The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with
the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, prospectus
supplement and prospectus are not an offer to sell these securities, nor are they soliciting an offer to buy these securities,
in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED
SEPTEMBER 23, 2016
Citigroup Global Markets Holdings Inc.
|
September
-----
,
2016
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2016-USNCH0179
Filed Pursuant to
Rule 424(b)(2)
|
Registration Statement Nos.
333-192302 and 333-192302-06
|
Autocallable Equity Linked Securities Based
on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
▪
|
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 a monthly coupon payment at a per annum rate that is generally higher
than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon, you must be
willing to accept the risks that (i) the securities may be automatically redeemed prior to maturity in the circumstances described
below and (ii) if the securities are not automatically redeemed prior to maturity and a downside event (as described below) occurs,
you will receive significantly less than the stated principal amount of your securities, and possibly nothing, at maturity. Each
of these risks will depend on the performance of the shares of common stock of ConocoPhillips (the “underlying shares”),
as described below. Although you will be exposed to downside risk with respect to the 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 payment 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:
|
Shares of common stock of ConocoPhillips (NYSE symbol: “COP”) (the “underlying share issuer”)
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
September , 2016 (expected to be September 23, 2016)
|
Issue date:
|
September , 2016 (expected to be September 29, 2016). See “Supplemental Plan of Distribution” below.
|
Valuation date:
|
September , 2018 (expected to be September 24, 2018), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
October , 2018 (expected to be October 1, 2018)
|
Coupon payments:
|
0.6125% (approximately 7.35% per annum) of the stated principal amount paid on each monthly coupon payment date, subject to automatic early redemption
|
Coupon payment dates:
|
The fifth business day following each observation date, and the final coupon payment date will be the maturity date (or the earlier date on which the securities are automatically redeemed, if applicable)
|
Automatic early redemption:
|
If, on any observation date
beginning in December 2016, the closing price of the underlying shares is greater than or equal to the initial share price,
the securities will be automatically redeemed on the related coupon payment date for an amount in cash per security
equal to $1,000
plus
the related coupon payment.
If the securities are automatically redeemed
prior to maturity, you will not receive any further coupon payments following the redemption.
|
Observation dates:
|
The day
of each month (expected to be the 23rd day of each month), beginning in October 2016 and ending in August 2018, each subject
to postponement if any such date is not a scheduled trading day or if certain market disruption events occur
|
Payment at maturity:
|
If the securities have not been earlier redeemed, for
each $1,000 stated principal amount security you hold at maturity, you will be entitled to receive the final coupon payment
plus
:
▪
If
a downside event occurs: cash in an amount equal to the final share price
multiplied by
the equity ratio
▪
If
a downside event does
not
occur: $1,000 in cash
If the securities have not been automatically redeemed
prior to maturity and a downside event occurs, your payment at maturity will be less, and possibly significantly less, than $700.00
per security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant
portion, and up to all, of your investment. Although you will be subject to the risk of a decline in the price of the underlying
shares, you will not participate in any appreciation of the underlying shares over the term of the securities.
|
Downside event:
|
A downside event will occur if the final share price is less than the downside threshold price.
|
Downside threshold price:
|
$ , 70.00% of the initial share price
|
Initial share price:
|
$ , the closing price of the underlying shares on the pricing date
|
Final share price:
|
The closing price of the underlying shares on the valuation date
|
Equity ratio:
|
, the stated principal amount
divided by
the initial share price
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CB62 / US17324CB629
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting
fee
and
issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$22.50
|
$977.50
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings Inc. currently expects
that the estimated value of the securities on the pricing date will be at least $967.10 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) 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-3.
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. ES-01-04 dated March 8, 2016
Prospectus Supplement and Prospectus each dated March 7, 2016
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 Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
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 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—Consequences of
a Market Disruption Event; Postponement of the Valuation Date,” “—Dilution and Reorganization Adjustments”
and “—Delisting of Underlying Shares (Other than Shares of an ETF),” 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 an Observation Date.
Each scheduled
observation date is subject to postponement as if it were the scheduled valuation date as described under “Description
of the Securities—Consequences of a Market Disruption Event; Postponement of the Valuation Date” in the accompanying
product supplement.
Coupon Payments.
The provisions of the accompanying product
supplement describing the computation of each coupon payment do not apply and are superseded by this pricing supplement.
