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 11, 2016
|
Citigroup Inc. |
February-----,
2016
Medium-Term Senior Notes,
Series G
Pricing Supplement No.
2016-CMTNG0883
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302
|
Contingent Buffered Notes Based on the S&P
500® Index Due February-----, 2019
Overview
| ▪ | The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance
of the S&P 500® Index (the “underlying index”) from the initial index level to the final index level. |
| ▪ | The securities offer leveraged exposure to the potential appreciation of the underlying index and contingent repayment of the
stated principal amount at maturity if, and only if, the underlying index does not depreciate by more than 29.15% from the initial
index level to the final index level. In exchange for these features, investors in the securities must be willing to forgo any
dividends that may be paid on the stocks that constitute the underlying index. In addition, investors in the securities must be
willing to accept full downside exposure to the underlying index if the underlying index depreciates by more than 29.15%. If
the underlying index depreciates by more than 29.15% from the initial index level to the final index level, you will lose 1% of
the stated principal amount of your securities for every 1% by which the final index level is less than the initial index level.
There is no minimum payment at maturity. |
| ▪ | In order to obtain the modified exposure to the underlying index 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 default on our obligations. All payments on the securities are subject to the credit risk of Citigroup
Inc. See “Key Terms—Issuer” and “Additional Terms of the Securities” in this pricing supplement
for more information regarding Citigroup Inc.’s obligations under the securities. |
KEY TERMS |
|
Issuer: |
Citigroup Inc. Upon at least 15 business days’ notice, any wholly owned subsidiary of Citigroup Inc. may, without the consent of any holder of the securities, assume Citigroup Inc.’s obligations under the securities, and in such event Citigroup Inc. shall be released from its obligations under the securities, subject to certain conditions, including the condition that Citigroup Inc. fully and unconditionally guarantee all payments under the securities. See “Additional Terms of the Securities” in this pricing supplement. |
Underlying index: |
The S&P 500® Index (ticker symbol: “SPX”) |
Aggregate stated principal amount: |
$ |
Stated principal amount: |
$1,000 per security |
Pricing date: |
February , 2016 (expected to be February 12, 2016) |
Issue date: |
February , 2016 (three business days after the pricing date) |
Final valuation dates: |
Expected to be February 11, 12, 13, 14 and 15, 2019, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
February , 2019 (expected to be February 21, 2019), subject to postponement as described under “Additional Information” below |
Payment at maturity: |
For each $1,000 stated principal amount security you hold at
maturity, you will receive the following amount in U.S. dollars:
▪ If
the final index level is greater than the initial index level:
$1,000 + the leveraged return amount
▪ If
the final index level is less than or equal to the initial index level but greater than or equal to the barrier level:
$1,000
▪ If
the final index level is less than the barrier level:
$1,000 × the index performance factor
If the final index level is less than the barrier level, your
payment at maturity will be less, and possibly significantly less, than $708.50 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 index level: |
, the closing level of the underlying index on the pricing date |
Final index level: |
The arithmetic average of the closing level of the underlying index on each of the final valuation dates |
Index performance factor: |
The final index level divided by the initial index level |
Index percent increase: |
The final index level minus the initial index level, divided by the initial index level |
Leveraged return amount: |
$1,000 × the index percent increase × the leverage factor |
Leverage factor: |
125.00% |
Barrier level: |
, 70.85% of the initial index level |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17298CA65 / US17298CA650 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee(3) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$20.00 |
$980.00 |
Total: |
$ |
$ |
$ |
(1) Citigroup Inc. currently expects that the estimated value
of the securities on the pricing date will be at least $900.00 per security, which will be less than the issue price. The estimated
value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication
of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person
may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this
pricing supplement.
(2) The issue price for investors purchasing the securities in
fiduciary accounts is $980.00 per security.
(3) CGMI will receive an underwriting fee of up to $20.00 for
each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for
the securities and, from the underwriting fee to CGMI, will receive a placement fee of $20.00 for each security they sell in this
offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement
fee for sales to fiduciary accounts. The total underwriting fees 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.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-4.
