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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
NOVEMBER 7, 2019
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Citigroup Global Markets Holdings Inc.
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November----,
2019
Medium-Term Senior Notes,
Series N
Pricing Supplement No.
2019—USNCH3128
Filed Pursuant to Rule
424(b)(2)
Registration Statement
Nos. 333-224495 and 333-224495-03
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Market-Linked Notes Based on a Basket of Two
Underliers Due December 2, 2024
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§
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The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The notes offer the potential for a positive return at maturity based on the average basket
return percentage of a basket (the “basket”) consisting of the S&P 500® Index and the iSTOXX®
Europe Economic Growth Select 50 Index (each, a “basket component”), measured as described below. If the average basket
return percentage is positive, you will receive a positive return at maturity equal to that average basket return percentage multiplied
by the upside participation rate. However, if the average basket return percentage is negative or zero, you will be repaid
your principal at maturity but will not receive any return on your investment. Even if the average basket return percentage is
positive, so that you do receive a positive return at maturity, there is no assurance that your total return at maturity on the
notes will compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt
security of ours of comparable maturity.
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§
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The average basket return percentage is the average of the percentage changes in the closing level of the basket from the pricing
date to each quarterly valuation date occurring over the term of the notes. You should understand that the return on the notes
may be significantly lower than the actual return on the basket, as measured from the pricing date to the final valuation date,
because of the manner in which the average basket return percentage is calculated. In addition, as an investor in the notes, you
must be willing to forgo any dividends paid on the stocks included in the S&P 500® Index or the iSTOXX®
Europe Economic Growth Select 50 Index over the term of the notes.
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§
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In order to obtain the modified exposure to the basket that the notes 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 notes if we and Citigroup Inc.
default on our obligations. All payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc.
and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
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Basket:
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Basket Component
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Weighting
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Initial Component Value*
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Multiplier**
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S&P 500® Index (ticker symbol: “SPX”)
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50%
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iSTOXX® Europe Economic Growth Select 50 Index (ticker symbol: “SXEEGSP”)
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50%
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* The initial component value for each basket component will
be the closing level of that basket component on the pricing date
** The multiplier for each basket component will be determined
as follows: (initial basket level × weighting) / initial component value.
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Aggregate stated principal amount:
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$
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Stated principal amount:
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$1,000 per note
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Pricing date:
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November 26, 2019
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Issue date:
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December 2, 2019
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Valuation dates:
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February 26, 2020, May 26, 2020, August 26, 2020, November 26, 2020, February 26, 2021, May 26, 2021, August 26, 2021, November 26, 2021, February 25, 2022, May 26, 2022, August 26, 2022, November 25, 2022, February 24, 2023, May 26, 2023, August 25, 2023, November 24, 2023, February 26, 2024, May 24, 2024, August 26, 2024 and November 26, 2024, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur with respect to a basket component
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Maturity date:
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December 2, 2024
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Payment at maturity:
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For each note, the $1,000 stated principal amount per note plus the note return amount, which will be either zero or positive
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Note return amount:
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▪ If the average
basket return percentage is greater than zero:
$1,000 × average basket return percentage × upside participation rate
▪ If the average
basket return percentage is less than or equal to zero:
$0
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Average basket return percentage:
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The arithmetic average of the interim basket return percentages, as measured on each of the valuation dates
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Interim basket return percentage:
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On each valuation date: (ending basket level - initial basket level) / initial basket level
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Initial basket level:
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100
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Ending basket level:
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The closing level of the basket on the relevant valuation date. The closing level of the basket on any valuation date is equal to the sum of the products of each basket component’s closing level on that date and its multiplier
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Upside participation rate:
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At least 100.00%. The actual upside participation rate will be determined on the pricing date.
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Listing:
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The notes will not be listed on any securities exchange
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CUSIP / ISIN:
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17327TET9 / US17327TET97
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee(2)
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Proceeds to issuer
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Per note:
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$1,000
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$30
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$970
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Total:
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$
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$
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$
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(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the notes on the pricing date will be at least $850 per note, which will be
less than the issue price. The estimated value of the notes 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 notes from you at any time after issuance. See “Valuation
of the Notes” in this pricing supplement.
(2) For more information on the
distribution of the notes, see “Supplemental Plan of Distribution” in this preliminary 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 notes declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the notes involves
risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page
PS-6.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes or determined that this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are 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-03-07 dated March 7, 2019 Underlying Supplement No. 8 dated February 21, 2019
Prospectus Supplement and Prospectus each dated May 14, 2018
The notes 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.
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Citigroup Global Markets Holdings Inc.
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Additional
Information
General. The terms of the notes 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, including market disruption events
and other events affecting the basket components, and their consequences are described in the accompanying product supplement in
the section “Description of the Notes—Certain Additional Terms for Notes 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.” The accompanying underlying supplement contains important disclosures regarding certain of the basket
components 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 notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Postponement of a valuation date. If a valuation date
is postponed for a reason that affects less than all of the basket components, the ending basket level on that valuation date will
be calculated based on (i) for each unaffected basket component, its closing level on the originally scheduled valuation date and
(ii) for each affected basket component, its closing level on the valuation date as postponed (or, if earlier, the first scheduled
trading day for that basket component following the originally scheduled valuation date on which a market disruption event did
not occur with respect to that basket component). See “Description of the Notes—Certain Additional Terms for Notes
Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying
product supplement.
Multiple Exchange Index. The iSTOXX® Europe
Economic Growth Select 50 Index is a “multiple exchange index” as described in “Description of the Notes—Certain
Additional Terms for Notes Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” in the accompanying product supplement.
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Citigroup Global Markets Holdings Inc.
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Hypothetical
Examples
The following four examples illustrate the calculation of the
average basket return percentage and the payment at maturity on the notes based on different hypothetical interim basket return
percentages for each of the quarterly valuation dates occurring during the term of the notes. The examples assume that the upside
participation rate will be set at the lowest value indicated on the cover page of this pricing supplement. The actual upside participation
rate will be determined on the pricing date. Your actual payment at maturity per note will depend on the actual upside participation
rate and the actual average basket return percentage.
Investors in the notes will not receive any dividends paid
on the stocks included in the S&P 500® Index or the iSTOXX® Europe Economic Growth Select
50 Index. The examples below do not show any effect of lost dividend yield over the term of the notes. See “Summary Risk
Factors—Investing in the notes is not equivalent to investing in the basket components” below.
Example 1
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is 13.00% but the average basket return percentage is only 6.50%. The graph above illustrates the
hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In this
example, the basket appreciates steadily over the term of the notes.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × average basket return percentage ×
upside participation rate)
= $1,000 + ($1,000 × 6.50% × 100.00%)
= $1,000 + $65.00
= $1,065.00
Because the average basket return percentage is greater than
zero, your payment at maturity in this example would be equal to the $1,000 stated principal amount per note plus the note
return amount, or $1,065.00 per note. In this example, the return on the notes is significantly less than the performance of the
basket as measured from the pricing date to the final valuation date.
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Citigroup Global Markets Holdings Inc.
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Example 2
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is −14.13% and the average basket return percentage is −3.25%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket has negative interim basket return percentages on some valuation dates and positive interim basket return
percentages on other valuation dates. Because the negative interim basket return percentages are relatively large in absolute terms,
the positive interim basket return percentages are more than offset by the negative interim basket return percentages, and the
average basket return percentage is −3.25%.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + $0
= $1,000 + $0
= $1,000.00
Because the average basket return percentage is less than zero,
the note return amount will equal zero. Accordingly, the payment at maturity per note will equal the $1,000.00 stated principal
amount per note.
