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
|
Citigroup Global Markets Holdings Inc.
|
November , 2016
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2016-USNCH0219
Filed Pursuant
to Rule 424(b)(2)
|
Registration Statement Nos. 333-214120 and 333-214120-03
|
Dual Directional
Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to
or less than the stated principal amount, depending on the performance of the Dow Jones Industrial Average
TM
(the “underlying
index”) from the initial index level to the final index level.
|
|
▪
|
The securities offer 1-to-1 participation in a limited range of potential appreciation of the underlying index, subject to
the maximum upside return specified below. In addition, if the underlying index depreciates within a limited range (not more than
30.00%), the securities provide for a positive return at maturity based on the absolute value of that depreciation. In exchange
for the potential for a positive return at maturity even if the underlying index depreciates, investors in the securities must
be willing to forgo (i) participation in any appreciation of the underlying index in excess of the maximum upside return, (ii)
positive participation in the absolute value of any depreciation of the underlying index if the underlying index depreciates by
more than 30.00% and (iii) any dividends that may be paid on the stocks that constitute the underlying index. Moreover, investors
in the securities must be willing to accept full downside exposure to the underlying index if the underlying index depreciates
by more than 30.00%.
If the underlying index depreciates by more than 30.00% 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 index level is less than the initial
index level. There is no minimum payment at maturity.
|
|
▪
|
In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we 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 index:
|
The Dow Jones Industrial Average
TM
(ticker symbol: “INDU”)
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
November , 2016 (expected to be November 21, 2016)
|
Issue date:
|
November , 2016 (three business days after the pricing date)
|
Valuation date:
|
May , 2020 (expected to be May 21, 2020), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
May , 2020 (expected to be May 27, 2020)
|
Payment at maturity:
|
For each $1,000 stated principal amount security you
hold at maturity:
▪
If
the final index level is
greater than or equal to
the initial index level:
$1,000 + the upside return amount, subject to the maximum upside return
▪
If
the final index level is
less than
the initial index level but
greater than or equal to
the barrier level:
$1,000 + the downside return amount
▪
If
the final index level is
less than
the barrier level:
$1,000 × the index performance factor
If the final index level is less than the barrier
level, your payment at maturity will be less, and possibly significantly less, than $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.
|
Initial index level:
|
, the closing level of the underlying index on the pricing date
|
Final index level:
|
The closing level of the underlying index on the valuation date
|
Upside return amount:
|
$1,000 × the index percent change
|
Downside return amount:
|
$1,000 × the absolute value of the index percent change
|
Index performance factor:
|
The final index level
divided by
the initial index level
|
Index percent change:
|
The final index level
minus
the initial index level,
divided by
the initial index level
|
Barrier level:
|
, 70.00% of the initial index level
|
Maximum upside return:
|
$200.00 to $230.00 per security (20.00% to 23.00% of the stated principal amount), to be determined on the pricing date.
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CC79 / US17324CC791
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)(2)
|
Underwriting fee
(3)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$25.00
|
$975.00
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings Inc. currently expects
that the estimated value of the securities on the pricing date will be between $930.00 and $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) The issue price for investors purchasing the securities
in fee-based advisory accounts will be $975.00 per security, assuming no custodial fee is charged by a selected dealer, and up
to $980.00 per security, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution”
in this pricing supplement.
(3) 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 Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
Additional
Information
The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product
supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement. The
accompanying underlying supplement contains important disclosures regarding the underlying index that are not repeated in this
pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement before deciding whether to invest in the securities. Certain terms used but
not defined in this pricing supplement are defined in the accompanying product supplement.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level. 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 stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Dual Directional Barrier Securities
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Index
|
Citigroup Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
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 index level and the actual
final index level. The examples below are intended to illustrate how your payment at maturity will depend on whether the final
index level is greater than or less than the initial index level and by how much. The examples are based on a hypothetical initial
index level of 18,169.00 and a hypothetical barrier level of 12,718.30.
Example 1—Upside Scenario A.
The hypothetical final
index level is 19,985.90 (an approximately 10.00% increase from the hypothetical initial index level), which is
greater than
the hypothetical initial index level.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × the index percent change), subject
to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × 10.00%), 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 index appreciated from the hypothetical
initial index level to the hypothetical final index level 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, 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
index level is 27,253.50 (an approximately 50.00% increase from the hypothetical initial index level), which is
greater than
the hypothetical initial index level.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × the index percent change), subject
to the hypothetical maximum upside return of $200.00 per security
= $1,000 + ($1,000 × 50.00%), subject to the hypothetical
maximum upside return of $200.00 per security
= $1,000 + $500.00, subject to the hypothetical maximum upside
return of $200.00 per security
= $1,200.00
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level and the upside return amount of $500.00 per security would result in
a total return at maturity of 50.00%, 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 hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the
underlying index without a maximum upside return.
Example 3—Upside Scenario C.
The hypothetical final
index level is 16,352.10 (an approximately 10.00% decrease from the hypothetical initial index level), which is
less than
the hypothetical initial index level but
greater than
the hypothetical barrier level.
Payment at maturity per security = $1,000 + the downside return
amount
= $1,000 + ($1,000 × the absolute value of the index percent
change)
= $1,000 + ($1,000 × | -10.00% |)
= $1,000 + $100.00
= $1,100.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level, but not by more than 30.00%, your payment at maturity in this scenario
would reflect 1-to-1 exposure to the absolute value of the depreciation of the underlying index.
Example 4—Downside Scenario.
The hypothetical final
index level is 5,450.70 (an approximately 70.00% decrease from the hypothetical initial index level), which is
less than
the hypothetical barrier level.
