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 FEBRUARY
1, 2023
| Citigroup Global Markets Holdings Inc. |
February
, 2023
Medium-Term Senior Notes, Series
N
Pricing Supplement No. 2023-USNCH[
]
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-255302
and 333-255302-03
|
Buffered PLUS Based on
a Basket of Three Underlyings Due August , 2025
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Overview
| ▪ | 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 a basket (the
“basket”) consisting of the EURO STOXX 50® Index, the Russell 2000® Index and the iShares®
MSCI Emerging Markets ETF, each a “basket component” or an “underlying,” from the initial basket value
to the final basket value. |
| ▪ | The securities offer leveraged exposure to a limited range of
potential appreciation of the basket and a limited buffer against the potential depreciation of the basket as described below. In
exchange for those features, investors in the securities must be willing to forgo (i) any appreciation of the basket in excess of the
maximum return at maturity specified below and (ii) any dividends that may be paid on the stocks that constitute the EURO STOXX 50®
Index, the Russell 2000® Index and any dividends or distributions by the iShares® MSCI Emerging Markets
ETF. In addition, investors in the securities must be willing to accept downside exposure to any depreciation of the basket
in excess of the 10.00% buffer amount. If the basket depreciates by more than the buffer amount from the pricing date to the valuation
date, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer amount. |
| ▪ | In order to obtain the modified exposure to the basket that
the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk
of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities
are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. |
| KEY TERMS |
|
| Issuer: |
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc. |
| Guarantee: |
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc. |
| Basket: |
Basket Component |
Weighting |
Initial Component Value* |
| |
EURO STOXX 50® Index (ticker symbol: “SX5E”) |
1/3 |
|
| |
iShares® MSCI Emerging Markets ETF (ticker symbol: “EEM”) |
1/3 |
$ |
| |
Russell 2000® Index (ticker symbol: “RTY”) |
1/3 |
|
| |
* The initial component value for each basket component will be its closing value on the pricing date |
| Aggregate stated principal amount: |
$ |
| Stated principal amount: |
$10.00 per security |
| Pricing date: |
February , 2023 (expected to be February 14, 2023) |
| Issue date: |
February , 2023 (expected to be February 17, 2023) |
| Valuation date: |
August , 2025 (expected to be August 14, 2025), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
| Maturity date: |
August , 2025 (expected to be August 19, 2025) |
| Payment at maturity: |
For each $10.00 stated principal amount security you hold at maturity:
▪ If the final basket value
is greater than the initial basket value:
$10.00 + ($10.00 × the leverage factor × the basket return), subject to the maximum return at maturity
▪ If the final basket value
is equal to or less than the initial basket value but greater than or equal to the final buffer level:
$10.00
▪ If the final basket value
is less than the final buffer level:
$10.00 + [$10.00 × (the basket return + the buffer amount)]
If the final basket value is less than the final buffer level, your
payment at maturity will be less, and possibly significantly less, than the $10.00 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 of your investment.
|
| Initial basket value: |
100 |
| Final basket value: |
100 × (1 + the sum of the weighted component returns of the basket components) |
| Final buffer level: |
90, 90.00% of the initial basket value |
| Weighted component return: |
For each basket component, its weighting multiplied by its component return |
| Component return: |
For each basket component: (final component value – initial component value) / initial component value |
| Final component value: |
For each basket component, its closing value on the valuation date. |
| Basket return: |
(i) The final basket value minus the initial basket value, divided by (ii) the initial basket value |
| Leverage factor: |
200% |
| Maximum return at maturity: |
$3.00 per security (30.00% of the stated principal amount). The payment at maturity per security will not exceed $10.00 plus the maximum return at maturity. |
| Buffer amount: |
10.00% |
| Listing: |
The securities will not be listed on any securities exchange. |
| CUSIP / ISIN: |
17331D402 / US17331D4025 |
| Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
| Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee |
Proceeds to issuer |
| Per security: |
$10.00 |
$0.25(2) |
$9.70 |
| |
|
$0.05(3) |
|
| Total: |
$ |
$ |
$ |
(1) Citigroup Global Markets Holdings Inc. currently expects that the
estimated value of the securities on the pricing date will be at least $9.035 per security, which will be less than the issue price. The
estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication
of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may
be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and
the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.30 for each $10.00 security
sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will
collectively receive from CGMI a fixed selling concession of $0.25 for each $10.00 security they sell. Additionally, it is
possible that CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management
by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below:
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Additional Information
General. The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement,
prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the
accompanying product supplement contains important information about how the closing value of each underlying will be determined and about
adjustments that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events
with respect to each underlying. The accompanying underlying supplement contains important disclosures regarding the basket components
that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus together with this pricing supplement before deciding whether to invest in the securities. Certain
terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of an underlying
on any date is (i) in the case of an underlying that is an underlying index, its closing level on such date and (ii) in the case of an
underlying that is an underlying ETF, the closing price of its underlying shares on such date, as provided in the accompanying product
supplement. The “underlying shares” of an underlying ETF are its shares that are traded on a U.S. national securities exchange.
