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 NOVEMBER 8, 2023
Citigroup Global Markets Holdings Inc. November
----
, 2023
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2023-USNCH19539
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270327 and 333-270327-01
Dual Directional Barrier Securities Linked to the S&P500 Futures Excess Return
Index Due November 30, 2028
▪ The securities offered by this pricing supplement are unsecured debt
securities issued by Citigroup Global Markets Holdings Inc. and guaranteed
by Citigroup Inc. Unlike conventional debt securities, the securities
do not pay interest and do not repay a fixed amount of principal
at maturity. Instead, the securities offer a payment at maturity
that may be greater than, equal to or less than the stated principal
amount, depending on the performance of the underlying specified below
from the initial underlying value to the final underlying value.
▪ The underlying tracks futures contracts on the S&P 500
(R)
Index and is expected to underperform the total return performance of the S&P 500
(R)
Index because of an implicit financing cost. See "Summary Risk Factors" for more information.
▪ The securities offer modified exposure to the performance of the underlying, with
the opportunity to participate in the potential appreciation of the underlying at
the upside participation rate specified below. If the underlying depreciates, the
securities offer positive participation in the absolute value of that depreciation,
but only
so long as the final underlying value is greater than or equal to the final
barrier value specified below. In exchange for these features, investors
in the securities must be willing to accept exposure to an index that
is expected to underperform the total return performance of the S&P 500
(R)
Index and forgo (i) positive participation in the absolute value of any depreciation of the underlying if
the final underlying value is less than the final barrier value and (ii) any dividends with respect to
the underlying. In addition, investors in the securities must be willing to accept downside exposure to
any depreciation of the underlying if the final underlying value is less than the final barrier value.
If the final underlying value is less than the final barrier value, you
will lose 1% of the stated principal amount of your securities for
every 1% by which the final underlying value is less than the initial
underlying value. You may lose your entire investment in the securities.
▪ 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 payment 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 S&P 500 Futures Excess Return Index
Stated principal amount: $1,000 per security
Pricing date: November 27, 2023
Issue date: November 30, 2023
Valuation date: November 27, 2028, subject to postponement if such date is not a
scheduled trading day or certain market disruption events occur
Maturity date: November 30, 2028
Payment at maturity: For each $1,000 stated principal amount security
you hold at maturity, you will receive:
▪
If the final underlying value is
greater than or equal to
the initial underlying value:
$1,000 + the upside return amount
▪
If the final underlying value is
less than
the initial underlying value but
greater than or equal to
the final barrier value:
$1,000 + the absolute return amount
▪
If the final underlying value is
less than
the final barrier value:
$1,000 + ($1,000 x the underlying return)
If the final underlying value is less than the final
barrier value, you will have full downside exposure to
the negative underlying return and your payment at
maturity will be less, and possibly significantly less,
than the $1,000 stated principal amount per security.
You should not invest in the securities unless you are
willing and able to bear the risk of losing a significant
portion, and possibly all, of your investment.
Initial underlying value: , the closing value of the underlying on the pricing date
Final underlying value: The closing value of the underlying on the valuation date
Upside return amount: $1,000 x the underlying return x the upside participation rate
Upside participation rate: 170%
Underlying return: (i) The final underlying value
minus
the initial underlying value,
divided by
(ii) the initial underlying value
Absolute return amount: $1,000 x the absolute value of the underlying return
Final barrier value: , 60% of the initial underlying value
Listing: The securities will not be listed on any securities exchange
CUSIP / ISIN: 17291TH50 / US17291TH506
Underwriter: Citigroup Global Markets Inc. ("CGMI"), an
affiliate of the issuer, acting as principal
Underwriting fee and issue price: Issue price Underwriting fee Proceeds to issuer
(1) (2) (3)
Per security: $1,000.00 $ $
Total: $ $ $
(1) Citigroup Global Markets HoldingsInc. currently expects that the estimated
value of the securities on the pricing date will be at least $878.00 per
security, which willbe less than the issue price. The estimated value of the
securities is based on CGMI's proprietary pricing models and our internalfunding
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 theSecurities" in this pricing supplement.
(2) CGMI will receive an underwritingfee of up to $41.25 for each security
sold in this offering. The total underwriting fee and proceeds to issuer in
the table above giveeffect to the actual total underwriting fee. For more
information on the distribution of the securities, see "Supplemental Planof
Distribution" in this pricing supplement. In addition to the underwriting fee,
CGMI and its affiliates may profit from expectedhedging activity related to
this offering, even if the value of the securities declines. See "Use of
Proceeds and Hedging"in the accompanying prospectus.
(3) The per security proceeds to issuerindicated above represent the minimum
per security proceeds to issuer for any security, assuming the maximum per
security underwritingfee. As noted above, the underwriting fee is variable.
Concurrent with this offering of the securities,the issuer is offering other
securities that are similar to the securities but that have economic terms
that differ from those providedby the securities. The differences in the
economic terms reflect differences in costs to the issuer in connection with
the distributionof the securities and such other securities.
