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
18, 2024 |
Citigroup Global Markets Holdings Inc. |
July----,
2024
Medium-Term Senior Notes,
Series N
Pricing Supplement No. 2024-USNCH22712
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos.
333-270327 and 333-270327-01 |
Autocallable Securities Linked to the Worst
Performing of the Russell 2000® Index and the
S&P 500® Index Due July , 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 the terms described below. Your return on the securities
will depend on the performance of the underlyings specified below. |
| ▪ | Potential for automatic early redemption at a premium. The securities will be automatically redeemed at a premium
following the potential autocall date if the closing value of each underlying on that date is greater than or equal to its initial underlying
value. |
| ▪ | Potential for premium at maturity; potential for loss of principal. If the securities are not automatically redeemed
prior to maturity, the securities offer the potential for repayment of principal plus a premium at maturity if each underlying has “knocked
in” on the potential autocall date or “knocks in” on the final valuation date. An underlying will “knock in”
on the potential autocall date if its closing value on the potential autocall date is greater than or equal to its initial underlying
value, and an underlying will “knock in” on the final valuation date if its final underlying value is greater than or equal
to its barrier value specified below. We refer to any underlying that has knocked in on the potential autocall date, or that knocks in
on the final valuation date, as a “knocked-in underlying”, regardless of whether it knocks in on any other date. If any underlying
has failed to become a knocked-in underlying on the potential autocall date or on the final valuation date, then you will not receive
a premium and instead you will incur a significant loss at maturity and will have full downside exposure to the depreciation of the worst
performing underlying from its initial underlying value to its final underlying value. |
| ▪ | You will be subject to risks associated with each of the underlyings and will be negatively affected by adverse movements in
any one of the underlyings. Although you will have downside exposure to the worst performing underlying, you will not receive dividends
with respect to any underlying or participate in any appreciation of any underlying. |
| ▪ | 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 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. |
Underlyings: |
Underlying |
Initial underlying value* |
Barrier value** |
|
Russell 2000® Index |
2,239.669 |
1,567.768 |
|
S&P 500® Index |
5,588.27 |
3,911.789 |
|
*For each underlying, its closing value on the strike date
**For each underlying, 70.00% of its initial underlying
value |
Aggregate stated principal amount: |
$ |
Stated principal amount: |
$1,000 per security |
Strike date: |
July 17, 2024 |
Pricing date: |
July , 2024 (expected to be July 18, 2024) |
Issue date: |
July , 2024 (expected to be July 23, 2024) |
Potential autocall date: |
Expected to be July 30, 2025, 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 July 20, 2026, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
Unless earlier redeemed, July , 2026 (expected to be July 23, 2026), subject to postponement as described under “Additional Information” below |
Automatic early redemption: |
If, on the potential autocall date, each underlying becomes a knocked-in underlying (which will occur if the closing value of each underlying on the potential autocall date is greater than or equal to its initial underlying value), the securities will be automatically redeemed on the third business day immediately following the potential autocall date for an amount in cash per security equal to $1,000 plus the applicable premium. If the securities are automatically redeemed following the potential autocall date, they will cease to be outstanding and you will not receive any further payments on the securities. |
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity,
you will receive at maturity, for each security you then hold, an amount in cash equal to:
·
If, as of the final valuation date, each underlying
has become a knocked-in underlying: $1,000 plus the applicable premium
·
If, as of the final valuation date, any underlying
has not become a knocked-in underlying: $1,000 + ($1,000 × the underlying return of the worst performing underlying)
If any underlying has not become a knocked-in underlying as
of the final valuation date, you will receive significantly less than the stated principal amount of your securities, and possibly nothing,
at maturity. 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.
|
Listing: |
The securities will not be listed on any securities exchange |
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 |
$4.50 |
$995.50 |
Total: |
$ |
$ |
$ |
(Key Terms continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $942.00 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) The issue price for investors purchasing the securities in fiduciary
accounts is $995.50 per security.
(3) CGMI will receive an underwriting fee of $4.50 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 $4.50 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-5.
