The information in this preliminary
pricing supplement is not complete and may be changed. A registration statement relating to these notes 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 notes, nor are they soliciting an offer to buy these notes,
in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED NOVEMBER
11, 2019
|
Citigroup Global Markets Holdings Inc.
|
November
--, 2019
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2019-USNCH[ ]
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
|
Dual Directional Market-Linked Notes Linked to
the Dow Jones Industrial AverageTM Due December 2, 2022
Overview
|
▪
|
The notes 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 notes do not pay interest. Instead, the notes offer the
potential for a positive return at maturity based on the performance of the underlying index specified below over the term of the
notes.
|
|
▪
|
The notes offer the potential for positive participation in the absolute value of the performance of the underlying index from
its initial index level to its final index level, but only so long as a knock-out event does not occur. A knock-out event
will occur if the closing level of the underlying index on any valuation date is less than the downside knock-out level or greater
than the upside knock-out level specified below. If a knock-out event occurs, you will be repaid the stated principal amount of
your notes at maturity plus the knock-out return specified below. As the notes do not pay any interest and you will not
receive any dividends on the underlying index, 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.
|
|
▪
|
To obtain the modified exposure to the underlying index 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.
|
KEY TERMS
|
|
Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
|
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying index:
|
The Dow Jones Industrial AverageTM (ticker symbol: “INDU”)
|
Stated principal amount:
|
$1,000 per note
|
Pricing date:
|
November 29, 2019
|
Issue date:
|
December 4, 2019
|
Valuation dates:
|
December 30, 2019, January 29, 2019, March 2, 2020, March 30, 2020, April 29, 2020, May 29, 2020, June 29, 2020, July 29, 2020, August 31, 2020, September 29, 2020, October 29, 2020, November 30, 2020, December 29, 2020, January 29, 2021, March 1, 2021, March 29, 2021, April 29, 2021, June 1, 2021, June 29, 2021, July 29, 2021, August 20, 2021, September 29, 2021, October 29, 2021, November 29, 2021, December 29, 2021, January 31, 2022, February 28, 2022, March 29, 2022, April 29, 2022, May 31, 2022, June 29, 2022, August 29, 2022, September 29, 2022, October 31, 2022 and November 29, 2022 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur
|
Maturity date:
|
December 2, 2022
|
Payment at maturity:
|
For each note you hold at maturity, the $1,000 stated principal amount plus the note return amount, which will be either zero or positive
|
Note return amount:
|
▪
If a knock-out event occurs: $1,000 × the knock-out return
▪
If a knock-out event does not occur: $1,000 × the absolute value of the index return
|
Knock-out return:
|
2%
|
Knock-out event:
|
A knock-out event will occur if the closing level of the underlying index on any valuation date is less than the downside knock-out level or greater than the upside knock-out level
|
Upside knock-out level:
|
120.50% of the initial index level
|
Downside knock-out level:
|
79.50% of the initial index level
|
Initial index level:
|
, the closing level of the underlying index on the pricing date
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Final index level:
|
The closing level of the underlying index on the final valuation date
|
Index return:
|
(i) The final index level minus the initial index level, divided by (ii) the initial index level
|
Listing:
|
The notes will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17327TFC5 / US17327TFC53
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer
|
Per note:
|
$1,000
|
$22.50
|
$977.50
|
Total:
|
$
|
$
|
$
|
|
|
|
|
|
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the notes on the pricing date will be at least $935.50 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 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-4.
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.
Citigroup Global Markets Holdings Inc.
|
|
Additional
Information
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 and their consequences are described in the accompanying
product supplement in the sections “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” and not in this pricing supplement. The accompanying underlying supplement
contains important disclosures regarding the underlying index that are not repeated in this pricing supplement. It is important
that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this
pricing supplement before deciding whether to invest in the notes. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Hypothetical
Examples
The table below indicates what your payment at maturity and total
return on the notes would be for various hypothetical index returns of the underlying index, depending on whether a knock-out event
has occurred. Your actual payment at maturity per note and total return on the notes will depend on the actual index return and
whether a knock-out event actually occurs.
