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 JULY 6,
2022 |
Citigroup Global Markets Holdings Inc. |
July--
---, 2022
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2022-USNCH[
]
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03 |
Autocallable Contingent Barrier Notes Based on the S&P
500® Index Due September----, 2024
Overview
| ▪ | The securities offered by this pricing supplement are unsecured
senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt
securities, the securities do not pay interest, do not guarantee the repayment of principal at maturity and are subject to potential
automatic early redemption on the terms described below. Your return on the securities will depend on the performance of the S&P
500® Index (the “underlying index”) from the lookback index level (as defined below) to the final index level. |
| ▪ | The securities offer the potential for automatic early redemption
at a premium following the potential autocall date if the closing level of the underlying index on that date is greater than or equal
to the lookback index level. If the securities are not automatically redeemed prior to maturity, the securities will no longer offer
the opportunity to receive a premium, but instead, at maturity, will provide for (i) the opportunity to participate in any appreciation
of the underlying index at the upside participation rate specified below and (ii) contingent repayment of the stated principal amount
at maturity if the underlying index depreciates, but only so long as the final index level is greater than or equal to
the barrier level specified below. In exchange for these features, investors in the securities must be willing to accept full downside
exposure to the underlying index if the underlying index depreciates by more than 25% from the lookback index level to the final index
level. If the underlying index depreciates by more than 25% from the lookback index level to the final index level, you will lose
1% of the stated principal amount of your securities for every 1% by which the final index level is less than the lookback index level.
There is no minimum payment at maturity. |
| ▪ | Investors in the securities must be willing to accept (i) an
investment that may have limited or no liquidity and (ii) the risk of not receiving any 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 index: |
S&P 500® Index (ticker symbol: “SPX”) |
Aggregate stated principal amount: |
$ |
Stated principal amount: |
$1,000 per security |
Strike date: |
July 5, 2022 |
Pricing date: |
July , 2022 (expected to be July 8, 2022) |
Issue date: |
July , 2022 (expected to be July 13, 2022). |
Potential autocall date: |
Expected to be September 8, 2023, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur as if such date were a final valuation date |
Final valuation date: |
Expected to be September 9, 2024, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
Unless earlier redeemed, September , 2024 (expected to be September 12, 2024), subject to postponement as described under “Additional Information” below |
Automatic early redemption: |
If, on the potential autocall date, the closing level of the underlying index is greater than or equal to the lookback index level, each security you then hold will be automatically redeemed on the third business day immediately following that potential autocall date for an amount in cash equal to $1,000 plus the related premium. |
Premium: |
The premium applicable to the potential autocall date is set forth below.
The premium may be significantly less than the appreciation of the underlying index from the strike date to the potential autocall date.
• September 8, 2023: 11.20% of the stated principal amount |
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity,
you will be entitled to receive at maturity, for each $1,000 stated principal amount security you then hold:
▪
If the final index level is greater than the lookback index level: $1,000 + ($1,000 × the index
return × the upside participation rate)
▪
If the final index level is less than or equal to the lookback index level but greater than or equal
to the barrier level: $1,000
▪
If the final index level is less than the barrier level: $1,000 + ($1,000 × the index return)
If the final index level is less than the barrier level, your payment
at maturity will be less, and possibly significantly less, than $750 per security. You should not invest in the securities unless you
are willing and able to bear the risk of losing up to all of your investment. |
Lookback index level: |
The lowest closing level of the underlying index on any scheduled trading day during the lookback observation period (excluding any scheduled trading day on which a market disruption event occurs). In no event will the lookback index level be greater than the closing level of the underlying index on the strike date. There can be no assurance that the closing level of the underlying index will be lower than the closing level on the strike date at any time during the lookback observation period. |
Final index level: |
The closing level of the underlying index on the final valuation date |
Lookback observation period: |
The period from and including the strike date to and including August 30, 2022 |
Upside participation rate: |
150.00% |
Index return: |
(i) The final index level minus the lookback index level, divided by (ii) the lookback index level |
Barrier level: |
75% of the lookback index level |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17330PD30 / US17330PD301 |
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(3) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$15.80 |
$984.20 |
Total: |
$ |
$ |
$ |
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $922.50 per security, which will be less than the issue price.
