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 |
Autocallable Market-Linked Securities Linked to the
S&P 500® Index Due February 8, 2027
| ▪ | 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. Instead, the securities offer the
potential for automatic early redemption at a premium on the terms described below if the closing value of the S&P 500®
Index (the “underlying”) on the valuation date prior to the final valuation date exceeds the initial underlying value. If
the securities are not automatically redeemed prior to maturity, then the securities will not be redeemed at a premium but offer the potential
for a return at maturity based on the performance of the underlying from the initial underlying value to the final underlying value. |
| ▪ | If on the valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial
underlying value, the securities will be automatically redeemed. If the securities are not automatically redeemed prior to maturity and
the underlying appreciates from the initial underlying value to the final underlying value, you will receive a positive return at maturity
equal to that appreciation multiplied by the upside participation rate specified below. However, if the securities are not automatically
redeemed prior to maturity and the underlying remains the same or depreciates, you will be repaid the stated principal amount of your
securities at maturity but will not receive any return on your investment. The securities are designed for investors who are willing to
forgo interest on the securities and accept the risk of not receiving any return on the securities in exchange for the possibility of
automatic early redemption at a premium or, if the securities are not automatically redeemed, a positive return at maturity based in each
case on the performance of the underlying. Even if the underlying appreciates from the initial underlying value to the final underlying
value, so that you do receive a positive return at maturity, there is no assurance that your total return at maturity on the securities
will compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of
ours of comparable maturity. |
| ▪ | In order to obtain the modified exposure to the underlying that
the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk
of not receiving any 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. |
Underlying: |
The S&P 500® Index |
Stated principal amount: |
$1,000 per security |
Pricing date: |
February 3, 2023 |
Issue date: |
February 8, 2023 |
Valuation dates: |
February 5, 2024 and February 3, 2027 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur |
Maturity date: |
Unless earlier redeemed, February 8, 2027 |
Automatic early redemption: |
If, on the valuation date prior to the final valuation date, the closing value of the underlying is greater than or equal to the initial underlying value, the securities will be automatically redeemed on the third business day immediately following that valuation date for an amount in cash per security equal to $1,000 plus the premium applicable to that valuation date. If the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding and you will not have the opportunity to participate in any appreciation of the underlying. |
Premium: |
The premium applicable to the valuation date prior to the final
valuation date is the percentage of the stated principal amount indicated below. The premium may be significantly less than the appreciation
of the underlying from the pricing date to the valuation date prior to the final valuation date. |
|
• February 5, 2024: |
8.30% of the stated principal amount |
Payment at maturity: |
If the securities are not automatically redeemed prior to maturity, you will receive at maturity for each security you then hold, the stated principal amount plus the return amount, which will be either zero or positive |
Return amount: |
If the final underlying value is greater than the initial underlying
value:
$1,000 × the underlying return × the upside
participation rate
If the final underlying value is less than or equal to the initial
underlying value:
$0 |
Initial underlying value: |
, the closing value of the underlying on the pricing date |
Final underlying value: |
The closing value of the underlying on the final valuation date |
Upside participation rate: |
100.00% |
Underlying return: |
(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17331CEW3 / US17331CEW38 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1) |
Underwriting fee(2) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$6.00 |
$994.00 |
Total: |
$ |
$ |
$ |
|
|
|
|
|
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $940.50 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 will receive an underwriting
fee of up to $6.00 for each security sold in this offering. The total underwriting fee and proceeds to issuer in the table above give
effect to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental Plan
of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit from expected
hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
(3) The per security proceeds to issuer
indicated above represent the minimum per security proceeds to issuer for any security, assuming the maximum per security underwriting
fee. As noted above, the underwriting fee is variable.
Investing in the securities involves risks not associated with an
investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any representation to the contrary
is a criminal offense.
