The information in this
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 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 AUGUST 18, 2016
|
Citigroup Global Markets Holdings Inc.
|
August
-----
,
2016
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2016-USNCH0147
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-192302 and 333-192302-06
|
Autocallable Contingent
Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton
Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
▪
|
The securities offered by this pricing supplement are unsecured
senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities offer
the potential for contingent monthly coupon payments at an annualized rate that, if all are paid, would produce a yield that is
generally higher than the yield on our conventional debt securities of the same maturity. In exchange for this higher potential
yield, you must be willing to accept the risks that (i) your actual yield may be lower than the yield on our conventional debt
securities of the same maturity because you may not receive one or more, or any, contingent coupon payments; (ii) your actual
yield may be negative because you may receive significantly less than the stated principal amount of your securities, and possibly
nothing, at maturity; and (iii) the securities may be automatically redeemed prior to maturity. Each of these risks will depend
on the performance of the
worst performing
of the shares of common stock of Netflix, Inc., the shares of common stock of
Halliburton Company and the shares of common stock of salesforce.com, inc. (each, the “underlying shares”), as described
below. You will be subject to risks associated with each of the underlying shares and will be negatively affected by adverse movements
in any of the underlying shares regardless of the performance of any other underlying shares. Although you will be exposed to
downside risk with respect to the worst performing underlying shares, you will not participate in any appreciation of the underlying
shares or receive any dividends paid on the underlying shares.
|
|
▪
|
Investors in the securities must be willing to accept (i)
an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities if
we and Citigroup Inc. default on our obligations.
All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying shares:
|
Underlying shares
|
Initial share price*
|
Coupon barrier price**
|
Final barrier price***
|
|
Shares of Common Stock of Netflix, Inc.
|
$
|
$
|
$
|
|
Shares of Common Stock of Halliburton Company
|
$
|
$
|
$
|
|
Shares of Common Stock of salesforce.com, inc.
|
$
|
$
|
$
|
|
* The closing price of the applicable underlying shares
on the pricing date
** For each of the underlying shares, 50% of the applicable
initial share price
*** For each of the underlying shares, 50% of the applicable
initial share price
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
August , 2016 (expected to be August 25, 2016)
|
Issue date:
|
August , 2016 (three business days after the pricing date)
|
Valuation dates:
|
The day of each month (expected to be the 25th day of each month), beginning in September 2016 and ending on August , 2018 (the “final valuation date,” which is expected to be August 27, 2018), each subject to postponement if such date is not a scheduled trading day for any of the underlying shares or if certain market disruption events occur with respect to any of the underlying shares
|
Maturity date:
|
Unless earlier redeemed, August , 2018 (expected to be August 30, 2018)
|
Contingent coupon payment dates:
|
For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
|
Contingent coupon:
|
On each monthly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 0.875% to 1.04167% (approximately 10.50% to 12.50% per annum) (to be determined on the pricing date) of the stated principal amount of the securities
if and only if
the closing price of the worst performing underlying shares on the related valuation date is greater than or equal to the applicable coupon barrier price.
If the closing price of the worst performing underlying shares on any monthly valuation date is less than the applicable coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
|
Payment at maturity:
|
If the securities are not automatically redeemed prior to maturity,
you will be entitled to receive at maturity for each security you then hold:
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
greater than or equal to
the applicable final barrier price: $1,000
plus
the contingent coupon payment due at maturity
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
less than
the applicable
final barrier price:
$1,000 × the share performance
factor of the worst performing underlying shares on the final valuation date
If the final share price of the worst performing underlying
shares on the final valuation date is less than the applicable final barrier price, you will receive less than 50% of the stated
principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment
at maturity.
