|
The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with
the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus are not an offer to sell these securities, nor are they soliciting an offer to
buy these securities, in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED OCTOBER
27, 2016
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|
Citigroup Global Markets Holdings Inc.
|
November
-----
,
2016
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2016-USNCH0222
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-214120 and 333-214120-03
|
Dual Directional Barrier Securities Based on
Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 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. Unlike conventional debt securities, the securities
do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity
that may be greater than, equal to or less than the stated principal amount, depending on the performance of shares of the Energy
Select Sector SPDR
®
Fund (the “underlying shares”) from the initial share price to the final share price.p
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|
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▪
|
The securities offer leveraged exposure to a limited range of potential appreciation of the underlying
shares, subject to the maximum upside return specified below. In addition, if the underlying shares depreciate within a limited
range (not more than 20.00%), the securities provide for a positive return at maturity based on the absolute value of that depreciation.
In exchange for the leveraged upside exposure and the potential for a positive return at maturity even if the underlying shares
depreciate, investors in the securities must be willing to forgo (i) participation in any appreciation of the underlying shares
in excess of the maximum upside return, (ii) positive participation in the absolute value of any depreciation of the underlying
shares if the underlying shares depreciate by more than 20.00% and (iii) any dividends that may be paid on the underlying shares.
Moreover, investors in the securities must be willing to accept full downside exposure to the underlying shares if the underlying
shares depreciate by more than 20.00%. If the underlying shares depreciate by more than 20.00% from the pricing date to the valuation
date, you will lose 1% of the stated principal amount of your securities for every 1% by which the final share price is less than
the initial share price. There is no minimum payment at maturity.
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|
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▪
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In order to obtain the modified exposure to the underlying shares that the securities provide,
investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving
any amount due under the securities if we and Citigroup Inc. default on our obligations. All payments on the securities are subject
to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
|
|
KEY TERMS
|
|
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Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
|
Underlying shares:
|
Shares of the Energy Select Sector SPDR
®
Fund (NYSE Arca symbol: “XLE”) (the “underlying share issuer” or “ETF”)
|
|
Aggregate stated principal amount:
|
$
|
|
Stated principal amount:
|
$1,000 per security
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|
Pricing date:
|
November , 2016 (expected to be November 18, 2016)
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|
Issue date:
|
November , 2016 (five business days after the pricing date). See “Supplemental plan of distribution” in this pricing supplement for additional information.
|
|
Valuation date:
|
November , 2018 (expected to be November 19, 2018), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
|
Maturity date:
|
November , 2018 (expected to be November 23, 2018)
|
|
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity:
▪
If
the final share price is
greater than or equal to
the initial share price:
$1,000 + the upside return amount, subject to the maximum upside return
▪
If
the final share price is
less than
the initial share price but
greater than or equal to
the barrier price:
$1,000 + the downside return amount
▪
If
the final share price is
less than
the barrier price:
$1,000 × the share performance factor
If the final share price is less than the barrier price, your
payment at maturity will be less, and possibly significantly less, than $800.00 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.
|
|
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
|
|
Upside return amount:
|
$1,000 × the share percent change × the leverage factor
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|
Downside return amount:
|
$1,000 × the absolute value of the share percent change
|
|
Leverage factor:
|
200.00%. The leverage factor will be applicable only if the final share price is
greater than
the initial share price.
|
|
Share performance factor:
|
The final share price
divided by
the initial share price
|
|
Share percent change:
|
The final share price
minus
the initial share price,
divided by
the initial share price
|
|
Barrier price:
|
$ , 80.00% of the initial share price
|
|
Maximum upside return:
|
$200.00 to $250.00 per security (20.00% to 25.00% of the stated principal amount), to be determined on the pricing date.
|
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Listing:
|
The securities will not be listed on any securities exchange
|
|
CUSIP / ISIN:
|
17324CCA2 / US17324CCA27
|
|
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
|
$17.50
|
$982.50
|
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings Inc. currently expects that
the estimated value of the securities on the pricing date will be at least $960.00 per security, which will be less than the issue
price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate.
