The information in this 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 pricing supplement and the accompanying product supplement, prospectus supplement and prospectus
are not an offer to sell these securities, nor are they soliciting an offer to buy these securities, in any state where the offer
or sale is not permitted.
SUBJECT TO COMPLETION, DATED OCTOBER
17, 2017
|
Citigroup Global Markets Holdings Inc.
|
October
-----
,
2017
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2017-USNCH0783
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-216372 and 333-216372-01
|
Autocallable Contingent
Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock
of Lowe’s Companies, Inc. Due October
-----
, 2020
|
▪
|
The securities offered by this pricing supplement are
unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities
offer the potential for quarterly contingent coupon payments at an annualized rate that, if all are paid, would produce a yield
that is generally higher than the yield on our conventional debt securities of the same maturity. In exchange for this higher
potential yield, you must be willing to accept the risks that (i) your actual yield may be lower than the yield on our conventional
debt securities of the same maturitAy because you may not receive one or more, or any, contingent coupon payments; (ii) your actual
yield may be negative because you may receive significantly less than the stated principal amount of your securities, and possibly
nothing, at maturity; and (iii) the securities may be automatically redeemed prior to maturity beginning three months after issuance.
Each of these risks will depend on the performance of the
worst performing
of the shares of common stock of The Home Depot,
Inc. and the shares of common stock of Lowe’s Companies, Inc. (each, the “underlying shares”), as described
below. You will be subject to risks associated with each of the underlying shares and will be negatively affected by adverse movements
in either of the underlying shares regardless of the performance of the other underlying shares. Although you will be exposed
to downside risk with respect to the worst performing underlying shares, you will not participate in any appreciation of the underlying
shares or receive any dividends paid on the underlying shares.
|
|
▪
|
Investors in the securities must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments 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 shares:
|
Underlying shares
|
Initial share price*
|
Coupon barrier price**
|
Final barrier price***
|
|
Shares of Common Stock of The Home Depot, Inc.
|
$
|
$
|
$
|
|
Shares of Common Stock of Lowe
’
s Companies, Inc.
|
$
|
$
|
$
|
|
* The closing price of the applicable underlying shares on the
pricing date
** For each of the underlying shares, 75% of the applicable
initial share price
*** For each of the underlying shares, 75% of the applicable initial
share price
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
October , 2017 (expected to be October 26, 2017)
|
Issue date:
|
October , 2017 (three business days after the pricing date). See “Supplemental Plan of Distribution” in this pricing supplement.
|
Valuation dates:
|
Expected to be January 26, 2018, April 26, 2018, July 26, 2018, October 26, 2018, January 28, 2019, April 26, 2019, July 26, 2019, October 28, 2019, January 27, 2020, April 27, 2020, July 27, 2020 and October 26, 2020 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day for either of the underlying shares or if certain market disruption events occur with respect to either of the underlying shares
|
Maturity date:
|
Unless earlier redeemed, October , 2020 (expected to be October 29, 2020)
|
Contingent coupon payment dates:
|
For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
|
Contingent coupon:
|
On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 1.875% to 2.125% (approximately 7.50% to 8.50% per annum) (to be determined on the pricing date) of the stated principal amount of the securities
if and only if
the closing price of the worst performing underlying shares on the related valuation date is greater than or equal to the applicable coupon barrier price.
If the closing price of the worst performing underlying shares on any quarterly valuation date is less than the applicable coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will be entitled to receive at maturity for each security you then hold:
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
greater than or equal to
the applicable final barrier price: $1,000
plus
the contingent coupon payment due at maturity
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
less than
the applicable
final barrier price:
$1,000 × the share
performance factor of the worst performing underlying shares on the final valuation date
If the final share price of the worst performing underlying
shares on the final valuation date is less than the applicable final barrier price, you will receive less than 75% of the stated
principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment
at maturity.