Please see the accompanying product supplement for more information.
Dilution and Reorganization Adjustments. With respect to the
iShares® MSCI Emerging Markets ETF, its initial component value is a “Relevant Value” for purposes of the section
“Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Dilution
and Reorganization Adjustments” in the accompanying product supplement. Accordingly, the initial component value for the iShares®
MSCI Emerging Markets ETF is subject to adjustment upon the occurrence of any of the events described in that section.
Postponement of the valuation
date. If the valuation date is postponed for a reason that affects less than all of the basket components, the final basket
value will be calculated based on (i) for each unaffected basket component, its closing value on the originally scheduled valuation date
and (ii) for each affected basket component, its closing value on the valuation date as postponed (or, if earlier, the first scheduled
trading day for that basket component following the originally scheduled valuation date on which a market disruption event did not occur
with respect to that basket component). See “Description of the Securities—Consequences
of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product supplement.
Investment Summary
The securities can be used:
| ▪ | As an alternative to direct exposure to the basket components that enhances returns, subject to the maximum return at maturity, for
a limited range of potential appreciation of the basket; |
| ▪ | To enhance returns and potentially outperform the basket in a moderately bullish scenario; |
| ▪ | To obtain a limited buffer against the potential depreciation of the basket; and |
| ▪ | To achieve similar levels of upside exposure to the basket as a direct investment, subject to the maximum return at maturity, while
using fewer dollars by taking advantage of the leverage factor. |
If the basket depreciates by more than the buffer amount, the securities
are exposed on a 1-to-1 basis to the percentage decline by which that depreciation exceeds the buffer amount. Accordingly, investors may
lose a significant portion of their initial investment in the securities.
| Maturity: |
Approximately 2.5 years |
| Leverage factor: |
200%, subject to the maximum return at maturity. The leverage factor applies only if the final basket value is greater than the initial basket value. |
| Maximum return at maturity: |
$3.00 per security (30.00% of the stated principal amount) |
| Buffer amount: |
10.00% |
| Minimum payment at maturity: |
$1.00 per security (10.00% of the stated principal amount). Investors may lose up to 90.00% of the stated principal amount of the securities. |
| Interest: |
None |
Key Investment Rationale
The securities provide for the possibility of receiving a return at
maturity equal to 200% of the appreciation of the basket, provided that investors will not receive a payment at maturity in excess of
the maximum payment at maturity, which will be $13.00 per security. At maturity, if the basket has appreciated from the initial
basket value to the final basket value, investors will receive the stated principal amount of their investment plus the leveraged upside
performance of the basket, subject to the maximum return at maturity. If the basket has depreciated from the initial basket value
to the final basket value by no more than the buffer amount, the payment at maturity will be $10.00 per security. However, if the basket
has depreciated by more than the buffer amount from the initial basket value to the final basket value, investors will lose 1%
for every 1% by which that depreciation exceeds the buffer amount. Under these circumstances, the payment at maturity will be less, and
possibly significantly less, than the stated principal amount. Investors may lose up to 90% of the stated principal amount of the securities.
All payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
| Leveraged Upside Performance: |
The securities offer investors leveraged upside exposure to the appreciation of the basket within a limited range of positive performance. |
| Upside Scenario: |
If the final basket value is greater than the initial basket value, the payment at maturity for each security will be equal to the $10.00 stated principal amount plus the product of (i) the stated principal amount, (ii) the leverage factor and (iii) the basket return, subject to the maximum return at maturity. |
| Par Scenario: |
If the final basket value is equal to or less than the initial basket value but greater than or equal to the final buffer level, which means that the basket has depreciated by no more than 10.00% from its initial basket value, the payment at maturity will be $10.00 per security. |
| Downside Scenario: |
If the final basket value is less than the final buffer level, which means that the basket has depreciated by more than 10.00% from its initial basket value, you will lose 1% for every 1% by which that depreciation exceeds the buffer amount (e.g., a 50% depreciation in the basket will result in a payment at maturity of $6.00 per security). The minimum payment at maturity is $1.00 per security. Accordingly, investors may lose a significant portion of their initial investment. |
Hypothetical Examples
The diagram below illustrates your payment at maturity for a range of
hypothetical basket returns.
Investors in the securities will not receive any dividends that may
be paid on the iShares® MSCI Emerging Markets ETF or the stocks included in the basket components. The diagram and examples
below do not show any effect of lost dividend yield over the term of the securities. See “Summary Risk Factors— Investing
in the securities is not equivalent to investing in the basket components or the stocks included in or held by the basket components”
below.
Buffered PLUS
Payment at Maturity Diagram |
 |
| n The Securities |
n The Basket |
The examples below are based on the hypothetical initial basket value
of 100.00 and do not reflect the actual initial basket value. For the actual initial basket value, see the cover page of this pricing
supplement. We have used this hypothetical value, rather than the actual value, to simplify the calculations and aid understanding of
how the securities work. However, you should understand that the actual payment at maturity on the securities will be calculated based
on the actual initial basket value and not the hypothetical value indicated below. For ease of analysis, figures below may have been rounded.