Hypothetical
Examples
The table below illustrates what you will receive at maturity
of the securities for a range of hypothetical closing prices of the underlying shares on the valuation date, assuming the securities
have not been previously redeemed. You should understand that the term of the securities, and your opportunity to receive the coupon
payments on the securities, may be limited to as short as approximately three months by the automatic call feature of the securities,
which is not reflected in the table below. The hypothetical total return figures in the table below represent a total return on
your investment if the securities are held to maturity. The outcomes illustrated in the table below are not exhaustive, and your
actual total return on the securities may differ from any example illustrated below. For ease of analysis, figures in the table
below have been rounded.
The table below is based on the following hypothetical values
and assumptions in order to illustrate how the securities work and does not reflect the actual initial share price, downside threshold
price or equity ratio, each of which will be determined on the pricing date:
Initial share price:
|
$40.00 (the hypothetical closing price of the underlying shares on the pricing date)
|
Downside threshold price:
|
$28.00 (70.00% of the hypothetical initial share price)
|
Equity ratio:
|
25.00 ($1,000 stated principal amount
divided by
hypothetical initial share price)
|
Coupon payments:
|
7.35% of the stated principal amount per annum, paid monthly, subject to automatic early redemption
|
Hypothetical final share price
|
Hypothetical percentage change from initial share price to final share price
|
Payment at maturity
1
per security
|
Total coupon payments per security
|
Total payment received per security
|
Hypothetical total return of the securities
2
|
$46.00
|
15.00%
|
$1,000.00
|
$147.00
|
$1,147.00
|
14.70%
|
$40.00
|
0.00%
|
$1,000.00
|
$147.00
|
$1,147.00
|
14.70%
|
$34.00
|
-15.00%
|
$1,000.00
|
$147.00
|
$1,147.00
|
14.70%
|
$28.00
|
-30.00%
|
$1,000.00
|
$147.00
|
$1,147.00
|
14.70%
|
$27.99
|
-30.01%
|
$699.90
|
$147.00
|
$846.90
|
-15.31%
|
$20.00
|
-50.00%
|
$500.00
|
$147.00
|
$647.00
|
-35.30%
|
$10.00
|
-75.00%
|
$250.00
|
$147.00
|
$397.00
|
-60.30%
|
$0.00
|
-100.00%
|
$0.00
|
$147.00
|
$147.00
|
-85.30%
|
(1) Excludes final coupon payment.
(2) The hypothetical total return on the securities is calculated
as (a) (i) the payment at maturity (excluding the final coupon payment) per security
plus
the aggregate coupon payments
per security received over the term of the securities
minus
(ii) the $1,000 stated principal amount per security
divided
by
(b) the $1,000 stated principal amount per security.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying 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 ES-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 have not been automatically redeemed
prior to maturity and a downside event occurs, you will not receive the stated principal amount of your securities at maturity
and, instead, will receive an amount in cash that will be worth less than 70.00% of the stated principal amount and may be worth
nothing.
|
|
§
|
Your opportunity to receive coupon payments may be limited by the automatic early redemption feature.
Beginning
in December 2016, the securities will be automatically redeemed following a monthly observation date if the closing
price of
the underlying
shares is greater
than or equal to the initial share price on such date. If the securities are automatically
redeemed prior to maturity, you will not receive any additional coupon payments following the redemption and may not be able
to reinvest your funds in another investment that offers comparable terms or returns. The term of the securities, and your
opportunity to receive the coupon payments on the securities, may be limited to as short as three months.
|
|
§
|
The securities will be adversely affected by volatility in the price of the underlying shares.
The more volatile the
price of the underlying shares, the more likely it is that a downside event will occur and that you will not receive the full stated
principal amount of your securities at maturity. In general, the higher the coupon on the securities, the greater the expected
likelihood as of the pricing date that a downside event will occur and, as a result, that the amount you receive at maturity may
be less than the stated principal amount.
|
|
§
|
The securities offer downside exposure, 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 coupon payments and may be significantly less than the return on the underlying shares over the term of
the securities.
|
|
§
|
The performance of the securities will depend on the closing price of the underlying shares solely on the observation
dates and the valuation date, which makes the securities particularly sensitive to volatility of the underlying shares.