Example 3
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is 7.50% but the average basket return percentage is only −0.68%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket depreciates early in the term of the notes, remains at a level
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Citigroup Global Markets Holdings Inc.
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below the initial basket level for a significant period of time
and then appreciates significantly later in the term of the notes. In this example, the notes significantly underperform the basket
over the term of the notes.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + $0
= $1,000 + $0
= $1,000.00
Because the average basket return percentage is less than zero,
the note return amount will equal zero. Accordingly, the payment at maturity per note will equal the $1,000.00 stated principal
amount per note.
Example 4
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is −0.50% and the average basket return percentage is 5.30%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket appreciates early in the term of the notes and then declines significantly later in the term of the notes.
The level of the basket is greater than its closing level on the final valuation date for a significant period of time during the
term of the notes. The average basket return percentage is 5.30%, which is greater than −0.50%, the interim basket return
percentage from the pricing date to the final valuation date.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × average basket return percentage ×
upside participation rate)
= $1,000 + ($1,000 × 5.30% × 100.00%)
= $1,000 + $53.00
= $1,053.00
Because the average basket return percentage is greater than
zero, your payment at maturity in this example would be equal to the $1,000 stated principal amount per note plus the note
return amount, or $1,053.00 per note.
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Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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
notes, and are also subject to risks associated with the basket components. Accordingly, the notes are suitable only for investors
who are capable of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal
advisors as to the risks of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the
notes contained in the section “Risk Factors Relating to the Notes” 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.
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▪
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You may not receive any return on your investment in the notes. You will receive a positive return on your investment
in the notes only if the average basket return percentage is greater than zero. If the average basket return percentage is equal
to or less than zero, you will receive only the stated principal amount for each note you hold at maturity. As the notes do not
pay any interest, even if the average basket return percentage is greater than zero, there is no assurance that your total return
at maturity on the notes will be as great as could have been achieved on conventional debt securities of ours of comparable maturity.
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▪
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The notes do not pay interest. Unlike conventional debt securities, the notes do not pay interest or any other amounts
prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.
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▪
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Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in real value terms if the average basket return percentage is less than or not sufficiently greater than zero.
This is because inflation may cause the real value of the stated principal amount to be less at maturity than it is at the time
you invest, and because an investment in the notes represents a forgone opportunity to invest in an alternative asset that does
generate a positive real return. This potential loss in real value terms is significant given the 5-year term of the notes. You
should carefully consider whether an investment that may provide a return that is lower than the return on alternative investments
is appropriate for you.
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▪
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The notes are designed for investors who are willing to forgo full upside exposure to the basket in certain market scenarios
in order to avoid downside exposure to the basket. Your potential for a positive return on the notes is based on the average
basket return percentage of the basket. You should understand that the average basket return percentage may be significantly lower
than the actual return on the basket as measured from the pricing date to the final valuation date. In particular, if the closing
level of the basket is greater on the final valuation date than it was, on average, on the quarterly valuation dates over the term
of the notes, the average basket return percentage will be lower than the actual return on the basket. For example, if the closing
level of the basket increases at a more or less steady rate over the term of the notes, the average basket return percentage will
be less than the percentage increase in the closing level of the basket from the pricing date to the final valuation date. This
underperformance will be especially significant if there is a significant increase in the closing level of the basket during the
latter portion of the term of the notes. In addition, it is possible that the average basket return percentage will be zero or
negative, resulting in no return on the notes, even if the closing level of the basket at or near maturity is significantly greater
than it was on the pricing date. One scenario in which this may occur is when the closing level of the basket declines early in
the term of the notes, remains below the initial basket level for a significant period of time and then increases significantly
later in the term of the notes.
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Because the average basket return
percentage may be significantly lower than the actual return on the basket from the pricing date to the final valuation date, an
investment in the notes may significantly underperform a direct investment in the basket. This is an important trade-off that investors
in the notes must be willing to make in exchange for the repayment of the stated principal amount at maturity even if the basket
declines. You should not invest in the notes unless you understand and are willing to accept the drawbacks associated with the
averaging feature of the notes.
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▪
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Investing in the notes is not equivalent to investing in the basket components. You will not have voting rights, rights
to receive dividends on stocks or any other rights with respect to the basket components or the securities included in the basket
components. The payment scenarios described in this pricing supplement do not show any effect of lost dividend over the term of
the notes.
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It is important to understand that,
for purposes of measuring the performance of the basket components, the levels used will not reflect the receipt or reinvestment
of dividends on the basket components or their underlying securities. Dividend yield on the basket components would be expected
to represent a significant portion of the overall return on a direct investment in the basket components, but will not be
reflected in the performance of the basket components as measured for purposes of the notes (except to the extent that dividends
reduce the levels of the basket components).
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Citigroup Global Markets Holdings Inc.
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▪
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The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed
to you under the notes.
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▪
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The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The
notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a
daily basis. Any indicative bid price for the notes 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 notes 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
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
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▪
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Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the
full stated principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are
able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
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▪
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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. The difference is attributable to certain costs associated with selling, structuring
and hedging the notes that are included in the issue price. These costs include (i) any selling concessions or
other fees paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates
in connection with the offering of the notes 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 notes. These costs adversely affect the economic
terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms
of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market
rate, to price the notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary
market rate” below.
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▪
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The estimated value of the notes 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 basket components, the correlation
among the basket components, dividend yields on the basket components or the securities included in the basket components 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 notes. Moreover, the estimated value of the notes set forth on the cover page of
this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other purposes, including
for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you should be
willing to hold the notes to maturity irrespective of the initial estimated value.
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▪
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The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated
value of the notes 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 notes. 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 notes for purposes of any purchases of the notes
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 notes, 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
notes, which do not bear interest.
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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 notes, 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 notes prior
to maturity.
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▪
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The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes
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 notes 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 notes than if our internal funding rate were used. In addition,
any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated
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Citigroup Global Markets Holdings Inc.
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principal amount of the notes 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 notes will be less than the issue price.
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▪
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The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes
prior to maturity will fluctuate based on the levels of the basket components and a number of other factors, including the volatility
of the basket components, the correlation among the basket components, the dividend yields on the basket components or the securities
included in the basket components, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between
that exchange rate and the level of the iSTOXX® Europe Economic Growth Select 50 Index, interest rates generally,
the time remaining to maturity and our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate.
Changes in the levels of the basket components may not result in a comparable change in the value of your notes. You should understand
that the value of your notes at any time prior to maturity may be significantly less than the issue price.
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▪
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Notes” in this pricing supplement.
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▪
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The basket components may offset each other. The performance of one basket component may not correlate with the performance
of the other basket components. If one of the basket components appreciates, the other basket components may not appreciate as
much or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly offset or
more than offset by lesser appreciation or by depreciation in the value of one or more of the other basket components.
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▪
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The basket components may be highly correlated in decline. The performances of the basket components may become highly
correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or
on the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one
basket component will not be offset by the performance of the other basket components and, in fact, each basket component may contribute
to an overall decline from the initial basket level to each of the ending basket levels during the term of the notes.