Example 1—Upside Scenario A. The hypothetical final basket
value is 105.00 (a 5.00% increase from the hypothetical initial basket value), which is greater than the hypothetical initial basket
value.
| Basket Component |
Hypothetical Component Return |
Weighting |
Hypothetical Weighted Component Return (Hypothetical Component Return times Weighting) |
| EURO STOXX 50® Index |
5% |
1/3 |
1.67% |
| iShares® MSCI Emerging Markets ETF |
5% |
1/3 |
1.67% |
| Russell 2000® Index |
5% |
1/3 |
1.67% |
| Sum of hypothetical weighted component returns: |
5.00% |
| Hypothetical final basket value |
= 100 × (1 + sum of hypothetical weighted component returns) |
| |
= 100 × (1 + 5.00%) |
| |
= 100 × 1.05 |
| |
= 105.00 |
Payment at maturity per security = $10.00 + ($10.00 × the leverage
factor × the basket return), subject to the maximum return at maturity of $3.00 per security
= $10 + ($10 × 200% × 5.00%), subject to the maximum return
at maturity of $3.00 per security
= $10 + $1.00, subject to the maximum return at maturity of $3.00 per
security
= $11.00
Because the basket appreciated from the hypothetical initial basket
value to the hypothetical final basket value and the basket return multiplied by the leverage factor is less than the maximum return
at maturity, your total return at maturity in this scenario would be 10%.
Example 2—Upside Scenario B. The hypothetical final basket
value is 150.00 (a 50.00% increase from the hypothetical initial basket value), which is greater than the hypothetical initial
basket value.
| Basket Component |
Hypothetical Component Return |
Weighting |
Hypothetical Weighted Component Return (Hypothetical Component Return times Weighting) |
| EURO STOXX 50® Index |
110% |
1/3 |
36.67% |
| iShares® MSCI Emerging Markets ETF |
35% |
1/3 |
11.67% |
| Russell 2000® Index |
5% |
1/3 |
1.67% |
| Sum of hypothetical weighted component returns: |
50.00% |
| |
|
|
|
|
| Hypothetical final basket value |
= 100 × (1 + sum of hypothetical weighted component returns) |
| |
= 100 × (1 + 50.00%) |
| |
= 100 × 1.5 |
| |
= 150.00 |
Payment at maturity per security = $10.00 + ($10.00 × the leverage
factor × the basket return), subject to the maximum return at maturity of $3.00 per security
= $10 + ($10 × 200% × 50.00%), subject to the maximum return
at maturity of $3.00 per security
= $10 + $10.00, subject to the maximum return at maturity of $3.00 per
security
= $13.00
Because the basket appreciated from the hypothetical initial basket
value to the hypothetical final basket value and the basket return multiplied by the leverage factor is greater than the maximum
return at maturity, your payment at maturity in this scenario would equal the maximum payment at maturity of $13.00 per security. In this
scenario, an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation
of the basket without a maximum return.
Example 3—Par Scenario. The hypothetical final basket value
is 95.00 (a 5.00% decrease from the hypothetical initial basket value), which is less than the hypothetical initial basket value
by an amount that is less than the buffer amount of 10.00%.
| Basket Component |
Hypothetical Component Return |
Weighting |
Hypothetical Weighted Component Return (Hypothetical Component Return times Weighting) |
| EURO STOXX 50® Index |
0% |
1/3 |
0.00% |
| iShares® MSCI Emerging Markets ETF |
-10% |
1/3 |
-3.33% |
| Russell 2000® Index |
-5% |
1/3 |
-1.67% |
| Sum of hypothetical weighted component returns: |
-5.00% |
| |
|
|
|
|
| Hypothetical final basket value |
= 100 × (1 + sum of hypothetical weighted component returns) |
| |
= 100 × (1 + -5.00%) |
| |
= 100 × 0.95 |
| |
= 95.00 |
Payment at maturity per security = $10
Because the basket did not depreciate from the hypothetical initial
basket value to the hypothetical final basket value by more than the 10.00% buffer amount, your payment at maturity in this scenario would
be equal to the $10 stated principal amount per security.