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:
Prospectus Supplement and Prospectus each dated March 7, 2023
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 Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
KEY TERMS (continued) |
Premium: |
The applicable premium upon automatic early redemption or at maturity
is indicated below. The premium may be significantly less than the appreciation of any underlying from the strike date to
the potential autocall date or the final valuation date, as the case may be.
|
|
• Automatic early redemption following July 30, 2025: |
9.40% of the stated principal amount |
|
• Payment at maturity: |
18.80% of the stated principal amount |
Knock in: |
An underlying will “knock in” on the potential autocall date if its closing value on that date is greater than or equal to its initial underlying value, and an underlying will “knock in” on the final valuation date if its final underlying value is greater than or equal to its barrier value. |
Knocked-in underlying: |
A “knocked-in underlying” is an underlying that has knocked in on the potential autocall date or on the final valuation date. An underlying that knocks in on the potential autocall date or on the final valuation date will be a knocked-in underlying, regardless of whether it knocks in on any other date. |
Final underlying value: |
For each underlying, its closing value on the final valuation date |
Worst performing underlying: |
The underlying with the lowest underlying return |
Underlying return: |
For each underlying, (i) its final underlying value minus its initial underlying value, divided by (ii) its initial underlying value |
CUSIP / ISIN: |
17332MJA3 / US17332MJA36 |
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
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 each 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 each underlying. The accompanying underlying supplement contains information about each 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.
Postponement of the Final Valuation Date; Postponement of the Maturity
Date. If the scheduled final valuation date is not a scheduled trading day with respect to an underlying, the final valuation date
will be postponed to the next succeeding scheduled trading day with respect to that underlying. In addition, if a market disruption event
occurs with respect to an underlying on the scheduled final valuation date, the calculation agent may, but is not required to, postpone
the final valuation date to the next succeeding scheduled trading day for that underlying on which a market disruption event does not
occur with respect to that underlying. However, in no event will the final valuation date for an underlying be postponed more than five
scheduled trading days after the originally scheduled final valuation date as a result of a market disruption event occurring on the scheduled
final valuation date (as it may be postponed). The postponement of the final valuation date for one underlying will not result in the
postponement of the final valuation date for any other underlying. If the final valuation date is postponed for an underlying so that
it falls less than three business days prior to the scheduled maturity date, the maturity date will be postponed to the third business
day after the last final valuation date for an underlying as postponed. The provisions in this paragraph supersede the related provisions
in the accompanying product supplement to the extent the provisions in this paragraph are inconsistent with those provisions. The terms
“scheduled trading day” and “market disruption event” are defined in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
Hypothetical Payment Upon Automatic Early Redemption
or at Maturity if Each Underlying Has Knocked In
The following table illustrates how the amount payable per security
upon automatic early redemption or at maturity will be calculated if each underlying has become a knocked-in underlying as of the potential
autocall date or as of the final valuation date, as applicable.
If the first valuation date as of which each underlying has become a knocked-in underlying is... |
...then you will receive the following payment per security upon automatic early redemption or at maturity, as applicable: |
July 30, 2025 |
$1,000.00 + applicable premium = $1,000.00 + $94.00 = $1,094.00 |
July 20, 2026 (final valuation date) |
$1,000.00 + applicable premium = $1,000.00 + $188.00 = $1,188.00 |
If, as of any valuation date (whether the potential autocall date
or the final valuation date), any underlying has become a knocked-in underlying but any other underlying has not become a knocked-in underlying,
you will not receive the premium indicated above following that date. In order to receive the premium indicated above following a valuation
date, each underlying must have become a knocked-in underlying as of that valuation date.
Hypothetical Examples of the Payment at Maturity if
Any Underlying Has Not Knocked In
The example below is intended to illustrate how, if the securities are
not automatically redeemed prior to maturity and any underlying has not become a knocked-in underlying as of the final valuation date,
your payment at maturity will depend on the final underlying value of the worst performing underlying. The example is solely
for illustrative purposes, does not show all possible outcomes and is not a prediction of any payment that may be made on the securities.
The example below is based on the following hypothetical values and
does not reflect the actual initial underlying values or barrier values of the underlyings. For the actual initial underlying value and
barrier value of each underlying, see the cover page of this pricing supplement. We have used these hypothetical values, rather than the
actual values, to simplify the calculations and aid understanding of how the securities work. However, you should understand that the
actual payment at maturity on the securities will be calculated based on the actual initial underlying value and barrier value of each
underlying, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
Underlying |
Hypothetical initial underlying value |
Hypothetical barrier value |
Nasdaq-100 Index® |
100.00 |
70.00 (70% of its hypothetical initial underlying value) |
Russell 2000® Index |
100.00 |
70.00 (70% of its hypothetical initial underlying value) |
Example—Downside Scenario. The final underlying value of
the worst performing underlying on the final valuation date is 30.00, resulting in a -70.00% underlying return for the worst
performing underlying. In this example, the final underlying value of the worst performing underlying is less than its barrier
value.