It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which
CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the
Securities” in this pricing supplement.
(2) CGMI will receive an underwriting fee of up to $17.50 for
each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial advisors will collectively
receive from CGMI a selling concession of up to $15.00 for each $1,000 security they sell. Selected dealers through whom we distribute
securities may enter into arrangements with other institutions with respect to the distribution of the securities, and those institutions
may share in the commissions, discounts or other compensation received by our selected dealers, may be compensated separately and
may also receive commissions from purchasers for whom they may act as agents. We may also engage other firms to provide marketing
or promotional services in connection with the distribution of the securities. CGMI will also pay certain service providers a fee
of up to $2.50 per security in consideration for providing marketing, education, structuring or referral services with respect
to financial advisors or selected dealers. For more information on the distribution of the securities, see “Supplemental
Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit
from expected hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds
and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-4.
Neither the Securities and Exchange Commission
(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, underlying supplement, prospectus supplement and prospectus is truthful
or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can
be accessed via the hyperlinks below:
Product
Supplement No. EA-02-05 dated October 14, 2016
Underlying
Supplement No. 5 dated October 14, 2016
Prospectus
Supplement and Prospectus each dated October 14, 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.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 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, such as market disruption events and other events
affecting the underlying shares. These events and their consequences are described in the accompanying product supplement in the
sections “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Consequences
of a Market Disruption Event; Postponement of a Valuation Date”, “—Dilution and Reorganization Adjustments”
and “—Delisting, Liquidation or Termination of an Underlying ETF,” and not in this pricing supplement. The accompanying
underlying supplement contains important disclosures regarding the underlying shares that are not repeated in this pricing supplement.
It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement before deciding whether to invest in the securities. Certain terms used but not defined in
this pricing supplement are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments.
The initial share
price and the barrier price are each a “Relevant Price” for purposes of the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in
the accompanying product supplement. Accordingly, the initial share price and the barrier price are each subject to adjustment
upon the occurrence of any of the events described in that section.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial share price to the final share price. The diagram and examples below
are based on a hypothetical maximum upside return of 20.00%.
Investors in the securities will not receive any dividends
on the underlying shares or the stocks included in or held by the ETF. The diagram and examples below do not show any effect of
lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not have voting rights,
rights to receive any dividends or other distributions or any other rights with respect to the ETF” below.
Dual Directional Barrier Securities
Payment at Maturity Diagram
|
|
|
n
The Securities
|
n
The Underlying Shares
|
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
|
Your actual payment at maturity per security will depend on the
actual maximum return at maturity, which will be determined on the pricing date, the actual initial share price and the actual
final share price. The examples below are intended to illustrate how your payment at maturity will depend on whether the final
share price is greater than or less than the initial share price and by how much. The examples are based on a hypothetical initial
share price of $70.00 and a hypothetical barrier price of $56.00.
Example 1—Upside Scenario A.
The hypothetical final
share price is $73.50 (an approximately 5.00% increase from the hypothetical initial share price), which is
greater than
the hypothetical initial share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × the share percent change × the
leverage factor), subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × 5.00% × 200.00%), subject to
the hypothetical maximum upside return of $200.00 per security
= $1,000 + $100.00, subject to the hypothetical maximum upside
return of $200.00 per security
= $1,100.00
Because the underlying shares appreciated from the hypothetical
initial share price to the hypothetical final share price and the upside return amount of $100.00 results in a total return at
maturity of 10.00%, which is less than the hypothetical maximum upside return of 20.00%, your payment at maturity in this scenario
would be equal to the $1,000 stated principal amount per security
plus
the upside return amount, or $1,100.00 per security.
Example 2—Upside Scenario B.