The
performance of the securities, including your payment at maturity and whether the securities are automatically redeemed prior to
maturity, will depend on the closing price of the underlying shares on a limited number of dates. If the securities are not earlier
redeemed, the amount you receive at maturity will depend solely on the closing price of the underlying shares on the valuation
date. Whether your securities will be automatically redeemed prior to maturity depends on the closing price of the underlying shares
on each observation date, and not on any other day during the term of the securities.
|
Because the performance of the securities
depends on the closing price of the underlying shares on a limited number of dates, the securities will be particularly sensitive
to volatility in the closing price of the underlying shares. You should understand that the underlying shares have historically
been highly volatile.
|
§
|
You will have no rights and will not receive dividends with respect to the underlying shares.
If any change to the underlying
shares is proposed, such as an amendment to the underlying share issuer’s certificate of incorporation, you will not have
the right to vote on such change, but any such change may adversely affect the market price of the underlying shares.
|
|
§
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
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 the underlying shares, the
dividend yield 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.
|
§
|
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 price and volatility of the underlying shares and a number of other factors,
including the dividend yield 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 price 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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
|
§
|
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.
|
|
§
|
Our offering of the securities does not constitute a recommendation 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 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 over the term of the securities or in instruments related to the underlying shares 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 shares. These and other activities of our affiliates may affect the price of the underlying shares in a way that
has a negative impact on your interests as a holder of the securities.
|
|
§
|
The price 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 price 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.
|
|
§
|
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 the underlying share issuer, including
extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of
this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies
against the underlying share issuer that are available to them without regard to your interests.
|
|
§
|
Even if the 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 the underlying shares
unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price
of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying
shares by the amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of
the Securities—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 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 the underlying shares would not.
|
|
§
|
If 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—Delisting of Underlying Shares (Other than Shares of an ETF)” in the accompanying product supplement.
This amount may be less, and possibly significantly less, than the stated principal amount of the securities.
|
|
§
|
The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares.
For example, if the underlying share issuer enters
into a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such
other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally,
if the 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 underlying shares. See “Description of the Securities—Dilution and Reorganization
Adjustments,” and “—Delisting of Underlying Shares (Other than Shares of an ETF)” in the accompanying product
supplement.
|
|
§
|
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 the underlying share issuer that may
require a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
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.
|
§
|
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. 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
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.
|
As described in “United States
Federal Tax Considerations” below, in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment on a security to a non-U.S. investor as subject to withholding tax at a rate of 30%. If withholding applies to the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld.
Information
About the Underlying Shares
ConocoPhillips is an independent exploration and production
company focusing on safely operating producing assets, executing major developments and exploring for new resources in promising
areas. The common stock of ConocoPhillips is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by ConocoPhillips pursuant to the Exchange Act can be located by reference
to the SEC file number 001-32395, through the SEC’s website at
http://www.sec.gov
.
In addition, information regarding the underlying share issuer may be obtained from other sources including, but not limited to,
press releases, newspaper articles and other publicly disseminated documents. The underlying shares trade on the New York Stock
Exchange under the ticker symbol “COP.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the underlying shares or other securities of the underlying share issuer. We have derived all disclosures
contained in this pricing supplement regarding the underlying shares and the underlying share issuer 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 underlying
share issuer.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer 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 underlying shares.
Historical
Information
The graph below shows the closing prices of the underlying shares
for each day such price was available from January 1, 2008 to September 21, 2016. The table that follows shows the high and low
closing prices of, and dividends paid on, the underlying shares 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 underlying
shares 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
underlying shares as an indication of future performance.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
Common Stock of ConocoPhillips – Historical Closing Prices
January 1, 2008 to September 21, 2016
|
|
*The red line indicates the hypothetical downside threshold price
of $28.04, assuming the closing price on September 21, 2016 were the initial share price.
