Citigroup Global Markets Holdings Inc.
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Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
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Supplemental information regarding plan of distribution; conflicts of interest:
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The terms and conditions set forth in the Amended and Restated
Global Selling Agency Agreement dated April 7, 2017 among Citigroup Global Markets Holdings Inc., Citigroup Inc. and the agents
named therein, including CGMI, govern the sale and purchase of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup
Global Markets Holdings Inc. expects to enter into one or more swaps or other derivatives transactions with one or more of its
affiliates. You should refer to the sections “Risk Factors—The estimated value of the notes on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate, will be less than the issue price,” and the section
“Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of Citigroup Global Markets Holdings Inc.
Accordingly, the offering of the notes will conform with the requirements addressing conflicts of interest when distributing the
securities of an affiliate set forth in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client
accounts over which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted
to purchase the notes, either directly or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying prospectus supplement for more information.
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Calculation agent:
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Citigroup Financial Products, Inc., an affiliate of Citigroup Global Markets Holdings Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. Citigroup Financial Products, Inc. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment.
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Paying agent:
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Citibank, N.A. will serve as paying agent and registrar and will also hold the global security representing the notes as custodian for The Depository Trust Company.
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Contact:
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Clients may contact their local brokerage representative.
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We encourage you to also read the accompanying prospectus
supplement and prospectus, which can be accessed via the hyperlink on the front page of this pricing supplement, before you decide
to invest in the notes.
Citigroup Global Markets Holdings Inc.
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Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
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How Interest Payments on the Notes Work
From and including the original issue date to but excluding the
maturity date, the notes will bear interest during each monthly interest period at a per annum rate equal to the CPI percent change
determined for that interest period
plus
1.00%, subject to a minimum interest rate of 0.00% for any interest period.
The CPI percent change applicable to any monthly
interest period will be the percentage change in the level of the CPI measured over the one-year period ending three months prior
to the month of the interest payment date that begins that interest period (or, in the case of the initial interest period, the
one-year period ending three months prior to the month of the original issue date). For example, the interest payment that you
will receive on April , 2018 (expected to be April 6, 2018), the first scheduled interest payment date, will depend on the year-over-year
percentage change in the level of the CPI from December 2016 to December 2017.
Interest will be payable to the persons in whose names the notes
are registered at the close of business on the business day preceding each interest payment date. If a scheduled interest payment
date is not a business day, interest will be paid on the next succeeding business day, unless that day falls in the next calendar
month, in which case interest will be paid on the first preceding business day, in each case with the same force and effect as
if it has been paid on the scheduled interest payment date. No additional interest will accrue as a result of delayed payment.
During each interest period, interest payments will be calculated
on the basis of a 360-day year consisting of twelve 30-day months. The amount of each interest payment, if any, will equal (i)
the stated principal amount of the notes
multiplied by
the interest rate in effect during the applicable interest period
divided by
(ii) 12.
The following table sets forth hypothetical per annum interest
rates based on various levels of the CPI, assuming a hypothetical initial CPI level of 250.00. The hypothetical CPI percent changes
and the hypothetical per annum interest rates have been rounded for ease of analysis.
Hypothetical
Final CPI Level
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Hypothetical
CPI Percent Change
(1)
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Hypothetical
Per Annum Interest Rate
(2)
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242.500
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-3.00%
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0.00%
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245.000
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-2.00%
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0.00%
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247.500
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-1.00%
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0.00%
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250.000
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0.00%
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1.00%
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252.500
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1.00%
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2.00%
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255.000
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2.00%
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3.00%
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257.500
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3.00%
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4.00%
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260.000
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4.00%
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5.00%
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262.500
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5.00%
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6.00%
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265.000
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6.00%
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7.00%
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267.500
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7.00%
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8.00%
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270.000
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8.00%
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9.00%
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_______________________________
(1) Hypothetical CPI percent change = The percentage change in
the level of the CPI measured over the one-year period ending three months prior to the month of the interest payment date that
begins that interest period (or, in the case of the initial interest period, the one-year period ending three months prior to the
month of the original issue date).
(2) Hypothetical per annum interest rate = the hypothetical CPI
percent change determined for that interest period
plus
1.00%, subject to a minimum of 0.00% for any interest period.
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Citigroup Global Markets Holdings Inc.
|
Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
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Determination of the Level of the Consumer Price
Index
The CPI refers to the non-seasonally adjusted U.S. City Average
All Items Consumer Price Index for All Urban Consumers, as published on Bloomberg page “CPURNSA” (or any successor
page) or any successor index as described below. The U.S. Bureau of Labor Statistics (“BLS”), an agency within the
United States Department of Labor, publishes CPI data monthly.
If the CPI for any relevant month is not published on Bloomberg
page “CPURNSA” (or any successor page) by 3:00 p.m. New York City time on the relevant interest determination date,
but has otherwise been reported by the BLS, then the calculation agent will determine the CPI as reported by the BLS for such month
using such other source as on its face, after consultation with Citigroup Inc., appears to accurately set forth the CPI as reported
by the BLS.