The hypothetical final
share price is $105.00 (an approximately 50.00% increase from the hypothetical initial share price), which is
greater than
the hypothetical initial share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × the share percent change × the
leverage factor), subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × 50.00% × 200.00%), subject to
the hypothetical maximum upside return of $200.00 per security
= $1,000 + $1,000.00, subject to the hypothetical maximum upside
return of $200.00 per security
= $1,200.00
Because the underlying shares appreciated from the hypothetical
initial share price to the hypothetical final share price and the upside return amount of $1,000.00 per security would result in
a total return at maturity of 100.00%, which is greater than the hypothetical maximum upside return of 20.00%, your payment at
maturity in this scenario would be limited to the stated principal amount
plus
the maximum upside return. In this scenario,
an investment in the securities would underperform a direct investment in the underlying shares.
Example 3—Upside Scenario C.
The hypothetical final
share price is $63.00 (an approximately 10.00% decrease from the hypothetical initial share price), which is
less than
the
hypothetical initial share price but
greater than
the hypothetical barrier price.
Payment at maturity per security = $1,000 + the downside return
amount
= $1,000 + ($1,000 × the absolute value of the share percent
change)
= $1,000 + ($1,000 × | -10.00%|)
= $1,000 + $100.00
= $1,100.00
Because the underlying shares depreciated from the hypothetical
initial share price to the hypothetical final share price but not by more than 20.00%, your payment at maturity in this scenario
would reflect 1-to-1 exposure to the absolute value of the depreciation of the underlying shares.
Example 4—Downside Scenario.
The hypothetical final
share price is $21.00 (an approximately 70.00% decrease from the hypothetical initial share price), which is
less than
the
hypothetical barrier price.
Payment at maturity per security = $1,000 × the share performance
factor
= $1,000 × 30.00% = $300.00
Because the underlying shares depreciated from the hypothetical
initial share price to the hypothetical final share price by more than 20.00%, your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the underlying shares. In this scenario, the depreciation of the underlying
shares results in a significant loss, rather than a positive return, on your investment in the securities.
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 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 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 repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If
the final share price is less than the barrier price, the absolute return feature will no longer be available and the payout at
maturity will be at least 20.00% less than the stated principal amount of the securities, and you will lose 1% of the stated principal
amount of the securities for every 1% by which the final share price is less than the initial share price. There is no minimum
payment at maturity on the securities, and you may lose up to all of your investment.
|
|
|
▪
|
The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
|
▪
|
Your potential return on the securities is limited.
If the final share price is greater than the initial share price,
your potential total return on the securities at maturity is limited to the maximum upside return of 20.00% to 25.00%, which is
equivalent to a maximum upside return of $200.00 to $250.00 per security. The actual maximum upside return will be determined on
the pricing date. The return on the underlying shares from the initial share price to the final share price may significantly exceed
the maximum upside return. Taking into account the leverage factor and assuming a maximum upside return of 20.00%, any increase
in the final share price over the initial share price by more than 10.00% will not increase your return on the securities and will
progressively reduce the effective amount of leverage provided by the securities. Therefore, your return on the securities may
be significantly less than the return you could have achieved on a direct investment in the underlying shares. In addition, your
potential for positive participation in the absolute value of any depreciation of the underlying shares is limited. Because the
barrier price is equal to 80.00% of the initial share price, the return potential of the securities in the event that the underlying
shares depreciate is limited to 20.00%. Any depreciation of the underlying shares in excess of 20.00% will result in a loss, rather
than a positive return, on the securities.
|
|
|
▪
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the underlying shares.
As of October 26, 2016, the trailing 12-month dividend yield of the underlying shares was 2.64%.
While it is impossible to know the future dividend yield of the underlying shares, if this trailing 12-month dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 5.28% (assuming no
reinvestment of dividends) by investing in the securities instead of investing directly in the underlying shares or in another
investment linked to the underlying shares that provides for a pass-through of dividends. The payment scenarios described in this
pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
|
▪
|
Your payment at maturity depends on the closing price of the underlying shares on a single day.
