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, 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-USNCH19561
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-270327 and 333-270327-01
Bearish Buffer Securities Linked to the S&P500
(R)
Index Due December 5, 2024
▪ The securities offered by this pricing supplement are unsecureddebt
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 paymentat maturity that may
be greater than, equal to or less than the stated principal amount,
depending on the inverse performance of theunderlying specified below
from the initial underlying value to the final underlying value.
▪ The securities offer modified inverse
exposure to the performanceof
the underlying,
which means that you will receive a positive return at maturity
only if theunderlying depreciates and may incur a loss at maturity
if the underlying appreciates. If the underlying depreciates, the
securitiesoffer modified exposure to the absolute value of that
depreciation at the participation rate specified below, subject to
the maximumreturn at maturity specified below. If the underlying
appreciates, but not by more than the buffer percentage specified
below, you willbe repaid the stated principal amount of your securities
. In exchange for these features,
investors in the securities must
bewilling to forgo any depreciation
of the underlying in excess
of the maximum return at maturity
specified below and must be
willing toforgo any dividends
with respect to the underlying.
If the underlying appreciates by more
than the buffer percentage from the
initialunderlying value to the final
underlying value, you will lose 1% of the
stated principal amount of your securities
for every 1% by whichthat appreciation
exceeds the buffer percentage, subject
to the minimum payment at maturity.
▪ In order to obtain the modified inverse exposure to the underlyingthat the
securities provide, investors must be willing to accept (i) an investment that
may have limited or no liquidity and (ii) therisk of not receiving any amount
due under the securities if we and Citigroup Inc. default on our obligations.
All payments on thesecurities
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
(R)
Index
Stated principal amount: $1,000 per security
Pricing date: November 29, 2023
Issue date: December 4, 2023
Valuation date: December 2, 2024, subject to postponement if such date is not a
scheduled trading day or certain market disruption events occur
Maturity date: December 5, 2024
Payment at maturity: You will receive at maturity for each security you then hold:
(s)
Ifthe final underlying value is
less than
the initial underlying value:
$1,000 + the return amount , subject
to the maximumreturn at maturity
(s)
Ifthe final underlying value is
greater than or equal to
the initial underlying value but
less than or equal to
the finalbuffer value:
$1,000
(s)
If the final underlying value is
greater than
the final buffer value:
$1,000 - [$1,000 x (the underlying return - thebuffer
percentage)], subject to the minimum payment at maturity
If the final underlying value is greater than the
final buffervalue, which means that the underlying
has appreciated from the initial underlying
value by more than the buffer percentage, you
willlose 1% of the stated principal amount of
your securities at maturity for every 1% by which
that appreciation exceeds the buffer
percentage,subject to the minimum payment at maturity.
Initial underlying value: , the closing value of the underlying on the pricing date
Final underlying value: The closing value of the underlying on the valuation date
Return amount: $1,000 x the absolute value of the
underlying return x the participation rate
Participation rate: 300.00%
Underlying return: (i) The final underlying value
minus
the initial underlying value,
divided by
(ii) the initial underlying value
Minimum payment at maturity: $100.00 per security (10.00% of the stated principal amount).
Maximum return at maturity: The maximum return at maturity will
be determined on the pricing date and
will be at least $230.00 per security
(at least 23.00% of the stated
principal amount). The payment at
maturity per security will not exceed
the stated principal amount plus the maximum return at maturity.
Final buffer value: , 110.00% of the initial underlying value
Buffer percentage: 10.00%
Listing: The securities will not be listed on any securities exchange
CUSIP / ISIN: 17291TGZ5 / US17291TGZ57
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 $20.00 $980.00
Total: $ $ $
(1) Citigroup Global Markets HoldingsInc. currently expects that the estimated
value of the securities on the pricing date will be at least $919.00 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 $20.00 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.
Investing in the securities involves risks not associated with aninvestment in
conventional debt securities. See "Summary Risk Factors" beginning on page
PS-6.
Neither the Securities and Exchange Commissionnor any state securities
commission has approved or disapproved of the securities or determined that
this pricing supplement and theaccompanying product supplement, underlying
supplement, prospectus supplement and prospectus are truthful or complete. Any
representationto the contrary is a criminal offense.
