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The SUBJECT |
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Citigroup Global Markets Holdings Inc. |
June Medium-Term Pricing Filed Registration |
Geared Autocallable Buffer Securities Linked to the
SPDR® S&P® Oil & Gas Exploration & Production ETF Due July 6, 2026
▪ | The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest, do not guarantee the repayment of principal at maturity and are subject to potential automatic early redemption on a periodic basis on the terms described below. Your return on the securities will depend on the performance of the underlying specified below. |
▪ | The securities offer modified exposure to the performance of the underlying and the potential for automatic early redemption at a premium if the closing value of the underlying on the valuation date prior to the final valuation date is greater than or equal to the initial underlying value. If the securities are not automatically redeemed prior to maturity, then the securities will no longer offer the opportunity to receive a premium but instead will offer (i) the opportunity to participate in any appreciation of the underlying at the upside participation rate specified below, (ii) contingent repayment of the stated principal amount at maturity if the underlying depreciates, but only so long as the final underlying value is greater than or equal to the final buffer value specified below and (iii) a limited buffer against any depreciation of the underlying as described below. In exchange for those features, investors in the securities must be willing to accept downside exposure to any depreciation of the underlying in excess of the buffer percentage specified below on the final valuation date. If the securities are not automatically redeemed prior to maturity and the underlying depreciates by more than the buffer percentage from the initial underlying value to the final underlying value, you will lose more than 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage. Accordingly, the lower the final underlying value, the less benefit you will receive from the buffer percentage. You may lose your entire investment in the securities. |
▪ | In order to obtain the modified exposure to the underlying that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
KEY TERMS | ||||
Issuer: | Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. | |||
Guarantee: | All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. | |||
Underlying: | The SPDR® S&P® Oil & Gas Exploration & Production ETF | |||
Stated principal amount: | $1,000 per security | |||
Pricing date: | June 30, 2022 | |||
Issue date: | July 6, 2022 | |||
Valuation dates: | June 30, 2023 and June 30, 2026 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur | |||
Maturity date: | Unless earlier redeemed, July 6, 2026 | |||
Automatic early redemption: | If, on the valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be automatically redeemed on the fifth business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding and you will no longer have the opportunity to participate in any appreciation of the underlying at the upside participation rate. | |||
Premium: |
The premium applicable to the valuation date prior to the final |
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• June 30, 2023: | 20.00% of the stated principal amount | |||
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity, § $1,000 + the return amount § $1,000 § $1,000 + [$1,000 × the buffer rate × (the underlying If the securities are not automatically redeemed prior to maturity |
|||
Initial underlying value: | , the closing value of the underlying on the pricing date | |||
Final underlying value: | The closing value of the underlying on the final valuation date | |||
Underlying return: | (i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value | |||
Return amount: | $1,000 × the underlying return × the upside participation rate | |||
Upside participation rate: | At least 190.00%. The actual upside participation rate will be determined on the pricing date. | |||
Final buffer value: | , 70.00% of the initial underlying value | |||
Buffer percentage: | 30.00% | |||
Buffer rate: | The initial underlying value divided by the final buffer value, which is approximately 142.8571% | |||
Listing: | The securities will not be listed on any securities exchange | |||
CUSIP / ISIN: | 17330PR76 / US17330PR764 | |||
Underwriter: | Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal | |||
Underwriting fee and issue price: | Issue price(1) | Underwriting fee(2) | Proceeds to issuer | |
Per security: | $1,000.00 | — | $1,000.00 | |
Total: | $ | — | $ | |
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $924.00 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) For more information on the distribution
of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. 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, which can be accessed via the hyperlinks
below:
Product Supplement No. EA-02-09 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured 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. |
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of the underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to the underlying. The accompanying underlying supplement contains information about the underlying that is not repeated
in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined
in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of the underlying
on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement. The “underlying
shares” of the underlying are its shares that are traded on a U.S. national securities exchange. Please see the accompanying product
supplement for more information.
Citigroup Global Markets Holdings Inc. |
Payout Table and Diagram
The table below illustrates how the amount payable per security will
be calculated if the closing value of the underlying on the valuation date prior to the final valuation date is greater than or equal
to the initial underlying value.
If the valuation date on which the closing value of the underlying is greater than or equal to the initial underlying value is . . . | . . . then you will receive the following payment per $1,000 security upon automatic early redemption: |
June 30, 2023 | $1,000 + applicable premium = $1,000 + $200.00 = $1,200.00 |
If, on the valuation date prior to the final valuation date, the
closing value of the underlying is less than the initial underlying value, you will not receive the premium indicated above following
that valuation date. In order to receive the premium indicated above, the closing value of the underlying on the applicable valuation
date must be greater than or equal to the initial underlying value.