Investing in the securities involves risks not associated with aninvestment in
conventional debt securities. See "Summary Risk Factors" beginning on page
PS-4.
Neither the Securitiesand Exchange Commission nor any state securities
commission has approved or disapproved of the securities or determined that
this pricingsupplement 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 readthis 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-02-10 dated March 7, 2023 Underlying Supplement No. 11 dated March 7, 2023
ProspectusSupplement and Prospectus each dated March 7, 2023
The securitiesare 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
The terms of the securities are setforth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this
pricing supplement. The accompanyingproduct 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
bedetermined and about adjustments that may be made to the terms of the
securities upon the occurrence of market disruption events and otherspecified
events with respect to the underlying. The accompanying underlying supplement
contains information about the reference indexon which the underlying is
ultimately based that is not repeated in this pricing supplement. It is
important that you read the accompanyingproduct supplement, underlying
supplement, prospectus supplement and prospectus together with this pricing
supplement before decidingwhether to invest in the securities. Certain terms
used but not defined in this pricing supplement are defined in the
accompanying productsupplement.
Payout Diagram
The diagram below illustrates your payment at maturity for a range
ofhypothetical underlying returns.
Investors in the securities will not receive any dividends with respectto 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.
Payout Diagram
n n
The Securities The Underlying
PS-
2
Citigroup Global Markets Holdings Inc.
Hypothetical Examples
The examples below illustrate how to determine the payment at maturityon the
securities, assuming the various hypothetical final underlying values
indicated below. The examples are solely for illustrativepurposes, do not
show all possible outcomes and are not a prediction of what the actual payment
at maturity on the securities will be. Theactual payment at maturity will
depend on the actual final underlying value.
The examples below are based on the following hypothetical values anddo not
reflect the actual initial underlying value or final barrier value. For the
actual initial underlying value and finalbarrier value, see the cover page of
this pricing supplement. We have used these hypothetical values, rather than
the actualvalues, to simplify the calculations and aid understanding of how
the securities work. However, you should understand thatthe actual payment at
maturity on the securities will be calculated based on the actual initial
underlying value and final barrier value,and not the hypothetical values
indicated below. For ease of analysis, figures below may have been rounded.
Hypothetical initial underlying value: 100.00
Hypothetical final barrier value: 60.00 (60.00% of the hypothetical initial underlying value)
Example 1-Upside Scenario.
The final underlying value is105, resulting in a 5.00% underlying return. In
this example, the final underlying value is
greater than
the initialunderlying value.
Payment at maturity per security = $1,000 + the upside return amount
= $1,000 + ($1,000 x the underlying return x the upsideparticipation rate)
= $1,000 + ($1,000 x 5.00% x 170%)
= $1,000 + $85.00
= $1,085.00
In this scenario, the underlying has appreciated from the initial
underlyingvalue to the final underlying value, and your total return at
maturity would equal the underlying return
multiplied by
the upsideparticipation rate.
Example 2-Absolute Return Scenario.
The final underlyingvalue is 95, resulting in a -5% underlying return. In
this example, the final underlying value is
less than
the initialunderlying value but
greater than
the final barrier value.
Payment at maturity per security = $1,000 + the absolute return amount
= $1,000 + ($1,000 x the absolute value of the underlying return)
= $1,000 + ($1,000 x |-5.00%|)
= $1,000 + $50.00
= $1,050.00
In this scenario, the underlying has depreciated fromthe initial underlying
value to the final underlying value, but not below the final barrier value,
and your total return at maturity wouldequal the absolute value of the
underlying return.
Example 3-Downside Scenario.
The final underlying valueis 30, resulting in a -70.00% underlying return. In
this example, the final underlying value is
less than
the finalbarrier value.
Payment at maturity per security = $1,000 + ($1,000 x the underlyingreturn)
= $1,000 + ($1,000 x -70.00%)
= $1,000 + -$700.00
= $300.00
In this scenario, the underlying has depreciated from the initial
underlyingvalue to the final underlying value and the final underlying value
is less than the final barrier value. As a result, yourtotal return at
maturity in this scenario would be negative and would reflect 1-to-1 exposure
to the negative performance of the underlying.
PS-
3
Citigroup Global Markets Holdings Inc.
Summary Risk Factors
An investment in the securities is significantly riskier than an investmentin
conventional debt securities. The securities are subject to all of the risks
associated with an investment in our conventional debtsecurities (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 whoare capable of understanding the complexities and risks of
the securities. You should consult your own financial, tax and legal
advisorsas 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 investorsin the
securities. You should read this summary together with the more detailed
description of risks relating to an investmentin the securities contained in
the section "Risk Factors Relating to the Securities" beginning on page EA-7
in the accompanyingproduct supplement. You should also carefully read the risk
factors included in the accompanying prospectus supplement and in the
documentsincorporated by reference in the accompanying prospectus, including
Citigroup Inc.'s most recent Annual Report on Form 10-K andany 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 repaya
fixed amount of principal at maturity. Instead, your payment at
maturity will depend on the performance of the underlying.If the
final underlying value is less than the final barrier value, you
will lose 1% of the stated principal amount of the securitiesfor
every 1% by which the final underlying value is less than the
initial underlying value. There is no minimum payment at maturity
onthe securities, and you may lose up to all of your investment.