Because your payment
at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the risk that
the closing price of the underlying shares on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested directly in the underlying shares or in another instrument linked
to the underlying shares that you could sell for full value at a time selected by you, or if the payment at maturity were based
on an average of closing prices of the underlying shares, you might have achieved better returns.
|
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
|
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
|
that the securities can be sold
at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at
any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities
because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly,
an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions and service provider
fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the
economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than
our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were
calculated based on our secondary market rate” below.
|
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, dividend
yields on the underlying shares and the stocks held by the ETF and interest rates. CGMI’s views on these inputs may differ
from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both
the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities.
Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value
that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not
invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities
to maturity irrespective of the initial estimated value.
|
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we
will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
|
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors,
including the price and volatility of the stocks held by the ETF, the dividend yields on the underlying shares and the stocks held
by the ETF, 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.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 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.
|
|
|
▪
|
Investing in the securities exposes investors to concentrated risks associated with the energy sector.
The stocks included
in the index underlying the ETF and that are generally tracked by the ETF are stocks of companies whose primary business is directly
associated with the energy sector, including the following two sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment
and services. Because the securities are linked to the performance of the underlying shares, an investment in the securities exposes
investors to concentrated risks associated with investments in the energy sector.
|
Energy companies develop and produce
crude oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock
prices for these types of companies are mainly affected by the business, financial and operating conditions of the particular company,
as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various
energy products and services. Some of the factors that may influence supply and demand for energy products and services include:
general economic conditions and growth rates; weather conditions; the cost of exploring for, producing and delivering oil and gas;
technological advances affecting energy efficiency and energy consumption; the ability of the Organization of Petroleum Exporting
Countries (OPEC) to set and maintain production levels of oil; currency fluctuations; inflation; natural disasters; civil unrest,
acts of sabotage or terrorism; and other regional or global events. The profitability of energy companies may also be adversely
affected by existing and future laws, regulations, government actions and other legal requirements relating to protection of the
environment, health and safety matters and others that may increase the costs of conducting their business or may reduce or delay
available business opportunities. Increased supply or weak demand for energy products and services, as well as various developments
leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies
in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than a
different investment linked to securities of a more broadly diversified group of issuers.
|
|
▪
|
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 or the stocks held by the ETF over the term of the securities or in instruments related to
the underlying shares or such stocks over the term of the securities and may publish research or express opinions, that in each
case are inconsistent with an investment linked to the underlying 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.
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▪
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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 or the stocks held by the ETF and other financial instruments related to the underlying shares or such
stocks and may adjust such positions during the term of the securities. Our affiliates also trade the underlying shares or the
stocks held by the ETF and other financial instruments related to the underlying shares or such stocks on a regular basis (taking
long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on
behalf of customers. These activities could affect the 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.
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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 the underlying share issuer or the issuers
of the stocks held by the ETF, including extending loans to, making equity investments in or providing advisory services to such
issuers. In the course of this business, we or our affiliates may acquire non-public information about such 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 such issuer that are available to them without regard to your interests.
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▪
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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—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
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▪
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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.
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.
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▪
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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 or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select
shares of another ETF to be the underlying shares. See “Description of the Securities—Certain Additional Terms for
Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an Underlying ETF” 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 , 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 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.
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▪
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The price and performance of the underlying shares may not completely track the performance of the S&P Energy Select
Sector Index or the net asset value per share of the ETF.
The underlying share issuer does not fully replicate the underlying
index that it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance
of the underlying shares will reflect additional transaction costs and fees that are not included in the calculation of the S&P
Energy Select Sector Index (the “ETF Underlying Index”). All of these factors may lead to a lack of correlation between
the performance of the underlying shares and the ETF Underlying Index. In addition, corporate actions with respect to the equity
securities constituting the ETF Underlying Index or held by the underlying share issuer (such as mergers and spin-offs) may impact
the variance between the performances of the underlying shares and the ETF Underlying Index. Finally, because the underlying shares
are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of the underlying shares may
differ from the net asset value per share of the ETF.
|
During periods of market volatility,
securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the ETF and the liquidity of the underlying shares may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of the ETF. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the underlying
shares. As a result, under these circumstances, the market value of the underlying shares may vary substantially from the net asset
value per share of the ETF. For all of the foregoing reasons, the performance of the underlying shares may not correlate with the
performance of the ETF Underlying Index and/or the net asset value per share of the ETF, which could materially and adversely affect
the value of the securities in the secondary market and/or reduce your payment at maturity.