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$23.50
|
$976.50
|
Total:
|
$
|
$
|
$
|
(Key Terms
continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently
expects that the estimated value of the securities on the pricing date will be at least $929.00 per security, which will be less
than the issue price. The estimated value of the securities is based on Citigroup Global Markets Inc.’s (“CGMI”)
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) 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-5.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement and the accompanying product 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, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below:
Product Supplement No. EA-04-06 dated April 7, 2017
Prospectus
Supplement and Prospectus each dated April 7, 2017
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.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
If, on any potential redemption date, the closing price of the worst performing underlying shares is greater than or equal to the applicable initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment
|
Potential redemption dates:
|
Each quarterly valuation date beginning in January 2018 and ending in July 2020
|
Final share price:
|
For each of the underlying shares, the applicable closing price on the final valuation date
|
Share performance factor:
|
For each of the underlying shares on any valuation date, the applicable closing price on that valuation date
divided by
the applicable initial share price
|
Worst performing underlying shares:
|
For any valuation date, the underlying shares with the lowest share performance factor on that valuation date
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CN77 / US17324CN772
|
Underwriter:
|
CGMI, an affiliate of the issuer, acting as principal
|
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 whether you receive a contingent coupon
payment on a contingent coupon payment date as well as your payment at maturity or, in the case of a delisting of the underlying
shares, could give us the right to call the securities prior to maturity for an amount that may be less than the stated principal
amount. These events, including market disruption events and other events affecting the underlying shares, and their
consequences are described in the accompanying product supplement in the sections “Description of the Securities—Certain
Additional Terms for Securities Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement
of a Valuation Date,” “—Dilution and Reorganization Adjustments” and “—Delisting of Company
Shares,” and not in this pricing supplement. It is important that you read the accompanying product 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 valuation date.
If a scheduled valuation
date is not a scheduled trading day for either of the underlying shares or if a market disruption event occurs with respect to
either of the underlying shares on a scheduled valuation date, that valuation date will be subject to postponement as described
in the accompanying product supplement in the section “Description of the Securities—Certain Additional Terms for Securities
Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date.” If
a scheduled valuation date is postponed, the closing price of each of the underlying shares in respect of that valuation date will
be determined based on (i) for any underlying shares for which the originally scheduled valuation date is a scheduled trading day
and as to which a market disruption event does not occur on the originally scheduled valuation date, the closing price of such
underlying shares on the originally scheduled valuation date and (ii) for any other underlying shares, the closing price of such
underlying shares on the valuation date as postponed (or, if earlier, the first scheduled trading day for such underlying shares
following the originally scheduled valuation date on which a market disruption event did not occur with respect to such underlying
shares).
Dilution and Reorganization Adjustments.
With respect
to the underlying shares, the initial share price, the coupon barrier price and the final barrier price are each a “Relevant
Price” for purposes of the section “Description of the Securities—Certain Additional Terms for Securities Linked
to Company Shares or ETF Shares—Dilution and Reorganization Adjustments” in the accompanying product supplement. Accordingly,
the initial share price, the coupon barrier price and the final barrier price applicable to each of the underlying shares are each
subject to adjustment upon the occurrence of any of the events described in that section.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly valuation date and how to calculate the payment at maturity on the securities,
assuming the securities are not automatically redeemed prior to maturity. You should understand that the term of the securities,
and your opportunity to receive the contingent coupon payments on the securities, may be limited to as short as three months if
the securities are automatically redeemed prior to the maturity date. Unless earlier redeemed, during the term of the securities,
there are twelve valuation dates. For ease of analysis, figures in the table below may have been rounded.
The examples below are based on the following hypothetical values
and assumptions in order to illustrate how the securities work and do not reflect the actual initial share prices of either of
the underlying shares or their applicable coupon barrier prices and final barrier prices, each of which will be determined on the
pricing date:
Underlying shares
|
Hypothetical initial share price
|
Hypothetical coupon barrier price
|
Hypothetical final barrier price
|
Shares of common stock of The Home Depot, Inc.
|
$165.00
|
$123.75 (75% of the applicable hypothetical initial share price)
|
$123.75 (75% of the applicable hypothetical initial share price)
|
Shares of common stock of Lowe’s Companies, Inc.
|
$82.00
|
$61.50 (75% of the applicable hypothetical initial share price)
|
$61.50 (75% of the applicable hypothetical initial share price)
|
Contingent coupon rate:
|
7.50% per annum, paid quarterly
|
Hypothetical Examples of Quarterly Contingent
Coupon Payments and any Payment upon Automatic Early Redemption with Respect to a Quarterly Valuation Date that is also a Potential
Redemption Date
Set forth below are three hypothetical examples of the calculation of the contingent coupon payment with respect to a hypothetical
quarterly valuation date that is also a potential redemption date.