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:
Product Supplement No. EA-02-03 dated November 13, 2013 Underlying Supplement No. 3 dated November 13, 2013
Prospectus Supplement and Prospectus each dated November 13, 2013
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 Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
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, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement (except
as set forth in the next paragraph). The accompanying underlying supplement contains important disclosures regarding the underlying
index 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.
Postponement of a Final Valuation Date; Postponement of the
Maturity Date. If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed
to the next succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation
date, the calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading
day on which a market disruption event does not occur. If any final valuation date is postponed so that it coincides with a subsequent
scheduled final valuation date, each such subsequent final valuation date will be postponed to the next succeeding scheduled trading
day (subject to further postponement as provided above if a market disruption event occurs on such succeeding scheduled trading
day). However, in no event will any scheduled final valuation date be postponed more than five scheduled trading days after that
originally scheduled final valuation date as a result of a market disruption event occurring on that scheduled final valuation
date or on an earlier scheduled final valuation date (in each case, as any such scheduled final valuation date may be postponed).
If the last final valuation date is postponed so that it falls less than three business days prior to the scheduled maturity date,
the maturity date will be postponed to the third business day after the last final valuation date as postponed. The provisions
in this paragraph supersede the related provisions in the accompanying product supplement to the extent the provisions in this
paragraph are inconsistent with those provisions. The terms “scheduled trading day” and “market disruption event”
are defined in the accompanying product supplement.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. 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 underlying index or the stocks that constitute the underlying index” below.
Contingent Buffered Notes
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Index |
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
The table and examples below illustrate various hypothetical
payments at maturity assuming a hypothetical initial index level of 1,900.00 and a hypothetical barrier level of 1,346.15 and various
hypothetical final index levels. Your actual payment at maturity per security will depend on the actual initial index level, the
actual barrier level and the actual final index level and may differ substantially from the examples shown. It is impossible to
predict whether you will realize a gain or loss on your investment in the securities. Figures in the table and examples below have
been rounded for ease of analysis. The table and examples below are intended to illustrate how your payment at maturity will depend
on whether the final index level is greater than or less than the initial index level and by how much.
Hypothetical Final Index Level |
Hypothetical Underlying Index Return(1) |
Hypothetical Payment at Maturity per Security |
Hypothetical Total Return on Securities at Maturity(2) |
3,800.00 |
100.00% |
$2,250.00 |
125.00% |
3,610.00 |
90.00% |
$2,125.00 |
112.50% |
3,420.00 |
80.00% |
$2,000.00 |
100.00% |
3,230.00 |
70.00% |
$1,875.00 |
87.50% |
3,040.00 |
60.00% |
$1,750.00 |
75.00% |
2,850.00 |
50.00% |
$1,625.00 |
62.50% |
2,660.00 |
40.00% |
$1,500.00 |
50.00% |
2,470.00 |
30.00% |
$1,375.00 |
37.50% |
2,280.00 |
20.00% |
$1,250.00 |
25.00% |
2,090.00 |
10.00% |
$1,125.00 |
12.50% |
1,900.00 |
0.00% |
$1,000.00 |
0.00% |
1,710.00 |
-10.00% |
$1,000.00 |
0.00% |
1,520.00 |
-20.00% |
$1,000.00 |
0.00% |
1,346.15 |
-29.15% |
$1,000.00 |
0.00% |
1,346.14 |
-29.16% |
$708.40 |
-29.16% |
1,330.00 |
-30.00% |
$700.00 |
-30.00% |
1,140.00 |
-40.00% |
$600.00 |
-40.00% |
950.00 |
-50.00% |
$500.00 |
-50.00% |
760.00 |
-60.00% |
$400.00 |
-60.00% |
570.00 |
-70.00% |
$300.00 |
-70.00% |
380.00 |
-80.00% |
$200.00 |
-80.00% |
190.00 |
-90.00% |
$100.00 |
-90.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
(1) Hypothetical underlying
index return = hypothetical final index level minus hypothetical initial index level, divided by hypothetical initial
index level
(2) Hypothetical total
return on securities at maturity = hypothetical payment at maturity per security minus $1,000 stated principal amount per
security, divided by $1,000 stated principal amount per security
Example 1—Upside Scenario. The hypothetical final
index level is 1,995.00 (an approximately 5.00% increase from the hypothetical initial index level), which is greater than
the hypothetical initial index level.