Payment at maturity per security = $1,000 × the index performance
factor
= $1,000 × 30.00%
= $300.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by more than 30.00%, your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the underlying index. In
Citigroup Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
this scenario, the depreciation of the underlying index results
in a significant loss, rather than a positive return, on your investment in the securities.
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 index. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the 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 index. If the
final index level is less than the barrier level, the absolute return feature will no longer be available and the payout at maturity
will be at least 30.00% 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 index level is less than the initial index level. 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 index level is greater than the initial index level,
your potential total return on the securities at maturity is limited to the maximum upside return set forth on the cover page of
this pricing supplement. The return on the underlying index from the initial index level to the final index level may significantly
exceed the maximum upside return. Therefore, your return on the securities may be significantly less than the return you could
have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum
upside return. In addition, your potential for positive participation in the absolute value of any depreciation of the underlying
index is limited. Because the barrier level is equal to 70.00% of the initial index level, the return potential of the securities
in the event that the underlying index depreciates is limited to 30.00%. Any depreciation of the underlying index in excess of
30.00% will result in a loss, rather than a positive return, on the securities.
|
|
▪
|
Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index.
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of October 25, 2016, the average dividend yield of the underlying index
was approximately 2.59% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
9.07% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends. The
payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
▪
|
Your payment at maturity depends on the closing level of the underlying index on a single day.
Because your payment
at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that
the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the underlying index 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 levels of the
underlying index, 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.
|
Citigroup Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below.
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend
yields on the stocks that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from
your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
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.
|
Citigroup Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the level of the underlying index may not result in a comparable change in
the value of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the issue price.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
|
|
▪
|
Our offering of the securities does not constitute a recommendation of the underlying index.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying index 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 stocks that constitute the underlying index or in instruments related to the underlying index or such stocks
over the term of the securities and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlying index. These and other activities of our affiliates may affect the level of the underlying index in a
way that has a negative impact on your interests as a holder of the securities.
|
|
▪
|
The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly
in the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates also trade the stocks that constitute the underlying
index and other financial instruments related to the underlying index or such stocks on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These
activities could affect the level of the underlying index in a way that negatively affects the value of the securities. They could
also result in substantial returns for us or our affiliates 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 issuers of the stocks that constitute
the underlying index, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates 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.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
Adjustments to the underlying index may affect the value of your securities.
S&P Dow Jones Indices LLC (the “underlying
index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological
changes that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time without regard to your interests as holders of the securities.
|
|
▪
|
The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007,
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should
be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement
and “United States Federal Tax Considerations”
|
Citigroup Inc.
|
Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
|
|
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.
Information
About the Underlying Index
The Dow Jones Industrial Average
TM
is a price-weighted
index rather than a market capitalization-weighted index. The Dow Jones Industrial Average
TM
consists of 30 common stocks
chosen as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices LLC.
The Dow Jones Industrial Average
TM
is reported by Bloomberg L.P. under the ticker symbol “INDU.”
“Dow Jones
®
,” “Dow Jones Indexes,”
and “Dow Jones Industrial Average
TM
” are service marks of Dow Jones Trademark Holdings, LLC and have been
licensed to S&P Dow Jones Indices LLC and sublicensed for use for certain purposes by Citigroup Global Markets Inc. and its
affiliates. For more information regarding the license, see “Equity Index Descriptions— Dow Jones Industrial Average
TM
— License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—Dow
Jones Industrial Average
TM
” in the accompanying underlying supplement for important disclosures regarding the
underlying index.
Historical Information
The closing level of the underlying index on October 25, 2016
was 18,169.27.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 3, 2011 to October 25, 2016. We obtained the closing levels from Bloomberg L.P.,
without independent verification.
You should not take the historical levels of the underlying index as an indication of future
performance.
Dow Jones Industrial Average
TM
– Historical Closing Levels
January 3, 2011 to October 25, 2016
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* The red line indicates the hypothetical barrier level of 12,718.49,
assuming the closing level on October 25, 2016 were the initial index level.
Citigroup Inc.
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Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
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United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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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 capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
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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, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
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 $25.00 for each
$1,000 security sold in this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). The actual
underwriting fee will be equal to $25.00 for each $1,000 security sold by CGMI directly to the public and will otherwise be equal
to the selling concession provided to selected dealers, as described in this paragraph. CGMI will pay selected dealers not affiliated
with CGMI a fixed selling concession of $25.00 for each security they sell to accounts other than fee-based advisory accounts.
CGMI will pay selected dealers not affiliated with CGMI, which may include dealers acting as custodians, a variable selling concession
of up to $5.00 for each $1,000 security they sell to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including
Citi International Financial Services, Citigroup Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited,
will receive a fixed selling concession, and financial advisers employed by such affiliated broker-dealers will receive a fixed
selling concession, of $25.00 for each $1,000 security they sell. CGMI will pay the registered representatives of CGMI a fixed
selling concession of $25.00 for each $1,000 security they sell directly to the public.
Citigroup Inc.
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Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
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CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We expect to hedge our obligations under the securities through CGMI
or other of our affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value
of the securities declines. This hedging activity could affect the closing level of the underlying index and, therefore, the value
of and your return on the securities. For additional information on the ways in which our counterparties may hedge our obligations
under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative 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. The range for the estimated value of the securities
set forth on the cover page of this preliminary pricing supplement reflects terms of the securities that have not yet been fixed
as well as uncertainty on the date of this preliminary pricing supplement about the inputs to CGMI’s proprietary pricing
models 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)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with
Citigroup Inc.
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Dual Directional Barrier Securities Based on the Dow Jones Industrial Average
TM
Due May , 2020
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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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