▪ Your potential for positive return from
depreciation of the underlying is limited.
Thereturn potential of the securities in the event that the final underlying
value is less than the initial underlying value is limited bythe final barrier
value. Any decline in the final underlying value below the final barrier value
will result in a loss, rather than apositive return, on the securities.
▪ The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other amountsprior to maturity.
You should not invest in the securities if you seek current income during the term of the securities.
▪ You will not receive dividends or have any
other rights with respect to the underlying.
You will not receive anydividends with respect to the underlying. This lost dividend yield may be significant
over the term of the securities. Thepayment scenarios described in this pricing supplement do not
show any effect of lost dividend yield over the term of the securities. Inaddition, you will not have
voting rights or any other rights with respect to the underlying or the stocks included in the underlying.
▪ Your payment at maturity
depends on the closing
value of the underlying on a single day.
Because your payment atmaturity depends on the closing value of the
underlying solely on the valuation date, you are subject to the risk that
the closing valueof the underlying on that day may be lower, and
possibly significantly lower, than on one or more other dates during the
term of the securities. Ifyou had invested in another instrument linked
to the underlying that you could sell for full value at a time selected
by you, or if thepayment at maturity were based on an average of closing
values of the underlying, you might have achieved better returns.
▪ The securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
If we default onour obligations under the securities and Citigroup Inc. defaults on its
guarantee obligations, you may not receive anything owed to youunder 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 securitieswill not be listed on any securities exchange.
Therefore, there may be little or no secondary market for the
securities. CGMI currentlyintends to make a secondary market in
relation to the securities and to provide an indicative bid price
for the securities on a dailybasis. Any indicative bid price for
the securities provided by CGMI will be determined in CGMI's
sole discretion, taking into accountprevailing market conditions
and other relevant factors, and will not be a representation
by CGMI that the securities can be sold at thatprice, or at all.
CGMI may suspend or terminate making a market and providing
indicative bid prices without notice, at any time and forany
reason. If CGMI suspends or terminates making a market, there may
be no secondary market at all for the securities because it is
likelythat CGMI will be the only broker-dealer that is willing
to buy your securities prior to maturity. Accordingly, an
investor must be preparedto 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
fundingrate, is less than the issue price.
The difference is attributable to certain costs associated with
selling, structuringand hedging the securities that are included
in the issue price. These costs include (i) any selling concessions
or other fees paid inconnection with the offering of the
securities, (ii) hedging and other costs incurred by us and our
affiliates in connection with theoffering of the securities and
(iii) the expected profit (which may be more or less than actual
profit) to CGMI or other of our affiliatesin 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 alsolikely
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.
PS-
4
Citigroup Global Markets Holdings Inc.
▪ The estimated value of the
securities was determined for
us by our affiliate using
proprietary pricing models.
CGMI derivedthe estimated value disclosed on the cover page of this
pricing supplement from its proprietary pricing models. In doing so,
it may havemade discretionary judgments about the inputs to its models,
such as the volatility of the closing value of the underlying,
the dividendyield on the underlying and interest rates. CGMI's views
on these inputs may differ from your or others' views, and as
anunderwriter in this offering, CGMI's interests may conflict with
yours. Both the models and the inputs to the models may prove
tobe wrong and therefore not an accurate reflection of the value
of the securities. Moreover, the estimated value of the securities
setforth on the cover page of this pricing supplement may differ
from the value that we or our affiliates may determine for the
securitiesfor 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
itwere calculated based on
our secondary market rate.
The estimated value of the securities included in this pricing supplementis calculated based on our internal funding rate,
which is the rate at which we are willing to borrow funds through the issuance of thesecurities. Our internal funding
rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determiningthe value
of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated
valueincluded in this pricing supplement were based on our secondary market rate, rather than our internal funding
rate, it would likely belower. We determine our internal funding rate based on factors such as the costs associated
with the securities, which are generallyhigher than the costs associated with conventional debt securities, and our
liquidity needs and preferences. Our internal funding rateis 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 secondarymarket rate based
on the market price of traded instruments referencing the debt obligations of
Citigroup Inc., our parent company andthe guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole discretion.
Asa result, our secondary market rate is not a market-determined measure of
our creditworthiness, but rather reflects the market'sperception of our parent
company's creditworthiness as adjusted for discretionary factors such as
CGMI's preferences withrespect 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 willingto buy the
securities from you in the secondary market.