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$33.50
|
$966.50
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $920.00 per security, which
will be less than the issue price. The estimated value of the securities is based on Citigroup Global Markets Inc.’s (“CGMI”)
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 (the “SEC”) nor any state securities commission has approved or disapproved
of the securities or determined that this pricing supplement and the accompanying product supplement, prospectus supplement and
prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
You should read this pricing
supplement together with the accompanying product supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below:
Product
Supplement No. EA-04-03 dated March 8, 2016
Prospectus
and Prospectus Supplement each dated March 7, 2016
The securities
are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
Citigroup
Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
If, on any potential redemption date, the closing price of the worst
performing underlying shares is greater than or equal to the applicable initial share price, each security you then hold will
be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment
|
Potential redemption dates:
|
The valuation dates occurring in February, May, August and November of each year, beginning
in November 2016 and ending in May 2018
|
Final share price:
|
For each of the underlying shares, the applicable closing price on the final valuation date
|
Share performance factor:
|
For each of the underlying shares on any valuation date, the applicable closing price on
that valuation date
divided by
the applicable initial share price
|
Worst performing underlying shares:
|
For any valuation date, the underlying shares with the lowest share performance factor on
that valuation date
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CAA4 / US17324CAA45
|
Underwriter:
|
CGMI, an affiliate of the issuer, acting as principal
|
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, certain events may occur that could affect whether you receive a contingent coupon payment on a contingent coupon
payment date as well as your payment at maturity or, in the case of a delisting of the underlying shares, could give us the right
to call the securities prior to maturity for an amount that may be less than the stated principal amount. These events, including
market disruption events and other events affecting the underlying shares, and their consequences are described in the accompanying
product supplement in the sections “Description of the Securities—Certain Additional Terms for Securities Linked to
Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution
and Reorganization Adjustments” and “—Delisting of Company Shares,” and not in this pricing supplement.
It is important that you read the accompanying product supplement, prospectus supplement and prospectus together with this pricing
supplement before deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are
defined in the accompanying product supplement.
Postponement of a valuation date.
If a scheduled valuation
date is not a scheduled trading day for any of the underlying shares or if a market disruption event occurs with respect to any
of the underlying shares on a scheduled valuation date, that valuation date will be subject to postponement as described in the
accompanying product supplement in the section “Description of the Securities—Certain Additional Terms for Securities
Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date.”
If a scheduled valuation date is postponed, the closing price of each of the underlying shares in respect of that valuation date
will be determined based on (i) for any underlying shares for which the originally scheduled valuation date is a scheduled trading
day and as to which a market disruption event does not occur on the originally scheduled valuation date, the closing price of such
underlying shares on the originally scheduled valuation date and (ii) for any other underlying shares, the closing price of such
underlying shares on the valuation date as postponed (or, if earlier, the first scheduled trading day for such underlying shares
following the originally scheduled valuation date on which a market disruption event did not occur with respect to such underlying
shares).
Dilution and Reorganization Adjustments.
With respect
to the underlying shares, the initial share price, the coupon barrier price and the final barrier price are each a “Relevant
Price” for purposes of the section “Description of the Securities—Certain Additional Terms for Securities Linked
to Company Shares or ETF Shares—Dilution and Reorganization Adjustments” in the accompanying product supplement. Accordingly,
the initial share price, the coupon barrier price, the final barrier price and the equity ratio applicable to each of the underlying
shares are each subject to adjustment upon the occurrence of any of the events described in that section.
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a monthly valuation date and how to calculate the payment at maturity on the securities, assuming
the securities are not automatically redeemed prior to maturity. You should understand that the term of the securities, and your
opportunity to receive the contingent coupon payments on the securities, may be limited to as short as three months if the securities
are automatically redeemed prior to the maturity date. Unless earlier redeemed, during the term of the securities, there are twenty-four
valuation dates. For ease of analysis, figures in the table below may have been rounded.
The examples below are based on the following hypothetical values
and assumptions in order to illustrate how the securities work and do not reflect the actual initial share prices of any of the
underlying shares or their applicable coupon barrier prices and final barrier prices, each of which will be determined on the pricing
date:
Underlying
shares
|
Hypothetical
initial share price
|
Hypothetical
coupon barrier price
|
Hypothetical
final barrier price
|
Shares
of common stock of Netflix, Inc.
|
$95.00
|
$47.50
(50% of the applicable hypothetical initial share price)
|
$47.50
(50% of the applicable hypothetical initial share price)
|
Shares
of common stock of Halliburton Company
|
$45.00
|
$22.50
(50% of the applicable hypothetical initial share price)
|
$22.50
(50% of the applicable hypothetical initial share price)
|
Shares
of common stock of salesforce.com, inc.
