The information in this preliminary
pricing supplement is not complete and may be changed. 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 May 20, 2022
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302 and 333-255302-03
 |
Citigroup Global Markets Holdings Inc.
$
S&P 500® Index-Linked Notes due
All Payments Due from Citigroup Global Markets
Holdings Inc.
Fully and Unconditionally Guaranteed by Citigroup
Inc.
|
Unlike conventional debt securities, the notes
offered by this pricing supplement do not pay interest. The amount that you will be paid on your notes on the maturity date (the second
business day after the scheduled determination date, which is expected to be between 36 and 39 months after the trade date) is based on
the performance of the S&P 500® Index (the “underlier”) as measured from the trade date to and including
the determination date, unless a knock-out event has occurred.
A knock-out event will occur if the closing level
of the underlier on any day during the measurement period (the period from but excluding the trade date to and including the determination
date) is greater than the knock-out level of 140% of the initial underlier level. The initial underlier level will be set on the trade
date and may be higher or lower than the actual closing level of the underlier on the trade date.
If a knock-out event has occurred, then you
will be repaid the stated principal amount of your notes at maturity and will receive a contingent return equal to between 11.58% and
13.59% (to be determined on the trade date). The contingent return may be significantly less than the appreciation of the underlier in
this circumstance.
If a knock-out event does not occur, then
your payment at maturity will be based on the underlier return, which is the percentage increase or decrease in the level of the underlier
from the initial underlier level to the final underlier level on the determination date. If a knock-out event does not occur and the final
underlier level is greater than the initial underlier level, then you will be repaid the stated principal amount of your notes at maturity
and will receive a return equal to the underlier return. However, if a knock-out event does not occur and the final underlier level
declines from the initial underlier level, you will be repaid the stated principal amount of your notes at maturity but will not receive
any positive return on your investment. In exchange for the terms offered by the notes, you must be willing to forgo (i) any dividends
paid on the stocks included in the underlier, (ii) interest on the notes and (iii) participation in any appreciation of the underlier
if a knock-out event occurs.
A purchaser of these notes in the secondary market
should determine if a knock-out event has already occurred.
On the maturity date, for each $1,000 stated principal
amount note you then hold, you will receive an amount in cash equal to:
| · | If a knock-out event has occurred: the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) the contingent return |
| · | If a knock-out event has not occurred: |
| o | if the underlier return is greater than 0%, the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) the underlier return; or |
| o | if the underlier return is less than or equal to 0%, $1,000. |
The notes are unsecured senior debt securities issued
by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All payments on the notes are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their
obligations, you may not receive any amount due under the notes. The notes will not be listed on any securities exchange and may have
limited or no liquidity.
Investing in the notes involves risks not
associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-8.
| |
Issue Price(1) |
Underwriting Discount(2) |
Net Proceeds to Issuer |
| Per Note: |
$1,000.00 |
$26.00 |
$974.00 |
| Total: |
$ |
$ |
$ |
(1) Citigroup Global Markets Holdings Inc. currently
expects that the estimated value of the notes on the trade date will be between $948.70 and $968.70 per note, which will be less than
the issue price. The estimated value of the notes is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”)
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 notes from you at any time after issuance. See “Valuation
of the Notes” in this pricing supplement.
(2) CGMI, an affiliate of the issuer, is the underwriter
for the offering of the notes and is acting as principal. The total underwriting discount in the table above assumes that the underwriter
receives an underwriting discount for each note sold in this offering. For more information on the distribution of the notes, see “Summary
Information—Key Terms—Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting
discount, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the notes declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the notes 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.
The notes 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.
The notes are part of the Medium-Term Senior Notes,
Series N of Citigroup Global Markets Holdings Inc. This pricing supplement is a supplement to the documents listed below and should be
read together with such documents, which are available at the following hyperlinks:
Citigroup Global Markets Inc.
Pricing Supplement No. 2022—USNCH[ ] dated----------,
2022
The issue price, underwriting discount and net proceeds
listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement,
at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above. The return on your investment
in notes will depend in part on the issue price you pay for such notes.
CGMI may use this pricing supplement in the initial
sale of the notes. In addition, CGMI or any other affiliate of Citigroup Inc. may use this pricing supplement in a market-making transaction
in a note after its initial sale.