Any such secondary market price will fluctuate over the term ofthe securities based on the market and other factors
described in the next risk factor. Moreover, unlike the estimated value includedin this pricing supplement,
any value of the securities determined for purposes of a secondary market transaction will be based on
oursecondary 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 principalamount 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 securitiesprior to maturity will fluctuate based on the closing value of the underlying,
the volatility of the closing value of the underlying,the dividend yield 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-RiskFactors
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 valueof your securities. You should understand that the
value of your securities at any time prior to maturity may be significantly less thanthe issue price.
▪ Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated
on any brokerageaccount statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount of this temporaryupward adjustment will steadily decline to zero over the
temporary adjustment period. See "Valuation of the Securities"in this pricing supplement.
▪ The underlying is expected to underperform
the total return performance of the S&P 500
(R)
Index because the performanceof
the underlying is
expected to be reduced
by an implicit financing
cost, and any increase in
this cost will adversely
affect the performanceof the securities.
The S&P 500 Futures Excess Return Index is a
futures-based index. As
a futures-based index,
it is expectedto reflect not only the
performance of its reference
index (the S&P 500
(R)
Index), but also the implicit cost of a financedposition in
that reference index. The cost of this financed position will
adversely affect the value of the underlying. Any increase
inmarket interest rates will be expected to further increase this
implicit financing cost and will increase the negative effect
on the performanceof the underlying. Because of this implicit
financing cost, the S&P 500 Futures Excess Return Index is expected
to underperform thetotal return performance of the S&P 500
(R)
Index.
▪ Our offering of the securities is not
a recommendation of the underlying.
The fact that we are offering the securities doesnot mean that we believe that investing
in an instrument linked to the underlying is likely to achieve favorable returns.
In fact, aswe are part of a global financial institution, our affiliates may have
positions (including short positions) in the underlying or in instrumentsrelated
to the underlying, and may publish research or express opinions, that in each
case are inconsistent with an investment linkedto the underlying. These and other
activities of our affiliates may affect the closing value of the underlying in
a way that negativelyaffects the value of and your return on the securities.
PS-
5
Citigroup Global Markets Holdings Inc.
▪ 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 underlyingor in financial instruments related to the underlying and may
adjust such positions during the term of the securities. Our affiliatesalso take positions in the
underlying or in financial instruments related to the underlying on a regular basis (taking long or
short positionsor both), for their accounts, for other accounts under their management or to facilitate
transactions on behalf of customers. These activitiescould affect the closing value of the underlying
in a way that negatively affects the value of and your return on the securities. Theycould 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, makingand facilitating investments,
underwriting securities offerings and providing advisory services. These
activities could involveor affect the underlying in a way that negatively
affects the value of and your return on the securities. They could also
result in substantialreturns for us or our affiliates while the value of the
securities declines. In addition, in the course of this business, weor 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.
Ifcertain 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. Inmaking these judgments, the calculation agent's interests
as an affiliate of ours could be adverse to your interests as a holderof the
securities. See "Risk Factors Relating to the Securities-Risk Factors Relating to All
Securities-Thecalculation agent, which is an affiliate of ours, will make important
determinations with respect to the securities" in the accompanyingproduct supplement.
▪ Changes that affect the underlying may
affect the value of your securities.
The sponsor of the underlying may atany time make methodological changes or other changes in the manner in
which it operates that could affect the value of the underlying. Weare not affiliated with the underlying
sponsor and, accordingly, we have no control over any changes such sponsor may make. Suchchanges 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 authorityregarding 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 IRSor a court might not agree with the treatment of the securities as prepaid forward
contracts. If the IRS were successful inasserting an alternative treatment of the securities,
the tax consequences of the ownership and disposition of the securities might bematerially
and adversely affected. Moreover, future legislation, Treasury regulations or IRS guidance
could adversely affectthe U.S. federal tax treatment of the securities, possibly retroactively.
If you are a non-U.S. investor, you shouldreview the discussion of withholding
tax issues in "United States Federal Tax Considerations-Non-U.S. Holders"
below.
You should read carefully the discussionunder "United States Federal Tax
Considerations" and "Risk Factors Relating to the Securities" in the
accompanyingproduct supplement and "United States Federal Tax Considerations"
in this pricing supplement. You should also consultyour tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well
as tax consequences arising underthe laws of any state, local or non-U.S.
taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
Additional Terms of the Securities
Market disruption events.
For purposes of determining whethera market disruption event occurs with
respect to the S&P 500 Futures Excess Return Index, each reference to the
"UnderlyingIndex" in the section "Description of the Securities-Certain
Additional Terms for Securities Linked to an UnderlyingIndex-Definitions of
Market Disruption Event and Scheduled Trading Day and Related Definitions" in
the accompanying productsupplement shall be deemed replaced with a reference
to the "Underlying Index or its Reference Index". The referenceindex with
respect to the S&P 500 Futures Excess Return Index is specified in Annex A to
this pricing supplement. References in thesection "Description of the
Securities-Certain Additional Terms for Securities Linked to an Underlying
Index-Definitionsof Market Disruption Event and Scheduled Trading Day and
Related Definitions" in the accompanying product supplement to the
securitiescomprising an Underlying Index shall be deemed to include futures
contracts comprising an Underlying Index.