|
Hypothetical closing price of the shares of common stock of The Home Depot, Inc.
|
Hypothetical closing price of the shares of common stock of Lowe’s Companies, Inc.
|
Hypothetical contingent coupon payment per security and any payment upon an automatic early redemption
|
Example 1
|
$198.00
(Share performance factor =
$198.00 / $165.00 = 1.20)
|
$69.70
(Share performance factor =
$69.70 / $82.00 = 0.85)
|
$18.75
|
Example 2
|
$74.25
(Share performance factor =
$74.25 / $165.00 = 0.45)
|
$98.40
(Share performance factor =
$98.40 / $82.00 = 1.20)
|
$0.00
|
Example 3
|
$181.50
(Share performance factor =
$181.50 / $165.00 = 1.10)
|
$86.10
(Share performance factor =
$86.10 / $82.00 = 1.05)
|
$1,018.75 ($1,000 stated principal amount per security
plus
the related contingent coupon payment)
|
Example 1:
On the
hypothetical valuation date, the shares of common stock of Lowe’s Companies, Inc. have the lowest share performance factor
and, therefore, are the worst performing underlying shares. In this scenario, the closing price of the worst performing
underlying shares is
greater than
the applicable coupon barrier price but
less than
the applicable initial share
price. As a result, investors in the securities would receive the contingent coupon payment of $18.75 per security on
the related contingent coupon payment date and the securities would not be automatically redeemed.
Example 2:
On the
hypothetical valuation date, the shares of common stock of The Home Depot, Inc. have the lowest share performance factor and, therefore,
are the worst performing underlying shares. In this scenario, the closing price of the worst performing underlying shares
is
less than
the applicable coupon barrier price and
less than
the applicable initial share price. As
a result, investors would not receive any payment on the related contingent coupon payment date, even though the other underlying
shares have appreciated from the applicable initial share price, and the securities would not be automatically redeemed.
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if, on that valuation date, the closing price of
the worst performing underlying shares is less than the applicable coupon barrier price.
Example 3:
On the
hypothetical valuation date, the hypothetical closing prices of both of the underlying shares are
greater than
the applicable
coupon barrier prices and the applicable initial share prices. In this scenario, the closing price of the worst performing underlying
shares is
greater than
the applicable initial share price and the securities would be automatically redeemed on the related
contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment, or $1,018.75.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
Hypothetical Examples of the Payment at
Maturity on the Securities
The following examples illustrate the hypothetical payment at maturity on the securities as determined
based on the applicable final share prices of the underlying shares on the final valuation date, assuming the securities have
not been earlier automatically redeemed.
|
Hypothetical final share price of the shares of common stock of The Home Depot, Inc.
|
Hypothetical final share price of the shares of common stock of Lowe
’
s Companies, Inc.
|
Hypothetical payment at maturity per security
|
Example 4
|
$166.65
(Share performance factor =
$166.65 / $165.00 = 1.01)
|
$90.20
(Share performance factor =
$90.20 / $82.00 = 1.10)
|
$1,018.75
|
Example 5
|
$148.50
(Share performance factor =
$148.50 / $165.00 = 0.90)
|
$24.60
(Share performance factor =
$24.60 / $82.00 = 0.30)
|
$300.00
|
Example 6
|
$0.00
(Share performance factor =
$0.00 / $165.00 = 0.00)
|
$49.20
(Share performance factor =
$49.20 / $82.00 = 0.60)
|
$0.00
|
Example 4:
In this
example, the shares of common stock of The Home Depot, Inc. are the worst performing underlying shares. In this scenario,
the final share price of the worst performing underlying shares is greater than the applicable final barrier price. Accordingly,
at maturity, you would receive the stated principal amount of the securities
plus
the contingent coupon payment of $18.75
per security, but you would not participate in the appreciation of either of the underlying shares.
Example 5:
In this
example, the shares of common stock of Lowe’s Companies, Inc. are the worst performing underlying shares. In this
scenario, the final share price of the worst performing underlying shares is less than the applicable final barrier price. Accordingly,
at maturity, you would receive a payment per security calculated as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of Lowe’s Companies, Inc. on the final valuation date
= $1,000 × 0.30
= $300
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a
loss based on the performance of the worst performing underlying shares, even though the final share price of the other underlying
shares is greater than the applicable final barrier price.