You should read this pricing supplement togetherwith the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus, which
can be accessed via thehyperlinks below:
ProductSupplement No. EA-02-10 dated March 7, 2023
UnderlyingSupplement No. 11 dated March 7, 2023
Prospectus Supplement and Prospectus each dated March 7, 2023
The securities are not bank deposits and arenot 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 set forth in the accompanying productsupplement,
prospectus supplement and prospectus, as supplemented by this pricing
supplement. The accompanying product supplement, prospectussupplement and
prospectus contain important disclosures that are not repeated in this pricing
supplement. For example, the accompanyingproduct supplement contains important
information about how the closing value of the underlying will be determined
and about adjustmentsthat may be made to the terms of the securities upon the
occurrence of market disruption events and other specified events with
respectto the underlying (except as set forth in the next paragraph). The
accompanying underlying supplement contains information about the
underlyingthat is not repeated in this pricing supplement. It is important
that you read the accompanying product supplement, underlying supplement,prospec
tus supplement and prospectus together with this pricing supplement in
deciding whether to invest in the securities. Certain termsused but not
defined in this pricing supplement are defined in the accompanying product
supplement.
PS-
2
Citigroup Global Markets Holdings Inc.
Payout Diagram
The diagram below illustrates your payment at maturity for a range
ofhypothetical underlying returns. The diagram assumes that the maximum return
at maturity will be set at the lowest value indicated onthe cover page of this
pricing supplement. The actual maximum return at maturity will be determined
on the pricing date.
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
The Securities n
The Underlying
PS-
3
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.The actual 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 buffer value. For the
actual initial underlying value and final buffer value,see the cover page of
this pricing supplement. We have used these hypothetical values, rather than
the actual values, to simplify thecalculations and aid understanding of how
the securities work. However, you should understand that the actual payment at
maturity on thesecurities will be calculated based on the actual initial
underlying value and final buffer value, and not the hypothetical values
indicatedbelow. For ease of analysis, figures below have been rounded. The
examples below assume that the maximum return at maturity will be setat the
lowest value indicated on the cover page of this pricing supplement. The
actual maximum return at maturity will be determined onthe pricing date.
Hypothetical initial underlying value: 100.00
Hypothetical final buffer value: 110.00 (110.00% of the hypothetical initial underlying value)
Example 1-Upside Scenario A.
The final underlying valueis 95.00, resulting in a -5.00% underlying return.
In this example, the final underlying value is
less than
the initial underlyingvalue.
Payment at maturity per security = $1,000 + the return amount, subjectto the
maximum return at maturity
= $1,000 + ($1,000 x the absolute value of the underlying returnx the
participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 x 5.00% x 300.00%), subject to the maximumreturn at maturity
= $1,000 + $150.00, subject to the maximum return at maturity
= $1,150.00
In this scenario, the underlying has depreciated from the initial
underlyingvalue to the final underlying value, and your total return at
maturity would equal the absolute value of the underlying return
multipliedby
the participation rate, subject to the maximum return at maturity.
Example 2-Upside Scenario B.
The final underlying valueis 40.00, resulting in a -60.00% underlying return.
In this example, the final underlying value is
less than
the initial underlyingvalue.
Payment at maturity per security = $1,000 + the return amount, subjectto the
maximum return at maturity
= $1,000 + ($1,000 x the absolute value of the underlying returnx the
participation rate), subject to the maximum return at maturity
= $1,000 + ($1,000 x 60.00% x 300.00%), subject to themaximum return at maturity
= $1,000 + $1,800.00, subject to the maximum return at maturity
= $1,230.00
In this scenario, the underlying has depreciated from the initial
underlyingvalue to the final underlying value, but the underlying return
multiplied by
the participation rate would exceed the maximum returnat maturity. As a
result, your total return at maturity in this scenario would be limited to the
maximum return at maturity, and an investmentin the securities would
underperform a hypothetical alternative investment providing 1-to-1 exposure
to the depreciation of the underlyingwithout a maximum return.
Example 3-Par Scenario.
The final underlying value is 105.00,resulting in a 5.00% underlying return.
In this example, the final underlying value is
greater than
the initial underlying valuebut
less than
the final buffer value.
Payment at maturity per security = $1,000
In this scenario, the underlying has appreciated from the initial
underlyingvalue to the final underlying value, but not by more than the buffer
percentage. As a result, you would be repaid the stated principalamount of
your securities at maturity but would not receive any positive return on your
investment.
Example 4-Downside Scenario A.
The final underlying valueis 170.00, resulting in a 70.00% underlying return.
In this example, the final underlying value is
greater than
the final buffervalue.