To determine each initial CPI level and each final CPI level,
the calculation agent will use the most recently available level of the CPI, determined as described above, on the relevant interest
determination date, even if such level has been adjusted from a previously reported level for the relevant month. However, if an
initial CPI level or final CPI level used by the calculation agent on any interest determination date to determine the applicable
interest rate for the related interest period is subsequently revised by the BLS, the interest rate determined on such interest
determination date will not be revised.
If the CPI is rebased to a different year or period and the 1982-1984
CPI is no longer used, the base reference period for the notes will continue to be the 1982-1984 reference period as long as the
1982-1984 CPI continues to be published.
If, while the notes are outstanding, the CPI is discontinued
or is substantially altered, as determined in the sole discretion of the calculation agent, the level of the CPI will be determined
by reference to (a) the substitute index chosen by the Secretary of the Treasury for the United States Department of the Treasury’s
Inflation-Protected Securities, as described in Appendix B, Section I, Paragraph B.4 of Part IV of 69 Federal Register, No. 144
(July 28, 2004), or (b) if no such index is chosen, the successor index chosen by the calculation agent, in its sole discretion,
acting in good faith and using its reasonable judgment. If the calculation agent determines at that time, in its sole discretion,
that there is no appropriate successor index, or that the level of the CPI is not available for any other reason, the calculation
agent will determine the level of the CPI by a computation methodology that the calculation agent determines will replicate the
CPI as closely as reasonably possible under the circumstances.
Upon any selection of a successor index by the calculation agent,
the calculation agent will cause notice to be furnished to us and to the trustee, who will provide notice of such selection to
the registered holders of the notes.
Citigroup Global Markets Holdings Inc.
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Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
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Description of the Consumer Price Index
Unless otherwise stated, we have derived all information regarding
the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers provided in this pricing supplement,
including its composition and method of calculation, from publicly available sources. Such information reflects the policies of,
and is subject to change by, the BLS. The BLS is under no obligation to continue to produce, and may discontinue or suspend the
production of, the CPI at any time. We have not independently verified any information relating to the CPI.
The BLS began calculating and publishing the CPI in January 1978
and publishes CPI data every month. The CPI level for any particular month is published during the following month. The CPI is
a measure of the average change in the prices of consumer goods and services, representing the buying habits of the residents of
urban or metropolitan areas in the United States.
The CPI market basket is created from detailed expenditure information
provided by families and individuals on what they actually bought during certain periods of time. Approximately 7,000 families
in the United States provided information on their expenditures in quarterly interviews. For information on frequently purchased
items, such as food and personal care products, another 7,000 families kept diaries listing everything they purchased during a
two-week period. The eight major groups of goods and services included in the CPI basket are food and beverages, housing, apparel,
transportation, medical care, recreation, education and communication and other goods and services. The CPI excludes taxes that
are not directly associated with the purchase of consumer goods and services, as well as investment items.
To assess market prices for the goods and services included in
the CPI market basket, the BLS data collectors visit or call thousands of retail stores, service establishments, rental units and
doctors’ offices to obtain price information on thousands of items each month. During each visit or call, the data collectors
gather price information on a good or service that was specifically defined during an earlier visit. If that item is still available,
the data collector records the price. If that item is no longer available or there have been changes to its quality or quantity
since the last time prices were collected, the data collector selects a new item or records the quality change relating to the
current item. The recorded price information is then sent to the BLS where commodity specialists, who have detailed knowledge of
the particular goods or services priced, review the data for accuracy and consistency and seek, through complex adjustments based
on statistical analysis, to prevent changes in the quality of items from affecting the CPI’s measurement of price change.
Price changes for the goods or services included in the CPI market
basket are averaged together with weights that represent their importance in the spending of urban households in the United States.
The BLS periodically updates the goods and services included in the CPI market basket, as well as the weights assigned to the various
items, to account for changes in broader consumer spending patterns.
Any changes in the prices of the goods or services included in
the CPI market basket is then compared to a reference base, which is the average index level (representing the average price level)
for the 36-month period covering the years 1982, 1983 and 1984 and which is set at 100. A positive index level change of 1 signifies
a 1% increase in prices since the reference period, while a negative index level change of 1 signifies a 1% decrease in prices
since the reference period.
The notes are linked to the non-seasonally adjusted CPI. Consequently,
there is no elimination of the effect of changes that tend to occur at the same time and with approximately the same magnitude
each year (e.g., those changes relating to holidays or climate patterns).
The notes represent obligations of Citigroup Inc. only. The notes
have not been passed on by BLS. The notes are not sponsored, endorsed, sold or promoted by BLS and BLS makes no warranties and
bears no liability with respect to the notes.