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Citigroup Global Markets Holdings Inc.
Information About the S&P 500Futures Excess Return Index
For information about the S&P 500 Futures Excess Return Index, seeAnnex A to
this pricing supplement.
We have derived all information regarding the S&P 500 Futures ExcessReturn
Index from publicly available information and have not independently verified
any information regarding the S&P 500 FuturesExcess Return Index. This pricing
supplement relates only to the securities and not to the S&P 500 Futures
Excess Return Index. Wemake no representation as to the performance of the S&P
500 Futures Excess Return Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets HoldingsInc.
(guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500 Futures Excess
Return Index is not involved in any way in thisoffering and has no obligation
relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500 Futures Excess Return Index onNovember 6,
2023 was 389.15.
The graph below shows the closing value of the S&P 500 Futures ExcessReturn
Index for each day such value was available from January 2, 2013 to November
6, 2023. We obtained the closing values from BloombergL.P., without
independent verification. You should not take historical closing values as an
indication of future performance.
S&P 500 Futures Excess Return Index - Historical Closing Values
January 2, 2013 to November 6, 2023
PS-
8
Citigroup Global Markets Holdings Inc.
United States FederalTax Considerations
You should read carefully the discussion under "United StatesFederal 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 securityshould be
treated as a prepaid forward contract for U.S. federal income tax purposes.
By purchasing a security, you agree (inthe absence of an administrative
determination or judicial ruling to the contrary) to this treatment. There is
uncertaintyregarding this treatment, and the IRS or a court might not agree
with it. Moreover, our counsel's opinion is based on market conditionsas 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 tothe
discussion in "United States Federal Tax Considerations" in the accompanying
product supplement, the following U.S. federalincome 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 differencebetween the amount
realized and your tax basis in the security. Such gain or loss should be
long-term capital gain or lossif you held the security for more than one year.
We do not plan to request a ruling from the IRS regarding the treatmentof the
securities. An alternative characterization of the securities could materially
and adversely affect the tax consequences of ownershipand disposition of the
securities, including the timing and character of income recognized. In
addition, the U.S. Treasury Departmentand 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, Treasuryregulations
or other guidance promulgated after consideration of these issues could
materially and adversely affect the tax consequencesof an investment in the
securities, possibly with retroactive effect. You should consult your tax
adviser regarding possible alternativetax treatments of the securities and
potential changes in applicable law.
Non-U.S. Holders
. Subject to the discussions below and in "UnitedStates Federal Tax
Considerations" in the accompanying product supplement, if you are a Non-U.S.
Holder (as defined in the accompanyingproduct supplement) of the securities,
you generally should not be subject to U.S. federal withholding or income tax
in respect of anyamount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connectedwith
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-TaxConsequences
to Non-U.S. Holders" in the accompanying product supplement, Section 871(m) of
the Code and Treasury regulations promulgatedthereunder ("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 thatinclude U.S.
Underlying Equities. Section 871(m) generally applies to instruments that
substantially replicate the economicperformance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury
regulations. However,the regulations, as modified by an IRS notice, exempt
financial instruments issued prior to January 1, 2025 that do not have a
"delta"of one. Based on the terms of the securities and representations
provided by us as of the date of this preliminary pricingsupplement, our
counsel is of the opinion that the securities should not be treated as
transactions that have a "delta" ofone within the meaning of the regulations
with respect to any U.S. Underlying Equity and, therefore, should not be
subject to withholdingtax under Section 871(m). However, the final
determination regarding the treatment of the securities under Section 871(m)
willbe made as of the pricing date for the securities, and it is possible that
the securities will be subject to withholding tax under Section871(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 applicationmay depend on your particular
circumstances, including your other transactions. You should consult your tax
adviser regardingthe potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be requiredto pay
any additional amounts with respect to amounts withheld.
You should read the section entitled "United States FederalTax Considerations"
in the accompanying product supplement. The preceding discussion, when read
in combination with thatsection, constitutes the full opinion of Davis Polk &
Wardwell LLP regarding the material U.S. federal tax consequences of owningand
disposing of the securities.
You should also consult your tax adviser regarding all aspects ofthe U.S.
federal income and estate tax consequences of an investment in the securities
and any tax consequences arising under the lawsof any state, local or non-U.S.
taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
Supplemental Planof Distribution
CGMI, an affiliate of Citigroup GlobalMarkets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will
receive an underwriting fee ofup to $41.25 for each security sold in this
offering. The actual underwriting fee will be equal to the selling concession
provided toselected dealers, as described in this paragraph. From this
underwriting fee, CGMI will pay selected dealers not affiliated with CGMIa
variable selling concession of up to $41.25 for each security they sell.
See "Plan of Distribution; Conflictsof Interest" in the accompanying product
supplement and "Plan of Distribution" in each of the accompanying
prospectussupplement and prospectus for additional information.
