The information in this
preliminary pricing supplement is not complete and may be changed. A registration statement relating to these securities has been
filed with the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus are not an offer to sell these securities, nor are they soliciting an offer to buy these
securities, in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION,
DATED NOVEMBER 8, 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-USNCH3173
Filed Pursuant
to Rule 424(b)(2)
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Registration Statement Nos. 333-224495 and 333-224495-03
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Enhanced Barrier Digital Plus Securities
Linked to Square, Inc. Due December 8, 2020
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▪
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The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity with a value that may be greater than
or less than the stated principal amount, depending on the performance of the underlying specified below from the initial underlying
value to the final underlying value.
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▪
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The securities offer modified exposure to the performance of the underlying, with (i) a digital (fixed) return at
maturity so long as the final underlying value is greater than or equal to the final barrier value and (ii) 1-to-1
participation in a limited range of potential appreciation of the underlying in excess of the digital return. In exchange
for these features,
investors in the securities must be willing to forgo any appreciation of the underlying in excess of the
maximum return at maturity specified below and must be willing to forgo any dividends with respect to the underlying. In
addition, investors in the securities must be willing to accept full downside exposure to the depreciation of the underlying
if the final underlying value is less than the final barrier value. If the final underlying value is less than the final
barrier value, you will not be repaid the stated principal amount of your securities at maturity and, instead, will receive
underlying shares of the underlying (or, in our sole discretion, cash based on the value thereof) that will be worth
significantly less than
your initial investment and possibly worth nothing. You may lose your entire investment in the securities.
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▪
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In order to obtain the modified exposure to the underlying that the securities provide, investors must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
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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 securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying:
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Square, Inc.
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Stated principal amount:
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$1,000 per security
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Pricing date:
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November 25, 2019
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Issue date:
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November 29, 2019
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Valuation date:
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December 3,
2020, subject to postponement if such date is not a scheduled trading day or certain market disruption events
occur
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Maturity date:
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December 8, 2020
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Payment at maturity:
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You will receive at maturity for each security you then
hold:
§ If
the final underlying value is greater than or equal to the final barrier value:
$1,000 + the greater of (i) the digital
return amount and (ii) $1,000 × the underlying return, subject to the maximum return at maturity
§ If
the final underlying value is less than the final barrier value:
a fixed number of underlying shares of the
underlying equal to the equity ratio (or, if we elect, the cash value of those shares based on the final underlying value)
If the final underlying value is less than the final
barrier value, you will receive underlying shares (or, in our sole discretion, cash) expected to be worth significantly less than
the stated principal amount of your securities, and possibly nothing, at maturity.
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Initial underlying value:
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$ , the closing value of the underlying on the pricing date
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Final underlying value:
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The closing value of the underlying on the valuation date
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Final barrier value:
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$ , 75.00% of the initial underlying value
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Equity ratio:
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, the stated principal amount divided by the initial underlying value
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Digital return amount:
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$100.00 per security (representing a digital return equal to 10.00% of the stated principal amount). You will receive the digital return amount only if the final underlying value is greater than or equal to the final barrier value.
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Underlying return:
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(i) The final underlying value minus the initial underlying value, divided by (ii) the initial underlying value
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Maximum return at maturity:
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The maximum
return at maturity will be determined on the pricing date and will be between $200.00 and $220.00 per security (between
20.00% and 22.00% of the stated principal amount). The payment at maturity per security will not exceed the stated
principal amount plus the maximum return at maturity.
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17324XVQ0 / US17324XVQ05
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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 security:
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$1,000.00
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$10.00
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$990.00
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Total:
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$
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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 securities on the pricing date will be at least $933.50 per security, which will be less than
the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding
rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any,
at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation
of the Securities” in this pricing supplement.