Common Stock of ConocoPhillips
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$67.27
|
$54.26
|
$0.47000
|
Second Quarter
|
$73.02
|
$59.25
|
$0.47000
|
Third Quarter
|
$71.99
|
$52.07
|
$0.47000
|
Fourth Quarter
|
$53.90
|
$31.86
|
$0.47000
|
2009
|
|
|
|
First Quarter
|
$42.45
|
$26.78
|
$0.47000
|
Second Quarter
|
$36.54
|
$28.92
|
$0.47000
|
Third Quarter
|
$35.68
|
$30.07
|
$0.47000
|
Fourth Quarter
|
$41.04
|
$34.69
|
$0.50000
|
2010
|
|
|
|
First Quarter
|
$40.94
|
$36.11
|
$0.50000
|
Second Quarter
|
$45.51
|
$37.42
|
$0.55000
|
Third Quarter
|
$43.99
|
$37.22
|
$0.55000
|
Fourth Quarter
|
$51.91
|
$43.65
|
$0.55000
|
2011
|
|
|
|
First Quarter
|
$61.51
|
$50.98
|
$0.66000
|
Second Quarter
|
$61.91
|
$53.80
|
$0.66000
|
Third Quarter
|
$58.51
|
$47.20
|
$0.66000
|
Fourth Quarter
|
$55.60
|
$46.49
|
$0.66000
|
2012
|
|
|
|
First Quarter
|
$59.63
|
$52.00
|
$0.66000
|
Second Quarter
|
$58.60
|
$50.82
|
$0.66000
|
Third Quarter
|
$58.30
|
$53.24
|
$0.66000
|
Fourth Quarter
|
$59.30
|
$54.59
|
$0.66000
|
2013
|
|
|
|
First Quarter
|
$61.66
|
$56.89
|
$0.66000
|
Second Quarter
|
$64.31
|
$56.81
|
$0.66000
|
Third Quarter
|
$71.00
|
$61.23
|
$0.69000
|
Fourth Quarter
|
$74.34
|
$69.06
|
$0.69000
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
2014
|
|
|
|
First Quarter
|
$70.37
|
$63.46
|
$0.69000
|
Second Quarter
|
$86.10
|
$69.48
|
$0.69000
|
Third Quarter
|
$86.76
|
$76.52
|
$0.73000
|
Fourth Quarter
|
$75.00
|
$61.69
|
$0.73000
|
2015
|
|
|
|
First Quarter
|
$69.88
|
$60.87
|
$0.73000
|
Second Quarter
|
$69.40
|
$61.01
|
$0.73000
|
Third Quarter
|
$60.52
|
$42.19
|
$0.74000
|
Fourth Quarter
|
$56.73
|
$45.10
|
$0.74000
|
2016
|
|
|
|
First Quarter
|
$47.40
|
$31.88
|
$0.25000
|
Second Quarter
|
$48.11
|
$39.04
|
$0.25000
|
Third Quarter (through September 21, 2016)
|
$43.80
|
$39.01
|
$0.25000
|
The closing price of the underlying shares on September 21, 2016
was $40.06.
We make no representation as to the amount of dividends, if any,
that may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled
to receive dividends, if any, that may be payable on the underlying shares.
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 a security as a put option (the “Put Option”)
written by you with respect to the underlying shares, secured by a cash deposit equal to the stated principal amount of the security
(the “Deposit”). In the opinion of our tax counsel, Davis Polk & Wardwell LLP, which is based on current market
conditions, this treatment of the securities is reasonable under current law; however, our tax 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. Under this treatment:
|
·
|
a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
|
|
·
|
the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
|
We will specify in the final pricing supplement the portion of
each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
Assuming the treatment of a security as a Put Option and a Deposit
is respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should
not be taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders” in the accompanying product supplement.
Subject to the discussion in the section of the accompanying
product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S. Holder (as defined in
the accompanying product supplement) of the securities, under current law 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.
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 and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect.
While we currently do not intend to withhold on payments on
the securities to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussions in
the accompanying product supplement regarding “FATCA”), in light of the uncertain treatment of the securities other
persons having withholding or information reporting responsibility in respect of the securities may treat some or all of each coupon
payment on a security as subject to withholding tax at a rate of
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
30%. Moreover, it is possible that in the future we may determine
that we should withhold at a rate of 30% on coupon payments on the securities. We will not be required to pay any additional amounts
with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $22.50 for each
$1,000 security sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed
selling concession of $22.50 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 three business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than three business
days after the pricing date, investors who wish to sell the securities at any time prior to the third 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 advisors 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 this expected hedging activity even if the value
of the securities declines. This hedging activity could affect the closing price 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 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.”
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
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
|
(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,
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
|
|
(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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Common Stock of ConocoPhillips Due October
-----
, 2018
|
|
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.
© 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.
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