The diagram below illustrates the payment at maturity of the securities,
assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns. The diagram assumes
that the upside participation rate will be set at the lowest value indicated on the cover page of this pricing supplement. The actual
upside participation rate will be determined on the pricing date.
Investors in the securities will not receive any dividends with respect
to the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities. See
“Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlying” below.
Payment at Maturity | |
n The Securities | n The Underlying |
Citigroup Global Markets Holdings Inc. |
Hypothetical Examples of the Payment at Maturity
The examples below illustrate how to determine the payment at maturity
on the securities, assuming the securities are not automatically redeemed prior to maturity. The examples are solely for illustrative
purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on the securities.
The examples below are based on a hypothetical initial
underlying value of 100.00 and a hypothetical final buffer value of 70.00 and do not reflect the actual initial underlying value
or final buffer value. For the actual initial underlying value and final buffer value, see the cover page of this pricing supplement.
We have used these hypothetical values, rather than the actual values, to simplify the calculations and aid understanding of how the securities
work. However, you should understand that the actual payments on the securities will be calculated based on the actual initial underlying
value and final buffer value, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
The examples below assume that the upside participation rate will be set at the lowest value indicated on the cover page of this pricing
supplement. The actual upside participation rate will be determined on the pricing date.
The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value. Your actual payment
at maturity per security will depend on the actual initial underlying value and the actual final underlying value.
Example 1—Upside Scenario.
The final underlying value is $110.00, resulting in a 10.00% underlying return. In this example, the final underlying value is greater
than the initial underlying value.
Payment at maturity per security
= $1,000 + the return amount
= $1,000 + ($1,000 × the
underlying return × the upside participation rate)
= $1,000 + ($1,000 × 10.00%
× 190%)
= $1,000 + $190.00
= $1,190.00
In this scenario, the underlying
has appreciated from the initial underlying value to the final underlying value, and your total return at maturity would equal the underlying
return multiplied by the upside participation rate.
Example 2—Par Scenario. The final underlying value is 95.00,
resulting in a -5.00% underlying return. In this example, the final underlying value is less than the initial underlying value
but greater than the final buffer value.
Payment at maturity per security = $1,000
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value, but not below the final buffer value. Because the final underlying value is greater than the final
buffer value, you would be repaid the stated principal amount of $1,000 per security at maturity but would not receive any positive return
on your investment.
Example 3—Downside Scenario A. The final underlying value
is 60.00, resulting in a -40.00% underlying return. In this example, the final underlying value is less than the final buffer value.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the underlying return + the buffer percentage)]
= $1,000 + [$1,000 × 1.428571 × (-40.00% + 30.00%)]
= $1,000 + [$1,000 × 1.428571 × -10.00%]
= $1,000 + -$142.8571
= $857.1429
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value by more than the buffer percentage. As a result, your total return at maturity in this scenario would
be negative and would reflect a loss of more than 1% of the stated principal amount of your securities (at a rate equal to the buffer
rate) for every 1% by which the underlying declined beyond the buffer percentage.
Example 4—Downside Scenario B. The final underlying value
is 40.00, resulting in a -60.00% underlying return. In this example, the final underlying value is less than the final buffer value.
Payment at maturity per security = $1,000 + [$1,000 × the buffer
rate × (the underlying return + the buffer percentage)]
= $1,000 + [$1,000 × 1.428571 × (-60.00% + 30.00%)]
= $1,000 + [$1,000 × 1.428571 × -30.00%]
= $1,000 + -$428.5713
= $571.4287
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value by more than the buffer percentage. As a result, your total return at maturity in this scenario would
be negative and would reflect a loss of more than 1% of the stated principal amount of
Citigroup Global Markets Holdings Inc. |
your securities (at a rate equal to the buffer rate) for every 1% by
which the underlying declined beyond the buffer percentage. A comparison of this example with the previous example illustrates the diminishing
benefit of the buffer the greater the depreciation of the underlying. The greater the depreciation of the underlying, the closer your
negative return on the securities will be to the depreciation of the underlying.