(2) For more information on the distribution of the securities,
see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and
its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, prospectus supplement and prospectus 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, prospectus supplement and prospectus, which can be accessed via the hyperlinks
below:
Product Supplement No. EA-02-08 dated February 15, 2019 Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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Additional Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, the accompanying product supplement contains important information about how the closing value of the underlying will
be determined and about adjustments that may be made to the terms of the securities upon the occurrence of market disruption events
and other specified events with respect to the underlying. It is important that you read the accompanying product supplement, prospectus
supplement and prospectus together with this pricing supplement in deciding whether to invest in the securities. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.
Closing Value. The “closing value” of the
underlying on any date is the closing price of its underlying shares on such date, as provided in the accompanying product supplement.
The “underlying shares” of the underlying are its shares of class A common stock. Please see the accompanying product
supplement for more information.
Payout Diagram
The diagram below illustrates the value of what you would receive
at maturity for a range of hypothetical underlying returns. If you receive underlying shares at maturity, the diagram below illustrates
the value of those shares based on their final underlying value. The diagram assumes that
the maximum return at maturity will be set at the lowest value indicated on the cover page of this pricing supplement. The actual
maximum return at maturity will be determined on the pricing date.
Investors in the securities will not receive any dividends
with respect to the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the
securities. See “Summary Risk Factors—You will not receive dividends or have any other rights with respect to the
underlying unless and until you receive underlying shares of the underlying at maturity” below.
Payout Diagram
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n The Securities
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n The Underlying
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Citigroup Global Markets Holdings Inc.
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Hypothetical Examples
The examples below illustrate how to determine the payment at
maturity on the securities, assuming the various hypothetical final underlying values indicated below. The examples are solely
for illustrative purposes, do not show all possible outcomes and are not a prediction of what the actual payment at maturity on
the securities will be. The actual payment at maturity will depend on the actual final underlying value.
The examples below are based on the following hypothetical values
and do not reflect the actual initial underlying value, final barrier value or equity ratio. For the actual initial underlying
value, final barrier value and equity ratio, see the cover page of this pricing supplement. We have used these hypothetical values,
rather than the actual values, to simplify the calculations and aid understanding of how the securities work. However, you should
understand that what you actually receive at maturity will be determined based on the actual initial underlying value, final barrier
value and equity ratio, and not the hypothetical values indicated below. For ease of analysis, figures below have been rounded.
The examples assume that the maximum return at maturity will be set at the lowest value indicated
on the cover page of this pricing supplement. The actual maximum return at maturity will be determined on the pricing date.
Hypothetical initial underlying value:
|
$100.00
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Hypothetical final barrier value:
|
$75.00 (75.00% of the hypothetical initial underlying value)
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Hypothetical equity ratio:
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10.00000
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Example 1—Upside Scenario A. The final underlying
value is $105.00, resulting in a 5.00% underlying return. In this example, the final underlying value is greater than the
final barrier value, and the digital return is greater than the underlying return.
Payment at maturity per security = $1,000 + the greater of (i)
the digital return amount and (ii) $1,000 × the underlying return, subject to the maximum return at maturity
= $1,000 + the greater of (i) $100.00 and (ii) $1,000 ×
5.00%, subject to the maximum return at maturity
= $1,000 + $100.00
= $1,100.00
In this scenario, because the final underlying value is greater
than the final barrier value and the digital return is greater than the underlying return, your total return at maturity would
equal the digital return.
Example 2—Upside Scenario B. The final underlying
value is $150.00, resulting in a 50.00% underlying return. In this example, the final underlying value is greater than the
final barrier value, and the underlying return is greater than both the digital return and the maximum return at maturity.
Payment at maturity per security = $1,000 + the greater of (i)
the digital return amount and (ii) $1,000 × the underlying return, subject to the maximum return at maturity
= $1,000 + the greater of (i) $100.00 and (ii) $1,000 ×
50.00%, subject to the maximum return at maturity
= $1,000 + $500.00, subject to the maximum return at maturity
= $1,200.00
In this scenario, the final underlying value is greater than
the final barrier value and the underlying return is greater than both the digital return and the maximum return at maturity.
As a result, your total return at maturity in this scenario would be limited to the maximum return at maturity, and an investment
in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the
underlying without a maximum return.