You should read this pricing supplement together
with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
Product Supplement No. EA-03-08 dated May 11, 2021 Underlying Supplement No. 10 dated May 11, 2021
Prospectus Supplement and Prospectus each dated May 11, 2021
The securities are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of,
or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc. |
|
Additional Information
The terms of the securities are set forth in the accompanying product
supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, the accompanying
product supplement contains important information about how the closing value of the underlying will be determined and about adjustments
that may be made to the terms of the securities upon the occurrence of market disruption events and other specified events with respect
to the underlying. The accompanying underlying supplement contains information about the underlying that is not repeated in this pricing
supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement in deciding whether to invest in the securities. Certain terms used but not defined in this pricing
supplement are defined in the accompanying product supplement.
The closing value of the underlying on any date is its closing level
on that date, as described in the accompanying product supplement.
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Payment Upon Automatic Early Redemption
The following table illustrates how the amount payable per security
upon automatic early redemption will be calculated if the closing value of the underlying on the valuation date prior to the final valuation
date is greater than or equal to the initial underlying value.
If the closing value of the underlying on the valuation date below is greater than or equal to the initial underlying value... |
...then you will receive the following payment per security upon automatic early redemption: |
February 5, 2024 |
$1,000.00 + applicable premium = $1,000.00 + $83.00 = $1,083.00 |
If, on the valuation date prior to the final valuation date, the
closing value of the underlying is less than the initial underlying value, you will not receive the premium indicated above following
that valuation date. In order to receive the premium indicated above, the closing value of the underlying on the applicable valuation
date must be greater than or equal to the initial underlying value.
Payment at Maturity Diagram
The diagram below illustrates your payment at maturity of the securities,
assuming the securities have not previously been automatically redeemed, for a range of hypothetical underlying returns.
Investors in the securities will not receive any dividends with respect
to the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities. See
“Summary Risk Factors—You will not receive dividends or have any other rights with respect to the underlying” below.
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying |
Citigroup Global Markets Holdings Inc. |
|
Hypothetical Examples of the Payment at Maturity
The examples below are intended to illustrate how, if the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the final underlying value. Your actual payment
at maturity per security, if the securities are not automatically redeemed prior to maturity, will depend on the actual final underlying
value. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction of what the actual
payment at maturity on the securities will be.
The examples below are based on a hypothetical initial underlying value
of 100.00 and do not reflect the actual initial underlying value. For the actual initial underlying 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 underlying value, and not this hypothetical value. For ease of analysis, figures below have been rounded.
Example 1—Upside 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
value.
Payment at maturity per security = $1,000 + the return amount
= $1,000 + ($1,000 × the underlying return × the upside
participation rate)
= $1,000 + ($1,000 × 5.00% × 100.00%)
= $1,000 + $50.00
= $1,050.00
In this scenario, the underlying has appreciated from the initial underlying
value to the final underlying value, and your total return at maturity would equal the underlying return multiplied by the upside
participation rate.
Example 2—Par Scenario. The final underlying value is 95.00,
resulting in a -5.00% underlying return. In this example, the final underlying value is less than the initial underlying value.
Payment at maturity per security = $1,000 + the return amount
= $1,000 + $0
= $1,000.00
In this scenario, the underlying has depreciated from the initial underlying
value to the final underlying value. As a result, the payment at maturity per security would equal the $1,000 stated principal amount
per security and you would not receive any positive return on your investment.
Citigroup Global Markets Holdings Inc. |
|
Summary Risk Factors
An investment in the securities is significantly riskier than an investment
in conventional debt securities. The securities are subject to all of the risks associated with an investment in our conventional debt
securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the securities,
and are also subject to risks associated with the underlying. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisors as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment in the
securities contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 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 not receive any return on your investment in the securities. If the closing value of the underlying is not greater
than or equal to the initial underlying value on the valuation date prior to the final valuation date, then the securities will not be
automatically redeemed at a premium. In that event, you will receive a positive return on your investment in the securities only if the
underlying appreciates from the initial underlying value to the final underlying value. If the final underlying value is less than or
equal to the initial underlying value, you will receive only the stated principal amount of $1,000 for each security you hold at maturity.