The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other
person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this
pricing supplement.
(2) The issue price for investors purchasing the securities in fiduciary
accounts is $984.20 per security.
(3) CGMI will receive an underwriting fee of $15.80 for each security
sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from
the underwriting fee to CGMI, will receive a placement fee of $15.80 for each security they sell in this offering to accounts other than
fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts.
For more information on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement.
In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even
if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, 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 Prospectus Supplement and Prospectus, each dated May 11, 2021
Underlying Supplement No. 10 dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events
may occur that could affect your payment at maturity. These events and their consequences are described in the accompanying product supplement
in the sections “Description of the Securities—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement (except as set forth in the next paragraph).
The accompanying underlying supplement contains important disclosures regarding the underlying index that are not repeated in this pricing
supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement before deciding whether to invest in the securities. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product supplement.
For purposes of the accompanying product supplement, no date in the
lookback observation period will be considered a “valuation date,” and the lookback observation period will not be considered
an “observation period.”
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing level of the underlying index on the potential autocall date is greater
than or equal to the lookback index level.
If the closing level of the underlying index on the potential autocall date below is greater than or equal to the lookback index level... |
...then you will receive the following payment per $1,000 security upon automatic early redemption or at maturity, as applicable: |
September 8, 2023 |
$1,000.00 + applicable premium = $1,000.00 + $112.00 = $1,112.00 |
If, on the potential autocall date, the closing level of the underlying
index is less than the lookback index level, you will not receive the payment indicated above following that potential autocall date.
In order to receive the payment indicated above, the closing level of the underlying index on the applicable potential autocall date must
be greater than or equal to the lookback index level.
Payment at Maturity Diagram
The diagram below illustrates your payment at maturity, assuming the
securities have not previously been automatically redeemed, for a range of hypothetical index returns.
Contingent Barrier Notes
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Index |
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Hypothetical Examples of the Payment at Maturity
The table and examples below illustrate various hypothetical payments
at maturity assuming a hypothetical lookback index level of 100.00, a hypothetical barrier level of 75.00 and various hypothetical final
index levels, assuming the securities are not automatically redeemed prior to maturity. Your actual payment at maturity per security will
depend on the actual lookback index level (the lowest closing level of the underlying index on any scheduled trading day during the lookback
observation period, excluding any scheduled trading day on which a market disruption event occurs), barrier level and final index level
and may differ substantially from the examples shown. It is impossible to predict whether you will realize a gain or loss on your investment
in the securities. Figures in the table and examples below have been rounded for ease of analysis. The table and examples below are intended
to illustrate how your payment at maturity will depend on whether the final index level is greater than or less than the lookback index
level and by how much.
Hypothetical Final Index Level |
Hypothetical Index Return |
Hypothetical Payment at Maturity per Security |
Hypothetical Total Return on Securities at Maturity(1) |
200.00 |
100.00% |
$2,500.00 |
150.00% |
190.00 |
90.00% |
$2,350.00 |
135.00% |
180.00 |
80.00% |
$2,200.00 |
120.00% |
170.00 |
70.00% |
$2,050.00 |
105.00% |
160.00 |
60.00% |
$1,900.00 |
90.00% |
150.00 |
50.00% |
$1,750.00 |
75.00% |
140.00 |
40.00% |
$1,600.00 |
60.00% |
130.00 |
30.00% |
$1,450.00 |
45.00% |
120.00 |
20.00% |
$1,300.00 |
30.00% |
110.00 |
10.00% |
$1,150.00 |
15.00% |
105.50 |
5.00% |
$1,075.00 |
7.50% |
100.00 |
0.00% |
$1,000.00 |
0.00% |
95.00 |
-5.00% |
$1,000.00 |
0.00% |
90.00 |
-10.00% |
$1,000.00 |
0.00% |
80.00 |
-20.00% |
$1,000.00 |
0.00% |
75.00 |
-25.00% |
$1,000.00 |
0.00% |
74.99 |
-25.01% |
$749.90 |
-25.01% |
70.00 |
-30.00% |
$700.00 |
-30.00% |
60.00 |
-40.00% |
$600.00 |
-40.00% |
50.00 |
-50.00% |
$500.00 |
-50.00% |
40.00 |
-60.00% |
$400.00 |
-60.00% |
30.00 |
-70.00% |
$300.00 |
-70.00% |
20.00 |
-80.00% |
$200.00 |
-80.00% |
10.00 |
-90.00% |
$100.00 |
-90.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
(1) Hypothetical total return on securities at maturity =
(i) hypothetical payment at maturity per security minus $1,000 stated principal amount per security, divided by (ii) $1,000
stated principal amount per security
Example 1—Upside Scenario. The hypothetical final index
level is 105.00 (a 5.00% increase from the hypothetical lookback index level), which is greater than the hypothetical lookback
index level.