SUMMARY INFORMATION
| The terms of the notes 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 underlier. These events and their consequences are described in the accompanying product supplement in the sections “Description of the Notes—Certain Additional Terms for Notes Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “Description of the Notes—Certain Additional Terms for Notes 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 the underlier 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 notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement. |
Key Terms
Issuer: Citigroup Global Markets Holdings Inc., a wholly owned
subsidiary of Citigroup Inc.
Guarantee: all payments due on the notes are fully and unconditionally
guaranteed by Citigroup Inc.
Underlier: the S&P 500® Index (ticker symbol:
“SPX”), as maintained by S&P Dow Jones Indices LLC (the “underlier sponsor”). The underlier is referred to
as the “underlying index” and the underlier sponsor is referred to as the “underlying index publisher” in the
accompanying product supplement.
Stated principal amount: each note will have a stated principal
amount of $1,000
Purchase at amount other than the stated principal amount: the
amount we will pay you at the maturity date for your notes will not be adjusted based on the issue price you pay for your notes, so if
you acquire notes at a premium (or discount) to the stated principal amount and hold them to the maturity date, it could affect your investment
in a number of ways. The return on your investment in such notes will be lower (or higher) than it would have been had you purchased the
notes at the stated principal amount. Additionally, the knock-out level would be triggered at a lower (or higher) percentage return than
indicated below, relative to your initial investment. See “Summary Risk Factors — If You Purchase Your Notes at a Premium
to the Stated Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Stated Principal
Amount and the Impact of Certain Key Terms of the Notes Will be Negatively Affected” on page PS-10 of this pricing supplement.
Cash settlement amount (paid on the maturity date): on the maturity
date, for each $1,000 stated principal amount of notes you then hold, we will pay you an amount in cash equal to:
| · | If a knock-out event has occurred: the sum of (i) $1,000 plus (ii)
the product of (a) $1,000 times (b) the contingent return. |
| · | If a knock-out event has not occurred: |
| o | if the underlier return is greater than 0%, the sum of (i) $1,000 plus (ii) the product
of (a) $1,000 times (b) the underlier return; or |
| o | if the underlier return is less than or equal to 0%, $1,000. |
Closing level of the underlier: notwithstanding anything to the
contrary set forth in the accompanying product supplement, the closing level of the underlier on any scheduled trading day will be the
closing level of the underlier on such day as published by Bloomberg Financial Services, or any successor reporting service, subject to
the terms described under “Description of the Securities—Discontinuance or Material Modification of an Underlying Index”
in the accompanying product supplement. If the closing level is not published by Bloomberg Financial Services on any date of determination,
the closing level on that date will be the closing level of the underlier as calculated by the calculation agent in accordance with the
formula for and method of calculating the underlier last in effect prior to the failure to publish, but using only those securities included
in the underlier immediately prior to such failure to publish. If a market disruption event (as defined in the accompanying product supplement)
occurs with respect to the underlier on any date of determination, the calculation agent may, in its sole discretion, determine the closing
level of the underlier on such date either (x) pursuant to the immediately preceding sentence (using its good faith estimate of the value
of any security included in the underlier as to which an event giving rise to the market disruption event has occurred) or (y) if available,
using the closing level of the underlier on such day as published by Bloomberg Financial Services.
Initial underlier level (to be set on the trade date, which may be
an intraday level and which may be higher or lower than the actual closing level of the underlier on the trade date):
Final underlier level: the closing level of the underlier on
the determination date, except in the limited circumstances described under “Description of the Notes — Certain Additional
Terms for Notes Linked to an Underlying Index — Discontinuance or Material Modification of an Underlying Index” on page EA-24
of the accompanying product supplement and subject to adjustment as provided under “Description of the Notes — Certain Additional
Terms for Notes Linked to an Underlying Index — Determining the Closing Level” on page EA-20 of the accompanying product supplement
and “Description of the Notes — Certain Additional Terms for Notes Linked to an Underlying Index — Consequences of a
Market Disruption Event; Postponement of a Valuation Date” on pages EA-20 to EA-24 of the accompanying product supplement.