Valuation of the Securities
CGMI calculated the estimatedvalue of the securities set forth on the cover
page of this pricing supplement based on proprietary pricing models. CGMI's
proprietarypricing models generated an estimated value for the securities by
estimating the value of a hypothetical package of financial instrumentsthat
would replicate the payout on the securities, which consists of a fixed-income
bond (the "bond component") and one ormore derivative instruments underlying
the economic terms of the securities (the "derivative component"). CGMI
calculatedthe estimated value of the bond component using a discount rate
based on our internal funding rate. CGMI calculated the estimated valueof the
derivative component based on a proprietary derivative-pricing model, which
generated a theoretical price for the instruments thatconstitute the
derivative component based on various inputs, including the factors described
under "Summary Risk Factors-Thevalue of the securities prior to maturity will
fluctuate based on many unpredictable factors" in this pricing supplement, but
notincluding our or Citigroup Inc.'s creditworthiness. These inputs may be
market-observable or may be based on assumptions made byCGMI in its
discretionary judgment.
The estimated value of the securitiesis a function of the terms of the
securities and the inputs to CGMI's proprietary pricing models. As of the
date of thispreliminary pricing supplement, it is uncertain what the estimated
value of the securities will be on the pricing date because it is
uncertainwhat the values of the inputs to CGMI's proprietary pricing models
will be on the pricing date.
For a period of approximatelyfour 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 (whichvalue
CGMI may also publish through one or more financial information vendors), will
reflect a temporary upward adjustment from the priceor value that would
otherwise be determined. This temporary upward adjustment represents a portion
of the hedging profit expected to berealized by CGMI or its affiliates over
the term of the securities. The amount of this temporary upward adjustment
will decline to zeroon a straight-line basis over the four-month temporary
adjustment period. However, CGMI is not obligated to buy the securities from
investorsat any time. See "Summary Risk Factors-The securities will not be
listed on any securities exchange and you maynot be able to sell them prior to
maturity."
Contact
Clients may contact their local brokerage representative. Third-partydistributor
s may contact Citi Structured Investment Sales at (212) 723-7005.
(c) 2023 Citigroup Global Markets Inc. All rights reserved. Citiand Citi and
Arc Design are trademarks and service marks of Citigroup Inc. or its
affiliates and are used and registered throughout theworld.
PS-
10
Citigroup Global Markets Holdings Inc.
Annex A
Description of the S&P 500 Futures Excess Return Index
We have derived all information contained in this pricing supplementregarding
the S&P 500 Futures Excess Return Index, including, without limitation, its
make-up, method of calculation and changes inits components, from publicly
available information. We have not independently verified such information.
Such information reflects thepolicies of, and is subject to change by, S&P Dow
Jones Indices LLC ("S&P Dow Jones"). The S&P 500 Futures ExcessReturn Index
was developed by Standard & Poor's Financial Services LLC ("S&P") and is
calculated, maintainedand published by S&P Dow Jones. S&P Dow Jones has no
obligation to continue to publish, and may discontinue the publication of,the
S&P 500 Futures Excess Return Index.
The S&P 500 Futures Excess ReturnIndex tracks futures contracts on the S&P 500
(R)
Index. The S&P 500
(R)
Index is reported by BloombergL.P. under the ticker symbol "SPX." The S&P 500
(R)
Index consists of the common stocks of 500 issuers selectedto provide a
performance benchmark for the large capitalization segment of the U.S. equity
markets. For more information about the S&P500
(R)
Index, see "Equity Index Descriptions-The S&P U.S. Indices"in the accompanying
underlying supplement. We refer to the S&P 500
(R)
Index as the"reference index" for the S&P 500 Futures Excess Return Index.
The S&P 500 Futures Excess Return Index launch date was August 2,2010, and it
is reported by Bloomberg L.P. under the ticker symbol "SPXFP."
Index Calculation
The S&P 500 Futures Excess Return Index tracks the performance ofa
hypothetical position, rolled quarterly, in the nearest-to-expiration E-mini
S&P 500 futures contract. Constructed from E-mini S&P500 futures contracts,
the S&P 500 Futures Excess Return Index includes provisions for the
replacement of the current E-mini S&P500 futures contract in the S&P 500
Futures Excess Return Index as such futures contract approaches expiration
(also referred to as"rolling"). This replacement occurs over a one-day rolling
period every quarter, which is five days prior to the last tradedate of the
futures contract.
The S&P 500 Futures Excess Return Index is calculated from the pricechange of
the underlying E-mini S&P 500 futures contract. On any trading date,
t
, the value of the S&P 500 Futures ExcessReturn Index is calculated as follows:
Where:
= The value of the S&P 500 Futures Excess
Return Index on the current day,
t
= The value of the S&P 500 Futures Excess Return Index on the preceding
day on which the S&P 500 Futures Excess Return Index was calculated,
t-1
= The Contract Daily Return from day
t-1
to day
t,
defined as:
= The daily contract reference price of the futures contract, which
is the official closing price, as designated by the exchange
Market disruptions are situations where the exchange has failed to openso that
no trading is possible due to unforeseen events, such as computer or electric
power failures, weather conditions or other events.If any such event happens
on the roll date, the roll will take place on the next business day on which
no market disruptions exist.