Payment at maturity per security = $1,000 - [$1,000 x (the underlyingreturn -
the buffer percentage)], subject to the minimum payment at maturity
= $1,000 - [$1,000 x (70.00% - 10.00%)], subject to the minimumpayment at
maturity
= $1,000 - [$1,000 x 60.00%], subject to the minimum paymentat maturity
= $1,000 - $600.00, subject to the minimum payment at maturity
= $400.00
In this scenario, the underlying has appreciated from the initial
underlyingvalue to the final underlying value by more than the buffer
percentage. As a result, your total return at maturity in this scenario
wouldbe negative and would reflect 1-to-1 inverse exposure to the positive
performance of the underlying beyond the buffer percentage, subjectto the
minimum payment at maturity.
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4
Citigroup Global Markets Holdings Inc.
Example 5-Downside Scenario B.
The final underlying valueis 220.00, resulting in a 120.00% underlying return.
In this example, the final underlying value is
greater than
the final buffervalue.
Payment at maturity per security = $1,000 - [$1,000 x (the underlyingreturn -
the buffer percentage)], subject to the minimum payment at maturity
= $1,000 - [$1,000 x (120.00% - 10.00%)], subject to the minimumpayment at
maturity
= $1,000 - [$1,000 x 110.00%], subject to the minimum paymentat maturity
= $1,000 - $1,100.00, subject to the minimum payment at maturity
= $100.00
In this scenario, the underlying has appreciated from the initial
underlyingvalue to the final underlying value by more than the buffer
percentage. As a result, your total return at maturity in this scenario
wouldbe negative and would reflect 1-to-1 inverse exposure to the positive
performance of the underlying beyond the buffer percentage, subjectto the
minimum payment at maturity.
PS-
5
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 who are capableof understanding the complexities and risks of
the securities. You should consult your own financial, tax and legal advisors
as to therisks 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 investment in thesecurities contained in
the section "Risk Factors Relating to the Securities" beginning on page EA-7
in the accompanying productsupplement. You should also carefully read the risk
factors included in the accompanying prospectus supplement and in the
documents incorporatedby reference in the accompanying prospectus, including
Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequentQuarte
rly Reports on Form 10-Q, which describe risks relating to the business of
Citigroup Inc. more generally.
(s) You may lose some of your investment.
Unlike conventional debt securities, the securities do not repay
a fixed amount of principalat maturity. Instead, your payment
at maturity will depend on the inverse performance of the
underlying. If the underlying appreciatesby more than the buffer
percentage from the initial underlying value to the final underlying
value, you will lose 1% of the stated principalamount of your
securities for every 1% by which that appreciation exceeds the
buffer percentage, subject to the minimum payment at maturity.
(s) Your potential return on
the securities is limited.
Your potential total return on the securities at maturity is limited tothe maximum return at maturity, even if the
underlying depreciates by significantly more than the maximum return at maturity. If the underlyingdepreciates by more
than the maximum return at maturity, the securities will underperform an alternative investment providing 1-to-1
inverseexposure to the performance of the underlying. When lost dividends are taken into account, the securities may
underperform an alternativeinvestment providing 1-to-1 inverse exposure to the performance of the underlying even if the
underlying depreciates by less than themaximum return at maturity. In addition, the maximum return at maturity reduces
the effect of the participation rate for all final underlyingvalues less than the final underlying value at which, by
multiplying the corresponding underlying return by the participation rate, themaximum return at maturity is reached.
(s) The securities provide inverse (bearish)
exposure to the performance of the underlying.
Because the securities provide inverse(bearish) exposure to the performance of the underlying, your return
on the securities will not benefit from any appreciation of the underlyingover the term of the securities.
(s) 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.
(s) You will not receive dividends or have any
other rights with respect to the underlying.
You will not receive any dividendswith respect to the underlying. This lost dividend yield may be significant
over the term of the securities. The payment scenarios describedin this pricing supplement do not show
any effect of such lost dividend yield over the term of the securities. In addition, you will nothave
voting rights or any other rights with respect to the underlying or the stocks included in the underlying.
(s) Your payment at maturity
depends on the closing
value of the underlying on a single day.
Because your payment at maturity dependson the closing value of the
underlying solely on the valuation date, you are subject to the risk that
the closing value of the underlyingon that day may be higher, and
possibly significantly higher, than on one or more other dates during the
term of the securities. If youhad invested in another instrument linked
to the underlying that you could sell for full value at a time selected
by you, or if the paymentat maturity were based on an average of closing
values of the underlying, you might have achieved better returns.
(s) 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.
(s) 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.
(s) 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, structuring and hedgingthe securities
that are included in the issue price. These costs include (i) any selling concessions or other fees paid in
connectionwith the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates
in connection with the offering ofthe securities and (iii) the expected profit (which may be more or less than
actual profit) to CGMI or other of our affiliates in connectionwith hedging our obligations under the securities.