Underlying |
Hypothetical final underlying value |
Hypothetical underlying return |
Nasdaq-100 Index®* |
30.00 |
-70.00% |
Russell 2000® Index |
85.00 |
-15.00% |
* Worst performing underlying
Payment at maturity per security = $1,000 + ($1,000 × the underlying
return of the worst performing underlying)
= $1,000 + ($1,000 × -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the worst performing underlying has depreciated from
its initial underlying value to its final underlying value and its final underlying value is less than its barrier value. As a result,
your total return at maturity in this scenario would be negative and would reflect 1-to-1 exposure to the negative performance of the
worst performing underlying.
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
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 each 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 provide for the repayment of the stated principal amount at maturity in all circumstances. If
any underlying does not become a knocked-in underlying by the final valuation date, your payment at maturity will depend on the final
underlying value of the worst performing underlying. In this scenario, the final underlying value of the worst performing underlying
will be less than its barrier value, and you will lose 1% of the stated principal amount of the securities for every 1% by which its final
underlying value is less than its initial underlying value. There is no minimum payment at maturity on the securities, and
you may lose up to all of your investment. |
| § | The initial underlying values, set on the strike date, may be higher than
the closing values of the underlyings on the pricing date. If the closing values of the underlyings on the pricing date are less than
the initial underlying values set on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative
investment that may be available to you that offers a similar payout as the securities but with the initial underlying values set on the
pricing date. |
| § | Your potential return on the securities is limited. Your
potential return on the securities is limited to the applicable premium payable upon automatic early redemption or at maturity, as described
under “Key Terms” above. If, on the potential autocall date, the closing value of each underlying is greater than or equal
to its initial underlying value, you will be repaid the stated principal amount of your securities and will receive the applicable fixed
premium, regardless of how significantly the closing value of any underlying on the potential autocall date may exceed its initial underlying
value. If the securities are not automatically redeemed prior to maturity, you will be repaid the stated principal amount of
your securities plus the applicable premium so long as the final underlying value of each underlying that has not become a knocked-in
underlying on the potential autocall date is greater than or equal to its barrier value, even if the final underlying value of any underlying
exceeds its initial underlying value by more than the applicable premium. Accordingly, any premium you may receive may result
in a return on the securities that is significantly less than the return you could have achieved on a direct investment in any or all
of the underlyings. |
| § | The securities do not pay interest. Unlike conventional debt securities,
the securities do not pay interest prior to maturity. You should not invest in the securities if you seek current income during the term
of the securities. |
| § | The securities are subject to heightened risk because they have multiple
underlyings. The securities are more risky than similar investments that may be available with only one underlying. With multiple
underlyings, there is a greater chance that any one underlying will perform poorly, adversely affecting your return on the securities. |
| § | The securities are subject to the risks of each of the underlyings and
will be negatively affected if any one underlying performs poorly, regardless of the performance of any other underlying. You are
subject to risks associated with each of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless
of the performance of any other underlying. The securities are not linked to a basket composed of the underlyings, where the blended performance
of the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject to the full
risks of whichever of the underlyings is the worst performing underlying. |
| § | You will not benefit in any way from the performance of any better performing
underlying. The return on the securities depends solely on the performance of the worst performing of the underlyings, and you will
not benefit in any way from the performance of any better performing underlying. |
| § | You will be subject to risks relating to the relationship between the underlyings.