Citigroup Global Markets Holdings Inc.
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Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
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Historical Information on the Consumer Price
Index
The following table sets forth the published levels of the CPI
as reported by the BLS for the period from January 2008 through December 2017. We obtained the information in the table below from
Bloomberg Financial Markets, without independent verification. The historical levels of the CPI should not be taken as an indication
of future levels, and no assurance can be given as to the level of the CPI for any relevant month.
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Historical Levels of the CPI
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Month
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2008
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2009
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2010
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2011
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2012
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2013
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2014
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2015
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2016
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2017
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January
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211.08
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211.143
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216.687
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220.223
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226.665
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230.280
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233.916
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233.707
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236.916
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242.839
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February
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211.693
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212.193
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216.741
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221.309
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227.663
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232.166
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234.781
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234.722
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237.111
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243.603
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March
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213.528
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212.709
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217.631
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223.467
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229.392
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232.773
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236.293
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236.119
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238.132
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243.801
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April
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214.823
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213.240
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218.009
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224.906
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230.085
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232.531
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237.072
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236.599
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239.261
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244.524
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May
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216.632
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213.856
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218.178
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225.964
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229.815
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232.945
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237.900
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237.805
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240.236
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244.733
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June
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218.815
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215.693
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217.965
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225.722
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229.478
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233.504
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238.343
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238.638
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241.038
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244.955
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July
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219.964
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215.351
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218.011
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225.922
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229.104
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233.596
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238.250
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238.654
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240.647
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244.786
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August
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219.086
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215.834
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218.312
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226.545
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230.379
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233.877
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237.852
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238.316
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240.853
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245.519
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September
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218.783
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215.969
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218.439
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226.889
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231.407
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234.149
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238.031
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237.945
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241.428
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246.819
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October
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216.573
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216.177
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218.711
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226.421
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231.317
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233.546
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237.433
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237.838
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241.729
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246.663
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November
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212.425
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216.330
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218.803
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226.230
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230.221
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233.069
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236.151
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237.336
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241.353
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246.669
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December
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210.228
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215.949
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219.179
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225.672
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229.601
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233.049
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234.812
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236.525
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241.432
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246.524
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The following table sets forth the year-over-year
percentage change in the level of the CPI given the historical levels reported above. The historical figures below should not be
taken as an indication of any future value of the CPI percent change that would apply during the term of the notes.
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Historical Year-Over-Year Percentage Change in the Level of the CPI
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Month
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2008
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2009
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2010
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2011
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2012
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2013
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2014
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2015
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2016
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2017
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January
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4.28%
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0.03%
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2.63%
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1.63%
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2.93%
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1.60%
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1.58%
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-0.09%
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1.37%
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2.50%
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February
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4.03%
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0.24%
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2.14%
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2.11%
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2.87%
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1.98%
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1.13%
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-0.03%
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1.02%
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2.74%
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March
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3.98%
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-0.38%
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2.31%
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2.68%
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2.65%
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1.47%
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1.51%
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-0.07%
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0.85%
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2.38%
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April
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3.94%
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-0.74%
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2.24%
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3.16%
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2.30%
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1.06%
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1.95%
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-0.20%
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1.13%
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2.20%
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May
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4.18%
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-1.28%
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2.02%
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3.57%
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1.70%
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1.36%
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2.13%
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-0.04%
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1.02%
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1.87%
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June
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5.02%
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-1.43%
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1.05%
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3.56%
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1.66%
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1.75%
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2.07%
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0.12%
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1.01%
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1.63%
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July
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5.60%
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-2.10%
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1.24%
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3.63%
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1.41%
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1.96%
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1.99%
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0.17%
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0.84%
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1.72%
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August
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5.37%
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-1.48%
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1.15%
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3.77%
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1.69%
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1.52%
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1.70%
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0.20%
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1.06%
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1.94%
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September
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4.94%
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-1.29%
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1.14%
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3.87%
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1.99%
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1.19%
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1.66%
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-0.04%
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1.46%
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2.23%
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October
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3.66%
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-0.18%
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1.17%
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3.53%
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2.16%
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0.96%
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1.66%
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0.17%
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1.64%
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2.04%
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November
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1.07%
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1.84%
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1.14%
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3.39%
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1.76%
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1.24%
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1.32%
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0.50%
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1.69%
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2.20%
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December
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0.09%
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2.72%
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1.50%
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2.96%
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1.74%
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1.50%
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0.76%
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0.73%
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2.07%
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2.11%
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The following graph shows the published levels
of the CPI as reported by the BLS for the period from January 2008 through December 2017. Past movements of the CPI are not indicative
of future CPI levels. Changes in the CPI will affect the value of the notes and the interest payments on the notes but it is impossible
to predict whether the CPI will rise or fall.
Citigroup Global Markets Holdings Inc.
|
Floating Rate Notes Linked to the Consumer Price Index Due March
, 2028
|
|