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▪
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Changes made by the sponsor of a basket component may affect the basket component. We are not affiliated with the sponsors
of the S&P 500® Index or the iSTOXX® Europe Economic Growth Select 50 Index. Changes that affect
the basket components may affect the value of your notes. The sponsor of an index may add, delete or substitute the securities
that constitute the index or make other methodological changes that could affect the level of the index. We are not affiliated
with any such index sponsor and, accordingly, we have no control over any changes any such index sponsor may make. Such changes
could be made at any time and could adversely affect the performance of the basket components and the value of and your payment
at maturity on the notes.
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▪
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Our offering of the notes does not constitute a recommendation of the basket or the basket components. The fact that
we are offering the notes does not mean that we believe that investing in an instrument linked to the basket or any of the basket
components 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 securities included in the basket components or in instruments related to the
basket components or such securities, and may publish research or express opinions, that in each case are inconsistent with an
investment linked to the basket components. These and other activities of our affiliates may affect the values of the basket components
in a way that has a negative impact on your interests as a holder of the notes.
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▪
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The value of a basket component may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the notes through CGMI or other of our affiliates, who may take positions directly in
the applicable basket components or the securities included in the basket components and other financial instruments related to
the basket components or such securities and may adjust such positions during the term of the notes. Our affiliates also trade
the applicable basket components or the securities included in the basket components and other financial instruments related to
the basket components or such securities 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 values
of the basket components in a way that negatively affects the value of the notes. They could also result in substantial returns
for us or our affiliates while the value of the notes declines.
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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 issuers of the securities included
in the basket components, 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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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes.
If certain events occur, such as market disruption events or the discontinuance of the S&P 500® Index or the
iSTOXX® Europe Economic Growth Select 50 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 notes.
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The notes may become linked to a different basket component than the iSTOXX® Europe Economic Growth Select
50 Index. As described under “Additional Terms of the Notes” in this pricing supplement, if the iSTOXX®
Europe Economic Growth Select 50 Index is discontinued or is materially modified, the calculation agent will in certain circumstances
select the parent index to be a successor to the iSTOXX® Europe Economic Growth Select 50 Index for all purposes
under the notes. In these circumstances, the parent index may perform less favorably than the iSTOXX® Europe Economic
Growth Select 50 Index would have performed.
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Risks Relating to the iSTOXX®
Europe Economic Growth Select 50 Index
Set forth below is a discussion
of risks relating to the iSTOXX® Europe Economic Growth Select 50 Index. The following discussion of risks relating
to the iSTOXX® Europe Economic Growth Select 50 Index should be read together with Annex A to this pricing supplement,
which defines and further describes a number of the terms and concepts referred to in this section.
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There can be no assurance that the iSTOXX® Europe Economic Growth Select
50 Index will outperform the parent index from which its component companies are selected, and the iSTOXX® Europe
Economic Growth Select 50 Index may in fact significantly underperform the parent index. The iSTOXX® Europe
Economic Growth Select 50 Index applies a hypothetical rules-based investment methodology to select 50 component companies from
the parent index on a quarterly basis and to weight those companies in a way that differs from the way in which they are weighted
in the parent index. There can be no assurance that the iSTOXX® Europe Economic Growth Select 50 Index’s selection
and weighting methodology will result in the iSTOXX® Europe Economic Growth Select 50 Index outperforming the parent
index. In fact, the 50 component companies selected every quarter by the iSTOXX® Europe Economic Growth Select 50
Index may systematically underperform the 600 companies that make up the parent index, and as a result the iSTOXX®
Europe Economic Growth Select 50 Index may underperform the parent index.
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The iSTOXX® Europe Economic Growth Select 50 Index methodology relies
to a significant extent on proxy measurements that may not accurately measure what they seek to measure. The iSTOXX®
Europe Economic Growth Select 50 Index aims to give greater weights to component companies that derive more of their revenues from
countries with higher projected GDP growth, and vice versa. However, many component companies may not report what percentage of
their revenues are derived from particular countries, or may report only a portion of their revenues on a country-specific basis.
If a component company does not report the percentage of its revenues that are derived from particular countries, the iSTOXX®
Europe Economic Growth Select 50 Index will rely on one of a number of possible proxy measurements in lieu of actual revenue exposure
numbers. As described in more detail in Annex A, these proxies may include:
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the percentage of exports from the component company’s home country and industry
that are made to a particular country relative to the exports from the component company’s home country and industry that
are made to all countries in a particular region or in the world;
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the percentage of exports from the component company’s home country that are made
to a particular country relative to the exports from the component company’s home country that are made to all countries
in a particular region or in the world, without regard to industry; or
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in the case of the component company’s home country, the percentage of the home
country’s economy that is attributable to exports to a particular region or to the world.
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For
any given component company, its actual revenue exposure to a particular country may bear little or no relation to the proxy measurement
used. For example, the aggregate exports from a given component company’s home country (and industry, if applicable) to a
particular country may not provide any indication of how much of its revenues that particular component company derives from that
country. If these proxy measurements do not provide an accurate indication of how much revenue exposure a given component company
has to particular countries in the world, then the iSTOXX® Europe Economic Growth Select 50 Index methodology may
fail to produce component company weightings that accurate reflect that exposure, and the iSTOXX® Europe Economic
Growth Select 50 Index methodology may therefore not achieve what it aims to achieve.
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Although the iSTOXX® Europe Economic Growth Select 50 Index attempts
to select component companies with relatively high dividend yields, you will not receive any dividends as a holder of the notes.
One of the criteria by which the iSTOXX® Europe Economic Growth Select 50 Index selects component companies is the
12-month historical dividend yield of those component companies as of the applicable review cut-off date. However, as an investor
in the notes, you will not receive any dividends paid by the component companies. The payment of a dividend by a component company
will reduce the value of its
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stock
on the ex-dividend date for the dividend, and in turn will reduce the level of the iSTOXX® Europe Economic Growth
Select 50 Index.
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Low-volatility, high dividend stocks may have less growth potential than other stocks.
The iSTOXX® Europe Economic Growth Select 50 Index seeks to select component companies with relatively low volatility
and relatively high dividend yields. Low-volatility, high-dividend stocks may tend to be issued by older, more mature companies.
The lower volatility of such stocks may also be associated with lower growth potential. By systematically selecting stocks that
may have lower growth potential, the iSTOXX® Europe Economic Growth Select 50 Index may systematically underperform
the broader market, particularly in bull markets.
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The data used by the iSTOXX® Europe Economic Growth Select 50 Index
may be outdated. The iSTOXX® Europe Economic Growth Select 50 Index selects and weights its component companies
each quarter based on historical data. The volatility of a company is measured over the 3 months and 12 months preceding the review
cut-off date for each quarter. Dividend yield data is based on dividends paid over the prior 12 months. The revenue, export, import
and GDP data used by the iSTOXX® Europe Economic Growth Select 50 Index to weight its component companies are updated
each August and are the numbers for the fiscal or calendar year preceding that August. The IMF GDP growth projections used by the
iSTOXX® Europe Economic Growth Select 50 Index are updated only once a year in October. By the time the iSTOXX®
Europe Economic Growth Select 50 Index uses these data to select and weight its component companies, the data may relate to a period
that is a significant amount of time in the past, and therefore may be outdated. The relevant data may have changed significantly
in the intervening period, but that would not be reflected in the iSTOXX® Europe Economic Growth Select 50 Index.