Underlier return: the quotient of (i) the final underlier level
minus the initial underlier level divided by (ii) the initial underlier level, expressed as a percentage
Knock-out event: a knock-out event will occur if, on any day
in the measurement period, the closing level of the underlier is greater than the knock-out level
Knock-out level: 140% of the initial
underlier level
Measurement period: the period from but excluding the trade date
to and including the determination date, excluding any date or dates on which the calculation agent determines that a market disruption
event occurs or is continuing or that the calculation agent determines is not a scheduled trading day. Notwithstanding the immediately
preceding sentence, if the calculation agent determines that a market disruption event occurs or is continuing on the last day of the
measurement period (i.e., the determination date) or that day is not otherwise a scheduled trading day, the determination date, and therefore
the last day for the measurement period, will be subject to postponement as described under “— Determination date” below.
Contingent return (to be set on the trade date): expected to be between 11.58%
and 13.59%
Trade date: , 2022. The trade date is referred to as the “pricing
date” in the accompanying product supplement.
Original issue date (settlement date) (to be set on the trade date):
expected to be the fifth scheduled business day following the trade date. See “Supplemental plan of distribution” below for
additional information.
Determination date (to be set on the trade date): expected to
be between 36 and 39 months after the trade date. The determination date is referred to as the “valuation date” in the accompanying
product supplement and is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur,
as described under “Description of the Notes — Certain Additional Terms for Notes Linked to an Underlying Index — Consequences
of a Market Disruption Event; Postponement of a Valuation Date” on pages EA-20 to EA-24 of the accompanying product supplement.
Maturity date (to be set on the trade date): expected to be the
second business day after the scheduled determination date
No interest: the notes will not bear interest
No listing: the notes will not be listed on any securities exchange
or interdealer quotation system
No redemption: the notes will not be subject to redemption before
maturity
Business day: as described under “Description of the Notes
— General” on page EA-20 in the accompanying product supplement
Scheduled trading day: as described under “Description
of the Notes — Certain Additional Terms for Notes Linked to an Underlying Index — Consequences of a Market Disruption Event;
Postponement of a Valuation Date” on page EA-22 of the accompanying product supplement
Supplemental plan of distribution: Citigroup Global Markets Holdings
Inc. expects to sell to CGMI, and CGMI expects to purchase from Citigroup Global Markets Holdings Inc., the aggregate stated principal
amount of the offered notes specified on the front cover of this pricing supplement. CGMI proposes initially to offer the notes to the
public at the issue price set forth on the cover page of this pricing supplement, and to certain unaffiliated securities dealers at such
price less a concession not in excess of 2.60% of the stated principal amount. In addition to the underwriting discount, CGMI and its
affiliates may profit from expected hedging activity related to this offering, even if the value of the notes declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
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 notes, either directly or indirectly, without the prior written consent of the client.
Secondary market sales of securities typically settle two business days
after the date on which the parties agree to the sale. Because the settlement date for the notes is more than two business days after
the trade date, investors who wish to sell the notes at any time prior to the second business day preceding the original issue date will
be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors should consult
their own investment advisors in this regard.
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 notes will be used
to hedge our obligations under the notes. We expect to hedge our obligations under the notes through CGMI or other of our affiliates,
or through a dealer participating in this offering or its affiliates. CGMI or such other of our affiliates or such dealer or its affiliates
may profit from this expected hedging activity even if the value of the notes declines. This hedging activity could affect the closing
level of the underlier and, therefore, the value of and your return on the notes. For additional information on the ways in which our
counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging” in the accompanying prospectus.
ERISA: as described under “Benefit Plan Investor Considerations”
on pages EA-56 and EA-57 in the accompanying product supplement
Calculation Agent: CGMI
CUSIP: 17330FKF7
ISIN: US17330FKF70
HYPOTHETICAL EXAMPLES
The table and chart below are provided for purposes of illustration
only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact
that various hypothetical closing levels of the underlier during the measurement period including on the determination date could have
on the cash settlement amount at maturity.
The table and chart below are based on a range of final underlier levels
that are entirely hypothetical; no one can predict what the underlier level will be on any day during the measurement period, and no one
can predict what the final underlier level will be on the determination date. The underlier has been highly volatile in the past —
meaning that the underlier level has changed considerably in relatively short periods — and its performance cannot be predicted
for any future period. Investors in the notes will not receive any dividends on the stocks that constitute the underlier. The table and
chart below do not show any effect of lost dividend yield over the term of the notes. See “Summary Risk Factors—Investing
in the Notes Is Not Equivalent to Investing in the Underlier or the Stocks that Constitute the Underlier” below.