|
$78.00
|
$39.00
(50% of the applicable hypothetical initial share price)
|
$39.00
(50% of the applicable hypothetical initial share price)
|
Contingent
coupon rate:
|
10.50%
per annum, paid monthly
|
Hypothetical Examples of Monthly Contingent
Coupon Payments and any Payment upon Automatic Early Redemption with Respect to a Monthly Valuation Date that is also a Potential
Redemption Date
Set forth below are three hypothetical examples of the calculation of the contingent coupon payment with respect to a hypothetical
monthly valuation date that is also a potential redemption date.
|
Hypothetical
closing price of the shares of common stock of Netflix, Inc.
|
Hypothetical
closing price of the shares of common stock of Halliburton Company
|
Hypothetical
closing price of the shares of common stock of salesforce.com, inc.
|
Hypothetical
contingent coupon payment per security and any payment upon an automatic early redemption
|
Example
1
|
$114.00
(Share
performance factor =
$114.00 / $95.00 = 1.20)
|
$38.25
(Share
performance factor =
$38.25 / $45.00 = 0.85)
|
$42.90
(Share
performance factor =
$42.90 / $78.00 = 0.55)
|
$8.75
|
Example
2
|
$42.75
(Share
performance factor =
$42.75 / $95.00 = 0.45)
|
$54.00
(Share
performance factor =
$54.00 / $45.00 = 1.20)
|
$85.80
(Share
performance factor =
$85.80 / $78.00 = 1.10)
|
$0.00
|
Example
3
|
$104.50
(Share
performance factor =
$104.50 / $95.00 = 1.10)
|
$47.25
(Share
performance factor =
$47.25 / $45.00 = 1.05)
|
$93.60
(Share
performance factor =
$93.60 / $78.00 = 1.20)
|
$1,008.75
($1,000 stated principal amount per security
plus
the related contingent coupon payment)
|
Example 1:
On the
hypothetical valuation date, the shares of common stock of salesforce.com, inc. have the lowest share performance factor and, therefore,
are the worst performing underlying shares. In this scenario, the closing price of the worst performing underlying shares is
greater
than
the applicable coupon barrier price but
less than
the applicable initial share price. As a result, investors in
the securities would receive the contingent coupon payment of $8.75 per security on the related contingent coupon payment date
and the securities would not be automatically called.
Example 2:
On the
hypothetical valuation date, the shares of common stock of Netflix, Inc. have the lowest share performance factor and, therefore,
are the worst performing underlying shares. In this scenario, the closing price of the worst performing underlying shares is
less
than
the applicable coupon barrier price and
less than
the applicable initial share price. As a result, investors would
not receive any payment on the related contingent coupon payment date, even though the other underlying shares have appreciated
from the applicable initial share price, and the securities would not be automatically called.
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if, on that valuation date, the closing price of
the worst performing underlying shares is less than the applicable coupon barrier price.
Example 3:
On the
hypothetical valuation date, the hypothetical closing prices of all of the underlying shares are
greater than
the applicable
coupon barrier prices and the applicable initial share prices. In this scenario, the closing price of the worst performing
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
underlying shares is
greater
than
the applicable initial share price and the securities would be automatically redeemed on the related contingent coupon
payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment, or $1,008.75. If the monthly
valuation date were not also a potential redemption date, the securities would not be automatically redeemed on the related contingent
coupon payment date.