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The historical measures used by the iSTOXX® Europe Economic Growth
Select 50 Index to select component companies may not be accurate predictors of future performance. Once each quarter, the
iSTOXX® Europe Economic Growth Select 50 Index selects 50 component companies based on historical measures of liquidity,
volatility and dividend yield for the companies in the parent index. There can be no assurance that companies with relatively high
liquidity, low volatility and high dividend yields will outperform other companies, but even if that were the case, there can be
no assurance that the historical measures of these characteristics used by the iSTOXX® Europe Economic Growth Select
50 Index will be predictive of these characteristics in the future.
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The projected GDP growth figures used by the iSTOXX® Europe Economic
Growth Select 50 Index may be a poor predictor of actual GDP growth. The iSTOXX® Europe Economic Growth Select
50 Index weights component companies based on the projected GDP growth of the countries to which the component companies have revenue
exposure. Projected GDP growth figures are derived from the most recent October World Economic Outlook published by the IMF. The
projected GDP growth figures published by the IMF are based on surveys of the views of IMF staff economists. These projected GDP
growth figures are subject to the weaknesses inherent in all predictions of the future—namely, that it is impossible for
anyone to know the future, and that the future often differs from expectations. Moreover, the projected GDP growth figures used
by the iSTOXX® Europe Economic Growth Select 50 Index are derived from one source. Others may have views about future
GDP growth that differ significantly from those of the IMF’s staff economists. If the GDP growth projections used by the
iSTOXX® Europe Economic Growth Select 50 Index prove to be poor predictors of future GDP growth, the iSTOXX®
Europe Economic Growth Select 50 Index may be unsuccessful.
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Revenues are not profits and may be a poor indicator of a component company’s
exposure to the economy of a given country. The iSTOXX® Europe Economic Growth Select 50 Index aims to give
greater weights to component companies that derive more of their revenues from countries with higher projected GDP growth, and
vice versa. However, the amount of revenues a component company derives from a particular country may be a less accurate indicator
of its exposure to the economy of that country than the amount of profits the component company derives from that country. Suppose
a component company derives a significant amount of revenues from country A but has thin profit margins in country A, and derives
a smaller amount of revenues from country B but has higher profit margins in country B. The iSTOXX® Europe Economic
Growth Select 50 Index would tend to give greater weight to country A’s GDP in determining the weight of this company, while
this company’s overall profitability may be driven more by the GDP of country B.
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The GDP growth of a country to which a particular company has significant revenue
exposure may be a poor predictor of the performance of that company. The fact that a component company has significant revenue
exposure to a country with strong GDP growth does not mean that the component company will have favorable performance. The performance
of any individual component company is affected by many factors unique to that company, its industry and its competitive position,
and may not be correlated with the overall performance of the economies from which it derives revenues. A strong economy may favor
some companies but not others. Some companies are countercyclical and tend to perform best in economic downturns. If the GDP growth
of a country to which a particular company has significant revenue exposure is a poor predictor of that company’s performance,
the iSTOXX® Europe Economic Growth Select 50 Index may be unsuccessful.
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Hypothetical back-tested iSTOXX® Europe Economic Growth Select 50 Index
performance information is subject to significant limitations. All information regarding the performance of the iSTOXX®
Europe Economic Growth Select 50 Index prior to April 5, 2017 is hypothetical and back-tested, as the iSTOXX® Europe
Economic Growth Select 50 Index did not exist prior to
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that
time. It is important to understand that hypothetical back-tested iSTOXX® Europe Economic Growth Select 50 Index
performance information is subject to significant limitations, in addition to the fact that past performance is never a guarantee
of future performance. In particular:
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The publisher of the iSTOXX® Europe Economic Growth Select 50 Index developed
the rules of the iSTOXX® Europe Economic Growth Select 50 Index with the benefit of hindsight—that is, with
the benefit of being able to evaluate how the iSTOXX® Europe Economic Growth Select 50 Index rules would have caused
the iSTOXX® Europe Economic Growth Select 50 Index to perform had it existed during the hypothetical back-tested
period. The fact that the iSTOXX® Europe Economic Growth Select 50 Index appreciated over any portion of the hypothetical
back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the iSTOXX®
Europe Economic Growth Select 50 Index methodology.
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The hypothetical back-tested performance of the iSTOXX® Europe Economic
Growth Select 50 Index might look different if it covered a different historical period. The market conditions that existed during
the historical period covered by the hypothetical back-tested iSTOXX® Europe Economic Growth Select 50 Index performance
information are not necessarily representative of the market conditions that will exist in the future.
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It
is impossible to predict whether the iSTOXX® Europe Economic Growth Select 50 Index will rise or fall. The actual
future performance of the iSTOXX® Europe Economic Growth Select 50 Index may bear no relation to the historical
or hypothetical back-tested levels of the iSTOXX® Europe Economic Growth Select 50 Index.
The
iSTOXX® Europe Economic Growth Select 50 Index is a relatively new index with a limited history of actual performance.
As a result, the iSTOXX® Europe Economic Growth Select 50 Index may be riskier than another index with a more established
record of performance.
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The iSTOXX® Europe Economic Growth Select 50 Index is subject to risks
associated with non-U.S. markets. Investments in securities linked to the value of non-U.S. stocks involve risks associated
with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those
markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the
SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules that are different from those applicable to U.S. reporting companies. The prices of securities in
foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency.
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The iSTOXX® Europe Economic Growth Select 50 Index performance will not be adjusted for changes in the exchange
rate between the euro and the U.S. dollar. The iSTOXX® Europe Economic Growth Select 50 Index is composed of
stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However,
the performance of the iSTOXX® Europe Economic Growth Select 50 Index and the value of the notes will not be adjusted
for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the notes, the performance
of the iSTOXX® Europe Economic Growth Select 50 Index will be less favorable than it would have been had it offered
exposure to that appreciation in addition to the change in the euro value of the stocks of the component companies.
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Additional
Terms of the Notes
The following terms apply
with respect to the notes in lieu of the provisions described in “Description of the Notes—Certain Additional
Terms for Notes Linked to an Underlying Index—Discontinuance or Material Modification
of an Underlying Index” in the accompanying product supplement.
If the iSTOXX®
Europe Economic Growth Select 50 Index is (i) not calculated and announced by STOXX Limited but is calculated and announced by
a successor publisher acceptable to the calculation agent or (ii) replaced by a successor index that the calculation agent determines,
in its sole discretion, uses the same or a substantially similar formula for and method of calculation as used in the calculation
of the iSTOXX® Europe Economic Growth Select 50 Index, in each case the calculation agent may deem that index (the
“successor index”) to be the iSTOXX® Europe Economic Growth Select 50 Index. Upon the selection of any
successor index by the calculation agent pursuant to this paragraph, references in this pricing supplement to the original iSTOXX®
Europe Economic Growth Select 50 Index will no longer be deemed to refer to the iSTOXX® Europe Economic Growth Select
50 Index and will be deemed instead to refer to that successor index for all purposes, and references in this pricing supplement
to STOXX Limited will be deemed to be to the publisher of the successor index. In such event, the calculation agent will make such
adjustments, if any, to any level of the iSTOXX® Europe Economic Growth Select 50 Index that is used for purposes
of the notes as it determines are appropriate in the circumstances. Upon any selection by the calculation agent of a successor
index, the calculation agent will cause notice to be furnished to us and the trustee.
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Citigroup Global Markets Holdings Inc.