As the securities do not pay any interest, even if the underlying appreciates from the initial underlying value to the final underlying
value, there is no assurance that your total return on the securities will be as great as could have been achieved on our conventional
debt securities of comparable maturity. |
| § | Your potential return on the securities in connection with an automatic early redemption is limited. If the securities are
automatically redeemed prior to maturity, your potential return on the securities is limited to the premium applicable to the relevant
valuation date, as described on the cover page of this pricing supplement, regardless of how significantly the closing value of the underlying
may exceed the initial underlying value. |
| § | The term of the securities may be as short as one year. If the closing value of the underlying on the valuation date prior
to the final valuation date is greater than or equal to its initial underlying value, the securities will be automatically redeemed. If
the securities are automatically redeemed following the valuation date prior to the final valuation date, they will cease to be outstanding
and you will no longer have the opportunity to participate in any appreciation of the underlying on the final valuation date at the upside
participation rate. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar
level of risk. |
| § | Although the securities provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in real value terms if the securities are not automatically redeemed prior to maturity or if the underlying declines
or does not appreciate sufficiently from the initial underlying value to the final underlying value. This is because inflation may
cause the real value of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment
in the securities represents a forgone opportunity to invest in an alternative asset that does generate a positive real return. This potential
loss in real value terms is significant given the term of the securities. You should carefully consider whether an investment that may
not provide for any return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate
for you. |
| § | 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. |
| § | You will not receive dividends or have any other rights with respect to the underlying. You will not receive any dividends
with respect to the underlying. This lost dividend yield may be significant over the term of the securities. The payment scenarios described
in this pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlying or the stocks included in the underlying. |
| § | Your return on the securities depends on the closing value of the underlying on only the valuation dates. Because your payment
upon automatic early redemption, if applicable, or at maturity depends on the closing value of the underlying solely on the applicable
valuation date, you are subject to the risk that the closing value of the underlying on that day may be lower, and possibly significantly
lower, than on one or more other dates during the term of the securities. If you had invested in another instrument linked to the underlying
that you could sell for full value at a time selected by you, or if the return on the securities was based on an average of closing values
of the underlying, you might have achieved better returns. |
| § | The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default 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. |
Citigroup Global Markets Holdings Inc. |
|
| § | Sale of the securities prior to maturity may result in a loss of principal. You will be entitled to receive at least the full
stated principal amount of your securities, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., only
if you hold the securities to maturity. The value of the securities may fluctuate during the term of the securities, and if you are able
to sell your securities prior to maturity, you may receive less than the full stated principal amount of your securities. |
| § | 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) any selling concessions or other 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 closing value of the underlying, the dividend
yield on the underlying and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an
underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to
be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set
forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities
for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value. |
| § | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than our secondary
market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any purchases of the securities
from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary market rate,
rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs
associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that is payable on the securities. |
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities, but subject
to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined measure of our
creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness as adjusted for discretionary
factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
| § | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing
supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market
rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary
market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price. |
| § | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities
prior to maturity will fluctuate based on the closing value of the underlying, the volatility of the closing value of the underlying,
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 Notes—Risk Factors
Relating to All Notes—The value of your notes prior to maturity will fluctuate based on many unpredictable factors” in the
accompanying product supplement. Changes in the closing value of the underlying may not result in a comparable change in the value of
your securities. You should understand that the value of your securities at any time prior to maturity may be significantly less than
the issue price. |
| § | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement. |
Citigroup Global Markets Holdings Inc. |
|
| § | Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities does
not mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns. In fact, as
we are part of a global financial institution, our affiliates may have positions (including short positions) in the underlying or in instruments
related to the underlying, and may publish research or express opinions, that in each case are inconsistent with an investment linked
to the underlying. These and other activities of our affiliates may affect the closing value of the underlying in a way that negatively