Hypothetical Examples of the Payment at
Maturity on the Securities
The following examples illustrate the hypothetical payment at maturity on the securities as determined based on the applicable
final share prices of the underlying shares on the final valuation date, assuming the securities have not been earlier automatically
redeemed.
|
Hypothetical
final share price of the shares of common stock of Netflix, Inc.
|
Hypothetical
final share price of the shares of common stock of Halliburton Company
|
Hypothetical
final share price of the shares of common stock of salesforce.com, inc.
|
Hypothetical
payment at maturity per security
|
Example
4
|
$95.95
(Share
performance factor =
$95.95 / $95.00 = 1.01)
|
$49.50
(Share
performance factor =
$49.50 / $45.00 = 1.10)
|
$81.90
(Share
performance factor =
$81.90 / $78.00 = 1.05)
|
$1,008.75
|
Example
5
|
$85.50
(Share
performance factor =
$85.50 / $95.00 = 0.90)
|
$13.50
(Share
performance factor =
$13.50 / $45.00 = 0.30)
|
$62.40
(Share
performance factor =
$62.40 / $78.00 = 0.80)
|
$300.00
|
Example
6
|
$66.50
(Share
performance factor =
$66.50 / $95.00 = 0.70)
|
$27.00
(Share
performance factor =
$27.00 / $45.00 = 0.60)
|
$0.00
(Share
performance factor =
$0.00 / $78.00 = 0.00)
|
$0.00
|
Example 4:
In this
example, the shares of common stock of Netflix, Inc. are the worst performing underlying shares. In this scenario, the final share
price of the worst performing underlying shares is greater than the applicable final barrier price. Accordingly, at maturity, you
would receive the stated principal amount of the securities
plus
the contingent coupon payment of $8.75 per security, but
you would not participate in the appreciation of any of the underlying shares.
Example 5:
In this
example, the shares of common stock of Halliburton Company are the worst performing underlying shares. In this scenario, the final
share price of the worst performing underlying shares is less than the applicable final barrier price. Accordingly, at maturity,
you would receive a payment per security calculated as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of Halliburton Company on the final valuation date
= $1,000 × 0.30
= $300
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based
on the performance of the worst performing underlying shares, even though the final share prices of the other underlying shares
are greater than the applicable final barrier prices.
In addition, because the final share price of the worst performing underlying
shares is below the applicable coupon barrier price, you will not receive any monthly contingent coupon payment.
Example 6:
In this
example, the shares of common stock of salesforce.com, inc. are the worst performing underlying shares and their final share price
is less than the applicable final barrier price. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of salesforce.com, inc. on the final valuation date
= $1,000 × 0.00
= $0
In this scenario, because
the closing price of the worst performing underlying shares on the final valuation date is $0, you would lose your entire investment
in the securities. In addition, because the final share price of the worst performing underlying shares is below the applicable
coupon barrier price, you will not receive any monthly contingent coupon payment.
If the closing price of
the worst performing underlying shares were less than the applicable coupon barrier price on each valuation date and less than
the final barrier price on the final valuation date, you would not have received any monthly contingent coupon payments and, in
addition, you would incur a significant loss on your securities at maturity.
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
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 each of the underlying shares. Accordingly, the
securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should
consult your own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed
prior to maturity, your payment at maturity will depend on the performance of the worst performing underlying shares on the final
valuation date. If the closing price of the worst performing underlying shares on the final valuation date is less than the applicable
final barrier price, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing
underlying shares have declined from their initial share price, regardless of the performance of the other underlying shares. There
is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
|
▪
|
You will not receive any contingent coupon payment for any month in which the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on the related valuation date.
A contingent coupon payment will be
made on a contingent coupon payment date if and only if the closing price of the worst performing underlying shares on the related
valuation date is greater than or equal to the applicable coupon barrier price. If the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on any monthly valuation date, you will not receive any contingent coupon
payment on the related contingent coupon payment date. If the closing price of the worst performing underlying shares is below
the applicable coupon barrier price on each valuation date, you will not receive any contingent coupon payments over the term of
the securities.
|
|
▪
|
The securities are subject to the risks of all of the underlying shares and will be negatively affected if any of the underlying
shares perform poorly, even if the other underlying shares perform well.
You are subject to risks associated with all of the
underlying shares. If any of the underlying shares perform poorly, you will be negatively affected, even if the other underlying
shares perform well. The securities are not linked to a basket composed of the underlying shares, where the better performance
of one or two could ameliorate the poor performance of the other. Instead, you are subject to the full risks of whichever of the
underlying shares are the worst performing underlying shares.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying shares.