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If STOXX Limited announces
that it will make a material change in the formula for or the method of calculating the iSTOXX® Europe Economic
Growth Select 50 Index or in any other way materially modifies the iSTOXX® Europe Economic Growth Select 50 Index
(other than a modification prescribed in that formula or method to maintain the iSTOXX® Europe Economic Growth Select
50 Index in the event of changes in constituent stock and capitalization and other routine events), then the calculation agent
may replace the iSTOXX® Europe Economic Growth Select 50 Index with the STOXX Europe 600 Index, which will be the
successor index with the effect described in the preceding paragraph. If STOXX Limited permanently cancels the iSTOXX®
Europe Economic Growth Select 50 Index and no successor index is chosen as described above, then the calculation agent will replace
the iSTOXX® Europe Economic Growth Select 50 Index with the STOXX Europe 600 Index, which will be the successor
index with the effect described in the preceding paragraph.
Notwithstanding
these alternative arrangements, the discontinuance or material modification of the iSTOXX® Europe Economic Growth
Select 50 Index may adversely affect the value of the notes.
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Citigroup Global Markets Holdings Inc.
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Hypothetical
Historical Information About the Basket
Because the basket exists solely for purposes of the notes,
historical information on the performance of the basket does not exist for dates prior to the pricing date. The graph below
sets forth the hypothetical historical daily closing levels of the basket for the period from January 2, 2009 to November 6,
2019, assuming that the basket was created on January 2, 2009 with the same basket components and corresponding weights and
with a level of 100 on that date. The hypothetical performance of the basket is based on the actual closing levels of the
basket components on the applicable dates. We obtained these closing levels from Bloomberg L.P., without independent
verification. Any historical trend in the level of the basket during the period shown below is not an indication of the
performance of the basket during the term of the notes.
Hypothetical Historical Basket Performance
January 2, 2009 to November 6, 2019
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Information
About the Basket Components
S&P 500® Index
The S&P 500® Index consists of the common
stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets.
It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—
The S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for additional
information.
We have derived all information regarding the S&P 500®
Index from publicly available information and have not independently verified any information regarding the S&P 500®
Index. This pricing supplement relates only to the notes and not to the S&P 500® Index. We make no representation
as to the performance of the S&P 500® Index over the term of the notes.
The notes represent obligations of Citigroup Global Markets Holdings
Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index is not involved in any way in this
offering and has no obligation relating to the notes or to holders of the notes.
Historical Information
The closing level of the S&P 500® Index on
November 6, 2019 was 3,076.78.
The graph below shows the closing level of the S&P 500®
Index for each day such level was available from January 2, 2009 to November 6, 2019. We obtained the closing levels from
Bloomberg L.P., without independent verification. You should not take the historical closing levels as an indication of future
performance.
S&P 500® Index – Historical Closing Levels
January 2, 2009 to November 6, 2019
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iSTOXX® Europe Economic Growth
Select 50 Index
For information about the
iSTOXX® Europe Economic Growth Select 50 Index, see Annex A to this pricing supplement. The iSTOXX®
Europe Economic Growth Select 50 Index is reported by Bloomberg L.P. under the ticker symbol “SXEEGSP.”
Hypothetical Back-Tested and Historical Information
This section contains hypothetical
back-tested performance information for the iSTOXX® Europe Economic Growth Select 50 Index. All iSTOXX®
Europe Economic Growth Select 50 Index performance information prior to April 5, 2017 is hypothetical and back-tested, as the iSTOXX®
Europe Economic Growth Select 50 Index did not exist prior to that date. Hypothetical back-tested iSTOXX® Europe
Economic Growth Select 50 Index performance information is subject to significant limitations. The publisher of the iSTOXX®
Europe Economic Growth Select 50 Index developed the iSTOXX® Europe Economic Growth Select 50 Index rules with the
benefit of hindsight—that is, with the benefit of being able to evaluate how the iSTOXX® Europe Economic Growth
Select 50 Index rules would have caused the iSTOXX® Europe Economic Growth Select 50 Index to perform had it existed
during the hypothetical back-tested period. The fact that the iSTOXX® Europe Economic Growth Select 50 Index appreciated
at any time during the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental
aspect of the iSTOXX® Europe Economic Growth Select 50 Index methodology. Furthermore, the hypothetical back-tested
performance of the iSTOXX® Europe Economic Growth Select 50 Index might look different if it covered a different
historical period. The market conditions that existed during the hypothetical back-tested period may not be representative of market
conditions that will exist in the future.
The hypothetical back-tested
iSTOXX® Europe Economic Growth Select 50 Index performance information has been calculated by STOXX Limited. We
have not independently verified that calculation.
It is impossible to predict
whether the iSTOXX® Europe Economic Growth Select 50 Index will rise or fall. By providing the hypothetical back-tested
and historical iSTOXX® Europe Economic Growth Select 50 Index performance information below, we are not representing
that the iSTOXX® Europe Economic Growth Select 50 Index is likely to achieve gains or losses similar to those shown.
In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved
by any particular investment. One of the limitations of hypothetical performance information is that it did not involve financial
risk and cannot account for all factors that would affect actual performance. The actual future performance of the iSTOXX®
Europe Economic Growth Select 50 Index may bear no relation to the hypothetical back-tested or historical performance of the iSTOXX®
Europe Economic Growth Select 50 Index.
The closing level of
the iSTOXX® Europe Economic Growth Select 50 Index on November 6, 2019 was 101.73. The graph below shows the
hypothetical back-tested closing levels of the iSTOXX® Europe Economic Growth Select 50 Index for the period
from January 2, 2009 to April 4, 2017, and historical closing levels of the iSTOXX® Europe Economic Growth
Select 50 Index for the period from April 5, 2017 to November 6, 2019. All data to the left of the vertical red line in the
graph below are hypothetical and back-tested. We obtained the closing levels from Bloomberg L.P., without independent
verification. You should not take the hypothetical back-tested and historical levels of the iSTOXX® Europe
Economic Growth Select 50 Index as an indication of future performance.
iSTOXX® Europe Economic Growth Select 50 Index – Historical Closing Levels
January 2, 2009 to November 6, 2019
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United States
Federal Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP,
the notes will be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described
in the section of the accompanying product supplement called “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based on this
treatment. The discussion herein does not address the consequences to taxpayers subject to special tax accounting rules under Section
451(b) of the Internal Revenue Code of 1986, as amended (the “Code”).
If you are a U.S. Holder (as defined in the accompanying product
supplement), you will be required to recognize interest income during the term of the notes at the “comparable yield,”
which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the notes, including
the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness
of the contingencies or the liquidity of the notes. We are required to construct a “projected payment schedule” in
respect of the notes representing a payment the amount and timing of which would produce a yield to maturity on the notes equal
to the comparable yield. Assuming you hold the notes until their maturity, the amount of interest you include in income based on
the comparable yield in the taxable year in which the notes mature will be adjusted upward or downward to reflect the difference,
if any, between the actual and projected payment on the notes at maturity as determined under the projected payment schedule. However,
special rules may apply if the payment at maturity on the notes is treated as becoming fixed prior to maturity. See “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments”
in the accompanying product supplement for a more detailed discussion of the special rules.
Upon the sale, exchange or retirement of the notes prior to maturity,
you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in
the notes. Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously included in income
on the notes. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to
the extent of prior interest inclusions on the note and as capital loss thereafter.
We have determined that the comparable yield for a note is a
rate of %, compounded semi-annually, and that the projected payment schedule with respect to a note consists of a single
payment of $ at maturity.
Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amount that we will pay on the notes.