The S&P 500 Futures Excess Return Index is an excess return index,which in
this context means that its performance will be based solely on changes in the
settlement price of its underlying futures contract.An excess return index is
distinct from a total return index, which, in addition to changes in the
settlement price of the underlyingfutures contract, would reflect interest on
a hypothetical cash position collateralizing that futures contract.
E-mini S&P 500 futures contracts
E-mini S&P 500 futures contracts were introduced in 1997 and aretraded on the
Chicago Mercantile Exchange under the ticker symbol "ES." The Chicago
Mercantile Exchange trades E-mini S&P500 futures contracts with expiration
dates in March, June, September and December of each year.
E-mini S&P 500 futures contracts differ from the futures contractsdescribed
below under "-Futures Contracts Generally" in that E-mini S&P 500 futures
contracts are cash settled only,meaning that the 500 stocks composing the S&P
500 Index are not actually delivered upon settlement of the futures contract.
Therefore,the E-mini S&P 500 futures contracts are not contracts to actually
buy and sell the stocks in the S&P 500 Index. In all otherrelevant respects,
however - including daily "mark to market" and realization of gains or losses
based on the differencebetween the current settlement price and the initial
futures price - the E-mini S&P 500 futures contracts are similar to
thosedescribed below under "-Futures Contracts Generally."
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11
Citigroup Global Markets Holdings Inc.
Futures Contracts Generally
Generally speaking, a futures contract is an agreement to buy or sellan
underlying asset on a future expiration date at a price that is agreed upon
today. If the underlying asset is worth more on the expirationdate than the
price specified in the futures contract, then the purchaser of that contract
will achieve a gain on that contract, and ifit is worth less, the purchaser
will incur a loss.
For example, suppose that a futures contract entered into in Januarycalls for
the purchaser to buy the underlying asset in April at a price of $1,000. If
the underlying asset is worth $1,200 in April, thenupon settlement of the
futures contract in April the purchaser will buy for $1,000 an underlying
asset worth $1,200, achieving a $200gain. Conversely, if the underlying asset
is worth $800 in April, then upon settlement of the futures contract in April
the purchaserwill buy for $1,000 an underlying asset worth only $800,
incurring a $200 loss.
The gain or loss to the purchaser of this futures contract is differentfrom
the gain or loss that could have been achieved by the direct purchase of the
underlying asset in January and the sale of that underlyingasset in April.
This is because a futures contract is a "leveraged" way to invest in the
underlying asset. In other words,purchasing a futures contract is similar to
borrowing money to buy the underlying asset, in that (i) it enables an
investor to gain exposureto the underlying asset without having to pay the
full cost of it up front and (ii) it entails a financing cost.
This financing cost is implicit in the difference between the spot priceof the
underlying asset and the futures price. A "futures price" is the price at
which market participants may agree todayto buy or sell the underlying asset
in the future, and the "spot price" is the current price of the underlying
asset for immediatedelivery. The futures price is determined by market supply
and demand and is independent of the spot price, but it is nevertheless
generallyexpected that the futures price will be related to the spot price in
a way that reflects a financing cost (because if it did not do sothere would
be an opportunity for traders to make sure profits, known as "arbitrage"). For
example, if January's futuresprice is $1,000, January's spot price may be
$975. If the underlying asset is worth $1,200 in April, the gain on the
futures contractwould be $200 ($1,200 minus $1,000), while the gain on a
direct investment made at the January spot price would have been $225
($1,200minus $975). The lower return on the futures contract as compared to
the direct investment reflects this implicit financing cost. Becauseof this
financing cost, it is possible for a purchaser to incur a loss on a futures
contract even if the spot price of the underlyingasset increases over the term
of the futures contract. The amount of this financing cost is expected to
increase as general market interestrates increase.
Futures contracts are standardized instruments that are traded on anexchange.
On each trading day, the exchange determines a settlement price (which may
also be referred to as a closing price) for thatfutures contract based on the
futures prices at which market participants entered into that futures contract
on that day. Open positionsin futures contracts are "marked to market" and
margin is required to be posted on each trading day. This means that, on
eachtrading day, the current settlement price for a futures contract is
compared to the futures price at which the purchaser entered intothat futures
contract. If the current settlement price has decreased from the initial
futures price, then the purchaser will be requiredto deposit the decrease in
value of that futures contract into an account. Conversely, if the current
settlement price has increased,the purchaser will receive that cash value in
its account. Accordingly, gains or losses on a futures contract are
effectively realizedon a daily basis up until the point when the position in
that futures contract is closed out.