Example 3—Upside Scenario C. The final underlying
value is $90.00, resulting in a -10.00% underlying return. In this example, the final underlying value is greater than the
final barrier value, and the digital return is greater than the underlying return.
Payment at maturity per security = $1,000 + the greater of (i)
the digital return amount and (ii) $1,000 × the underlying return, subject to the maximum return at maturity
= $1,000 + the greater of (i) $100.00 and (ii) $1,000 ×
-10.00%, subject to the maximum return at maturity
= $1,000 + $100.00
= $1,100.00
In this scenario, the underlying has depreciated from the initial
underlying value to the final underlying value, but not below the final barrier value. Because the final underlying value is greater
than the final barrier value and the digital return is greater than the underlying return, your total return on the securities
at maturity would equal the digital return.
Example 4—Downside Scenario A. The final underlying
value is $30.00, resulting in a -70.00% underlying return. In this example, the final underlying value is less than the
final barrier value.
What you would receive at maturity per security = A number of
underlying shares of the underlying equal to the equity ratio (or, in our sole discretion, cash in an amount equal to the equity
ratio × the final underlying value)
= 10 underlying shares of the underlying, with an aggregate cash
value (based on the final underlying value) of $300.00
In this scenario, the underlying has depreciated from the initial
underlying value to the final underlying value and the final underlying value is less than the final barrier value. As a result,
you would not be repaid the stated principal amount of your securities at maturity but, instead, would
Citigroup Global Markets Holdings Inc.
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|
receive a number of underlying shares of the underlying (or,
in our sole discretion, cash based on the value thereof) worth significantly less than your initial investment.
Example 5—Downside Scenario B. The final underlying
value is $0.00, resulting in a -100.00% underlying return. In this example, the final underlying value is less than the
final barrier value.
In this scenario, the underlying shares of the underlying are
worthless on the valuation date and, as a result, you would lose your entire investment in the securities at maturity.
Citigroup Global Markets Holdings Inc.
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Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-7 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 lose a significant portion or all of your investment. Unlike conventional debt securities, the securities do
not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying.
If the final underlying value is less than the final barrier value, you will not be repaid the stated principal amount of your
securities at maturity but, instead, will receive underlying shares of the underlying (or, in our sole discretion, cash based on
the value thereof) that will be worth significantly less than your initial investment in the securities and may be worth nothing.
There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
We may elect, in our sole discretion, to pay you cash
at maturity in lieu of delivering any underlying shares of the underlying. If we elect to pay you cash at maturity in lieu of delivering
any underlying shares of the underlying, the amount of that cash may be less than the market value of the underlying shares on
the maturity date because the market value will likely fluctuate between the valuation date and the maturity date. Conversely,
if we do not exercise our cash election right and instead deliver underlying shares of the underlying to you on the maturity date,
the market value of such underlying shares may be less than the cash amount you would have received if we had exercised our cash
election right. We will have no obligation to take your interests into account when deciding whether to exercise our cash election
right.
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§
|
Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited
to the maximum return at maturity, even if the underlying appreciates by significantly more than the maximum return at maturity.
If the underlying appreciates by more than the maximum return at maturity, the securities will underperform an alternative investment
providing 1-to-1 exposure to the performance of the underlying. When lost dividends are taken into account, the securities may
underperform an alternative investment providing 1-to-1 exposure to the performance of the underlying even if the underlying appreciates
by less than the maximum return at maturity.
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§
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The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
§
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You will not receive dividends or have any other rights with respect to the underlying unless and until you receive underlying
shares of the underlying at maturity. You will not receive any dividends with respect to the underlying as a holder of the
securities. This lost dividend yield may be significant over the term of the securities. The payment scenarios described in this
pricing supplement do not show any effect of such lost dividend yield over the term of the securities. In addition, you will not
have voting rights or any other rights with respect to the underlying. If any change to the underlying shares of the underlying
is proposed, such as an amendment to the underlying’s organizational documents, you will not have the right to vote on such
change, but you will be subject to such change in the event you receive underlying shares of the underlying at maturity. Any such
change may adversely affect the value of the underlying.