The information in the table and chart below reflects hypothetical returns
on the notes assuming that they are purchased on the original issue date at the stated principal amount and held to the maturity date.
If you sell your notes in a secondary market prior to the maturity date, your return will depend upon the value of your notes at the time
of sale, which may be affected by a number of factors that are not reflected in the table or chart below such as interest rates, the volatility
of the underlier and our and Citigroup Inc.’s creditworthiness. Please read “Summary Risk Factors—The Value of the Notes
Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors” in this pricing supplement. It is likely that any secondary
market price for the notes will be less than the issue price.
The information in the table and chart also reflects the key terms and
assumptions in the box below.
| Key Terms and Assumptions |
| Stated principal amount |
$1,000 |
| Knock-out level |
140.00% of the initial underlier level |
| Contingent return |
11.58% |
|
Neither a market disruption event nor a non-scheduled trading day occurs
during the measurement period, including on the originally scheduled determination date
No change in or affecting any of the stocks comprising the underlier
or the method by which the underlier sponsor calculates the underlier
Notes purchased on original issue date at the stated principal amount
and held to the maturity date
|
Moreover, we have not yet set the initial underlier level that will
serve as the baseline for determining the underlier return and the amount that we will pay on your notes, if any, at maturity. We will
not do so until the trade date. As a result, the actual initial underlier level may differ substantially from the underlier level prior
to the trade date and may be higher or lower than the closing level of the underlier on the trade date.
For these reasons, the actual performance of the underlier over the
life of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples shown below
or to the historical underlier levels shown elsewhere in this pricing supplement. For information about the historical levels of the underlier
during recent periods, see “The Underlier — Historical Closing Levels of the Underlier” below. Before investing in the
offered notes, you should consult publicly available information to determine the levels of the underlier between the date of this pricing
supplement and the date of your purchase of the offered notes.
The levels in the left column of the table below represent hypothetical
final underlier levels and are expressed as percentages of the initial underlier level. The amounts in the right column represent the
hypothetical cash settlement amounts, based on the corresponding hypothetical final underlier level (expressed as a percentage of the
initial underlier level), and are expressed as percentages of the stated principal amount of a note (rounded to the nearest one-thousandth
of a percent). Thus, a hypothetical cash settlement amount of 100.000% means that the value of the cash payment that we would deliver
for each $1,000 of the outstanding stated principal amount of the notes on the maturity date would equal 100.000% of the stated principal
amount of a note, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level)
and the assumptions noted above.
| Hypothetical Final Underlier Level (as Percentage of Initial Underlier Level) |
Hypothetical Cash Settlement Amount (as Percentage of Stated Principal Amount) |
| Knock-Out Event Has Not Occurred |
Knock-Out Event Has Occurred |
| 200.000% |
N/A |
111.580% |
| 150.000% |
N/A |
111.580% |
| 140.001% |
N/A |
111.580% |
| 140.000% |
140.000% |
111.580% |
| 125.000% |
125.000% |
111.580% |
| 111.580% |
111.580% |
111.580% |
| 110.000% |
110.000% |
111.580% |
| 101.000% |
101.000% |
111.580% |
| 100.000% |
100.000% |
111.580% |
| 75.000% |
100.000% |
111.580% |
| 60.000% |
100.000% |
111.580% |
| 50.000% |
100.000% |
111.580% |
| 25.000% |
100.000% |
111.580% |
| 0.000% |
100.000% |
111.580% |
If, for example, a knock-out event has occurred and
the final underlier level were determined to be 150.000% of the initial underlier level, the cash settlement amount that we would deliver
on your notes at maturity would be 111.580% for each $1,000 stated principal amount of your notes, as shown in the table above.
If, for example, a knock-out event has not occurred and
the final underlier level were determined to be 125.000% of the initial underlier level, the cash settlement amount that we would deliver
on your notes at maturity would be 125.000% for each $1,000 stated principal amount of your notes, as shown in the table above. If a knock-out
event has not occurred and the final underlier level were determined to be 75.000% of the initial underlier level, the cash settlement
amount that we would deliver on your notes at maturity would be 100.000% for each $1,000 stated principal amount of your notes, as shown
in the table above.