It is preferable from your perspective for the underlyings to be correlated with each other, in the sense that their closing values tend
to increase or decrease at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlyings
will not exhibit this relationship. The less correlated the underlyings, the more likely it is that any one of the underlyings will perform
poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlyings to perform
poorly. It is impossible to predict what the relationship between the underlyings will be over the term of the securities. The underlyings
differ in significant ways and, therefore, may not be correlated with each other. |
| § | The securities may be automatically redeemed prior to maturity, limiting
the term of the securities. If, on the potential autocall date, the closing value of each underlying is greater than or
equal to its initial underlying value, the securities will be automatically redeemed following the potential autocall date. If
the securities are automatically redeemed following the potential autocall date, they will cease to be outstanding and you will not receive
the higher premium applicable to the payment at maturity. Moreover, you may not be able to reinvest your funds in another investment
that provides a similar yield with a similar level of risk. |
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
| § | The securities offer downside exposure to the worst performing underlying,
but no upside exposure to any underlying. You will not participate in any appreciation in the value of any underlying over the term
of the securities. Consequently, your return on the securities will be limited to the premium payable upon an automatic early redemption
or the applicable premium payable at maturity, as the case may be, and may be significantly less than the return on any underlying over
the term of the securities. |
| § | You will not receive dividends or have any other rights with respect to
the underlyings. You will not receive any dividends with respect to the underlyings. 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 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 underlyings or the stocks
included in the underlyings. |
| § | The performance of the securities will depend on the closing values of
the underlyings solely on the potential autocall date and final valuation date, which makes the securities particularly sensitive to the
volatility of the closing values of the underlyings. Whether the securities will be automatically redeemed prior to maturity
will depend on the closing values of the underlyings solely on the potential autocall date, regardless of the closing values of the underlyings
on other days during the term of the securities. If any underlying does not become a knocked-in underlying by the final valuation date,
what you receive at maturity will depend solely on the final underlying value of the worst performing underlying, and not the closing
value of the underlyings on any other days during the term of the securities. Because the performance of the securities depends on the
closing values of the underlyings on a limited number of dates, the securities will be particularly sensitive to the volatility of the
closing values of the underlyings. You should understand that the closing value of each 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) 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, and correlation between, the closing values of the underlyings, dividend yields on the underlyings 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.
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
| § | 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 values of the underlyings,
the volatility of, and correlation between, the closing values of the underlyings, dividend yields on the underlyings, 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 values of the underlyings 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 Russell 2000® Index is subject to risks associated with
small capitalization stocks. The stocks that constitute the Russell 2000® Index are issued by companies with relatively
small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies
are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock
price pressure under adverse market conditions. |
| § | Our offering of the securities does not constitute a recommendation of
any underlying 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 underlyings 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 underlyings or in instruments related to the underlyings 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 underlyings. These and other
activities of our affiliates or the placement agents or their affiliates may affect the level of the underlyings in a way that has a negative
impact on your interests as a holder of the securities. |
| § | The closing levels of an underlying may be adversely affected by our or
our affiliates’ hedging and other trading activities. We have hedged our obligations under the securities through CGMI or other
of our affiliates, who have taken positions directly in the stocks that constitute the underlyings and other financial instruments related
to the underlyings or such stock 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 underlyings and other financial instruments related to the underlyings
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 underlyings in a way that negatively
affects the value of and return on 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 underlyings, 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 during the term of the securities, such as market disruption
events and other events with respect to an 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. |
| § | Changes that affect the underlyings may affect the value of your securities.
The sponsors of the underlyings may at any time make methodological changes or other changes in the manner in which they operate that
could affect the values of the underlyings. We are not affiliated with any such underlying sponsor and, accordingly, we have no control
over any changes any such sponsor may make. Such changes could adversely affect the performance of the underlyings and the value of and
your return on the securities. |
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
| § | 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 Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
Information About the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—The
Russell Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We
make no representation as to the performance of the Russell 2000® Index 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 Russell 2000® Index 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 Russell 2000® Index on July
17, 2024 was 2,239.669.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 2, 2014 to July 17, 2024. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take the historical closing values as an indication of future performance.
Russell 2000® Index – Historical Closing Values
January 2, 2014 to July 17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/831001/000095010324010177/image_003.jpg) |
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
Information About the S&P 500® Index
The S&P 500®
Index consists of the 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” in the accompanying underlying supplement for important disclosures regarding
the S&P 500® Index.
Historical Information
The closing value of the S&P 500® Index on July 17,
2024 was 5,588.27.
The graph below shows the closing value of the
S&P 500® for each day such value was available from January 2, 2014 to July 17, 2024. We obtained the closing values
from Bloomberg L.P., without independent verification. You should not take the historical closing values as an indication of future
performance.
S&P 500® Index – Historical Closing Values
January 2, 2014 to July 17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/831001/000095010324010177/image_004.jpg) |
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
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 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, 2027 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.
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 $4.50 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 $4.50 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.
Citigroup Global Markets Holdings Inc. |
Autocallable Securities Linked to the Worst Performing of the Russell 2000® Index and the S&P 500® Index Due July , 2026 |
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.”
© 2024 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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