Example 4—Downside Scenario. The hypothetical final basket
value is 30.00 (a 70.00% decrease from the hypothetical initial basket value), which is less than the hypothetical initial basket
value by an amount that is more than the buffer amount of 10.00%.
| Basket Component |
Hypothetical Component Return |
Weighting |
Hypothetical Weighted Component Return (Hypothetical Component Return times Weighting) |
| EURO STOXX 50® Index |
-100% |
1/3 |
-33.33% |
| iShares® MSCI Emerging Markets ETF |
-45% |
1/3 |
-15.00% |
| Russell 2000® Index |
-65% |
1/3 |
-21.67% |
| Sum of hypothetical weighted component returns: |
-70.00% |
| |
|
|
|
|
| Hypothetical final basket value |
= 100 × (1 + sum of hypothetical weighted component returns) |
| |
= 100 × (1 + -70.00%) |
| |
= 100 × 0.30 |
| |
= 30.00 |
Payment at maturity per security = $10.00 + [$10.00 × (the basket
return + the buffer amount)]
= $10.00 + [$10.00 × (-70.00% + 10.00%)]
= $10.00 + [$10.00 × (-60.00%)]
= $10.00 + -$6.00
= $4.00
Because the basket depreciated from the hypothetical initial basket
value to the hypothetical final basket value by more than the 10.00% buffer amount, your payment at maturity in this scenario would reflect
1-to-1 exposure to the negative performance of the basket beyond the 10.00% buffer amount.
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional
debt securities that are 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 basket components. Accordingly, the securities are appropriate
only for investors who are capable of understanding the complexities and risks of the securities. You should consult your own
financial, tax and legal advisors as to the risks of an investment in the securities and the appropriateness of the securities in light
of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 in the accompanying
product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and
in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report
on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
| ▪ | You may lose up to 90.00% of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount
of principal at maturity. Instead, your payment at maturity will depend on the performance of the basket. If the basket depreciates by
more than the buffer amount, you will lose 1% of the stated principal amount of the securities for every 1% by which that depreciation
exceeds the buffer amount. |
| ▪ | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts
prior to maturity. You should not invest in the securities if you seek current income during the term of the securities. |
| ▪ | Your potential return on the securities is limited. Your potential total return on the
securities at maturity is limited to the maximum return at maturity of 30.00%, which is equivalent to a maximum return at maturity of
$3.00 per security and would result in a maximum payment at maturity of $13.00 per security.
Taking into account the leverage factor, any increase in the final basket value over the initial basket value by more than 15.00% will
not increase your return on the securities and will progressively reduce the effective amount of leverage provided by the securities.
|
| ▪ | Investing in the securities is not equivalent to investing in the basket components or the stocks included in or held by the basket
components. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to
the basket components or the stocks included in the basket components. The payment scenarios described in this pricing supplement do not
show any effect of lost dividend yield over the term of the securities. |
| ▪ | Your payment at maturity depends on the closing values of the basket components on a single day. Because your payment at maturity
depends on the closing values of the basket components solely on the valuation date, you are subject to the risk that the closing values
on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you
had invested in another instrument linked to the basket components that you could sell for full value at a time selected by you, or if
the payment at maturity were based on an average of closing values of the basket components over the term of the securities, 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 on
our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you
under the securities. |
| ▪ | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently
intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily
basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that
price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for
any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely
that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared
to hold the securities until maturity. |
| ▪ | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding
rate, will be less than the issue price. The difference is attributable to certain costs associated with selling, structuring and
hedging the securities that are included in the issue price. These costs include (i) the selling concessions and structuring fees paid
in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the
offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because,
if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also
likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities.
See “The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below. |
| ▪ | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have
made discretionary judgments about the inputs to its models, such as the volatility of the basket components, the correlation among the
basket components, dividend yields on the iShares® MSCI Emerging Markets ETF and the stocks that constitute the EURO STOXX
50® Index and the Russell 2000® Index and interest rates. CGMI’s views on these inputs may differ
from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our
affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities
because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the
initial estimated value. |
| ▪ | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not
bear interest. |
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of
traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the
securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not
a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| ▪ | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| ▪ | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the values and volatility of the basket components and a number of other factors, including
the price and volatility of the basket components, the correlation among the basket components,
the dividend yields on the basket components or the stocks included in the basket components, interest rates generally,
the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate.
Changes in the values of the basket components may not result in a comparable change in the value of your securities. You should understand
that the value of your securities at any time prior to maturity may be significantly less than the issue price. |
| ▪ | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement. |
| ▪ | The basket components may offset each other. The performance of one basket component may not correlate with the performance
of the other basket components. If one of the basket components appreciates, the other basket components may not appreciate
as much or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly offset
or more than offset by lesser appreciation or by depreciation in the value of one or more of the other basket components. |
| ▪ | The basket components may be highly correlated in decline. If the basket components become
correlated in decline, the depreciation of one basket component will not be offset by the performance of the other basket components and,
in fact, each basket component may contribute to an overall decline from the initial basket value to the final basket value. |
| § | The EURO STOXX 50® Index and the iShares® MSCI Emerging Markets
ETF are subject to risks associated with non-U.S. markets. Investments in securities linked to the value of non-U.S. stocks involve
risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention
in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further,
non-U.S. companies |
are
generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules that are different
from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and
currency exchange laws. Moreover, the economies in such countries may differ favorably or unfavorably from the economy of the United States
in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
| § | The performance of the EURO STOXX 50® Index will not be adjusted for changes
in the exchange rate between the euro and the U.S. dollar. The EURO STOXX 50® Index is composed of stocks traded in
euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance
of the EURO STOXX 50® Index and the value of your securities will not be adjusted for exchange rate fluctuations. If
the euro appreciates relative to the U.S. dollar over the term of the securities, your return on the securities will underperform an alternative
investment that offers exposure to that appreciation in addition to the change in the value of the EURO STOXX 50® Index. |
| ▪ | Investing in the securities exposes investors to risks associated with emerging markets equity securities. The stocks included
in the iShares® MSCI Emerging Markets ETF and that are generally tracked by its underlying index have been issued by companies
in various emerging markets. Investments linked to the value of foreign equity securities involve risks associated with the securities
markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings
in companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S.