Payment at maturity per security = $1,000 + ($1,000 × the index
return × the upside participation rate)
= $1,000 + ($1,000 × 5.00%
× 150.00%)
= $1,000 + $75.00
= $1,075.00
In this scenario, the underlying index appreciated from the hypothetical
lookback index level to the hypothetical final index level, and your payment at maturity would equal the index return multiplied by the
upside participation rate.
Example 2—Par Scenario. The hypothetical final index level
is 95.00 (a 5.00% decrease from the hypothetical lookback index level), which is less than the hypothetical lookback index level
but greater than the hypothetical barrier level.
Payment at maturity per security = $1,000.00
In this scenario, the underlying index depreciated from the hypothetical
lookback index level to the hypothetical final index level by less than 25%. As a result, your payment at maturity in this scenario would
be equal to the $1,000 stated principal amount per security.
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Example 3—Downside Scenario. The hypothetical final index
level is 30.00 (a 70.00% decrease from the hypothetical lookback index level), which is less than the hypothetical barrier level.
Payment at maturity per security = $1,000 + ($1,000 × the index
return)
= $1,000 + ($1,000 × -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the underlying index depreciated from the hypothetical
lookback index level to the hypothetical final index level. As a result, your payment at maturity in this scenario would be negative and
would reflect 1-to-1 exposure to the negative performance of the underlying index.
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with the underlying index. Accordingly, the securities are suitable only for investors who are
capable of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as
to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| § | You may lose some or all of your investment. Unlike conventional
debt securities, the securities do not provide for the repayment of the stated principal amount at maturity in all circumstances. Instead,
your payment at maturity will depend on the performance of the underlying index. If the securities are not automatically redeemed prior
to maturity and the final index level is less than the barrier level, you will lose 1% of the stated principal amount of the securities
for every 1% by which the final index level is less than the lookback index level. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment. |
| § | The barrier feature of the securities exposes you to particular
risks. If the final index level is less than the barrier level, the contingent repayment of the stated principal amount at maturity
will not apply and you will lose 1% of the stated principal amount of the securities for every 1% by which the final index level is less
than the lookback index level. Unlike securities with a non-contingent barrier feature, the securities offer no protection at all if
the underlying index depreciates by more than 25% from the lookback index level to the final index level. 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 index or the stocks that constitute the underlying index. 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 underlying index. As of July 1, 2022, the average
dividend yield of the underlying index was approximately 1.68% per year. While it is impossible to know the future dividend yield of
the underlying index, if this average dividend yield were to remain constant for the term of the securities, you would be forgoing an
aggregate yield of approximately 3.72% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly
in the stocks that constitute the underlying index or in another investment linked to the underlying index 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 securities. |
| § | Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment at maturity
depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that the closing level
of the underlying index 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 index or in another instrument linked to the underlying index 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 underlying
index, you might have achieved better returns. |
| § | The securities may be automatically redeemed prior to maturity, limiting the term of the
securities. The securities will be automatically redeemed prior to maturity if the closing level of the underlying index on the potential
autocall date is greater than or equal to the lookback index level. Thus, the term of the securities may be limited to as short as approximately
one year. If the securities are automatically redeemed prior to maturity, you will not have the opportunity to participate in any appreciation
of the underlying index. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with
a similar level of risk. |
| § | The securities 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 |
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
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 placement fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred
by us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which may be more or less than
actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely
affect the economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable
to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather
than our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated
based on our secondary market rate” below. |
| § | The estimated value of the securities was determined for
us by our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing
supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models,
such as the volatility of the underlying index, dividend yields on the stocks that constitute the underlying index 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 level and volatility
of the underlying index and a number of other factors, including the price and volatility of the stocks that constitute the underlying
index, the dividend yields on the stocks that constitute the underlying index, 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 underlying
index 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. |
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
| § | Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or by the
placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or that the placement
agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely to achieve favorable returns.