affects the value of and your return on the securities. |
| § | The closing value of the underlying may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions in the underlying
or in financial instruments related to the underlying and may adjust such positions during the term of the securities. Our affiliates
also take positions in the underlying or in financial instruments related to the underlying on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities
could affect the closing value of the underlying in a way that negatively affects the value of and your return on the securities. They
could also result in substantial returns for us or our affiliates while the value of the securities declines. |
| § | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlying
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns for us
or our affiliates while the value of the securities declines. In addition, in the course of this business, we or our affiliates may acquire
non-public information, which will not be disclosed to you. |
| § | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If
certain events occur during the term of the securities, such as market disruption events and other events with respect to the underlying,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder
of the securities. See “Risk Factors Relating to the Notes—Risk Factors Relating to All Notes—The calculation agent,
which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying product supplement. |
| § | Changes that affect the underlying may affect the value of your securities. The sponsor of the underlying may at any time make
methodological changes or other changes in the manner in which it operates that could affect the value of the underlying. We are not affiliated
with the underlying sponsor and, accordingly, we have no control over any changes such sponsor may make. Such changes could adversely
affect the performance of the underlying and the value of and your return on the securities. |
Citigroup Global Markets Holdings Inc. |
|
Information About the S&P 500® Index
The S&P 500® Index consists of the common stocks
of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—
The S&P U.S. Indices” in the accompanying underlying supplement for additional information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the securities and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any way in this offering
and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500® Index on January
30, 2023 was 4,017.77.
The graph below shows the closing value of the S&P 500®
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 historical closing values as an indication of future performance.
S&P 500® Index – Historical Closing Values
January 2, 2013 to January 30, 2023 |
|
Citigroup Global Markets Holdings Inc. |
|
United States Federal Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP, the securities
will be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section
of the accompanying product supplement called “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes
Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based on this treatment.
If you are a U.S. Holder (as defined in the accompanying product supplement),
you will be required to recognize interest income during the term of the securities at the “comparable yield,” which generally
is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the securities, including the level of
subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies
or the liquidity of the securities. Although it is not clear how the comparable yield should be determined for securities that may be
automatically redeemed before maturity, our determination of the comparable yield is based on the maturity date. We are required to construct
a “projected payment schedule” in respect of the securities representing a payment the amount and timing of which would produce
a yield to maturity on the securities equal to the comparable yield. Assuming you hold the securities until their maturity, the amount
of interest you include in income based on the comparable yield in the taxable year in which the securities mature will be adjusted upward
or downward to reflect the difference, if any, between the actual and projected payment on the securities at maturity as determined under
the projected payment schedule.
Upon the sale, exchange or retirement of the securities prior to maturity,
you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in the securities.
Your adjusted tax basis will equal your purchase price for the securities, increased by interest previously included in income on the
securities. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent
of prior interest inclusions on the security and as capital loss thereafter.
We have determined that the comparable yield for a security is a rate
of %, compounded semi-annually, and that the projected payment schedule with respect to a security consists of a single payment of $ at
maturity.
Neither the comparable yield nor the projected payment schedule constitutes
a representation by us regarding the actual amount that we will pay on the securities.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities,
under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment on or any amount
received on the sale, exchange or retirement of 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.
See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement
for a more detailed discussion of the rules applicable to Non-U.S. Holders of the securities.
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 Internal Revenue Code of 1986, as
amended, 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 (“Underlying
Securities”) or indices that include Underlying Securities. Section 871(m) generally applies to instruments that substantially replicate
the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations.
However, the regulations, as modified by an Internal Revenue Service (“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 Underlying Security 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
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 tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc. |
|
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the
underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $6.00 for each security
sold in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers, as described
in this paragraph. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of
up to $6.00 for each security they sell. For the avoidance of doubt, any fees or selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
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.”
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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