In addition, because the final share price of the worst performing
underlying shares is below the applicable coupon barrier price, you will not receive any quarterly contingent coupon payment.
Example 6:
In this
example, the shares of common stock of The Home Depot, Inc. are the worst performing underlying shares and their final share price
is less than the applicable final barrier price. Accordingly, at maturity, you would receive a payment per security
calculated as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of The Home Depot, Inc. on the final valuation date
= $1,000 × 0.00
= $0
In this scenario, because
the closing price of the worst performing underlying shares on the final valuation date is $0, you would lose your entire investment
in the securities. In addition, because the final share price of the worst performing underlying shares is below the applicable
coupon barrier price, you will not receive any quarterly contingent coupon payment.
If the closing price of
the worst performing underlying shares were less than the applicable coupon barrier price on each valuation date and less than
the final barrier price on the final valuation date, you would not have received any quarterly contingent coupon payments and,
in addition, you would incur a significant loss on your securities at maturity.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
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 each of the underlying shares. 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 accompanying
prospectus supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s
most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the
business of Citigroup Inc. more generally.
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically
redeemed prior to maturity, your payment at maturity will depend on the performance of the worst performing underlying shares on
the final valuation date. If the closing price of the worst performing underlying shares on the final valuation date
is less than the applicable final barrier price, you will lose 1% of the stated principal amount of the securities for every 1%
by which the worst performing underlying shares have declined from their initial share price, regardless of the performance of
the other underlying shares. There is no minimum payment at maturity on the securities, and you may lose up to all of
your investment.
|
|
▪
|
You will not receive any contingent coupon payment for any quarter in which the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on the related valuation date.
A contingent coupon payment will be
made on a contingent coupon payment date if and only if the closing price of the worst performing underlying shares on the related
valuation date is greater than or equal to the applicable coupon barrier price. If the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on any quarterly valuation date, you will not receive any contingent coupon
payment on the related contingent coupon payment date. If the closing price of the worst performing underlying shares is below
the applicable coupon barrier price on each valuation date, you will not receive any contingent coupon payments over the term of
the securities.
|
|
▪
|
The securities are subject to the risks of both of the underlying shares and will be negatively affected if either of the
underlying shares perform poorly, even if the other underlying shares perform well.
You are subject to risks associated
with both of the underlying shares. If either of the underlying shares perform poorly, you will be negatively affected, even if
the other underlying shares perform well. The securities are not linked to a basket composed of the underlying shares, where the
better performance of one could ameliorate the poor performance of the other. Instead, you are subject to the full risks
of whichever of the underlying shares are the worst performing underlying shares.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying shares.
The return
on the securities depends solely on the performance of the worst performing underlying shares, and you will not benefit in any
way from the performance of the better performing underlying shares. The securities may underperform a similar investment
in both of the underlying shares or a similar alternative investment linked to a basket composed of the underlying shares, since
in either such case the performance of the better performing underlying shares would be blended with the performance of the worst
performing underlying shares, resulting in a better return than the return of the worst performing underlying shares.
|
|
▪
|
You will be subject to risks relating to the relationship between the underlying shares.
It is preferable
from your perspective for the underlying shares to be correlated with each other, in the sense that they tend to increase or decrease
at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlying
shares will not exhibit this relationship. The less correlated the underlying shares, the more likely it is that either
one of the underlying shares will perform poorly over the term of the securities. All that is necessary for the securities
to perform poorly is for one of the underlying shares to perform poorly; the performance of the underlying shares that are not
the worst performing underlying shares is not relevant to your return on the securities. It is impossible to predict
what the relationship between the underlying shares will be over the term of the securities.
|
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that the amount you receive at maturity may be significantly less than the stated principal amount
of your securities and may be zero. The volatility of and the correlation between the underlying shares are important factors affecting
these risks. Greater expected volatility of and lower expected correlation between the underlying shares as of the pricing date
may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that
the closing price of the worst performing underlying shares will be less than the applicable coupon barrier price on one or more
valuation dates, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities,
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
and that the closing price of the worst performing
underlying shares will be less than the applicable final barrier price on the final valuation date, such that you will not be repaid
the stated principal amount of your securities at maturity.
|
▪
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying shares.