Hypothetical Index Return
|
Assuming a Knock-out Event Occurs
|
Assuming a Knock-out Event Does Not Occur
|
Hypothetical Payment at Maturity per Note
|
Hypothetical Total Return on Notes at Maturity
|
Hypothetical Payment at Maturity per Note
|
Hypothetical Total Return on Notes at Maturity
|
100.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
75.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
50.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
40.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
20.51%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
20.50%
|
$1,020.00
|
2.00%
|
$1,205.00
|
20.50%
|
20.00%
|
$1,020.00
|
2.00%
|
$1,200.00
|
20.00%
|
10.00%
|
$1,020.00
|
2.00%
|
$1,100.00
|
10.00%
|
5.00%
|
$1,020.00
|
2.00%
|
$1,050.00
|
5.00%
|
2.00%
|
$1,020.00
|
2.00%
|
$1,020.00
|
2.00%
|
1.00%
|
$1,020.00
|
2.00%
|
$1,010.00
|
1.00%
|
0.00%
|
$1,020.00
|
2.00%
|
$1,000.00
|
0.00%
|
-1.00%
|
$1,020.00
|
2.00%
|
$1,010.00
|
1.00%
|
-2.00%
|
$1,020.00
|
2.00%
|
$1,020.00
|
2.00%
|
-5.00%
|
$1,020.00
|
2.00%
|
$1,050.00
|
5.00%
|
-10.00%
|
$1,020.00
|
2.00%
|
$1,100.00
|
10.00%
|
-20.00%
|
$1,020.00
|
2.00%
|
$1,200.00
|
20.00%
|
-20.50%
|
$1,020.00
|
2.00%
|
$1,205.00
|
20.50%
|
-20.51%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
-40.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
-50.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
-75.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
-100.00%
|
$1,020.00
|
2.00%
|
N/A
|
N/A
|
Citigroup Global Markets Holdings Inc.
|
|
The examples below are intended to illustrate how your payment
at maturity will depend on whether a knock-out event occurs and, if a knock-out event does not occur, on the index return of the
underlying index. The examples are solely for illustrative purposes, do not show all possible outcomes and are not a prediction
of what your actual payment at maturity on the notes will be. The examples are based on a hypothetical initial index level of 100.00
and do not reflect the actual initial index level. For the actual initial index level, see the cover page of this pricing supplement.
We have used this hypothetical level, rather than the actual level, to simplify the calculations and aid understanding of how the
notes work. However, you should understand that your actual payment at maturity will be calculated based on the actual initial
index level, and not the hypothetical initial index level used in the examples below.
Example 1. A knock-out event does not occur, and the hypothetical
final index level is 103.00, resulting in an index return of 3.00%.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × the absolute value of the index return)
= $1,000 + ($1,000 × | 3.00% |)
= $1,000 + $30
= $1,030
Because a knock-out event did not occur in this example, you
would participate on a 1-to-1 basis in the appreciation of the underlying index from the initial index level to the final index
level.
Example 2. A knock-out event does not occur, and the hypothetical
final index level is 97.00, resulting in an index return of -3.00%.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × the absolute value of the index return)
= $1,000 + ($1,000 × | -3.00% |)
= $1,000 + $30
= $1,030
Because a knock-out event did not occur in this example, you
would participate on a 1-to-1 basis in the absolute value of the depreciation of the underlying index from the initial index level
to the final index level.
Example 3. A knock-out event occurs, and the hypothetical
final index level is 150.00, resulting in an index return of 50.00%.
Payment at maturity per note = $1,000 + the note return amount
= $1,000 + ($1,000 × the knock-out return)
= $1,000 + ($1,000 × 2.00%)
= $1,000 + $20
= $1,020
Because a knock-out event occurred in this example, you would
be repaid the stated principal amount of your notes at maturity plus the knock-out return. In this example, you would not
participate in the significant appreciation of the underlying index over the term of the notes.