Non-U.S. Holders. Subject to the discussions below regarding
Section 871(m) and in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “—FATCA”
in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the
notes, under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment
on or any amount received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes 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. See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders”
in the accompanying product supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Possible Withholding Under Section 871(m) of the Code” in the accompanying product
supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations. However, the regulations, as modified
by an Internal Revenue Service (“IRS”) notice, exempt financial instruments issued prior to January 1, 2021 that do
not have a “delta” of one. Based on the terms of the notes and representations provided by us as of the date of this
preliminary pricing supplement, our counsel is of the opinion that the notes should not be treated as transactions that have a
“delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore, should
not be subject to withholding tax under Section 871(m). However, the final determination regarding the treatment of the notes under
Section 871(m) will be made as of the pricing date for the notes, and it is possible that the notes will be subject to withholding
under Section 871(m) based on the circumstances as of that date.
A determination that the notes are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the notes.
If withholding tax applies to the notes, we will not be required
to pay any additional amounts with respect to amounts withheld.
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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 notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes 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 notes, is acting as principal and will receive an underwriting fee of $30 for each note
sold in this offering. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup Global Markets
Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, and financial advisors employed by such affiliated broker-dealers
will collectively receive a fixed selling concession of $30 for each note they sell.
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 notes, 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 notes will
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Certain Selling
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Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
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The notes have not been offered or sold and will not be offered
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Citigroup Global Markets Holdings Inc.
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of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These notes are not insured by any governmental
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Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
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Citigroup Global Markets Holdings Inc.
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© 2019 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
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Citigroup Global Markets Holdings Inc.
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Annex A
Description of the iSTOXX Europe Economic Growth Select 50 Index
Overview
All information contained in this pricing supplement regarding
the iSTOXX Europe Economic Growth Select 50 Index, including, without limitation, its make-up, method of calculation and changes
in its components, has been derived from information provided by STOXX Limited, without independent verification. This information
reflects the policies of, and is subject to change by, STOXX Limited. The iSTOXX® Europe Economic Growth Select
50 Index is calculated, maintained and published by STOXX Limited. STOXX Limited has no obligation to continue to publish, and
may discontinue publication of, the iSTOXX® Europe Economic Growth Select 50 Index. The iSTOXX® Europe
Economic Growth Select 50 Index was first published on April 5, 2017, and therefore has a limited performance history.
The iSTOXX® Europe Economic Growth Select 50 Index
tracks the hypothetical performance of the rules-based investment methodology described in this Annex. The iSTOXX®
Europe Economic Growth Select 50 Index methodology has two main features:
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1.
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Selection. Once each quarter, the iSTOXX® Europe Economic Growth Select 50 Index selects 50 companies
(the “component companies”) from within the STOXX Europe 600 Index (the “parent index”) based on the liquidity,
volatility and dividend yield criteria described below. The iSTOXX® Europe Economic Growth Select 50 Index attempts
to select component companies with relatively high liquidity, low volatility and high dividend yields as compared to other companies
in the parent index.
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2.
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Weighting. The iSTOXX® Europe Economic Growth Select 50 Index assigns a weight to each component company
in the iSTOXX® Europe Economic Growth Select 50 Index based on the percentage of that company’s revenues that
are derived (or deemed to be derived) from each country from which it derives revenues, with greater weights assigned to companies
with larger percentages of their revenues derived from countries that are projected to have greater GDP growth over the next year,
according to the most recent October World Economic Outlook published by the International Monetary Fund (“IMF”).
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The performance of the iSTOXX® Europe Economic
Growth Select 50 Index is based on the weighted performance of its component companies. That performance is measured in euros and
is not converted into U.S. dollars.
The iSTOXX® Europe Economic Growth Select 50 Index
is described as tracking the “hypothetical” performance of the rules-based investment methodology described in this
Annex because there is no actual portfolio of stocks to which any investor is entitled or in which any investor has any ownership
or other interest. The iSTOXX® Europe Economic Growth Select 50 Index is merely a mathematical calculation that
is performed by reference to hypothetical positions in the stocks of the component companies.
There can be no assurance that the rules-based investment methodology
tracked by the iSTOXX® Europe Economic Growth Select 50 Index will result in favorable performance. The iSTOXX®
Europe Economic Growth Select 50 Index is subject to important risks. See “Summary Risk Factors—Risks Relating to the
ISTOXX® Europe Economic Growth Select 50 Index” in this pricing supplement.
For information about the parent index, see “Equity Index
Descriptions—The STOXX Europe 600 Index” in the accompanying underlying supplement.
Selection
The iSTOXX® Europe Economic Growth Select 50 Index
selects 50 component companies quarterly in March, June, September and December of each year (each, a “review month”)
based on the 12-month historical dividend yield, 3-month historical average daily trading volume (“ADTV”) and 12- and
3-month historical volatility of each company in the parent index as of the review cut-off date for the applicable review month.
For any review month, the “review cut-off date” is the last trading day of the month preceding the review month.
The iSTOXX® Europe Economic Growth Select 50 Index
selects the component companies by applying the following rules:
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1.
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Identify the eligible universe. The iSTOXX® Europe Economic Growth Select 50 Index identifies the “eligible
universe” by selecting from the parent index the stocks that meet the following criteria:
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a.
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Availability of both 12-month historical dividend yield and 3-month historical ADTV in euros.
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b.
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3-month ADTV in euros in excess of 3 million euros.
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c.
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Suspension from trading not exceeding 10% of the STOXX calendar trading days in the preceding 12 months.
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The stocks that meet these criteria make up the eligible
universe.
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Citigroup Global Markets Holdings Inc.
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2.
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Apply a volatility screen to the stocks in the eligible universe. All stocks in the eligible universe are sorted in
ascending order in terms of volatility. For each component company, its volatility is deemed to be the greater of its 3-month and
12-month historical volatility. In this stage of the selection process, the iSTOXX® Europe Economic Growth Select
50 Index selects a number of stocks with the lowest volatility. The number of stocks selected is equal to the equal strength ratio
multiplied by the number of stocks in the eligible universe.
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The “equal strength ratio” is calculated
as the square root of the quotient of 50 divided by the number of stocks in the eligible universe. For example, if there
are 500 stocks in the eligible universe, then the equal strength ratio is the square root of the quotient of 50 divided by
500, which is approximately 0.31623. The equal strength ratio would then be multiplied by the number of stocks in the eligible
universe. In this example, 0.31623 multiplied by 500 is 158.11, which would be rounded down to 158. In this example, 158
stocks would remain after the application of the volatility screen. This example is purely hypothetical and is provided solely
for the purpose of illustrating how the equal strength ratio might be calculated. It is not a prediction of how many stocks will
be in the eligible universe, what the equal strength ratio will be or how many stocks will remain after application of the volatility
screen at any time.
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3.
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Of the companies remaining, select the 50 with the highest 12-month historical dividend yields. The companies remaining
in the eligible universe after application of the volatility screen are sorted in descending order in terms of 12-month historical
dividend yield, and the highest ranked 50 stocks are selected for inclusion in the iSTOXX® Europe Economic Growth
Select 50 Index. In the case of identical dividend yields, priority goes to the stock with the lowest volatility from the volatility
screen. The dividend yield of each company is calculated as the aggregate amount of dividends paid over the 12 months preceding
the review cut-off date divided by the closing price of the company on the review cut-off date.
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Weighting
The weight of each component company in the iSTOXX®
Europe Economic Growth Select 50 Index is determined by calculating a normalized GDP score for each component company and giving
higher weights to companies with higher normalized GDP scores, and lower weights to companies with lower normalized GDP scores.