Because futures contracts have expiration dates, one futures contractmust be
rolled into another if there is a desire to maintain a continuous position in
futures contracts on (rather than take deliveryof) a particular underlying
asset. This is typically achieved by closing out the position in the existing
futures contract as its expirationdate approaches and simultaneously entering
into a new futures contract (at a new futures price based on the futures price
then prevailing)with a later expiration date.
Comparison of Historical S&P 500 Futures Excess Return IndexPerformance
Against Historical S&P 500
(R)
Index Performance
The following graph sets forth a comparison of the historical performanceof
the S&P 500 Futures Excess Return Index against the historical performance of
the S&P 500
(R)
Index from January2, 2013 through November 6, 2023, each normalized to have a
closing value of 100.00 on January 2, 2013 to facilitate a comparison.
Theperformance of the S&P 500
(R)
Index shown below is its price return performance - i.e., its performance
withoutreflecting dividends. The total return performance of the S&P 500
(R)
Index (i.e., its performance reflectingdividends) would be greater than the
price return performance shown below.
In the graph below, references to "SPXFP" are to the S&P500 Futures Excess
Return Index and references to "SPX" are to the S&P 500
(R)
Index.
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Citigroup Global Markets Holdings Inc.
PAST PERFORMANCE OF THE S&P 500 FUTURESEXCESS RETURN INDEX AND RELATIVE
PERFORMANCE BETWEEN THE S&P 500 FUTURES EXCESS RETURN INDEX AND THE S&P 500
(R)
INDEXARE NOT INDICATIVE OF FUTURE PERFORMANCE
Using the historical performance information from the graph above, thetable
below shows the annualized (annually compounded) performance of the S&P 500
Futures Excess Return Index as compared to the S&P500
(R)
Index for the last year, the last three years and the last five years, each as
of November 6, 2023.
S&P 500 Futures Excess Return Index S&P 500 Index
Last 1 Year 10.63% 14.73%
Last 3 Years 6.70% 7.55%
Last 5 Years 9.14% 9.64%
License Agreement
S&P Dow Jones and Citigroup Global Markets Inc. have entered intoa
non-exclusive license agreement providing for the license to Citigroup Inc.
and its other affiliates, in exchange for a fee, of theright to use indices
owned and published by S&P Dow Jones in connection with certain financial
products, including the securities."Standard & Poor's" and "S&P" are
trademarks of Standard & Poor's Financial Services LLC("S&P"). "Dow Jones" is
a registered trademark of Dow Jones Trademark Holdings, LLC ("Dow
Jones").Trademarks have been licensed to S&P Dow Jones and have been licensed
for use by Citigroup Inc. and its affiliates.
The license agreement between S&P Dow Jones and Citigroup GlobalMarkets Inc.
provides that the following language must be stated in this pricing supplement:
"The securities are not sponsored, endorsed, sold or promotedby S&P Dow Jones,
Dow Jones, S&P or their respective affiliates (collectively, "S&P Dow Jones
Indices"). S&PDow Jones Indices make no representation or warranty, express or
implied, to the holders of the securities or any member of the publicregarding
the advisability of investing in securities generally or in the securities
particularly. S&P Dow Jones Indices' onlyrelationship to Citigroup Inc. and
its affiliates (other than transactions entered into in the ordinary course of
business) is the licensingof certain trademarks, trade names and service marks
of S&P Dow Jones Indices and of the S&P 500 Futures Excess Return Index,which
is determined, composed and calculated by S&P Dow Jones Indices without regard
to Citigroup Inc., its affiliates or the securities.S&P Dow Jones Indices have
no obligation to take the needs of Citigroup Inc., its affiliates or the
holders of the securities intoconsideration in determining, composing or
calculating the S&P 500 Futures Excess Return Index. S&P Dow Jones Indices are
notresponsible for and have not participated in the determination of the
timing of, prices at or quantities of the securities to be issuedor in the
determination or calculation of the equation by which the securities are to be
converted into cash. S&P Dow Jones Indiceshave no obligation or liability in
connection with the administration, marketing or trading of the securities.
S&P DOW JONES INDICES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESSOF
THE S&P 500 FUTURES EXCESS RETURN INDEX OR ANY DATA INCLUDED THEREIN AND S&P
DOW JONES INDICES SHALL HAVE NO LIABILITY FORANY ERRORS, OMISSIONS, OR
INTERRUPTIONS THEREIN. S&P DOW JONES INDICES MAKE NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINEDBY CITIGROUP INC., HOLDERS OF THE
SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 FUTURES
EXCESS RETURN INDEXOR ANY DATA INCLUDED THEREIN. S&P DOW JONES INDICES MAKE NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES,OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE
S&P 500 FUTURES EXCESS RETURN INDEX OR ANY DATAINCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P DOW JONES INDICES HAVE
ANY LIABILITY FOR ANY LOST PROFITSOR INDIRECT, PUNITIVE, SPECIAL OR
CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE
NO THIRD PARTY BENEFICIARIESOF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW
JONES INDICES AND CITIGROUP INC."
PS-
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