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▪
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Changes made by the investment adviser to the underlying share issuer or by the sponsor of the index underlying the ETF
may adversely affect the underlying shares
. We are not affiliated with the investment adviser to the underlying share issuer
or with the sponsor of the index underlying the ETF. Accordingly, we have no control over any changes such investment adviser or
sponsor may make to the underlying share issuer or the index underlying the ETF. Such changes could be made at any time and could
adversely affect the performance of the underlying shares.
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▪
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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 prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security
may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under
“United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive
effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors
Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations”
in this pricing supplement. You should also
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Citigroup Global Markets Holdings Inc.
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|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
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, 2018
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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.
Information
About the Underlying Shares
The Energy Select Sector SPDR
®
Fund (the “ETF”
or the “underlying share issuer”) is an exchange-traded fund that seeks to provide investment results that, before
expenses, correspond generally to the performance of publicly traded equity securities of companies in the S&P Energy Select
Sector Index. The S&P Energy Select Sector Index is intended to provide an indication of the pattern of common stock price
movements of companies that are components of the S&P 500
®
Index and are involved in the development or production
of energy. The S&P Energy Select Sector Index includes companies in the following two industries: (i) oil, gas and consumable
fuels and (ii) energy equipment and services. The ETF is managed by the Select Sector SPDR
®
Trust, a registered
investment company. The Select Sector SPDR
®
Trust consists of nine separate investment portfolios, including the
ETF. Information provided to or filed with the SEC by The Select Sector SPDR
®
Trust pursuant to the Securities Act
of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791
and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from
other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The
Energy Select Sector SPDR
®
Fund trades on the NYSE Arca under the ticker symbol “XLE.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions— The Select Sector SPDR
®
Funds” in the accompanying underlying supplement for important
disclosures regarding the ETF, including certain risks that are associated with an investment linked to the ETF.
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 or the ETF Underlying Index.
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 October 26, 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. You should not take the historical prices of the
underlying shares as an indication of future performance.
Energy Select Sector SPDR
®
Fund – Historical Closing Prices
January 1, 2008 to October 26, 2016
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* The red line indicates the hypothetical barrier price of $55.86,
assuming the closing price on October 26, 2016 were the initial share price.
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
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Energy Select Sector
SPDR
®
Fund
(CUSIP of the Underlying
Shares: 81369Y506)
|
High
|
Low
|
Dividends
|
|
2008
|
|
|
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|
First Quarter
|
$80.40
|
$67.27
|
$0.19880
|
|
Second Quarter
|
$90.25
|
$75.10
|
$0.20281
|
|
Third Quarter
|
$88.97
|
$61.65
|
$0.22838
|
|
Fourth Quarter
|
$62.36
|
$40.00
|
$0.45388
|
|
2009
|
|
|
|
|
First Quarter
|
$51.95
|
$38.12
|
$0.00000
|
|
Second Quarter
|
$53.95
|
$43.36
|
$0.22979
|
|
Third Quarter
|
$55.89
|
$44.52
|
$0.49983
|
|
Fourth Quarter
|
$59.76
|
$51.97
|
$0.30447
|
|
2010
|
|
|
|
|
First Quarter
|
$60.30
|
$53.74
|
$0.20326
|
|
Second Quarter
|
$62.07
|
$49.68
|
$0.25157
|
|
Third Quarter
|
$56.31
|
$49.38
|
$0.24919
|
|
Fourth Quarter
|
$68.25
|
$56.11
|
$0.29291
|
|
2011
|
|
|
|
|
First Quarter
|
$80.01
|
$67.78
|
$0.25490
|
|
Second Quarter
|
$80.44
|
$70.99
|
$0.26457
|
|
Third Quarter
|
$79.79
|
$58.59
|
$0.26444
|
|
Fourth Quarter
|
$73.04
|
$56.55
|
$0.27738
|
|
2012
|
|
|
|
|
First Quarter
|
$76.29
|
$69.46
|
$0.28462
|
|
Second Quarter
|
$72.42
|
$62.00