Citigroup Global Markets Holdings Inc. |
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with the underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying product
supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated
by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
§ | You may lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount of principal at maturity. If the securities are not automatically redeemed prior to maturity, your payment at maturity will depend on the performance of the underlying. If the underlying depreciates by more than the buffer percentage from the initial underlying value to the final underlying value, you will lose more than 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer percentage. You should understand that any depreciation of the underlying in excess of the buffer percentage will result in a magnified loss to your investment at a rate equal to the buffer rate, which will progressively offset any protection that the buffer percentage would offer. The lower the final underlying value, the less benefit you will receive from the buffer percentage. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. |
§ | The securities do not pay interest. You should not invest in the securities if you seek current income during the term of the securities. |
§ | The securities may be automatically redeemed prior to maturity, limiting the term of the securities. If the closing value of the underlying on the valuation date prior to the final valuation date is greater than or equal to the initial underlying value, the securities will be automatically redeemed. If the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding and you will no longer have the opportunity to participate in any appreciation of the underlying at the upside participation rate. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. |
§ | You will not receive dividends or have any other rights with respect to the underlying. You will not receive any dividends with respect to the underlying. This lost dividend yield may be significant over the term of the securities. The payment scenarios described in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not have voting rights or any other rights with respect to the underlying or the stocks included in the underlying. |
§ | The performance of the securities will depend on the closing values of the underlying solely on the valuation dates, which makes the securities particularly sensitive to volatility in the closing values of the underlying on or near the valuation dates. Whether the securities will be automatically redeemed prior to maturity will depend on the closing value of the underlying solely on the valuation date prior to the final valuation date, regardless of the closing value of the underlying on other days during the term of the securities. If the securities are not automatically redeemed prior to maturity, what you receive at maturity will depend solely on the closing value of the underlying on the final valuation date, and not on any other day during the term of the securities. Because the performance of the securities depends on the closing values of the underlying on a limited number of dates, the securities will be particularly sensitive to volatility in the closing values of the underlying. You should understand that the closing value of the underlying has historically been highly volatile. |
§ | The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the securities. |
§ | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity. |
§ | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs include (i) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (ii) 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. |
Citigroup Global Markets Holdings Inc. |
§ | 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 closing value of the underlying, the dividend yield on the underlying and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value. |
§ | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
§ | 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 closing value of the underlying, the volatility of the closing value of the underlying, dividend yields on the underlying, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will fluctuate based on many unpredictable factors” in the accompanying product supplement. Changes in the closing value of the underlying 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. |
§ | The SPDR® S&P® Oil & Gas Exploration & Production ETF is subject to concentrated risks associated with the oil and gas exploration and production industry. The stocks included in the index underlying the SPDR® S&P® Oil & Gas Exploration & Production ETF and that are generally tracked by the SPDR® S&P® Oil & Gas Exploration & Production ETF are stocks of companies whose primary business is associated with the exploration and production of oil and gas. The oil and gas industry is significantly affected by a number of factors that influence worldwide economic conditions and oil prices, such as natural disasters, supply disruptions, geopolitical events and other factors that may offset or magnify each other, including: |
o | employment levels and job growth; |
o | worldwide and domestic supplies of, and demand for, oil and gas; |
o | the cost of exploring for, developing, producing, refining and marketing oil and gas; |
o | consumer confidence; |
o | changes in weather patterns and climatic changes; |
o | the ability of the members of Organization of Petroleum Exporting Countries and other oil and gas producing nations to agree to and maintain production levels; |
o | the price and availability of alternative and competing fuels; |
o | domestic and foreign governmental regulations and taxes; |
o | the worldwide military and political environment, uncertainty or instability resulting from an escalation or additional outbreak of armed hostilities or further acts of terrorism in the United States, or elsewhere; and |
Citigroup Global Markets Holdings Inc. |
o | general economic conditions worldwide. |
These or other factors or the absence of such factors could
cause a downturn in the oil and natural gas industries generally or regionally and could cause the value of the underlying shares of the
SPDR® S&P® Oil & Gas Exploration & Production ETF to decline during the term of the securities.
§ | Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlying or in instruments related to the underlying, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying. These and other activities of our affiliates may affect the closing value of the underlying in a way that negatively affects the value of and your return on the securities. |
§ | The closing value of the underlying may be adversely affected by our or our affiliates’ hedging and other trading activities. We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlying or in financial instruments related to the underlying and may adjust such positions during the term of the securities. Our affiliates also take positions in the underlying or in financial instruments related to the underlying on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the closing value of the underlying in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines. |
§ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities. Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlying in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire non-public information, which will not be disclosed to you. |
§ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If certain events occur during the term of the securities, such as market disruption events and other events with respect to the underlying, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product supplement. |
§ | Even if the underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment will not be made under the terms of the securities for any cash dividend paid by the underlying unless the amount of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing value of the underlying on the date of declaration of the dividend. Any dividend will reduce the closing value of the underlying by the amount of the dividend per share. If the underlying pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement. |
§ | The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the closing value of the underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would not. |
§ | The securities may become linked to an underlying other than the original underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying enters into a merger agreement that provides for holders of the underlying shares to receive shares of another entity and such shares are marketable securities, the closing value of the underlying following consummation of the merger will be based on the value of such other shares. Additionally, if the underlying shares are delisted, the calculation agent may select a successor underlying. See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying product supplement. |
§ | The value and performance of the underlying shares may not completely track the performance of the underlying index that the underlying seeks to track or the net asset value per share of the underlying. The underlying does not fully replicate the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance of the underlying will reflect additional transaction costs and fees that are not included in the calculation of its underlying index. All of these factors may lead to a lack of correlation between the performance of the underlying and its underlying index. In addition, corporate actions with respect to the equity securities held by the underlying (such as mergers and spin-offs) may impact the variance between the performance of the underlying and its underlying index. Finally, because the underlying shares are traded on an exchange and are subject to market supply and investor demand, the closing value of the underlying may differ from the net asset value per share of the underlying. |
During periods of market volatility, securities included in
the underlying’s underlying index may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem
Citigroup Global Markets Holdings Inc. |
shares of the underlying. Further, market volatility may adversely
affect, sometimes materially, the price at which market participants are willing to buy and sell the underlying shares. As a result, under
these circumstances, the closing value of the underlying may vary substantially from the net asset value per share of the underlying.