Payment at maturity per security = $1,000 + the leveraged return
amount
= $1,000 + ($1,000 × the index percent increase ×
the leverage factor)
= $1,000 + ($1,000 × 5.00% × 125.00%)
= $1,000 + $62.50
= $1,062.50
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level, your payment at maturity in this scenario would be equal to the $1,000
stated principal amount per security plus the leveraged return amount, or $1,062.50 per security.
Example 2—Par Scenario. The hypothetical final index
level is 1,805.00 (an approximately 5.00% decrease from the hypothetical initial index level), which is less than the hypothetical
initial index level but greater than the hypothetical barrier level.
Payment at maturity per security = $1,000
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by less than 29.15%, your payment at maturity in this scenario would
be equal to the $1,000 stated principal amount per security.
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
Example 3—Downside Scenario. The hypothetical final
index level is 570.00 (an approximately 70.00% decrease from the hypothetical initial index level), which is less than the
hypothetical barrier level.
Payment at maturity per security = $1,000 × the index performance
factor
= $1,000 × 30.00%
= $300.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by more than 29.15%, the contingent repayment of the stated principal
amount at maturity would not apply in this scenario and your payment at maturity would reflect 1-to-1 exposure to the negative
performance of the underlying index.
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, including the risk that we may default on our obligations under the securities, and are also
subject to risks associated with the underlying index. 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 advisers as
to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the documents incorporated by reference
in the accompanying prospectus, including our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form
10-Q, which describe risks relating to our business more generally.
| ▪ | The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities,
you may not receive anything owed to you under the securities. See “Additional Terms of the Securities” in this pricing
supplement for more information regarding Citigroup Inc.’s obligations under the securities. |
| ▪ | The barrier feature of the securities exposes you to particular risks. If the final index level is less than the barrier
level, the contingent repayment of the stated principal amount at maturity will not apply and you will lose 1% of the stated principal
amount of the securities for every 1% by which the final index level is less than the initial index level. Therefore, the securities
offer no protection at all if the underlying index depreciates by more than 29.15% from the initial index level to the final index
level. As a result, you may lose up to all of your investment. |
| ▪ | 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. |
| ▪ | Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of February 8, 2016, the average dividend yield of the underlying index
was approximately 2.38% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
7.14% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends. The
payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities. |
| ▪ | The payment at maturity on the securities is based on the arithmetic average of the closing level of the underlying index
on the five final valuation dates. As a result, you are subject to the risk that the closing level of the underlying index
on those five final valuation dates will result in a less favorable return than you would have received had the final index level
been based on the closing level on other days during the term of the securities. If you had invested in another instrument linked
to the underlying index that you could sell for full value at a time selected by you, you might have achieved better returns. In
addition, because the final index level is based on the average over the five final valuation dates, your return on the securities
may be less favorable than it would have been if it were based on the closing level of the underlying index on only one of those
five final valuation dates. |
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
| ▪ | 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 placement fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below. |
| ▪ | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend
yields on the stocks that constitute the underlying 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
the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations,
which we refer to as our secondary market rate. 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. |
| ▪ | 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 level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the time remaining to maturity and our creditworthiness, as reflected in our secondary
market rate. Changes in the level of the underlying index 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 Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
| ▪ | Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or
by the placement agents or their affiliates. The fact that we are offering the securities does not mean that we believe, or
that the placement agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely
to achieve favorable returns. In fact, as we and the placement agents are part of global financial institutions, our affiliates
and the placement agents and their affiliates may have positions (including short positions) in the stocks that constitute the
underlying index or in instruments related to the underlying index or such stocks over the term of the securities and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other
activities of our affiliates or the placement agents or their affiliates may affect the level of the underlying index in a way