The return on the securities
depends solely on the performance of the worst performing underlying shares, and you will not benefit in any way from the performance
of the better performing underlying shares. The securities may underperform a similar investment in all of the underlying shares
or a similar alternative investment linked to a basket composed of the underlying shares, since in either such case the performance
of the better performing underlying shares would be blended with the performance of the worst performing underlying shares, resulting
in a better return than the return of the worst performing underlying shares.
|
|
▪
|
You will be subject to risks relating to the relationship among the underlying shares.
It is preferable from your perspective
for the underlying shares to be correlated with each other, in the sense that they tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlying shares will not exhibit this
relationship. The less correlated the underlying shares, the more likely it is that any one of the underlying shares will perform
poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlying
shares to perform poorly; the performance of the underlying shares that are not the worst performing underlying shares is not relevant
to your return on the securities at maturity or upon an earlier automatic redemption. It is impossible to predict what the relationship
among the underlying shares will be over the term of the securities.
|
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that what you receive at maturity may be worth significantly less than the stated principal amount
of your securities at maturity. The volatility of and the correlation among the underlying shares are important factors affecting
these risks. Greater expected volatility of and lower expected correlation among the underlying shares as of the pricing date may
result in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that the
closing price of the worst performing underlying shares will be less than the applicable coupon barrier price on one or more valuation
dates, such that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that
the
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
closing
price of the worst performing underlying shares will be less than the applicable final barrier price on the final valuation date,
such that you will not be repaid the stated principal amount of your securities at maturity.
|
▪
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying shares.
The
potential contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst
performing underlying shares, as well as all the other risks of the securities. That compensation is effectively “at risk”
and may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower
than you anticipate because the coupon is “contingent” and you may not receive a contingent coupon payment on one or
more, or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the compensation you receive not
only for the downside risk of the worst performing underlying shares, but also for all of the other risks of the securities, including
the risk that the securities may be automatically redeemed prior to maturity, interest rate risk and our and Citigroup Inc.’s
credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments
may turn out to be inadequate to compensate you for all the risks of the securities, including the downside risk of the worst performing
underlying shares.
|
|
▪
|
The securities may be automatically called prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any potential redemption date, beginning in November 2016 and ending in May 2018, the securities will be automatically called
if the closing price of the worst performing underlying shares on that potential redemption date is greater than or equal to the
applicable initial share price. Thus, the term of the securities may be limited to as short as three months. If the securities
are called prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to
reinvest your funds in another investment that provides a similar yield with a similar level of risk.
|
|
▪
|
The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares.
You
will not participate in any appreciation in the price of the underlying shares over the term of the securities. Consequently, your
return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than
the return on the underlying shares over the term of the securities. In addition, you will not receive any dividends or other distributions
or any other rights with respect to the underlying shares.
|
|
▪
|
The performance of the securities will depend on the closing prices of the underlying shares solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying shares.
Whether the contingent
coupon will be paid for any given month and whether the securities will be automatically redeemed prior to maturity will depend
on the closing prices of the underlying shares solely on the applicable valuation dates, regardless of the closing prices of the
underlying shares on other days during the term of the securities. If the securities are not automatically redeemed, what you receive
at maturity will depend solely on the closing price of the worst performing underlying shares on the final valuation date, and
not on any other day during the term of the securities. Because the performance of the securities depends on the closing prices
of the underlying shares on a limited number of dates, the securities will be particularly sensitive to volatility in the closing
prices of the underlying shares. You should understand that each of the underlying shares has historically been highly volatile.
|
|
▪
|
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 any amounts
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.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price
. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below.
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation among the
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
underlying
shares, the dividend yields on the underlying shares and interest rates. CGMI’s views on these inputs may differ from your
or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as the coupon
that is payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
▪
|
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 price and volatility of the underlying shares and a number of other factors,
including the correlation among the underlying shares, dividend yields on the underlying shares, 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 prices of the underlying shares may not result in a comparable change in the value of your securities. You should understand
that the value of your securities at any time prior to maturity may be significantly less than the issue price.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
|
|
▪
|
Our offering of the securities is not a recommendation of any of the underlying shares.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to any of the underlying shares 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 shares or in instruments related to the underlying shares and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other of our affiliates’
activities may affect the prices of the underlying shares in a way that has a negative impact on your interests as a holder of
the securities.
|
|
▪
|
The prices of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading
activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions
directly in the underlying shares and other financial instruments related to the underlying shares and may adjust such positions
during the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the
underlying shares 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 prices of the underlying shares
in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates
while the value of the securities declines.