The
potential contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst
performing underlying shares, as well as all the other risks of the securities. That compensation is effectively “at risk”
and may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower
than you anticipate because the coupon is “contingent” and you may not receive a contingent coupon payment on one or
more, or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the compensation you
receive not only for the downside risk of the worst performing underlying shares, but also for all of the other risks of the securities,
including the risk that the securities may be automatically redeemed prior to maturity, interest rate risk and our and Citigroup
Inc.’s credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the contingent
coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the downside risk
of the worst performing underlying shares.
|
|
▪
|
The securities may be automatically called prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any valuation date beginning approximately three months after issuance and prior to the final valuation date, the securities
will be automatically called if the closing price of the worst performing underlying shares on that valuation date is greater than
or equal to the applicable initial share price. Thus, the term of the securities may be limited to as short as three months. If
the securities are called prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may
not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
|
|
▪
|
The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares.
You
will not participate in any appreciation in the price of the underlying shares over the term of the securities. Consequently, your
return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than
the return on the underlying shares over the term of the securities. In addition, you will not receive any dividends or other distributions
or any other rights with respect to the underlying shares.
|
|
▪
|
The performance of the securities will depend on the closing prices of the underlying shares solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying shares.
Whether the contingent
coupon will be paid for any given quarter and whether the securities will be automatically redeemed prior to maturity will depend
on the closing prices of the underlying shares solely on the applicable valuation dates, regardless of the closing prices of the
underlying shares on other days during the term of the securities. If the securities are not automatically redeemed, what you receive
at maturity will depend solely on the closing price of the worst performing underlying shares on the final valuation date, and
not on any other day during the term of the securities. Because the performance of the securities depends on the closing prices
of the underlying shares on a limited number of dates, the securities will be particularly sensitive to volatility in the closing
prices of the underlying shares. You should understand that each of the underlying shares has historically been highly volatile.
|
|
▪
|
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
any amounts owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI
currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities
on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing
indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market,
there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is
willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until
maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price
. The difference is attributable to certain costs associated with
selling, structuring and hedging the securities that are included in the issue price. These costs include (i) the selling
concessions 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 and correlation between
the
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
underlying shares, the dividend yields on the underlying
shares 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 the same as the coupon
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.
|
▪
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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.
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▪
|
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 price and volatility of the underlying shares and a number of
other factors, including the correlation between the underlying shares, dividend yields on the underlying shares, interest rates
generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market
rate. Changes in the prices of the underlying shares 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.
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▪
|
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.
|
|
▪
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Our offering of the securities is not a recommendation of either of the underlying shares.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to either of the underlying shares 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 shares or in instruments related to the underlying shares and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other of our affiliates’
activities may affect the prices of the underlying shares in a way that has a negative impact on your interests as a holder of
the securities.
|
|
▪
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The prices of the underlying shares 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 underlying shares and other financial instruments related to the underlying shares and may adjust
such positions during the term of the securities. Our affiliates also trade the underlying shares and other financial
instruments related to the underlying shares 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 prices
of the underlying shares in a way that negatively affects the value of the securities. They could also result in substantial returns
for us or our affiliates while the value of the securities declines.
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▪
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with any underlying share issuer,
including extending loans to, making equity investments in or providing advisory services to those issuers. In the course of this
business, we
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
or our affiliates may acquire non-public
information about the underlying share issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes
a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without regard to
your interests.
|
▪
|
You will have no rights and will not receive dividends with respect to the underlying shares.
You
should understand that you will not receive any dividend payments under the securities. In addition, i
f any change
to the underlying shares is proposed, such as an amendment to either underlying share issuer’s organizational documents,
you will not have the right to vote on such change. Any such change may adversely affect the market price of the applicable
underlying shares.
|
|
▪
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Even if either underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will
be required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In
general, an adjustment will not be made under the terms of the securities for any cash dividend paid on either of the underlying
shares unless the amount of the dividend per share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the applicable
shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the applicable underlying
shares by the amount of the dividend per share. If the applicable underlying share issuer pays any dividend for which
an adjustment is not made under the terms of the securities, holders of the securities may be adversely affected. See
“Description of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of either of the underlying shares.
For
example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described
above, partial tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do
make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be
adversely affected by such an event in a circumstance in which a direct holder of either of the underlying shares would not.