The following chart also shows a graphical illustration of the hypothetical
cash settlement amounts that we would pay on your notes on the maturity date, if the final underlier level (expressed as a percentage
of the initial underlier level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that, if a knock-out
event occurs (i.e., the closing level of the underlier is greater than the knock-out level on any scheduled trading day during the measurement
period), it would result in a hypothetical payment amount of 111.580% for each $1,000 stated principal amount of the notes (the horizontal
line that crosses the 111.580% marker on the vertical axis). The chart also shows that, if a knock-out event does not occur, any hypothetical
final underlier level below 100.000% would result in a hypothetical payment amount that is equal to 100.000% of the stated principal amount
of the notes. The chart further shows that, if a knock-out event does not occur, any hypothetical final underlier level at or above
100.000% but below 140.000% (the section between the 100.000% and 140.000% markers on the horizontal axis) would result in a hypothetical
payment amount that is greater than 100.000%, but less than or equal to 140.000%, for each $1,000 stated principal amount of your notes.
The cash settlement amounts shown above are entirely hypothetical; they
are based on levels of the underlier that may not be achieved on the determination date. The actual cash settlement amount you receive
on the maturity date may bear little relation to the hypothetical cash settlement amounts shown above, and these amounts should not be
viewed as an indication of the financial return on an investment in the notes. The actual market value of your notes on the maturity date
or at any other time, including any time you may wish to sell your notes, may bear little relation to the hypothetical cash settlement
amounts shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes.
The hypothetical cash settlement amounts on notes held to the maturity date in the examples above assume you purchased your notes at their
stated principal amount and have not been adjusted to reflect the actual issue price you pay for your notes. The return on your investment
in your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the stated principal
amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the
above examples. Please read “Summary Risk Factors — The Value of the Notes Prior to Maturity Will Fluctuate Based on Many
Unpredictable Factors” on page PS-8 of this pricing supplement.
| We cannot predict whether a knock-out event will occur, the
actual final underlier level or what the value of your notes will be on any particular day, nor can we predict the relationship
between the underlier level and the value of your notes at any time prior to the maturity date. The actual amount that
you will receive, if any, at maturity and the return on the notes will depend on the actual initial underlier level contingent
return and the knock-out level, which we will set on the trade date, whether a knock-out event occurs and the actual final underlier
level determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns
are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on
the maturity date may be very different from the information reflected in the table and chart above. |
SUMMARY RISK FACTORS
|
An investment in the notes is significantly riskier
than an investment in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional
debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the
notes, and are also subject to risks associated with the underlier. Accordingly, the notes are suitable only for investors who are capable
of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisors as to the risks
of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors
for investors in the notes. You should read this summary together with the more detailed description of risks relating to an investment
in the notes contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 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 Not Receive Any Positive Return On
Your Investment in the Notes
You will receive a positive return on your investment in the notes only
if the underlier appreciates from the initial underlier level to the final underlier level or if a knock-out event occurs. If no knock-out
event occurs and the final underlier level is equal to or less than the initial underlier level, you will receive only the stated principal
amount of $1,000 for each note you hold at maturity. As the notes do not pay any interest, even if the underlier appreciates from the
initial underlier level to the final underlier level, there is no assurance that your total return at maturity on the notes will be as
great as could have been achieved on conventional debt securities of ours of comparable maturity.
The Initial Underlier Level Will Be Determined
at the Discretion of CGMI, as the Calculation Agent
The initial underlier level may be an intraday level of the underlier
on the trade date, as determined by the calculation agent in its sole discretion, and may not be based on the closing level of the underlier
on such trade date. The initial underlier level may be higher or lower than the actual closing level of the underlier on the trade date.
Although the calculation agent will determine the initial underlier level in good faith, the discretion exercised by the calculation agent
in determining the initial underlier level could have an impact (positive or negative) on the value of your notes. The calculation agent
is under no obligation to consider your interests as a holder of the notes in taking any actions that might affect the value of your notes,
including the determination of the initial underlier level.
The Notes Do Not Pay Interest
Unlike conventional debt securities, the notes do not pay interest or
any other amounts prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.
Your Potential Return On the Notes Is Limited
If a knock-out event has not occurred, and the final underlier level
is greater than the initial underlier level, the cash settlement amount at maturity for each $1,000 principal amount of your notes will
be limited to a maximum of $1,400.00 (representing a maximum return of 40.00%), depending on the underlier return. If a knock-out event
has occurred, your return at maturity will be limited to the contingent return of between 11.58% and 13.59% (to be determined on the trade
date), regardless of the underlier return. Accordingly, the amount payable for each of your notes may be significantly less than your
return had you invested directly in the stocks that constitute the underlier.