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with any underlying share issuer, including
extending loans to, making equity investments in or providing advisory services to those issuers. In the course of this business,
we
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
or
our affiliates may acquire non-public information about the underlying share 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 that issuer that
are available to them without regard to your interests.
|
▪
|
You will have no rights and will not receive dividends with respect to the underlying shares.
As
of August 16, 2016, Netflix, Inc. and salesforce.com, inc. do not pay regular dividends. However, that may change, and if Netflix,
Inc. and salesforce.com, inc. start to pay dividends during the term of the securities, you should understand that you will not
receive such dividend payments under the securities. In addition, i
f any change to the underlying shares is proposed, such
as an amendment to any underlying share issuer’s certificate of incorporation, you will not have the right to vote on such
change. Any such change may adversely affect the market price of the applicable underlying shares.
|
|
▪
|
Even if any underlying share issuer 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 on any of the underlying
shares unless the amount of the dividend per share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the applicable
shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the applicable underlying shares
by the amount of the dividend per share. If the applicable underlying share issuer pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities may be adversely affected. See “Description of the
Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of any of the underlying shares.
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 public offerings of the underlying shares. 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 any of the underlying shares would not.
|
|
▪
|
If any of 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 Company Shares or ETF Shares—Delisting of Company
Shares” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated
principal amount of the securities.
|
|
▪
|
The securities may become linked to shares of an issuer other than any original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of any of the underlying shares.
For example, if any underlying share issuer
enters into a merger agreement that provides for holders of the applicable underlying shares to receive stock of another entity,
the stock of such other entity will become the applicable underlying shares for all purposes of the securities upon consummation
of the merger. Additionally, if the applicable underlying shares are delisted and we do not exercise our call right, the calculation
agent may, in its sole discretion, select shares of another issuer to be the applicable underlying shares. See “Description
of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization
Adjustments” and “—Delisting of Company Shares” in the accompanying product supplement.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, corporate events with respect to any of the underlying share issuers
that may require a dilution adjustment or the delisting of the applicable underlying shares, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect what you receive at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
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 described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the
securities might be materially and adversely affected. As described in the accompanying product supplement under “United
States Federal Tax Considerations,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the
notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive
effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors
Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations”
in this pricing supplement.
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
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.
As described in “United States
Federal Tax Considerations” below, in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment on a security to a non-U.S. investor as subject to withholding tax at a rate of 30%. If withholding applies to the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld.
Information
About Netflix, Inc.
Netflix, Inc. is an Internet subscription service for watching
TV shows and movies. The common stock of Netflix, Inc. is registered under the Securities Exchange Act of 1934, as amended (the
“Exchange Act”). Information provided to or filed with the SEC by Netflix, Inc. pursuant to the Exchange Act can be
located by reference to the SEC file number 001-35727 through the SEC’s website at http://www.sec.gov. In addition, information
regarding Netflix, Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The common stock of Netflix, Inc. trades on the NASDAQ Global Select Market under the ticker
symbol “NFLX.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Netflix, Inc. or other securities of Netflix, Inc. We have derived all disclosures
contained in this pricing supplement regarding Netflix, Inc. from the publicly available documents described above. In connection
with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in
the preparation of such documents or made any due diligence inquiry with respect to Netflix, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Netflix, Inc. is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the common stock of Netflix, Inc.
Historical Information
The graph below shows the closing prices of the common stock
of Netflix, Inc. for each day such price was available from January 3, 2011 to August 16, 2016. The table that follows shows the
high and low closing prices of, and dividends paid on, the common stock of Netflix, Inc. for each quarter in that same period.