that has a negative impact on your interests as a holder of the securities. |
| ▪ | The level of the underlying index 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 stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also
trade the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to
facilitate transactions on behalf of customers. These activities could affect the level of the underlying index in a way that negatively
affects the value of the securities. They could also result in substantial returns for us or our affiliates or the placement agents
or their affiliates while the value of the securities declines. |
| ▪ | We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ or their business activities. Our affiliates or the placement agents or their affiliates
may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates or the placement agents or their affiliates may acquire non-public information about such issuers, which we
and they will not disclose to you. Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes
a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard to
your interests. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of the underlying index, 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. |
| ▪ | Adjustments to the underlying index may affect the value of your securities. S&P Dow Jones Indices LLC (the “underlying
index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological
changes that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time without regard to your interests as holders of the securities. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain,
and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were
successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the
securities might be materially and adversely affected. Moreover, the securities may be assumed by a successor issuer, as
discussed in “Additional Terms of the Securities.” The law regarding whether or not the assumption would be considered
a taxable modification of the securities is not entirely clear and, if the IRS were to treat the assumption as a taxable modification,
a U.S. Holder would be required to recognize gain (if any) on the securities and the timing and character of income recognized
with respect to the securities after the assumption could be affected significantly. As described below under “United States
Federal Tax Considerations,” in 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on various
issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any 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, including the character and timing of income or loss and the degree, if
any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect.
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. |
Additional
Terms of the Securities
Upon at least 15 business days’ notice, any wholly owned
subsidiary (the “successor issuer”) of Citigroup Inc. may, without the consent of any holder of the securities, assume
all of Citigroup Inc.’s obligations under the securities, and in such event Citigroup Inc. shall be released from its obligations
under the securities (in each case, except as described below), subject to the following conditions:
| (a) | Citigroup Inc. shall enter into a supplemental indenture under which Citigroup Inc. fully and unconditionally guarantees all
payments on the securities when due, agrees to comply with the covenants described in the section “Description of Debt Securities—Covenants—Limitations
on Liens” and “—Limitations on Mergers and Sales of Assets” in the accompanying prospectus as applied to
itself and retains certain reporting obligations under the indenture; |
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
| (b) | the successor issuer shall be organized under the laws of the United States of America, any State thereof or the District of
Columbia; and |
| (c) | immediately after giving effect to such assumption of obligations, no default or event of default shall have occurred and be
continuing. |
Upon any such assumption, the successor issuer shall succeed
to and be substituted for, and may exercise every right and power of, Citigroup Inc. under the securities with the same effect
as if such successor issuer had been named as the original issuer of the securities, and Citigroup Inc. shall be relieved from
all obligations and covenants under the securities, except that Citigroup Inc. shall have the obligations described in clause (a)
above. For the avoidance of doubt, the successor issuer shall not be responsible for Citigroup Inc.’s compliance with the
covenants described in clause (a) above.
If a successor issuer assumes the obligations of Citigroup Inc.
under the securities as described above, events of bankruptcy or insolvency or resolution proceedings relating to Citigroup Inc.
will not constitute an event of default with respect to the securities, nor will any breach of a covenant by Citigroup Inc. (other
than payment default). Therefore, if a successor issuer assumes the obligations of Citigroup Inc. under the securities as described
above, events of bankruptcy or insolvency or resolution proceedings relating to Citigroup Inc. (in the absence of any such event
occurring with respect to the successor issuer) will not give holders the right to declare the securities to be due and payable,
and a breach of a covenant by Citigroup Inc. (including the covenants described in the section “Description of Debt Securities—Covenants—Limitations
on Liens” and “—Limitations on Mergers and Sales of Assets” in the accompanying prospectus), other than
payment default, will not give holders the right to declare the securities to be due and payable. Furthermore, if a successor issuer
assumes the obligations of Citigroup Inc. under the securities as described above, it will not be an event of default under the
securities if the guarantee of the securities by Citigroup Inc. ceases to be in full force and effect or if Citigroup Inc. repudiates
the guarantee.