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§
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What you receive at maturity depends on the closing value of the underlying on a single day. Because your payment at
maturity depends on the closing value of the underlying solely on the valuation date, you are subject to the risk that the closing
value of the underlying on that day may be lower, and possibly significantly lower, than on one or more other dates during the
term of the securities. If you had invested directly in the underlying or in another instrument linked to the underlying that you
could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing values of
the underlying, you might have achieved better returns.
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|
§
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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Citigroup Global Markets Holdings Inc.
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§
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) any selling concessions or other fees
paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other
of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms
of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
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|
§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the closing value of the
underlying, the dividend yield on the underlying and interest rates. CGMI’s views on these inputs may differ from your or
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and
the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
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|
§
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that is
payable on the securities.
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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 securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
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§
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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§
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the closing value of the underlying, the volatility of the closing value of
the underlying, the dividend yield on the underlying, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk Factors
Relating to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity will
fluctuate based on many unpredictable factors” in the accompanying product supplement. Changes in the closing value of the
underlying may not result in a comparable change in the value of your securities. You should understand that the value of your
securities at any time prior to maturity may be significantly less than the issue price.
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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 Securities” in this pricing supplement.
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§
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Our offering of the securities is not a recommendation of the underlying. The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns.
In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
underlying or in instruments related to the underlying, and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying. These and other activities of our affiliates may affect the closing value of the underlying
in a way that negatively affects the value of and your return on the securities.
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§
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The closing value of the underlying may be adversely affected by our or our affiliates’ hedging and other trading
activities. We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions
in the underlying or in financial instruments related to the underlying and may adjust such positions during the term of the securities.
Our
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Citigroup Global Markets Holdings Inc.
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affiliates also take positions in
the underlying or in financial instruments related to the underlying 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 closing value of the underlying in a way that negatively affects the value of and your return on the securities.
They could also result in substantial returns for us or our affiliates while the value of the securities declines.
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§
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates engage in business activities with a wide range of companies. These activities include extending
loans, making and facilitating investments, underwriting securities offerings and providing advisory services. These activities
could involve or affect the underlying in a way that negatively affects the value of and your return on the securities. They could
also result in substantial returns for us or our affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates may acquire non-public information, which will not be disclosed to you.
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§
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur during the term of the securities, such as market disruption events and other events with respect to the
underlying, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return
on the securities. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse
to your interests as a holder of the securities. See “Risk Factors Relating to the Securities—Risk Factors Relating
to All Securities—The calculation agent, which is an affiliate of ours, will make important determinations with respect to
the securities” in the accompanying product supplement.
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§
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Even if the underlying pays a dividend that it identifies as special or extraordinary, no adjustment will be required under
the securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general,
an adjustment will not be made under the terms of the securities for any cash dividend paid by the underlying unless the amount
of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the
most recent quarter by an amount equal to at least 10% of the closing value of the underlying on the date of declaration of the
dividend. Any dividend will reduce the closing value of the underlying by the amount of the dividend per share. If the underlying
pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely
affected. See “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company
or an Underlying ETF—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying
product supplement.
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§
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The securities will not be adjusted for all events that may have a dilutive effect on or otherwise adversely affect the
closing value of the underlying. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends
that do not meet the criteria described above, partial tender offers or additional underlying share issuances. Moreover, the adjustments
we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely
affected by such an event in a circumstance in which a direct holder of the underlying shares would not.
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§
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The securities may become linked to an underlying other than the original underlying upon the occurrence of a reorganization
event or upon the delisting of the underlying shares. For example, if the underlying enters into a merger agreement that provides
for holders of the underlying shares to receive shares of another entity and such shares are marketable securities, the closing
value of the underlying following consummation of the merger will be based on the value of such other shares. Additionally, if
the underlying shares are delisted, the calculation agent may select a successor underlying. See “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF” in the accompanying product supplement.
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§
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If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than
the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Company or an Underlying ETF—Delisting
of an Underlying Company” in the accompanying product supplement. This amount may be less, and possibly significantly less,
than the stated principal amount of the securities.