Citigroup Global Markets Holdings Inc.
|
|
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 underlying index. 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.
|
▪
|
You may not receive any positive return on your investment in the notes. The notes do not pay interest. If a knock-out
event does not occur and the index return is 0%, you will not receive any positive return on your investment. Even if you do receive
a positive return at maturity, there is no assurance that your total return on the notes will be as great as could have been achieved
on a conventional debt security of ours of comparable maturity. The notes are not appropriate for investors who require interest
payments or the certainty of a positive return on their investment.
|
|
▪
|
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 a knock-out event occurs or if the underlying index does not appreciate or depreciate
sufficiently from the initial index level to the final index level. 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 at a market rate. You should
carefully consider whether an investment that may not provide for any return on your investment, or may provide a return that is
lower than the return on alternative investments, is appropriate for you.
|
|
▪
|
Your potential to participate in the absolute value of the performance of the underlying index may terminate on any valuation
date. A knock-out event will occur if the closing level of the underlying index on any valuation date is less than the downside
knock-out level or greater than the upside knock-out level. The knock-out feature of the notes effectively limits the potential
return on the notes.
|
|
▪
|
The probability that a knock-out event will occur will depend in part on the volatility of the underlying index. “Volatility”
refers to the frequency and magnitude of changes in the level of the underlying index. In general, the greater the volatility of
the underlying index, the greater the probability that the underlying index will experience a large increase or decrease over the
term of the notes and a knock-out event will occur on any valuation date. The underlying index has historically experienced significant
volatility. As a result, there is a significant risk that a knock-out event will occur on any valuation date. The terms of the
notes are set, in part, based on expectations about the volatility of the underlying index as of the pricing date. If expectations
about the volatility of the underlying index change over the term of the notes, the value of the notes may be adversely affected,
and if the actual volatility of the underlying index proves to be greater than initially expected, the notes may prove to be riskier
than initially expected.
|
|
▪
|
Your potential return on the notes is limited and may significantly underperform the underlying index. The notes offer
the potential for (i) a positive return at maturity based on the absolute value of the performance of the underlying index if a
knock-out event does not occur and (ii) a positive fixed return at maturity if a knock-out event does occur. A knock-out
event will occur if the closing level of the underlying index on any valuation date is less than the downside knock-out level or
greater than the upside knock-out level. If the closing level of the underlying index on any valuation date is greater than the
upside knock-out level, you will not participate in any appreciation of the underlying index. As a result, your potential return
on the notes may be significantly less than the return you could have achieved by investing directly in the underlying index.
|
|
▪
|
Investing in the notes is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. The payment scenarios described in this pricing supplement do not show any
effect of lost dividend yield over the term of the notes. If the underlying index appreciates, or if it depreciates by up to the
dividend yield, this lost dividend yield will cause the notes to underperform an alternative investment providing for a pass-through
of all dividends and 1-to-1 exposure to the performance of the underlying index.
|
|
▪
|
If a knock-out event does not occur, your payment at maturity will depend on the closing level of the underlying index on
a single day. Because your payment at maturity will depend on the closing level of the underlying index solely on the final
valuation date if a knock-out event does not occur, you are subject to the risk that the closing level of the underlying index
on that day may result in a lower, and possibly significantly lower, payment at maturity than the closing level on one or more
other dates
|
Citigroup Global Markets Holdings Inc.
|
|
during the term of the notes. If
the payment at maturity were based on an average of closing levels of the underlying index, you might have achieved better returns.
|
▪
|
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.
|
|
▪
|
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.
|
|
▪
|
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.
|
|
▪
|
The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) the selling concessions 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.
|
|
▪
|
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 underlying index, dividend
yields on the stocks that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from
your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the 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.
|
|
▪
|
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.