The Determination Date of the Notes Is a Pricing
Term and Will Be Determined by the Issuer on the Trade Date
We will not determine the determination date until the trade date, so
you will not know the exact term of, or the maturity date for, the notes at the time that you make your investment decision. The term
of the notes could be as short as the shorter end of the determination date range described on PS-4, and as long as the longer end of
the determination date range. You should be willing to hold your notes until the latest possible maturity date contemplated by the determination
date range. The determination date selected by us could have an impact on the value of the notes. Assuming no changes in other economic
terms of the notes, the value of the notes would likely be lower if the term of the notes is at the longer end of the determination date
range, rather than the shorter end of the determination date range.
Although the Notes Provide For the Repayment
of the Stated Principal Amount at Maturity, You May Nevertheless Suffer a Loss on Your Investment in Real Value Terms if the Underlier
Declines or Does Not Appreciate Sufficiently From the Initial Underlier Level to the Final Underlier Level or a Knock-Out Event Occurs
This is because inflation may cause the real value of the stated principal
amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone opportunity
to invest in an alternative asset that does generate a positive real return. This potential loss in real value terms is significant given
the term of the notes. You should carefully consider whether an investment that may not provide for any return on your investment, or
may provide a return that is lower than the return on alternative investments, is appropriate for you.
Investing in the Notes Is Not Equivalent to
Investing in the Underlier or the Stocks that Constitute the Underlier
You will not have voting rights, rights to receive dividends or other
distributions or any other rights with respect to the stocks that constitute the underlier. As of May 18, 2022, the average dividend yield
of the stocks that constitute the underlier was approximately 1.60% per year. While it is impossible to know the future dividend yield
of the stocks that constitute the underlier, if this average dividend yield were to remain constant for the term of the notes, you would
be forgoing an aggregate yield of approximately 5.20% (assuming no reinvestment of dividends and assuming the determination date is set
at the most distant date in the range set forth on the cover page) by investing in the notes instead of investing directly in the stocks
that constitute the underlier or in another investment linked to the underlier that provides for a pass-through of dividends. The payment
scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the notes.
Your Payment at Maturity (If a Knock-Out Event
Does Not Occur) Depends on the Closing Level of the Underlier on a Single Day
Because your payment at maturity (if a knock-out event does not occur)
depends on the closing level of the underlier solely on the determination date, you are subject to the risk that the closing level of
the underlier on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the notes.
If you had invested in another instrument linked to the underlier 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 levels of the underlier, you might have achieved better returns.
The Notes Are Subject to the Credit Risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default on our obligations under the notes and Citigroup Inc.
defaults on its guarantee obligations, you may not receive anything owed to you under the notes.
The Notes Will Not Be Listed on Any Securities
Exchange and You May Not Be Able to Sell Them Prior to Maturity
The notes will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the notes. CGMI currently intends to make a secondary market in relation to the notes and
to provide an indicative bid price for the notes on a daily basis. Any indicative bid price for the notes 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 notes 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 notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity.
Accordingly, an investor must be prepared to hold the notes until maturity.
Sale of the Notes Prior to Maturity May Result
in a Loss of Principal
You will be entitled to receive at least the full stated principal amount
of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only if you hold the notes to
maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity,
you may receive less than the full stated principal amount of your notes.
The Estimated Value of the Notes on the Trade
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 notes that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the
notes 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 notes. These costs also include a fee paid to SIMON Markets LLC, an electronic platform affiliated with
Goldman Sachs & Co. LLC, who is acting as a dealer in connection with the distribution of the notes. These costs adversely affect
the economic terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic
terms of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market
rate, to price the notes. See “The Estimated Value of the Notes Would Be Lower if It Were Calculated Based on Our Secondary Market
Rate” below.
The Estimated Value of the Notes 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 underlier, dividend yields on the stocks that constitute the underlier 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 notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ from
the value that we or our affiliates may determine for the notes for other purposes,
including for accounting purposes. You should not invest in the notes
because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial
estimated value.