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§
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The U.S. federal tax consequences of an investment in the securities
are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects
of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences
of the ownership and disposition of the securities might be materially and adversely affected. Moreover, future legislation, Treasury
regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
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If you are a non-U.S. investor, you
should review the discussion of withholding tax issues in “United States Federal Tax Considerations—Non-U.S. Holders”
below.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Information About Square, Inc.
Square, Inc. provides mobile payment solutions. The company develops
point-of-sale software that helps in digital receipts, inventory, and sales reports, as well as offers analytics and feedback.
Square, Inc. also provides financial and marketing services. The underlying shares of Square, Inc. are registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Square, Inc.
pursuant to the Exchange Act can be located by reference to the SEC file number 001-37622 through the SEC’s website at http://www.sec.gov.
In addition, information regarding Square, Inc. may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. The underlying shares of Square, Inc. trade on the New York Stock
Exchange under the ticker symbol “SQ.”
We have derived all information regarding Square, Inc. from publicly
available information and have not independently verified any information regarding Square, Inc. This pricing supplement relates
only to the securities and not to Square, Inc. We make no representation as to the performance of Square, Inc. over the term of
the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Square, Inc. is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Historical Information
The closing value of Square, Inc. on November 7, 2019 was $64.41.
The graph below shows the closing value of Square, Inc. for each
day such value was available from November 19, 2015 to November 7, 2019. We obtained the closing values from Bloomberg L.P., without
independent verification. If certain corporate transactions occurred during the historical period shown below, including, but not
limited to, spin-offs or mergers, then the closing values shown below for the period prior to the occurrence of any such transaction
have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in the period shown below.
You should not take historical closing values as an indication of future performance.
Square, Inc. – Historical Closing Values
November 19, 2015 to November 7, 2019
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Citigroup Global Markets Holdings Inc.
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement. This discussion does not address the U.S. federal
tax consequences of the ownership or disposition of the underlying shares that you may receive at maturity. You should consult
your tax adviser regarding the U.S. federal tax consequences of the ownership and disposition of the underlying shares.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
a security should be treated as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you
agree (in the absence of an administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty
regarding this treatment, and the IRS or a court might not agree with it. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss
equal to the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital
gain or loss if you held the security for more than one year.
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·
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If you receive the underlying shares (and cash in lieu of any fractional shares) at maturity, you should not recognize gain
or loss with respect to the underlying shares received. Instead, you should have an aggregate tax basis in the underlying shares
received (including any fractional shares deemed received) equal to your basis in the securities. Your holding period for any underlying
shares received should start on the day after receipt. With respect to any cash received in lieu of a fractional share, you should
recognize capital loss in an amount equal to the difference between the amount of cash received in lieu of the fractional share
and the portion of your tax basis in the securities that is allocable to the fractional share.
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We do not plan to request a ruling from the IRS regarding the
treatment of the securities. An alternative characterization of the securities could materially and adversely affect the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized. In addition, the U.S.
Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future
regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding possible alternative tax treatments of the securities and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions below and
in “United States Federal Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding
or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
As discussed under “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” 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 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 securities and representations provided by us as of the
date of this preliminary pricing supplement, our counsel is of the opinion that the securities 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
securities under Section 871(m) will be made as of the pricing date for the securities, and it is possible that the securities
will be subject to withholding tax under Section 871(m) based on the circumstances as of that date.
A determination that the securities 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 securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $10.00 for each
security 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 $10.00 for each security they sell.
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.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because certain terms of the securities
have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will
be on the pricing date.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale
Citigroup Global Markets Holdings Inc.
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or invitation for subscription or purchase of any securities
be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (a) to an institutional investor
pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person under Section 275(1) of the Securities and
Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures Act and in accordance with the conditions
specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant to, and in accordance with the conditions
of, any other applicable provision of the Securities and Futures Act. Where the securities are subscribed or purchased under Section
275 of the Securities and Futures Act by a relevant person which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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
the world.
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