These costs adversely affect the economic terms of the securities because, if theywere lower, the economic
terms of the securities would be more favorable to you. The economic terms of the securities are also likelyto
be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
PS-
6
Citigroup Global Markets Holdings Inc.
the securities. See "The estimatedvalue of the securities would be lower if it
were calculated based on our secondary market rate" below.
(s) 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.
(s) The estimated value of the
securities would be lower if
it were calculated based on
our secondary market rate.
The estimatedvalue of the securities included in this pricing supplement is calculated based on our internal funding rate,
which is the rate at whichwe are willing to borrow funds through the issuance of the securities. Our internal funding
rate is generally lower than our secondarymarket rate, which is the rate that CGMI will use in determining the value
of the securities for purposes of any purchases of the securitiesfrom 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 costsassociated
with the securities, which are generally higher than the costs associated with conventional debt securities, and our
liquidityneeds 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 instrumentsreferencing our
outstanding debt obligations, CGMI determines our secondary market rate based
on the market price of traded instrumentsreferencing the debt obligations of
Citigroup Inc., our parent company and the guarantor of all payments due on
the securities, but subjectto adjustments that CGMI makes in its sole
discretion. As a result, our secondary market rate is not a market-determined
measure of ourcreditworthiness, but rather reflects the market's perception of
our parent company's creditworthiness as adjusted for discretionaryfactors
such as CGMI's preferences with respect to purchasing the securities prior to
maturity.
(s) 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 of the securitiesbased on the market and other factors
described in the next risk factor. Moreover, unlike the estimated value included in this pricingsupplement,
any value of the securities determined for purposes of a secondary market transaction will be based on our
secondary marketrate, which will likely result in a lower value for the securities than if our internal
funding rate were used. In addition, any secondarymarket price for the securities will be reduced by a bid-ask
spread, which may vary depending on the aggregate stated principal amountof 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.
(s) 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.
(s) 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 temporary upwardadjustment will steadily decline to zero over the
temporary adjustment period. See "Valuation of the Securities" in this pricingsupplement.
(s) Our offering of the securities is not a
recommendation of bearish
exposure to the underlying.
The fact that we are offeringthe securities does not mean that we believe that investing
in an instrument linked inversely to the underlying is likely to achieve favorablereturns.
In fact, as we are part of a global financial institution, our affiliates may have
positions (including long and short positions)in the underlying or in instruments
related to the underlying, and may publish research or express opinions, that in each
case are inconsistentwith an investment linked inversely to the underlying. These
and other activities of our affiliates may affect the closing value of theunderlying
in a way that negatively affects the value of and your return on the securities.
(s) 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.
(s) We and our affiliates may have
economic interests that are adverse
to yours as a result of our
affiliates' business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include
extending loans, making and facilitatinginvestments, underwriting securities offerings and providing
advisory services. These activities could involve or affect the underlyingin a way that negatively
affects the value of and your return on the securities. They could also result in substantial returns
PS-
7
Citigroup Global Markets Holdings Inc.
for us or our affiliates while the valueof the securities declines. In
addition, in the course of this business, we or our affiliates may acquire
non-public information, whichwill not be disclosed to you.
(s) 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.In making 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-The calculationagent, which is an affiliate of ours, will make important
determinations with respect to the securities" in the accompanying productsupplement.
(s) Changes that affect the underlying may
affect the value of your securities.
The sponsor of the underlying may at any time makemethodological changes or other changes in the manner in
which it operates that could affect the value of the underlying. We are not affiliatedwith the underlying
sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could
adverselyaffect the performance of the underlying and the value of and your return on the securities.
(s) The U.S. federal tax consequences
of an investment in th
e securities ar
eunclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the
securities, and we do not planto request a ruling from the Internal Revenue Service (the "IRS").
Consequently, significant aspects of the tax treatmentof the securities are uncertain, and the IRS
or a court might not agree with the treatment of the securities as prepaid financial contractsthat
are "open transactions." If the IRS were successful in asserting an alternative treatment of the
securities, the taxconsequences 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 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 consult yourtax 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.
Information About the S&P 500
(R)
Index
The S&P 500
(R)
Index consists of the common stocksof 500 issuers selected to provide a
performance benchmark for the large capitalization segment of the U.S. equity
markets. It is calculatedand maintained by S&P Dow Jones Indices LLC.