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▪
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If either of the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be
less than the stated principal amount.
If we exercise this call right, you will receive the amount described under
“Description of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Delisting
of Company Shares” in the accompanying product supplement. This amount may be less, and possibly significantly
less, than the stated principal amount of the securities.
|
|
▪
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The securities may become linked to shares of an issuer other than any original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of either of the underlying shares.
For example, if any underlying
share issuer enters into a merger agreement that provides for holders of the applicable underlying shares to receive stock of another
entity, the stock of such other entity will become the applicable underlying shares for all purposes of the securities upon consummation
of the merger. Additionally, if the applicable underlying shares are delisted and we do not exercise our call right,
the calculation agent may, in its sole discretion, select shares of another issuer to be the applicable underlying shares. See
“Description of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution
and Reorganization Adjustments” and “—Delisting of Company Shares” in the accompanying product supplement.
|
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▪
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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, corporate events with respect to either of the underlying share issuers
that may require a dilution adjustment or the delisting of the applicable underlying shares, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect what you receive 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.
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|
▪
|
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 described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition
of the securities might be materially and adversely affected. Moreover, as described in the accompanying product supplement
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. While it is not clear whether the securities would be viewed as similar to the typical prepaid
forward contract described in the notice, it is possible that 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 recognized by U.S. investors, 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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
Non-U.S. investors should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so
withhold.
In addition, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light
of IRS regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta”
of one, as of the date of this preliminary pricing supplement the securities should not be subject to withholding under Section
871(m). However, information about the application of Section 871(m) to the securities will be updated in the final
pricing supplement. Moreover, the IRS could challenge a conclusion that the securities should not be subject to withholding
under Section 871(m).
We will not be required to pay any additional amounts
with respect to amounts withheld.
Information
About The Home Depot, Inc.
The Home Depot, Inc. operates retail stores that sell an assortment
of building materials, home improvement products and lawn and garden products and provide home improvement services. The common
stock of The Home Depot, Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).
Information provided to or filed with the SEC by The Home Depot, Inc. pursuant to the Exchange Act can be located by reference
to the SEC file number 001-08207 through the SEC’s website at http://www.sec.gov. In addition, information regarding The
Home Depot, Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents. The common stock of The Home Depot, Inc. trades on the New York Stock Exchange under the ticker
symbol “HD.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of The Home Depot, Inc. or other securities of The Home Depot, Inc. We
have derived all disclosures contained in this pricing supplement regarding The Home Depot, Inc. from the publicly available documents
described above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc.,
Citigroup Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to
The Home Depot, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The Home Depot, Inc. is not involved in any way in this offering and has no
obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the common stock of The Home Depot, Inc.
Historical Information
The graph below shows the closing prices of the common stock
of The Home Depot, Inc. for each day such price was available from January 3, 2012 to October 13, 2017. The table that follows
shows the high and low closing prices of, and dividends paid on, the common stock of The Home Depot, Inc. for each quarter in that
same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification.
If certain corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs or
mergers, then the closing prices of the shares of common stock of The Home Depot, Inc. shown below for the period prior to the
occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first
day in the period shown below. You should not take the historical prices of the common stock of The Home Depot, Inc. as an indication
of future performance.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
Common Stock of The Home
Depot, Inc. – Historical Closing Prices
January 3, 2012 to October
13, 2017
|
|
* The red line indicates the
hypothetical coupon barrier price and hypothetical final barrier price with respect to The Home Depot, Inc. of $123.353, assuming
the closing price on October 13, 2017 were the applicable initial share price.
Common Stock of The Home Depot, Inc.