There are no restrictions on which subsidiary of Citigroup Inc.
may be a successor issuer other than as specifically set forth above. The successor issuer may be less creditworthy than Citigroup
Inc. and/or may have no or nominal assets. If Citigroup Inc. is resolved in bankruptcy, insolvency or other resolution proceedings
and the securities are not contemporaneously declared due and payable, and if the successor issuer is subsequently resolved in
later bankruptcy, insolvency or other resolution proceedings, the value you receive on the securities may be significantly less
than what you would have received had the securities been declared due and payable immediately upon certain events of bankruptcy
or insolvency or resolution proceedings relating to Citigroup Inc. or the breach of a covenant by Citigroup Inc.
The securities are “specified securities” for purposes
of the indenture. The terms set forth above do not apply to all securities issued under the indenture, but only to the securities
offered by this pricing supplement (and similar terms may apply to other securities issued by Citigroup Inc. that are identified
as “specified securities” in the applicable pricing supplement).
You should read carefully the discussion of U.S. federal tax
consequences of any such assumption under “United States Federal Tax Considerations” in this pricing supplement.
Information
About the Underlying Index
The S&P 500® Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—S&P
500® Index—License Agreement” in the accompanying underlying supplement. Please refer to the sections
“Risk Factors” and “Equity Index Descriptions—S&P 500® Index” in the accompanying
underlying supplement for important disclosures regarding the underlying index, including certain risks that are associated with
an investment linked to the underlying index.
Historical Information
The closing level of the underlying index on February 8, 2016
was 1,853.44.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 3, 2011 to February 8, 2016. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
S&P 500® Index – Historical Closing Levels
January 3, 2011 to February 8, 2016 |
|
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,
which is based on current market conditions, 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.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year. |
Subject to the discussion below, 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.
The U.S. Treasury Department recently finalized the regulations
referred to in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Application
of Section 871(m) of the Code” in the accompanying product supplement, which require withholding on certain “dividend
equivalent” payments to non-U.S. persons. Based on the effective date in the final regulations, those regulations generally
will not apply to the securities assuming there is no significant modification to the securities’ terms that results in a
deemed exchange of the securities for U.S. federal income tax purposes.
As discussed in the section of the accompanying product supplement
entitled “United States Federal Tax Considerations,” withholding under legislation commonly referred to as “FATCA”
might (if the securities were recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the
securities and to the payment of gross proceeds of a disposition (including a retirement) of the securities. However, under a recent
IRS notice, withholding under “FATCA” will apply to payments of gross proceeds (other than
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
any amount treated as interest) only with respect to dispositions
after December 31, 2018. You should consult your tax adviser regarding the potential application of “FATCA” to the
securities.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any 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, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
Under their terms, the securities may be assumed by a successor
issuer, in which case we will guarantee all payments on the securities. See “Additional Terms of the Securities.” We
intend to treat such an assumption as not giving rise to a taxable modification of the securities. Our counsel has advised, based
on current law and provided that certain conditions are met at the time of the assumption, that such an assumption should not be
a taxable modification of the securities, although the law in this regard is not entirely clear. Assuming that an assumption of
the securities is not a taxable modification, the U.S. federal income tax treatment of the securities would not be affected by
the assumption. However, if the IRS were to treat an assumption of the securities as a taxable modification, the timing and character
of income recognized with respect to the securities after the assumption could be affected significantly, depending on circumstances
at the time of the assumption. Moreover, a U.S. Holder would generally be required to recognize gain (if any) with respect to the
securities at the time of the assumption in the same manner as upon a sale or exchange of the securities described in the discussion
above.