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.
|
|
▪
|
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
|
Citigroup Global Markets Holdings Inc.
|
|
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.
|
▪
|
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 level and volatility of the underlying index and a number of other factors, including
the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the level of the underlying index may not result in a comparable change in
the value of your notes. You should understand that the value of your notes at any time prior to maturity may be significantly
less than the issue price.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Notes” in this pricing supplement.
|
|
▪
|
Our offering of the notes does not constitute a recommendation of the underlying index. The fact that we are offering
the notes does not mean that we believe that investing in an instrument linked to the underlying index is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions)
in the stocks that constitute the underlying index or in instruments related to the underlying index or such stocks, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other
activities of our affiliates may affect the level of the underlying index in a way that has a negative impact on your interests
as a holder of the notes.
|
|
▪
|
The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the notes through CGMI or other of our affiliates, who may take positions directly in
the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the notes. Our affiliates also trade the stocks that constitute the underlying
index and other financial instruments related to the underlying index or such stocks on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These
activities could affect the level of the underlying index in a way that negatively affects the value of the notes. They could also
result in substantial returns for us or our affiliates while the value of the notes declines.
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute
the underlying index, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes.
If certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
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▪
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Adjustments to the underlying index may affect the value of your notes. The publisher of the underlying index may add,
delete or substitute the stocks that constitute the underlying index or make other methodological changes that could affect the
level of the underlying index. The publisher of the underlying index may discontinue or suspend calculation or publication of the
underlying index at any time without regard to your interests as holders of the notes.
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Citigroup Global Markets Holdings Inc.
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Information
About the Dow Jones Industrial AverageTM
The Dow Jones Industrial AverageTM is a price-weighted
index rather than a market capitalization-weighted index. The Dow Jones Industrial AverageTM consists of 30 common stocks
chosen as representative of the broad market of U.S. industry. It is calculated and maintained by S&P Dow Jones Indices LLC.
Please refer to the section “Equity Index Descriptions—The
Dow Jones Industrial AverageTM” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Dow Jones Industrial
AverageTM from publicly available information and have not independently verified any information regarding the Dow
Jones Industrial AverageTM. This pricing supplement relates only to the securities and not to the Dow Jones Industrial
AverageTM. We make no representation as to the performance of the Dow Jones Industrial AverageTM over the
term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Dow Jones Industrial AverageTM 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 level of the Dow Jones Industrial AverageTM
on November 7, 2019 was 27,674.80.
The graph below shows the closing level of the Dow Jones Industrial
AverageTM for each day such level was available from January 2, 2009 to November 7, 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.
Dow Jones Industrial AverageTM – Historical Closing Levels
January 2, 2009 to November 7, 2019
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Citigroup Global Markets Holdings Inc.
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United States Federal Income
Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP,
based on current market conditions, the notes should 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.
Citigroup Global Markets Holdings Inc.
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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 $22.50 for each note
sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession
of $22.50 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
be used to hedge our obligations under the notes. We expect to hedge our obligations under the notes through CGMI or other of our
affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value of the notes
declines. This hedging activity could affect the level of the underlying index and, therefore, the value of and your return on
the notes. For additional information on the ways in which our counterparties may hedge our obligations under the notes, see “Use
of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (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 notes 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 notes is a function of the terms of
the notes 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 notes will be on the pricing date 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 notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes 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 notes. 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 notes from investors at any time. See
“Summary Risk Factors—The notes will not be listed on any securities exchange and you may not be able to sell them
prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The notes 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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Citigroup Global Markets Holdings Inc.
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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 notes 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 notes are not insured by any governmental
agency. These notes are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the notes will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the notes may not be offered or sold or made the subject of an invitation
for subscription or purchase nor may this pricing supplement or any other document or material in connection with the offer or
sale or invitation for subscription or purchase of any notes 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 notes 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 notes referred to herein may not be registered with any regulator,
regulatory body or similar organization or institution in any jurisdiction.
The notes 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 notes are not insured by any governmental
agency. These notes are not bank deposits. These notes 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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