The Estimated Value of the Notes Would Be Lower
if It Were Calculated Based on Our Secondary Market Rate
The estimated value of the notes 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
notes. 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 notes for purposes of any purchases of the notes 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 notes, 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 notes, 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 notes, 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 notes prior to maturity.
The Estimated Value of the Notes Is Not an
Indication of the Price, if Any, at Which CGMI or Any Other Person May Be Willing to Buy the Notes From You in the Secondary Market
Any such secondary market price will fluctuate over the term of the
notes 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 notes 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 notes than if our internal funding rate were used. In addition, any secondary market
price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes
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 notes will be less than the issue price.
The Value of the Notes Prior to Maturity Will
Fluctuate Based on Many Unpredictable Factors
The value of your notes prior to maturity will fluctuate based on the
level and volatility of the underlier and a number of other factors, including the price and volatility of the stocks that constitute
the underlier, the dividend yields on the stocks that constitute the underlier, interest rates generally, the time remaining to maturity
and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the level of the underlier
may not result in a comparable change in the value of your notes. You should understand that the value of your notes at any time prior
to maturity may be significantly less than the issue price.
If the Level of the Underlier Changes, the
Market Value of Your Notes May Not Change in the Same Manner
Your notes may trade quite differently from the performance of the underlier.
Changes in the level of the underlier may not result in a comparable change in the market value of your notes. We discuss some of the
reasons for this disparity under “— The Value of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors”
above.
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 Notes” in this pricing supplement.
Our Offering of the Notes Does Not Constitute
a Recommendation of the Underlier
The fact that we are offering the notes does not mean that we believe
that investing in an instrument linked to the underlier 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 underlier or in instruments
related to the underlier or such stocks and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlier. These and other activities of our affiliates may affect the level of the underlier in a way that has a negative
impact on your interests as a holder of the notes.
The Level of the Underlier May Be Adversely
Affected by Our or Our Affiliates’ Hedging and Other Trading Activities
We expect to hedge our obligations under the notes through CGMI or other
of our affiliates, or through a dealer participating in this offering or its affiliates, who may take positions directly in the stocks
that constitute the underlier and other financial instruments related to the underlier or such stocks and may adjust such positions during
the term of the notes. Our affiliates also trade the stocks that constitute the underlier and other financial instruments related to the
underlier or such stocks 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. Any dealer participating in the offering of the notes or its affiliates
may engage in similar activities. These activities could affect the level of the underlier in a way that negatively affects the value
of the notes. They could also result in substantial returns for us or our affiliates or any dealer or its affiliates while the value of
the notes declines. If the dealer from which you purchase notes is to conduct hedging activities for us in connection with the notes,
that dealer may profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation that
the dealer receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities
may create a further incentive for the dealer to sell the notes to you in addition to the compensation they would receive for the sale
of the notes.
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 that constitute the underlier, 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 such issuer that are available to them without regard to your interests. Any dealer participating in the offering
of the notes or its affiliates may engage in similar activities.
The Calculation Agent, Which Is an Affiliate
of Ours, Will Make Important Determinations With Respect to the Notes
If certain events occur, such as market disruption events or the discontinuance
of the underlier, 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 notes.
Adjustments to the Underlier May Affect the
Value of Your Notes
The underlier sponsor may add, delete or substitute the stocks that
constitute the underlier or make other methodological changes that could affect the level of the underlier. The underlier sponsor may
discontinue or suspend calculation or publication of the underlier at any time without regard to your interests as holders of the notes.
We May Sell an Additional Aggregate Stated
Principal Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate stated
principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent sale may
differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium to
the Stated Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Stated Principal Amount
and the Impact of Certain Key Terms of the Notes Will be Negatively Affected
The cash settlement amount will not be adjusted based on the issue price
you pay for the notes. If you purchase notes at a price that differs from the stated principal amount of the notes, then the return on
your investment in such notes held to the maturity date will differ from, and may be substantially less than, the return on notes purchased
at the stated principal amount. If you purchase your notes at a premium to the stated principal amount and hold them to the maturity date,
the return on your investment in the notes will be lower than it would have been had you purchased the notes at the stated principal amount
or a discount to the stated principal amount.
THE UNDERLIER
The S&P 500® Index
consists of common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S.
equity markets. The S&P 500® Index 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 additional information.