Each component company is given a GDP score based on the percentage of its revenues that are derived (or are deemed to be derived)
from each country from which it derives revenues and the projected GDP growth of each of those countries. In general, companies
that derive (or are deemed to derive) more of their revenues from countries with higher projected GDP growth will have greater
weight in the iSTOXX® Europe Economic Growth Select 50 Index, and vice versa.
The revenue, export, import and GDP data described below are
updated in August of each year and are the data published for the most recently completed fiscal or calendar year as of that August.
Revenue data are obtained from component companies’ public filings. Export, import and GDP data are obtained from official
sources. For purposes of the iSTOXX® Europe Economic Growth Select 50 Index, exports comprise exported goods and
services.
The weight of each component company in the iSTOXX®
Europe Economic Growth Select 50 Index is determined according to the following steps:
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1.
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Determine the percentage of each component company’s revenues that are derived (or deemed to be derived) from each
country from which it derives revenues. We refer to the percentage of a component company’s total revenues that are derived
(or deemed to be derived) from a particular country as its “revenue exposure” to that country. The iSTOXX®
Europe Economic Growth Select 50 Index determines the revenue exposure of each component company to each country from which it
derives revenues as follows:
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a.
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Case 1. If the component company reports its revenues broken down to the country level, then the iSTOXX®
Europe Economic Growth Select 50 Index uses the company’s public reports to determine its revenue exposure to each country.
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b.
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Case 2. If the component company reports its revenues on a regional level and the region does not include the company’s
home country, then the iSTOXX® Europe Economic Growth Select 50 Index uses export data to calculate a proxy for
the percentage of the component company’s revenues from the region that are derived from each country in the region (which
we refer to as its “regional revenue exposure” to each country in the region), as follows:
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i.
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Proxy regional revenue exposure calculation based on exports from home country and industry. If export data for the
home country of the component company are available on a sufficiently disaggregated basis, the iSTOXX® Europe Economic
Growth Select 50 Index will calculate the percentage of total exports to the region from the component company’s home country
and industry that are exported to each country in the region. We refer to that percentage as the “regional export exposure”
of the component company’s home country and industry to each country in the region. The iSTOXX® Europe Economic
Growth Select 50 Index assumes that the component company’s regional revenue exposure to each country in the region matches
the regional export exposure of the component company’s home country and industry to each country in the region.
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Citigroup Global Markets Holdings Inc.
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To calculate the regional export exposure of the component
company’s home country and industry to each country in the region, the iSTOXX® Europe Economic Growth Select
50 Index will follow the following steps:
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A.
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Identify the component company’s industry. Each component company is classified as belonging to one of ten industries
under the Industry Classification Benchmark (“ICB”) system. The ICB is a globally recognized classification system
operated and managed by FTSE Russell for categorizing companies and securities. The ICB classifies companies into one of the following
ten industries: oil and gas; basic materials; industrials; consumer goods; health care; consumer services; telecommunications;
utilities; financials; and technology. For ease, we refer to the ICB industry of a component company in the home country of the
component company as the “component industry” for that component company.
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B.
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“Map” export data for the component company’s home country to the component industry. The iSTOXX®
Europe Economic Growth Select 50 Index breaks down the export data for the component company’s home country to determine
how much of the home country’s exports to each country in the region are attributable to the component industry.
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C.
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Calculate the regional export exposure of the component industry to each country in the region. The iSTOXX®
Europe Economic Growth Select 50 Index calculates the regional export exposure of the component industry to each country in the
region by dividing the exports from the component industry to that country by the total exports from that component industry to
all countries in the region. The component company is assumed to have a regional revenue exposure to each country in the region
that matches the regional export exposure of the component industry to each country in the region.
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For example, suppose a component company based in country
A reports revenues of $100 million from a region made up of two countries (country B and country C), without providing a further
breakdown of revenues from those two countries. Suppose further that the component company belongs to the consumer goods industry,
and that overall exports from the consumer goods industry in country A to countries B and C together are $1 billion. If $400 million
of those exports are to country B and $600 million are to country C, that would mean that the consumer goods industry in country
A has a regional export exposure of 40% to country B and 60% to country C. The iSTOXX® Europe Economic Growth Select
50 Index would use the regional export exposure of the consumer goods industry in country A to each country in the region as a
proxy for the component company’s revenue exposure to each country in the region. In this example, that would mean that the
iSTOXX® Europe Economic Growth Select 50 Index would assume that the component company derives 40% of its revenues
from the region (i.e., $40 million) from country B and 60% (i.e., $60 million) from country C.
A component company’s regional revenue exposure
to each country in the region is used to determine the amount of its revenues that are deemed to be derived from each country in
the region, and for each country that amount is divided by the company’s total revenues to determine its revenue exposure
to that country. For clarity, a component company’s “regional revenue exposure” to a given country is the percentage
of its overall revenues from the given region that are derived (or deemed to be derived) from that country, and its “revenue
exposure” to a given country is the percentage of its total revenues from the world that are derived (or deemed to be derived)
from that country.
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ii.
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Proxy regional revenue exposure calculation based on exports from home country. If export data for the home country
of the component company are not available on a sufficiently disaggregated basis, the iSTOXX® Europe Economic Growth
Select 50 Index will use total exports from the home country to each country in the region, rather than exports from the component
industry to each country in the region, as a proxy for the regional revenue exposure of the component company to each country in
the region.
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c.
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Case 3. If the component company reports its revenues on a regional level and the region includes the company’s
home country, then the iSTOXX® Europe Economic Growth Select 50 Index uses export data to calculate a proxy for
the component company’s regional revenue exposure to each country in the region in the manner described above in case 2,
with the following modifications. The component company’s regional revenue exposure to its home country is calculated in
two steps, instead of in the manner described above in case 2:
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i.
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First, the iSTOXX® Europe Economic Growth Select 50 Index calculates the percentage of the component company’s
home country’s economy that is attributable to exports to the region. The iSTOXX® Europe Economic Growth Select
50 Index makes this calculation by dividing (a) the total exports from the home country to all countries in the region by (b) the
home country’s GDP, excluding all exports except exports to the region, plus total imports to the world.
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Citigroup Global Markets Holdings Inc.
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ii.
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Second, the iSTOXX® Europe Economic Growth Select 50 Index assumes that the regional revenue exposure of the
component company to its home country is equal to 100% minus the percentage of the home country’s economy that is
attributable to exports to the region, as determined in the prior step.
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The component company’s regional revenue exposure
to each other country in the region is then calculated in the manner described above in case 2, but only with respect to the remaining
revenues that are not attributed to the home country pursuant to the calculation just described.
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d.
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Case 4. If the component company reports only a single revenue number for the entire world, without any further breakdown
to a country or lower regional level, then the iSTOXX® Europe Economic Growth Select 50 Index uses export data to
calculate a proxy for the component company’s revenue exposure to each country in the world in the manner described above
in case 2, with the following modifications. The component company’s revenue exposure to its home country may be calculated
in two steps, instead of in the manner described above in case 2:
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i.
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First, the iSTOXX® Europe Economic Growth Select 50 Index calculates the percentage of the component company’s
home country’s economy that is attributable to exports to the world. The iSTOXX® Europe Economic Growth Select
50 Index makes this calculation by dividing (a) the total exports from the home country to the world by (b) the home country’s
GDP plus total imports to the world.
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ii.
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Second, the iSTOXX® Europe Economic Growth Select 50 Index assumes that the revenue exposure of the component
company to its home country is equal to 100% minus the percentage of the home country’s economy that is attributable
to exports to the world, as determined in the prior step.