|
$0.31109
|
|
Third Quarter
|
$76.57
|
$64.96
|
$0.00000
|
|
Fourth Quarter
|
$74.94
|
$68.59
|
$0.33369
|
|
2013
|
|
|
|
|
First Quarter
|
$79.99
|
$72.86
|
$0.72805
|
|
Second Quarter
|
$83.28
|
$74.09
|
$0.00000
|
|
Third Quarter
|
$85.30
|
$78.83
|
$0.76704
|
|
Fourth Quarter
|
$88.51
|
$81.87
|
$0.40268
|
|
2014
|
|
|
|
|
First Quarter
|
$89.06
|
$81.89
|
$0.42707
|
|
Second Quarter
|
$101.29
|
$88.45
|
$0.46353
|
|
Third Quarter
|
$100.58
|
$90.62
|
$0.48327
|
|
Fourth Quarter
|
$88.77
|
$73.36
|
$0.48542
|
|
2015
|
|
|
|
|
First Quarter
|
$82.29
|
$72.86
|
$0.51494
|
|
Second Quarter
|
$82.94
|
$74.64
|
$0.50882
|
|
Third Quarter
|
$74.54
|
$59.22
|
$0.47811
|
|
Fourth Quarter
|
$71.40
|
$58.78
|
$0.54224
|
|
2016
|
|
|
|
|
First Quarter
|
$63.75
|
$51.80
|
$0.45241
|
|
Second Quarter
|
$69.50
|
$60.18
|
$0.43643
|
|
Third Quarter
|
$71.80
|
$65.27
|
$0.41052
|
|
Fourth Quarter (through October 26, 2016)
|
$71.72
|
$69.46
|
$0.00000
|
The closing price of the underlying shares on October 26, 2016
was $69.82.
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.
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
|
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
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·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”),
any gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or loss if you held
the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the underlying. In that case, all or a portion of any long-term capital
gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent such
gain exceeded the “net underlying long-term capital gain.” Although the matter is unclear, the “net underlying
long-term capital gain” may equal the amount of long-term capital gain you would have realized if on the issue date you had
purchased the underlying with a value equal to the amount you paid to acquire your securities and subsequently sold the underlying
for its fair market value at the time your securities are sold, exchanged or retired (which would reflect the percentage increase,
without regard to the upside participation rate, in the value of the underlying over the term of the securities). Alternatively,
the “net underlying long-term capital gain” could be calculated using an amount of the underlying that reflects the
upside participation rate used to calculate the payment that you will receive on your securities. Any long-term capital gain recharacterized
as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities,
and you would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior
tax years. Due to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section
1260 applies to the securities. You should read the section entitled “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying product supplement
for additional information and consult your tax adviser regarding the potential application of the “constructive ownership”
rule.
Subject to the discussion in “United States Federal Tax
Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product
supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to
pay any additional amounts with respect to amounts so withheld.
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 up to $17.50
for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial advisors will collectively
receive from CGMI a selling concession of up to $15.00 for each $1,000 security they sell.
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
|
Selected dealers through whom we distribute securities may enter
into arrangements with other institutions with respect to the distribution of the securities, and those institutions may share
in the commissions, discounts or other compensation received by our selected dealers, may be compensated separately and may also
receive commissions from purchasers for whom they may act as agents. We may also engage other firms to provide marketing or promotional
services in connection with the distribution of the securities. CGMI will also pay certain service providers a fee of up to $2.50
per security in consideration for providing marketing, education, structuring or referral services with respect to financial advisors
or selected dealers.
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 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, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
Citigroup Global Markets Holdings Inc.
|
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due November
-----
, 2018
|
|
|
|
|
(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
|
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(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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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.
© 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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