In fact, as we and the placement agents are part of global financial institutions, our affiliates and the placement agents and their affiliates
may have positions (including short positions) in the stocks that constitute the underlying index or in instruments related to the underlying
index or such stocks over the term of the securities, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying index. These and other activities of our affiliates or the placement agents or their affiliates
may affect the level of the underlying index in a way that has a negative impact on your interests as a holder of the securities. |
| § | The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in
the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks and may
adjust such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also trade the stocks
that constitute the underlying index and other financial instruments related to the underlying index 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. These activities could affect the level of the underlying index in a way that negatively affects the value of
the securities. They could also result in substantial returns for us or our affiliates or the placement agents or their affiliates while
the value of the securities declines. |
| § | We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours as a result
of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates may currently or
from time to time engage in business with the issuers of the stocks that constitute the underlying index, 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 or the
placement agents or their affiliates may acquire non-public information about such issuers, which we and they will not disclose to you.
Moreover, if any of our affiliates or the placement agents or their 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. |
| § | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of the underlying index, 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. |
| § | Adjustments to the underlying index may affect the value of your securities. STOXX Limited (the “underlying index publisher”)
may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes that could affect the
level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the underlying
index at any time without regard to your interests as holders of the securities. |
| § | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might
not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment
of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected.
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. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Information About
the S&P 500® Index
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. It is calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported
by Bloomberg L.P. under the ticker symbol “SPX.”
“Standard & Poor’s,”
“S&P” and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC
and have been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
S&P U.S. Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity
Index Descriptions—The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement
for important disclosures regarding the S&P 500® Index.
Historical Information
The closing level of the underlying index on July
1, 2022 was 3,825.33.
The graph below shows the closing level of the
underlying index for each day such level was available from January 3, 2012 to July 1, 2022.
We obtained the closing levels from Bloomberg L.P., without independent verification. You should not take the historical levels of
the underlying index as an indication of future performance.
S&P 500® Index – Historical Closing Levels
January 3, 2012 to July 1, 2022 |
|
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
United States Federal
Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is substantial
uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In the opinion of our counsel, Davis Polk
& Wardwell LLP, it is reasonable under current law to treat a security as a prepaid forward contract for U.S. federal income tax purposes.
However, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld,
and that alternative treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date of this
preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | 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 capital gain or loss equal to the difference
between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held
the security for more than one year. |
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 2023 that do not have a “delta” of one.
Based on the terms of the securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel
is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning
of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m).
However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for
the securities, and it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances
as of that date.
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application may depend
on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section,
constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing
of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
Autocallable Contingent Barrier Notes Based on the S&P 500® Index Due September----, 2024 |
|
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $15.80 for each security sold
in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and,
from the underwriting fee to CGMI, will receive a placement fee of $15.80 for each security they sell in this offering to accounts other
than fiduciary accounts. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement agents.
CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts. In addition to the
underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the
securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus. For the avoidance of doubt, the
fees and commissions described on the cover of this pricing supplement will not be rebated or subject to amortization if the securities
are automatically redeemed.
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 six 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 six-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.”
© 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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