
$74.09 |
$0.00000 |
| Third Quarter |
$85.30 |
$78.83 |
$0.76704 |
| Fourth Quarter |
$88.51 |
$81.87 |
$0.40268 |
| 2014 |
|
|
|
| First Quarter |
$89.06 |
$81.89 |
$0.42707 |
| Second Quarter |
$101.29 |
$88.45 |
$0.46353 |
| Third Quarter |
$100.58 |
$90.62 |
$0.48327 |
| Fourth Quarter |
$88.77 |
$73.36 |
$0.48542 |
| 2015 |
|
|
|
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
| First Quarter |
$82.29 |
$72.86 |
$0.51494 |
| Second Quarter |
$82.94 |
$74.64 |
$0.50882 |
| Third Quarter |
$74.54 |
$59.22 |
$0.47811 |
| Fourth Quarter |
$71.40 |
$58.78 |
$0.54224 |
| 2016 |
|
|
|
| First Quarter |
$63.75 |
$51.80 |
$0.45241 |
| Second Quarter |
$69.50 |
$60.18 |
$0.43643 |
| Third Quarter |
$71.80 |
$65.27 |
$0.41052 |
| Fourth Quarter |
$77.83 |
$67.77 |
$0.40236 |
| 2017 |
|
|
|
| First Quarter |
$76.17 |
$68.24 |
$0.41902 |
| Second Quarter |
$70.90 |
$63.95 |
$0.44915 |
| Third Quarter |
$68.49 |
$62.00 |
$0.86538 |
| Fourth Quarter |
$72.60 |
$67.08 |
$0.45833 |
| 2018 |
|
|
|
| First Quarter |
$78.03 |
$66.02 |
$0.47479 |
| Second Quarter |
$78.91 |
$66.06 |
$0.51237 |
| Third Quarter |
$77.37 |
$71.91 |
$0.51316 |
| Fourth Quarter |
$77.79 |
$53.84 |
$0.53004 |
| 2019 |
|
|
|
| First Quarter |
$67.29 |
$57.90 |
$0.51361 |
| Second Quarter |
$68.61 |
$58.77 |
$0.57646 |
| Third Quarter |
$64.44 |
$55.85 |
$0.56046 |
| Fourth Quarter |
$61.99 |
$55.90 |
$0.59335 |
| 2020 |
|
|
|
| First Quarter |
$60.87 |
$23.57 |
$2.35696 |
| Second Quarter |
$46.86 |
$27.62 |
$0.50104 |
| Third Quarter |
$38.58 |
$29.95 |
$0.54357 |
| Fourth Quarter |
$41.60 |
$27.71 |
$0.52013 |
| 2021 |
|
|
|
| First Quarter |
$53.57 |
$37.96 |
$0.51994 |
| Second Quarter |
$56.19 |
$47.07 |
$0.53029 |
| Third Quarter |
$54.81 |
$45.79 |
$0.59190 |
| Fourth Quarter |
$59.14 |
$53.01 |
$0.69502 |
| 2022 |
|
|
|
| First Quarter |
$78.75 |
$57.22 |
$0.69996 |
| Second Quarter |
$92.28 |
$70.66 |
$0.81506 |
| Third Quarter (through September 28, 2022) |
$84.09 |
$67.49 |
$0.84624 |
The closing price of the underlying shares on September 28, 2022 was
$72.60.
We make no representation as to the amount of dividends, if any, that
may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the underlying shares.
| Citigroup Global Markets Holdings Inc. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
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:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
| · | 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 should be long-term capital gain or loss if you held
the security for more than one year. |
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, 2025 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. |
| Trigger Jump Securities Based on Shares of the Energy Select Sector SPDR® Fund Due October , 2025 Principal at Risk Securities |
| |
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 $0.30 for each $10.00 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 $0.25 for each $10.00 security they sell. In addition,
Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell.
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.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values of the inputs
to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
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and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
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