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Alternatively, the iSTOXX® Europe Economic
Growth Select 50 Index may determine the component company’s revenue exposure to its home country as the average revenue
exposure of other companies in the same country to the home country in the data set maintained by the iSTOXX® Europe
Economic Growth Select 50 Index that directly report their revenues derived from that country.
The component company’s revenue exposure to each
other country in the world is then calculated in the manner described above in case 2 with respect to the remaining revenues that
are not attributed to the home country pursuant to the calculation just described, but with respect to the world rather than a
region.
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2.
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Determine the projected GDP growth for each country from which a component company derives (or is deemed to derive) revenues.
Each country from which a component company derives revenues is deemed to have a projected GDP growth equal to the projected
GDP growth for that country included in the most recently published IMF October World Economic Outlook for the calendar year following
the October of publication. If a projected GDP growth is not included for any country, that country is deemed to have a 0% projected
GDP growth.
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The IMF publishes its World Economic Outlook twice
a year. For purposes of the iSTOXX® Europe Economic Growth Select 50 Index, only the October publication is used.
The World Economic Outlook presents IMF staff economists' analyses of global economic developments during the near and medium term.
If a component company reports some, but not all, of
its revenues on a country or region basis, the unattributed revenues will be deemed to be derived from a hypothetical country with
projected GDP growth equal to the projected GDP growth for the G7 “major advanced economies” in the most recently published
IMF October World Economic Outlook for the calendar year following the October of publication.
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3.
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Calculate a GDP score for each component company. The GDP score for each component company is calculated as the sum
of the products of, for each country from which the component company derives revenues, the component company’s revenue exposure
to that country multiplied by the projected GDP growth of that country.
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For example, assume there are two companies, company
A and company B, that derive revenues from two countries, country A and country B, with the following revenue exposures and projected
GDP growth:
Hypothetical Revenue Exposure
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Country A
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Country B
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Company A
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50%
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50%
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Company B
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25%
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75%
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Citigroup Global Markets Holdings Inc.
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Hypothetical Projected GDP Growth
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Country A
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2%
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Country B
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4%
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In this example, the GDP score of each company would
be calculated as follows:
GDP score of company A = (revenue
exposure to country A * projected GDP growth of country A) + (revenue exposure to country B * projected GDP growth of country B)
= (50% * 2%) + (50% * 4%)
= 3%
GDP score of company B = (revenue
exposure to country A * projected GDP growth of country A) + (revenue exposure to country B * projected GDP growth of country B)
= (25% * 2%) + (75% * 4%)
= 3.5%
In this example, company B has a higher GDP score than
company A because it derives (or is deemed to derive) a greater proportion of its revenues from country B, which has a higher projected
GDP growth than country A, than does company A.
This example of the GDP score calculation has been
highly simplified to facilitate understanding and differs from the actual GDP score calculations. Among other differences, the
actual GDP score calculation will be made for 50 component companies, not just two, will be based on the actual number of countries
from which each component company derives revenues, not just two, and will be based on actual revenue exposures and projected GDP
growth numbers, not the hypothetical numbers used above.
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4.
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Calculate a normalized GDP score for each component company. For purposes of determining the weight of each component
company in the iSTOXX® Europe Economic Growth Select 50 Index, the GDP score of each component company is first
converted into a “normalized” GDP score. The normalized GDP score for each component company is a number between 1
and 10. The component company with the highest GDP score of all component companies will have a normalized GDP score of 10, and
the component company with the lowest GDP score will have a normalized GDP score of 1. Each other component company will have a
normalized GDP score between 1 and 10 that will be proportionate to the distance between that component company’s GDP score
and the highest and lowest GDP scores of any component company. For example, if the component company with the lowest GDP score
has a GDP score of 2% and the component company with the highest GDP score has a GDP score of 6%, a component company with a GDP
score of 4%, which is halfway between the lowest and highest GDP scores, would have a normalized GDP score of 5.5, which is halfway
between 1 and 10.
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5.
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Calculate the target weight of each component company in the iSTOXX® Europe Economic Growth Select 50 Index.
The target weight of each component company in the iSTOXX® Europe Economic Growth Select 50 Index will be equal
to its normalized GDP score divided by the sum of the normalized GDP scores for all component companies, subject to a maximum
weight for any component company of 5%. As a result, the component company with the highest normalized GDP score will have the
highest target weight, the component company with the lowest normalized GDP score will have the lowest target weight and each other
component company will have a target weight between the highest and lowest target weights in proportion to its normalized GDP score.
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The target weight of a component company is set at
the time of each quarterly rebalancing of the iSTOXX® Europe Economic Growth Select 50 Index. Between quarterly
rebalancings, the actual weight of any component company in the iSTOXX® Europe Economic Growth Select 50 Index will
fluctuate based on changes in the stock prices of the component companies.
Corporate Events
In the event of a spin-off with respect to a component company,
the spun-off stock will be added to the iSTOXX® Europe Economic Growth Select 50 Index temporarily for one trading
day and then removed from the iSTOXX® Europe Economic Growth Select 50 Index. In the event of mergers and other
corporate events, the iSTOXX® Europe Economic Growth Select 50 Index will make adjustments pursuant to the process
described with respect to the parent index in the underlying supplement.
The iSTOXX® Europe Economic Growth Select 50 Index
is a price return index, which means that it does not reinvest ordinary dividends paid by the component companies.
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Citigroup Global Markets Holdings Inc.
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License
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into an exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee, of
the right to use the iSTOXX® Europe Economic Growth Select 50 Index, which is owned and published by STOXX, in connection
with certain financial instruments, including the notes. The license agreement with STOXX requires the following to appear in this
pricing supplement.
The notes are not sponsored, endorsed, sold or promoted by STOXX
or its licensors. STOXX and its licensors have no relationship to CGMI or its affiliates, other than the licensing of the iSTOXX®
Europe Economic Growth Select 50 Index and the related trademarks for use in connection with the notes. STOXX and its licensors
make no recommendation that any person invest in the notes or any other securities. STOXX and its licensors have no responsibility
or liability for or make any decisions about the timing, amount or pricing of the notes. STOXX and its licensors do not consider
the needs of Citigroup Global Markets Holdings Inc. or its affiliates or the holders of the notes in determining, composing or
calculating the iSTOXX® Europe Economic Growth Select 50 Index or have any obligation to do so. STOXX and its licensors
have no responsibility or liability for the administration, management or marketing of the notes.
STOXX and its licensors will not have any liability in connection
with the notes. Specifically,
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STOXX and its licensors do not make any warranty, express or implied and disclaim any and all warranty about (i) the results
to be obtained by the notes, the owner of the notes or any other person in connection with the use of the iSTOXX®
Europe Economic Growth Select 50 Index and the data included in the iSTOXX® Europe Economic Growth Select 50 Index;
(ii) the accuracy or completeness of the iSTOXX® Europe Economic Growth Select 50 Index and its data; or (iii) the
merchantability and the fitness for a particular purpose or use of the iSTOXX® Europe Economic Growth Select 50
Index and its data;
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STOXX and its licensors will have no liability for any errors, omissions or interruptions in the iSTOXX® Europe
Economic Growth Select 50 Index or its data; and
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Under no circumstances will STOXX or its licensors be liable for any lost profits or indirect, punitive, special or consequential
damages or losses, even if STOXX or its licensors knows that they might occur.
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The license agreement between CGMI and STOXX is solely for their
benefit and not for the benefit of the owners of the notes or any other third parties.
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