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$50.31
|
$42.14
|
$0.29000
|
Second Quarter
|
$52.99
|
$47.02
|
$0.29000
|
Third Quarter
|
$60.37
|
$50.70
|
$0.29000
|
Fourth Quarter
|
$65.07
|
$59.01
|
$0.29000
|
2013
|
|
|
|
First Quarter
|
$71.37
|
$62.85
|
$0.39000
|
Second Quarter
|
$79.82
|
$69.67
|
$0.39000
|
Third Quarter
|
$80.54
|
$72.70
|
$0.39000
|
Fourth Quarter
|
$82.34
|
$74.14
|
$0.39000
|
2014
|
|
|
|
First Quarter
|
$82.91
|
$74.97
|
$0.47000
|
Second Quarter
|
$81.13
|
$75.70
|
$0.47000
|
Third Quarter
|
$93.50
|
$79.40
|
$0.47000
|
Fourth Quarter
|
$104.97
|
$87.85
|
$0.47000
|
2015
|
|
|
|
First Quarter
|
$117.49
|
$100.95
|
$0.59000
|
Second Quarter
|
$115.59
|
$106.98
|
$0.59000
|
Third Quarter
|
$122.80
|
$110.97
|
$0.59000
|
Fourth Quarter
|
$134.74
|
$117.03
|
$0.59000
|
2016
|
|
|
|
First Quarter
|
$133.43
|
$111.85
|
$0.69000
|
Second Quarter
|
$137.51
|
$124.67
|
$0.69000
|
Third Quarter
|
$138.77
|
$125.45
|
$0.69000
|
Fourth Quarter
|
$137.11
|
$119.89
|
$0.69000
|
2017
|
|
|
|
First Quarter
|
$149.60
|
$133.53
|
$0.89000
|
Second Quarter
|
$158.81
|
$145.91
|
$0.89000
|
Third Quarter
|
$163.56
|
$144.58
|
$0.89000
|
Fourth Quarter (through October 13, 2017)
|
$166.12
|
$164.02
|
$0.00000
|
The closing price of the common
stock of The Home Depot, Inc. on October 13, 2017 was $164.47.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of The Home Depot, Inc. in the future. In any event, as an investor in the securities, you
will not be entitled to receive dividends, if any, that may be payable on the common stock of The Home Depot, Inc.
Information
About Lowe’s Companies, Inc.
Lowe’s Companies, Inc. is
a
home improvement and hardware retailer
. The common stock of Lowe’s Companies, Inc. is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Lowe’s
Companies, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-07898 through the SEC’s
website at http://www.sec.gov. In addition, information regarding Lowe’s Companies, Inc. may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The common stock of
Lowe’s Companies, Inc. trades on the New York Stock Exchange under the ticker symbol “LOW.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Lowe’s Companies, Inc. or other securities of Lowe’s Companies, Inc. We
have derived all disclosures contained in this pricing supplement regarding Lowe’s Companies, Inc. from the publicly available
documents described above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup
Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to Lowe’s
Companies, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Lowe’s Companies, Inc. is not involved in any way in this offering and
has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the common stock of Lowe’s Companies, Inc.
Historical Information
The graph below shows the closing prices of the common stock
of Lowe’s Companies, Inc. for each day such price was available from January 3, 2012 to October 13, 2017. The table that
follows shows the high and low closing prices of, and dividends paid on, the common stock of Lowe’s Companies, Inc. for each
quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent
verification. If certain corporate transactions occurred during the historical period shown below, including, but not limited to,
spin-offs or mergers, then the closing prices of the shares of common stock of Lowe’s Companies, Inc. shown below for the
period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred
prior to the first day in the period shown below. You should not take the historical prices of the common stock of Lowe’s
Companies, Inc. as an indication of future performance.
Common Stock
of Lowe’s Companies, Inc. – Historical Closing Prices
January 3, 2012
to October 13, 2017
|
|
* The red line indicates the
hypothetical coupon barrier price and hypothetical final barrier price with respect to Lowe’s Companies, Inc. of $61.748,
assuming the closing price on October 13, 2017 were the applicable initial share price.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
-----
, 2020
|
|
Common Stock of Lowe’s Companies, Inc.