We obtained the closing prices and other information below 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
prices of the shares of common stock of Netflix, Inc. 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 the historical prices of the common stock of Netflix, Inc. as an indication of future performance.
Common Stock of Netflix,
Inc. – Historical Closing Prices
January 3, 2011 to August
16, 2016
|
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
* The red line indicates the
hypothetical coupon barrier price and hypothetical final barrier price with respect to Netflix, Inc. of $47.56, assuming the closing
price on August 16, 2016 were the applicable initial share price.
Common Stock of Netflix, Inc.
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First Quarter
|
$35.36
|
$25.41
|
$0.00000
|
Second Quarter
|
$39.10
|
$32.59
|
$0.00000
|
Third Quarter
|
$42.68
|
$16.17
|
$0.00000
|
Fourth Quarter
|
$17.61
|
$9.12
|
$0.00000
|
2012
|
|
|
|
First Quarter
|
$18.46
|
$10.32
|
$0.00000
|
Second Quarter
|
$16.28
|
$8.95
|
$0.00000
|
Third Quarter
|
$12.14
|
$7.68
|
$0.00000
|
Fourth Quarter
|
$13.67
|
$8.01
|
$0.00000
|
2013
|
|
|
|
First Quarter
|
$28.06
|
$13.14
|
$0.00000
|
Second Quarter
|
$34.77
|
$23.29
|
$0.00000
|
Third Quarter
|
$44.86
|
$31.56
|
$0.00000
|
Fourth Quarter
|
$54.37
|
$41.20
|
$0.00000
|
2014
|
|
|
|
First Quarter
|
$65.00
|
$46.96
|
$0.00000
|
Second Quarter
|
$64.10
|
$44.89
|
$0.00000
|
Third Quarter
|
$69.20
|
$60.27
|
$0.00000
|
Fourth Quarter
|
$66.69
|
$45.21
|
$0.00000
|
2015
|
|
|
|
First Quarter
|
$69.00
|
$45.55
|
$0.00000
|
Second Quarter
|
$97.31
|
$59.02
|
$0.00000
|
Third Quarter
|
$126.45
|
$93.51
|
$0.00000
|
Fourth Quarter
|
$130.93
|
$97.32
|
$0.00000
|
2016
|
|
|
|
First Quarter
|
$117.68
|
$82.79
|
$0.00000
|
Second Quarter
|
$111.51
|
$85.33
|
$0.00000
|
Third Quarter (through August 16, 2016)
|
$98.81
|
$85.84
|
$0.00000
|
The closing price of the common
stock of Netflix, Inc. on August 16, 2016 was $95.12.
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of Netflix, Inc. in the future. In any event, as an investor in the securities, you will not
be entitled to receive dividends, if any, that may be payable on the common stock of Netflix, Inc..
Information
About Halliburton Company
Halliburton Company provides products and services to the energy
industry related to the exploration, development and production of oil and natural gas. The common stock of Halliburton Company
is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or
filed with the SEC by Halliburton Company pursuant to the Exchange Act can be located by reference to the SEC file number 001-03492
through the SEC’s website at http://www.sec.gov. In addition, information regarding Halliburton Company may be obtained from
other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The
common stock of Halliburton Company trades on The New York Stock Exchange under the ticker symbol “HAL.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Halliburton Company or other securities of Halliburton Company. We have derived
all disclosures contained in this pricing supplement regarding Halliburton Company from the publicly available documents described
above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI
has participated in the preparation of such documents or made any due diligence inquiry with respect to Halliburton Company.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Halliburton Company is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the common stock of Halliburton Company.
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
Historical Information
The graph below shows the closing prices of the shares of common
stock of Halliburton Company for each day such price was available from January 3, 2011 to August 16, 2016. The table that follows
shows the high and low closing prices of, and dividends paid on, the shares of common stock of Halliburton Company for each quarter
in that same period. We obtained the closing prices and other information below 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 prices of the shares of common stock of Halliburton Company 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 the historical prices of the common stock of Halliburton Company as an indication of
future performance.