companies that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities in foreign
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws. Countries with emerging markets may have relatively unstable governments,
present the risks of nationalization of businesses, have restrictions on foreign ownership and prohibitions on the repatriation of assets
and have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based
on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer from extreme and volatile debt
burdens or inflation rates. Local securities markets may trade a small number of securities and be unable to respond effectively to increases
in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such
countries may differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product,
rate of inflation, capital reinvestment, resources and self-sufficiency. |
| ▪ | Fluctuations in exchange rates will affect the price of the iShares® MSCI Emerging Markets ETF. Because
the iShares® MSCI Emerging Markets ETF invests in stocks that are traded in non-U.S. currencies, while the net asset value
of the iShares® MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, holders of the securities
will be exposed to currency exchange rate risk with respect to each of the currencies in which those stocks trade. If the U.S.
dollar generally strengthens against the currencies in which those stocks trade, the price of the shares of the iShares®
MSCI Emerging Markets ETF will be adversely affected for that reason alone and the payment at maturity on the securities may be reduced. |
Exchange rate movements for a particular currency are volatile
and are the result of numerous factors specific to the relevant country, including the supply of, and the demand for, those currencies,
as well as government policy, intervention or actions, but are also influenced significantly from time to time by political or economic
developments, and by macroeconomic factors and speculative actions related to each applicable region. An investor’s net
exposure will depend on the extent to which the currencies of the applicable countries strengthen or weaken against the U.S. dollar and
the relative weight of each currency. Of particular importance to potential currency exchange risk are: existing and expected
rates of inflation; existing and expected interest rate levels; the balance of payments; and the extent of governmental surpluses or deficits
in the applicable countries and the United States. All of these factors are in turn sensitive to the monetary, fiscal and trade
policies pursued by the governments of the applicable countries and the United States and other countries important to international trade
and finance.
| ▪ | The price and performance of the iShares® MSCI Emerging Markets ETF may not
completely track the performance of its underlying index or its net asset value per share. The iShares®
MSCI Emerging Markets ETF does not fully replicate its underlying index that it seeks to track and may hold securities different from
those included in its underlying index. In addition, the performance of the iShares® MSCI Emerging Markets ETF reflects
additional transaction costs and fees that are not included in the calculation of its underlying index. All of these factors may lead
to a lack of correlation between the performance of the iShares® MSCI Emerging Markets ETF and its underlying index. In
addition, corporate actions with respect to the equity securities held by the iShares® MSCI Emerging Markets ETF (such
as mergers and spin-offs) may impact the variance between the performance of the iShares® MSCI Emerging Markets ETF and
its underlying index. Finally, because the iShares® MSCI Emerging Markets ETF is traded on NYSE Arca, Inc. and is subject
to market supply and investor demand, the market values of the iShares® MSCI Emerging Markets ETF may differ from its net
asset value per share. |
During
periods of market volatility, securities held by the iShares® MSCI Emerging Markets ETF may be unavailable in the secondary
market, market participants may be unable to calculate accurately the net asset value per shares of the iShares® MSCI Emerging
Markets ETF and the liquidity of the iShares® MSCI Emerging Markets ETF may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of the iShares® MSCI Emerging
Markets ETF. Further, market volatility may adversely affect, sometimes materially, the price at which market participants are willing
to buy and sell the iShares® MSCI Emerging Markets ETF. As a result, under these circumstances, the market values of the
iShares® MSCI Emerging Markets ETF may vary substantially from its net asset value per share. For all of the foregoing
reasons,
the
performance of the iShares® MSCI Emerging Markets ETF might not correlate with the performance of its underlying index
and/or its net asset value per share, which could materially and adversely affect the value of the securities in the secondary market
and/or reduce your payment at maturity.