Additional information is available on the underlier sponsor’s website (including information regarding (i) the underlier’s
top ten constituents and (ii) the underlier’s sector weightings). We are not incorporating by reference the website or any material
it includes in this document. Neither
the issuer nor CGMI makes any representation that such
publicly available information regarding the underlier is accurate or complete.
Historical Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past and may,
in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the underlier during
the period shown below is not an indication that the underlier is more or less likely to increase or decrease at any time during the life
of your notes.
You should not take the historical levels of the underlier as an
indication of the future performance of the underlier. We cannot give you any assurance that the future performance of the underlier
will result in your receiving an amount greater than the stated principal amount of your notes on the maturity date.
Neither we nor any of our affiliates make any representation to you
as to the performance of the underlier. The actual performance of the underlier over the life of the notes, as well as the cash settlement
amount, may bear little relation to the historical levels shown below.
The graph below shows the closing level of the underlier for each day
such level was available from January 3, 2017 to May 18, 2022. We obtained the closing levels from Bloomberg L.P., without independent
verification.
The closing level of the underlier on May 18, 2022 was 3,923.68.
UNITED STATES FEDERAL TAX CONSIDERATIONS
In the opinion of our counsel, Davis Polk & Wardwell LLP, which
is based on current market conditions, the notes should be treated as “contingent payment debt instruments” for U.S. federal
income tax purposes, as described in the section of the accompanying product supplement called “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based
on this treatment.
If you are a U.S. Holder (as defined in the accompanying product supplement),
you will be required to recognize interest income for tax purposes even though you will not receive interest payments during the term
of the notes. The amount you will be required to recognize will be calculated based on the “comparable yield,” which generally
is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the notes, including the level of subordination,
term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity
of the notes. We are required to construct a “projected payment schedule” in respect of the notes representing a payment the
amount and timing of which would produce a yield to maturity on the notes equal to the comparable yield. Assuming you hold the notes until
their maturity, the amount of interest you include in income based on the comparable yield in the taxable year in which the notes mature
will be adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the notes at maturity
as determined under the projected payment schedule. However, special rules may apply if the payment at maturity on the notes is treated
as becoming fixed prior to maturity. See “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes
Treated as Contingent Payment Debt Instruments” in the accompanying product supplement for a more detailed discussion of the special
rules.
Upon the sale, exchange or retirement of the notes prior to maturity,
you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in the notes.
Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously included in income on the notes.
Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior
interest inclusions on the note and as capital loss thereafter.
We have determined that the comparable yield for a note is a rate of
%, compounded semi-annually, and that the projected payment schedule with respect to a note consists of a single payment of $ at
maturity.
Neither the comparable yield nor the projected payment schedule constitutes
a representation by us regarding the actual amount that we will pay on the notes.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes,
under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment on or any amount
received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes 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. See
“United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement
for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Dividend Equivalents Under Section 871(m) of the Code” in the accompanying product supplement,
Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”)
generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“ U.S. Underlying Securities”) or indices that include U.S. Underlying Securities. Section
871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying Securities,
as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an Internal Revenue
Service (“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 notes and representations provided by us as of the date of this preliminary pricing supplement, our
counsel is of the opinion that the notes 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 Security and, therefore, should not be subject to withholding tax under Section
871(m). However, the final determination regarding the treatment of the notes under Section 871(m) will be made as of the trade date for
the notes, and it is possible that the notes will be subject to withholding under Section 871(m) based on the circumstances as of that
date.
A determination that the notes 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 notes.
If withholding tax applies to the notes, 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 notes.
You should also consult your tax adviser regarding all aspects of
the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any state, local or
non-U.S. taxing jurisdiction.
VALUATION OF THE NOTES
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate the payout on the notes,
which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying the economic
terms of the notes (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 Notes 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 notes is a function of the terms of the notes
and the inputs to CGMI’s proprietary pricing models. The range for the estimated value of the notes set forth on the cover page
of this preliminary pricing supplement reflects terms of the notes that have not yet been fixed as well as uncertainty on the date of
this preliminary pricing supplement about the inputs to CGMI’s proprietary pricing models on the trade date.
For a period of approximately three months following issuance of the
notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the
notes 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 notes.
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 notes from investors at any time. See “Summary Risk Factors — The Notes
Will Not Be Listed on Any Securities Exchange and You May Not Be Able to Sell Them Prior to Maturity.”
© 2022 Citigroup Global Markets Inc. All rights
reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
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