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$31.38
|
$25.52
|
$0.14000
|
Second Quarter
|
$32.10
|
$25.49
|
$0.14000
|
Third Quarter
|
$30.26
|
$24.85
|
$0.16000
|
Fourth Quarter
|
$36.09
|
$30.29
|
$0.16000
|
2013
|
|
|
|
First Quarter
|
$39.79
|
$34.76
|
$0.16000
|
Second Quarter
|
$43.23
|
$37.32
|
$0.16000
|
Third Quarter
|
$48.98
|
$41.06
|
$0.18000
|
Fourth Quarter
|
$51.95
|
$46.50
|
$0.18000
|
2014
|
|
|
|
First Quarter
|
$50.82
|
$44.90
|
$0.18000
|
Second Quarter
|
$49.52
|
$44.63
|
$0.18000
|
Third Quarter
|
$54.15
|
$47.20
|
$0.23000
|
Fourth Quarter
|
$68.80
|
$51.21
|
$0.23000
|
2015
|
|
|
|
First Quarter
|
$75.61
|
$66.08
|
$0.23000
|
Second Quarter
|
$75.06
|
$66.97
|
$0.23000
|
Third Quarter
|
$74.37
|
$66.25
|
$0.28000
|
Fourth Quarter
|
$77.61
|
$69.79
|
$0.28000
|
2016
|
|
|
|
First Quarter
|
$76.02
|
$63.40
|
$0.28000
|
Second Quarter
|
$80.76
|
$75.01
|
$0.28000
|
Third Quarter
|
$82.94
|
$70.81
|
$0.35000
|
Fourth Quarter
|
$76.40
|
$65.63
|
$0.35000
|
2017
|
|
|
|
First Quarter
|
$83.53
|
$70.95
|
$0.35000
|
Second Quarter
|
$86.06
|
$76.07
|
$0.35000
|
Third Quarter
|
$79.94
|
$72.56
|
$0.41000
|
Fourth Quarter (through October 13, 2017)
|
$82.33
|
$80.79
|
$0.00000
|
The closing price of the common stock of Lowe’s Companies,
Inc. on October 13, 2017 was $82.33.
On August 18, 2017, Lowe’s Companies, Inc. declared a cash
dividend of $0.41000 per share of common stock payable on November 8, 2017. We make no representation as to the amount of dividends,
if any, that may be paid on the common stock of Lowe’s Companies, Inc. in the future. In any event, as an investor in the
securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Lowe’s Companies,
Inc.
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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection
with any information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence
of an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell
LLP, which is based on current market conditions, this treatment of the securities is reasonable under current law; however, our
counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and
that alternative treatments are possible.
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:
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·
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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
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·
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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. For this purpose, the amount realized
does not include any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be
treated as a coupon payment. Such gain or loss should be long-term capital gain or loss if you held the security for
more than one year.
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Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
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, 2020
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We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In addition, the U.S.
Treasury Department and the IRS have released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts.” While it is not clear whether the securities would be viewed as similar to the typical prepaid
forward contract described in the notice, it is possible that 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, possibly with retroactive effect. You should consult your tax adviser regarding possible
alternative tax treatments of the securities and potential consequences of the IRS notice.
Withholding Tax on Non-U.S. Holders.
Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need
to comply with certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or
reduction under an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including
the possibility of obtaining a refund of any amounts withheld and the certification requirement described above.
Moreover, as discussed under “United States Federal Tax
Considerations – Tax Consequences to Non-U.S. Holders – Possible Withholding Under Section 871(m) of the Code”
in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S.
Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance
of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified
Security”). However, the regulations exempt financial instruments issued in 2017 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that
the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations
with respect to any U.S. Underlying Equity and, therefore, should not be Specified Securities subject to withholding tax under
Section 871(m).
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. For example, if you enter into other transactions
relating to a U.S. Underlying Equity, you could be subject to withholding tax or income tax liability under Section 871(m) even
if the securities are not Specified Securities subject to Section 871(m) as a general matter. You should consult your
tax adviser regarding the potential application of Section 871(m) to the securities.
This information is indicative and will
be updated in the final pricing supplement or may otherwise be updated by us in writing from time to time. Non-U.S.
Holders should be warned that Section 871(m) may apply to the securities based on circumstances as of the pricing date for the
securities and, therefore, it is possible that the securities will be subject to withholding tax under Section 871(m).
We will not be required to pay any additional
amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination
with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your
tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and
any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $23.50 for each
$1,000 security sold in this offering. CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession
of $23.50 for each $1,000 security they sell. For the avoidance of doubt, the fees and selling concessions described
in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.
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.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisers in this regard.
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
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
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, 2020
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this expected hedging activity even if the value of the securities
declines. This hedging activity could affect the closing prices of either of the underlying shares 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 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 certain terms of the securities
have not yet been fixed and 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.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product 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, 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
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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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
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(iii)
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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
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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,
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,
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of The Home Depot, Inc. and the Common Stock of Lowe’s Companies, Inc. Due October
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, 2020
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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:
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(a)
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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
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(b)
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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:
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(i)
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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
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
2017 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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