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 Inc. and the underwriter of the
sale of the securities, is acting as principal and will receive an underwriting fee of $20.00 for each security sold in this offering.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities and, from the underwriting
fee to CGMI, will receive a placement fee of $20.00 for each security they sell in this offering to accounts other than fiduciary
accounts. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to the placement agents. CGMI and
the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary accounts. In addition to the underwriting
fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We expect to hedge our obligations under the securities through CGMI
or other of our affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value
of the securities declines. This hedging activity could affect the closing level of the underlying index and, therefore, the value
of and your return on the securities. For additional information on the ways in which our counterparties may hedge our obligations
under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
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
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
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 creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary
judgment.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because it is uncertain what the values
of the inputs to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain
Selling Restrictions
Hong Kong
Special Administrative Region
The contents of this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed
by any regulatory authority in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong
Kong”). Investors are advised to exercise caution in relation to the offer. If investors are in any doubt about any of the
contents of this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus,
they should obtain independent professional advice.
The securities have not
been offered or sold and will not be offered or sold in Hong Kong by means of any document, other than
| (i) | to persons whose ordinary business is to buy or sell shares or debentures (whether as
principal or agent); or |
| (ii) | to “professional investors” as defined in the Securities and Futures Ordinance
(Cap. 571) of Hong Kong (the “Securities and Futures Ordinance”) and any rules made under that Ordinance; or |
| (iii) | in other circumstances which do not result in the document being a “prospectus”
as defined in the Companies Ordinance (Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning
of that Ordinance; and |
There is no advertisement,
invitation or document relating to the securities which is directed at, or the contents of which are likely to be accessed or read
by, the public of Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to securities
which are or are intended to be disposed of only to persons outside Hong Kong or only to “professional investors” as
defined in the Securities and Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These
securities are not insured by any governmental agency. These securities are not bank deposits and are not covered by the Hong Kong
Deposit Protection Scheme.
Singapore
This pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus have not been registered
as a prospectus with the Monetary Authority of Singapore, and the securities will be offered pursuant to exemptions under the
Securities and Futures Act, Chapter 289 of Singapore (the “Securities and Futures Act”). Accordingly, the securities
may not be offered or sold or made the subject of an invitation for subscription or purchase nor may this pricing supplement or
any other document or material in connection with the offer or sale or invitation for subscription or purchase of any securities
be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a) to an institutional investor
pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1) of the Securities and
Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with the conditions
specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions
of, any other applicable provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section
275 of the Securities and Futures Act by a relevant person which is:
| (a) | a corporation
(which is not an accredited investor (as defined in Section 4A of the Securities and
Futures Act)) the sole business of which is to hold investments and the entire share
capital of which is owned by one or more individuals, each of whom is an accredited investor;
or |
Citigroup Inc. |
Contingent Buffered Notes Based on the S&P 500® Index Due February , 2019 |
| (b) | a trust (where
the trustee is not an accredited investor) whose sole purpose is to hold investments
and each beneficiary is an individual who is an accredited investor, securities (as defined
in Section 239(1) of the Securities and Futures Act) of that corporation or the beneficiaries’
rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant
to an offer under Section 275 of the Securities and Futures Act except: |
| (i) | to an institutional
investor or to a relevant person defined in Section 275(2) of the Securities and Futures
Act or to any person arising from an offer referred to in Section 275(1A) or Section
276(4)(i)(B) of the Securities and Futures Act; or |
| (ii) | where no consideration
is or will be given for the transfer; or |
| (iii) | where the transfer
is by operation of law; or |
| (iv) | pursuant to Section
276(7) of the Securities and Futures Act; or |
| (v) | as specified in
Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures)
Regulations 2005 of Singapore. |
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified
Investment Products (as defined in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product
issued by the Monetary Authority of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures
market.
Non-insured Product: These
securities are not insured by any governmental agency. These securities are not bank deposits. These securities are not insured
products subject to the provisions of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and
are not eligible for deposit insurance coverage under the Deposit Insurance Scheme.
© 2016 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.
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2024 to Apr 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Apr 2023 to Apr 2024