| ▪ | The securities will be subject to risks associated with small capitalization stocks. The stocks included in the Russell 2000®
Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more
volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market
capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and
competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their
stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions. |
| ▪ | Governmental regulatory actions, such as sanctions, could adversely affect your investment in the securities. Governmental
regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise
restrict persons from holding the securities or underlying shares, or engaging in transactions in them, and any such action could adversely
affect the value of the securities. These regulatory actions could result in restrictions on the securities and could result in the loss
of a significant portion or all of your initial investment in the securities, including if you are forced to divest the securities due
to the government mandates, especially if such divestment must be made at a time when the value of the securities has declined. |
| § | Changes made by the sponsor of a basket component may affect the basket component. We
are not affiliated with the investment adviser to the iShares® MSCI Emerging Markets ETF or with the sponsors of the EURO
STOXX 50® Index and the Russell 2000® Index. Changes that affect the basket components may affect the value
of your securities. The sponsor of a basket component may add, delete or substitute the securities that constitute the basket
component or make other methodological changes that could affect the value of the basket component. We are not affiliated with
any such sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such changes could be made
at any time and could adversely affect the performance of the basket components and the value of and your payment at maturity on the securities. |
| ▪ | Our offering of the securities does not constitute a recommendation of the basket or the basket components. The fact that we
are offering the securities does not mean that we believe that investing in an instrument linked to the basket or any of the basket components
is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including
short positions) in the stocks included in or held by the basket components or in instruments
related to the basket components or such stocks and may publish research or express opinions, that in each case are inconsistent with
an investment linked to the basket components. These and other activities of our affiliates may affect the values of the basket components
in a way that has a negative impact on your interests as a holder of the securities. |
| ▪ | The value of a basket component may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in the
applicable basket components or in other financial instruments related to the basket components and may adjust such positions during
the term of the securities. Our affiliates also trade the applicable basket components or
the stocks included in the basket components and other financial instruments related to the basket components or such stocks on a regular
basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions
on behalf of customers. These activities could affect the values of the basket components in a way that negatively affects the value of
the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with companies included in or held by the basket components, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business, we or
our affiliates may acquire non-public information about such companies, which we will not disclose to you. Moreover, if any of our affiliates
is or becomes a creditor of any such company, they may exercise any remedies against such company that are available to them without regard
to your interests. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur, such as market disruption events or the discontinuance of a basket component, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. |
| § | In the case of an underlying that is an underlying ETF, even if the underlying pays a dividend that it identifies as special or
extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified in the accompanying
product supplement. In general, an adjustment will not be made under the terms of the securities for any cash dividend paid by the
underlying unless the amount of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend
paid per share in the most recent quarter by an amount equal to at least 10% of the closing value of that underlying on the date of declaration
of the dividend. Any dividend will reduce the closing value of the underlying by the amount of the dividend per share. If the underlying
pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely affected.
See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying
ETF—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement. |
| § | In the case of an underlying that is an underlying ETF, the securities will not be adjusted for all events that may have a dilutive
effect on or otherwise adversely affect the closing value of the underlying. For example, we will not make any adjustment for ordinary
dividends or extraordinary dividends that do not meet the criteria described above, partial tender offers or additional underlying share
issuances. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors
in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares of the
underlying would not. |
| § | In the case of an underlying that is an underlying ETF, the securities may become linked to an underlying other than the original
underlying upon the occurrence of a reorganization event or upon the delisting of the underlying shares of that original underlying.
For example, if the underlying enters into a merger agreement that provides for holders of its underlying shares to receive shares of
another entity and such shares are marketable securities, the closing value of that underlying following consummation of the merger will
be based on the value of such other shares. Additionally, if the underlying shares of the underlying are delisted, the calculation agent
may select a successor underlying. See “Description of the Securities—Certain Additional Terms for Securities Linked to an
Underlying Company or an Underlying ETF” in the accompanying product supplement. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the
“IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or
a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting
an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially
and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as
a “constructive ownership transaction,” with potentially adverse consequences described below under “United States Federal
Tax Considerations.” Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal
tax treatment of the securities, possibly retroactively. |
If you are a non-U.S. investor, you should
review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders” below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Hypothetical
Historical Information About the Basket
Because the
basket exists solely for purposes of these securities, historical information on the performance of the basket does not exist for dates
prior to the pricing date. The graph below sets forth the hypothetical historical daily closing values of the basket for the
period from January 2, 2013 to January 30, 2023, assuming that the basket was created on January 2, 2013 with the same basket components
and corresponding weights and with a value of 100 on that date. The hypothetical performance of the basket is based on the
actual closing values of the basket components on the applicable dates. We obtained these closing values from Bloomberg L.P.,
without independent verification. Any historical trend in the value of the basket during the period shown below is not an indication
of the performance of the basket during the term of the securities.
Hypothetical Historical Basket Performance
January 2, 2013 to January 30, 2023 |
 |
Information
About the EURO STOXX 50® Index
The EURO STOXX 50®
Index is composed of 50 component stocks of market sector leaders from within the 20 EURO STOXX® Supersector indices, which
represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector
indices contain the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50® Index
is reported by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”)
and its licensors and CGMI have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in
exchange for a fee, of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection
with certain financial instruments, including the securities. For more information, see “Equity Index Descriptions—The STOXX
Benchmark Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity
Index Descriptions—The STOXX Benchmark Indices” in the accompanying underlying supplement for important disclosures regarding
the EURO STOXX 50® Index.