Please refer to the section "Equity Index Descriptions-TheS&P U.S. Indices" in
the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500
(R)
Index from publicly available information and have not independently verified
any information regarding the S&P 500
(R)
Index. This pricing supplement relates only to the securities and not to the
S&P 500
(R)
Index. We make no representationas to the performance of the S&P 500
(R)
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
(R)
Index is not involved in any way in this offeringand has no obligation
relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500
(R)
Index on November6, 2023 was 4,365.98.
The graph below shows the closing value of the S&P 500
(R)
Index for each day such value was available from January 2, 2013 to November
6, 2023. We obtained the closing values from Bloomberg L.P.,without
independent verification. You should not take historical closing values as an
indication of future performance.
S&P 500
(R)
Index - Historical Closing Values
January 2, 2013 to November 6, 2023
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9
Citigroup Global Markets Holdings Inc.
United States Federal Tax 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.
There are no statutory, judicial or administrative authorities thataddress the
U.S. federal income tax treatment of the securities or instruments that are
similar to the securities. In the opinion of ourcounsel, Davis Polk & Wardwell
LLP, it is more likely than not that a security will be treated as a prepaid
financial contract thatis an "open transaction" for U.S. federal income tax
purposes. By purchasing a security, you agree (in the absence of an
administrativedetermination or judicial ruling to the contrary) to this
treatment. There is uncertainty regarding this treatment, and the IRS or a
courtmight not agree with it. Moreover, our counsel's opinion is based on
market conditions as of the date of this preliminary pricingsupplement 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 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 loss if you heldthe security for more than one year
Please see the discussion under "United States Federal Tax Considerations-TaxCon
sequences to U.S. Holders-Securities Treated as Prepaid Forward Contracts" in
the accompanying product supplement for furtherdiscussion about the U.S.
federal income tax consequences of the ownership and disposition of the
securities.
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 "UnitedStates 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 dividendequivalents 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
substantiallyreplicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable
Treasuryregulations. In light of the fact that the payout on the securities is
inversely related to the performance of the underlying, paymenton the
securities to Non-U.S. Holders will not be subject to Section 871(m).
A determination that the securitiesare not subject to Section 871(m) is not
binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) iscomplex and its application may depend on your particular
circumstances, including your other transactions. You should consult your
taxadviser regarding the 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 that section,constitutes the full opinion of Davis Polk &
Wardwell LLP regarding the material U.S. federal tax consequences of owning
and disposingof 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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10
Citigroup Global Markets Holdings Inc.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and theunderwriter
of the sale of the securities, is acting as principal and will receive an
underwriting fee of up to $20.00 for each securitysold in this offering. The
actual underwriting fee will be equal to the selling concession provided to
selected dealers, as describedin this paragraph. From this underwriting fee,
CGMI will pay selected dealers not affiliated with CGMI a variable selling
concession ofup to $20.00 for each security they sell.
See "Plan of Distribution; Conflicts of Interest" in theaccompanying product
supplement and "Plan of Distribution" in each of the accompanying prospectus
supplement and prospectusfor additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on thecover
page of this pricing supplement based on proprietary pricing models. CGMI's
proprietary pricing models generated an estimatedvalue for the securities by
estimating the value of a hypothetical package of financial instruments that
would replicate the payout onthe securities, which consists of a fixed-income
bond (the "bond component") and one or more derivative instruments
underlyingthe economic terms of the securities (the "derivative component").
CGMI calculated the estimated value of the bond componentusing a discount rate
based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietaryderivative-pricing model, which
generated a theoretical price for the instruments that constitute the
derivative component based on variousinputs, including the factors described
under "Summary Risk Factors-The value of the securities prior to maturity will
fluctuatebased 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 ofthe
securities and the inputs to CGMI's proprietary pricing models. As of the date
of this preliminary pricing supplement, it isuncertain what the estimated
value of the securities will be on the pricing date because certain terms of
the securities have not yetbeen fixed and because it is uncertain what the
values of the inputs to CGMI's proprietary pricing models will be on the
pricingdate.
For a period of approximately three months following issuance of thesecurities,
the price, if any, at which CGMI would be willing to buy the securities from
investors, and the value that will be indicatedfor the securities on any
brokerage account statements prepared by CGMI or its affiliates (which value
CGMI may also publish through oneor 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
theterm of the securities. The amount of this temporary upward adjustment will
decline to zero on a straight-line basis over the three-monthtemporary
adjustment period. However, CGMI is not obligated to buy the securities from
investors at any time. See "Summary RiskFactors-The securities will not be
listed on any securities exchange and you may not 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-
11
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