For all of the foregoing reasons, the performance of the underlying may not correlate with the performance of its underlying index and/or
its net asset value per share, which could materially and adversely affect the value of the securities and/or reduce your return on the
securities.
§ | Changes that affect the underlying may affect the value of your securities. The sponsor of the underlying may at any time make methodological changes or other changes in the manner in which it operates that could affect the value of the underlying. We are not affiliated with the underlying sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could adversely affect the performance of the underlying and the value of and your return on 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. Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under “United States Federal Tax Considerations.” Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively. |
If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
Information About the SPDR® S&P®
Oil & Gas Exploration & Production ETF
The SPDR® S&P® Oil & Gas Exploration
& Production ETF is an exchange-traded fund that seeks to provide investment results that, before fees and expenses, correspond generally
to the performance of publicly traded equity securities of companies included in the S&P® Oil & Gas Exploration
& Production Select Industry Index® . The S&P® Oil & Gas Exploration & Production Select
Industry Index® is a modified equal-weighted index that is designed to measure the performance of the following GICS®
sub-industries within the S&P Total Market Index: integrated oil & gas, oil & gas exploration & mining and oil & gas
refining & marketing.
The SPDR® S&P® Oil & Gas Exploration
& Production ETF is managed by SsgA Fund Management Inc., an investment advisor to the SPDR® S&P®
Oil & Gas Exploration & Production ETF, and the SPDR® Series Trust, a registered investment company. The SPDR®
Series Trust consists of numerous separate investment portfolios, including the SPDR® S&P® Oil &
Gas Exploration & Production ETF.
Information provided to or filed with the SEC by SPDR®
Series Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at http://www.sec.gov. In addition,
information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The underlying shares of the SPDR® S&P® Oil & Gas Exploration & Production ETF trade
on the NYSE Arca under the ticker symbol “XOP.”
Please refer to the section “Fund Descriptions— The SPDR®
S&P® Industry ETFs” in the accompanying underlying supplement for additional information.
We have derived all information regarding the SPDR® S&P®
Oil & Gas Exploration & Production ETF from publicly available information and have not independently verified any information
regarding the SPDR® S&P® Oil & Gas Exploration & Production ETF. This pricing supplement relates
only to the securities and not to the SPDR® S&P® Oil & Gas Exploration & Production ETF. We
make no representation as to the performance of the SPDR® S&P® Oil & Gas Exploration & Production
ETF over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the SPDR® S&P® Oil & Gas Exploration &
Production ETF is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the SPDR® S&P®
Oil & Gas Exploration & Production ETF on June 8, 2022 was $167.70.
The graph below shows the closing value of the SPDR®
S&P® Oil & Gas Exploration & Production ETF for each day such value was available from January 3, 2012 to June
8, 2022. We obtained the closing values from Bloomberg L.P., without independent verification. You should not take historical closing
values as an indication of future performance.
SPDR® S&P® Oil & Gas Exploration & Production ETF – Historical Closing Values January 3, 2012 to June 8, 2022 |
Citigroup Global Markets Holdings Inc. |
United States Federal Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence
of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment,
and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market conditions as of the date of
this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
· | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
· | Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or loss if you held the security for more than one year. |
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize in respect
of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term capital
gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant
rate over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability on
the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able
to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Securities Treated as Prepaid Forward Contracts—Possible Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser regarding
the potential application of the “constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations,
as modified by an IRS notice, exempt financial instruments issued prior to January 1, 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. |
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 not receive any underwriting fee for any securities sold in
the offering.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement, it is
uncertain what the estimated value of the securities will be on the pricing date because certain terms of the securities have not yet
been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will be on the pricing
date.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary Risk
Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
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