Historical Information
The closing value of the EURO
STOXX 50® Index on January 30, 2023 was 4,158.63.
The graph below shows the closing value of the EURO STOXX 50®
Index for each day such values was available from January 2, 2013 to January 30, 2023. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take the historical values of the EURO STOXX 50® Index as an indication
of future performance.
EURO STOXX 50® Index – Historical Closing Values
January 2, 2013 to January 30, 2023 |
 |
Information
About the iShares® MSCI Emerging Markets ETF
The iShares® MSCI
Emerging Markets ETF is an exchange-traded fund that seeks to provide investment results that correspond generally to the price and yield
performance, before fees and expenses, of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index.
However, for purposes of the securities, the performance of the iShares® MSCI Emerging Markets ETF will reflect only its
price performance, as any dividends paid on the shares of the iShares® MSCI Emerging Markets ETF will not be factored into
a determination of the final share price of the iShares® MSCI Emerging Markets ETF. The MSCI Emerging Markets
Index was developed by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market
performance in the global emerging markets.
The iShares® MSCI
Emerging Markets ETF is an investment portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser
to the iShares® MSCI Emerging Markets ETF. iShares®, Inc. is a registered investment company that consists
of numerous separate investment portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided to or
filed with the SEC by iShares®, Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act
of 1940, as amended, can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website
at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The iShares® MSCI Emerging Markets ETF trades on the NYSE Arca, Inc.
under the ticker symbol “EEM.”
Please refer to the section “Fund
Descriptions—iShares® MSCI Emerging Markets ETF” in the accompanying underlying supplement for important disclosures
regarding the iShares® MSCI Emerging Markets ETF.
This pricing supplement relates
only to the securities offered hereby and does not relate to the shares of the iShares® MSCI Emerging Markets ETF or other
securities of the iShares® MSCI Emerging Markets ETF. We have derived all disclosures contained in this pricing
supplement regarding the iShares® MSCI Emerging Markets ETF from the publicly available documents described above. In connection
with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation
of such documents or made any due diligence inquiry with respect to the iShares® MSCI Emerging Markets ETF or the MSCI
Emerging Markets Index.
The securities represent obligations
of Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The iShares® MSCI Emerging Markets ETF is
not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates
make any representation to you as to the performance of the shares of the iShares® MSCI Emerging Markets ETF.
Historical Information
The graph below shows the closing
price of the shares of the iShares® MSCI Emerging Markets ETF for each day such price was available from January 2, 2013
to January 30, 2023. The table that follows shows the high and low closing prices of, and dividends paid on, the shares of the iShares®
MSCI Emerging Markets ETF for each quarter in that same period. We obtained the closing prices and other information below from Bloomberg
L.P., without independent verification. You should not take the historical prices of the shares of the iShares® MSCI Emerging
Markets ETF as an indication of future performance.
The iShares® MSCI Emerging Markets ETF – Historical Closing Prices
January 2, 2013 to January 30, 2023 |
 |
| iShares® MSCI Emerging Markets ETF |
High |
Low |
Dividends |
| 2013 |
|
|
|
| First Quarter |
$45.20 |
$41.80 |
$0.01423 |
| Second Quarter |
$44.23 |
$36.63 |
$0.00000 |
| Third Quarter |
$43.29 |
$37.34 |
$0.49260 |
| Fourth Quarter |
$43.66 |
$40.44 |
$0.36578 |
| 2014 |
|
|
|
| First Quarter |
$40.99 |
$37.09 |
$0.00000 |
| Second Quarter |
$43.95 |
$40.82 |
$0.00000 |
| Third Quarter |
$45.85 |
$41.56 |
$0.34063 |
| Fourth Quarter |
$42.44 |
$37.73 |
$0.53502 |
| 2015 |
|
|
|
| First Quarter |
$41.07 |
$37.92 |
$0.00000 |
| Second Quarter |
$44.09 |
$39.04 |
$0.00000 |
| Third Quarter |
$39.78 |
$31.32 |
$0.30125 |
| Fourth Quarter |
$36.29 |
$31.55 |
$0.50084 |
| 2016 |
|
|
|
| First Quarter |
$34.28 |
$28.25 |
$0.00000 |
| Second Quarter |
$35.26 |
$31.87 |
$0.26598 |
| Third Quarter |
$38.20 |
$33.77 |
$0.00000 |
| Fourth Quarter |
$38.10 |
$34.08 |
$0.39621 |
| 2017 |
|
|
|
| First Quarter |
$39.985 |
$35.43 |
$0.00000 |
| Second Quarter |
$41.93 |
$38.81 |
$0.19171 |
| Third Quarter |
$45.85 |
$41.05 |
$0.00000 |
| Fourth Quarter |
$47.81 |
$44.82 |
$0.69655 |
| 2018 |
|
|
|
| First Quarter |
$52.08 |
$45.69 |
$0.00000 |
| Second Quarter |
$48.14 |
$42.33 |
$0.28987 |
| Third Quarter |
$45.03 |
$41.14 |
$0.00000 |
| Fourth Quarter |
$42.93 |
$38.00 |
$0.58379 |
| 2019 |
|
|
|
| First Quarter |
$43.71 |
$38.45 |
$0.00000 |
| Second Quarter |
$44.59 |
$39.91 |
$0.31144 |
| Third Quarter |
$43.42 |
$38.74 |
$0.00000 |
| Fourth Quarter |
$45.07 |
$40.27 |
$0.92902 |
| 2020 |
|
|
|
| First Quarter |
$46.30 |
$30.61 |
$0.00000 |
| Second Quarter |
$41.19 |
$32.67 |
$0.23029 |
| Third Quarter |
$45.55 |
$40.44 |
$0.00000 |
| Fourth Quarter |
$51.70 |
$43.99 |
$0.51889 |
| 2021 |
|
|
|
| First Quarter |
$57.96 |
$51.68 |
$0.00000 |
| Second Quarter |
$56.09 |
$52.01 |
$0.24081 |
| Third Quarter |
$54.84 |
$49.50 |
$0.00000 |
| Fourth Quarter |
$52.50 |
$47.44 |
$0.70683 |
| 2022 |
|
|
|
| First Quarter |
$50.85 |
$41.54 |
$0.02601 |
| Second Quarter |
$46.71 |
$39.40 |
$0.36187 |
| Third Quarter |
$41.05 |
$34.88 |
$0.00000 |
| Fourth Quarter |
$39.54 |
$33.93 |
$0.58432 |
| 2023 |
|
|
|
| First Quarter (through January 30, 2023) |
$42.50 |
$38.22 |
$0.00000 |
The closing price of the underlying shares on January 30, 2023 was $41.45.
We make no representation as to the amount of dividends, if any, that
may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the underlying shares.
Information About
the Russell 2000® Index
The Russell 2000® Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded
on a major U.S. exchange. It is calculated and maintained by FTSE Russell, a subsidiary of the London Stock Exchange Group. The Russell
2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark of FTSE
Russell and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The
Russell Indices—Disclaimers” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing value of the underlying index on January 30, 2023 was 1,885.720.
The graph below shows the closing value of the Russell 2000®
Index for each day such value was available from January 2, 2013 to January 30, 2023. We obtained the closing values from Bloomberg L.P.,
without independent verification. You should not take the historical values of the Russell 2000® Index as an indication
of future performance.
Russell 2000® Index – Historical Closing Values
January 2, 2013 to January 30, 2023 |
 |
United States Federal
Tax Considerations
You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP, a security
should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in
the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market conditions
as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject to
the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following U.S. federal
income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange or
retirement of a security should be long-term capital gain or loss if you held the security for more than one year. |
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within the
meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize in respect
of your securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term capital
gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant
rate over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability on
the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is not able
to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United States Federal
Tax Considerations—Tax Consequences to U.S. Holders—Securities Treated as Prepaid Forward Contracts—Possible Application
of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser regarding
the potential application of the “constructive ownership” rule.
We do not plan to request a ruling from the IRS regarding the treatment
of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership
and disposition of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department
and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance.
Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and in “United
States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying
product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S.
Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that
include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic
performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations. However,
the regulations, as modified by an IRS notice, exempt financial instruments issued prior to January 1, 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 pricing
supplement, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of
one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding
tax under Section 871(m). However, the final determination regarding the treatment of the securities under Section 871(m) will
be made as of the pricing date for the securities, and it is possible that the securities will be subject to withholding tax under Section
871(m) based on the circumstances as of that date.
A determination that the securities are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that
section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning
and disposing of the securities.
You should also consult your tax adviser regarding all aspects of
the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan
of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $0.30 for each $10.00 security
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan
Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $0.25 for each $10.00 security they
sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell.
The costs included in the original issue price of the securities will
include a fee paid by CGMI to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership
interest, for providing certain electronic platform services with respect to this offering.
See “Plan of Distribution; Conflicts of Interest” in the
accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement and prospectus
for additional information.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth on the
cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated an estimated
value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate the payout on
the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments underlying
the economic terms of the securities (the “derivative component”). CGMI calculated the estimated value of the bond component
using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative component based on a proprietary
derivative-pricing model, which generated a theoretical price for the instruments that constitute the derivative component based on various
inputs, including the factors described under “Summary Risk Factors—The value of the securities prior to maturity will fluctuate
based on many unpredictable factors” in this pricing supplement, but not including our or Citigroup Inc.’s creditworthiness.
These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms of
the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values of the
inputs to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately three months following issuance of the
securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will be indicated
for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one
or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the
term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the three-month
temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any time. See “Summary
Risk Factors—The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
Performance Leveraged Upside SecuritiesSM and PLUSSM
are service marks of Morgan Stanley, used under license.
© 2023 Citigroup Global Markets Inc. All rights reserved. Citi
and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the
world.
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