Common Stock of Halliburton
Company – Historical Closing Prices
January 3, 2011 to August
16, 2016
|
|
* The red line indicates the
hypothetical coupon barrier price and hypothetical final barrier price with respect to Halliburton Company of $22.31, assuming
the closing price on August 16, 2016 were the applicable initial share price.
Common Stock of Halliburton Company
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First Quarter
|
$49.84
|
$38.17
|
$0.09000
|
Second Quarter
|
$51.00
|
$45.33
|
$0.09000
|
Third Quarter
|
$57.27
|
$30.52
|
$0.09000
|
Fourth Quarter
|
$39.13
|
$28.68
|
$0.09000
|
2012
|
|
|
|
First Quarter
|
$38.51
|
$32.48
|
$0.09000
|
Second Quarter
|
$35.03
|
$26.70
|
$0.09000
|
Third Quarter
|
$37.44
|
$28.36
|
$0.09000
|
Fourth Quarter
|
$35.65
|
$29.95
|
$0.09000
|
2013
|
|
|
|
First Quarter
|
$43.32
|
$35.71
|
$0.12500
|
Second Quarter
|
$45.55
|
$37.21
|
$0.12500
|
Third Quarter
|
$50.32
|
$42.45
|
$0.12500
|
Fourth Quarter
|
$56.26
|
$48.40
|
$0.15000
|
2014
|
|
|
|
First Quarter
|
$59.46
|
$48.20
|
$0.15000
|
Second Quarter
|
$71.01
|
$57.36
|
$0.15000
|
Third Quarter
|
$74.02
|
$63.66
|
$0.15000
|
Fourth Quarter
|
$62.47
|
$37.82
|
$0.18000
|
2015
|
|
|
|
First Quarter
|
$44.87
|
$37.33
|
$0.18000
|
Second Quarter
|
$49.21
|
$42.69
|
$0.18000
|
Third Quarter
|
$43.29
|
$33.47
|
$0.18000
|
Fourth Quarter
|
$40.41
|
$33.40
|
$0.18000
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
2016
|
|
|
|
First Quarter
|
$36.38
|
$28.48
|
$0.18000
|
Second Quarter
|
$46.29
|
$34.00
|
$0.18000
|
Third Quarter (through August 16, 2016)
|
$46.03
|
$42.06
|
$0.00000
|
The closing price of the common stock of Halliburton Company
on August 16, 2016 was $44.62.
On July 14, 2016, Halliburton Company declared a cash dividend
of $0.18000 per share payable on September 28, 2016. We make no representation as to the amount of dividends, if any, that may
be paid on the shares of common stock of Halliburton Company in the future. In any event, as an investor in the securities, you
will not be entitled to receive dividends, if any, that may be payable on the shares of common stock of Halliburton Company.
Information
About salesforce.com, inc.
Salesforce.com, inc. is a provider of enterprise cloud computing
solutions. The common stock of salesforce.com, inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by salesforce.com, inc. pursuant to the Exchange Act can be located
by reference to the SEC file number 001-32224 through the SEC’s website at http://www.sec.gov. In addition, information regarding
salesforce.com, inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents. The common stock of salesforce.com, inc. trades on The New York Stock Exchange under the ticker
symbol “CRM.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of salesforce.com, inc. or other securities of salesforce.com, inc. We have derived
all disclosures contained in this pricing supplement regarding salesforce.com, inc. from the publicly available documents described
above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI
has participated in the preparation of such documents or made any due diligence inquiry with respect to salesforce.com, inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. salesforce.com, inc. is not involved in any way in this offering and has no
obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the common stock of salesforce.com, inc.
Historical Information
The graph below shows the closing prices of the shares of common
stock of salesforce.com, inc. for each day such price was available from January 3, 2011 to August 16, 2016. The table that follows
shows the high and low closing prices of, and dividends paid on, the shares of common stock of salesforce.com, inc. for each quarter
in that same period. We obtained the closing prices and other information below 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 prices of the shares of common stock of salesforce.com, inc. 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 the historical prices of the common stock of salesforce.com, inc. as an indication
of future performance.
Common Stock of salesforce.com,
inc. – Historical Closing Prices
January 3, 2011 to August
16, 2016
|
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
* The red line indicates the
hypothetical coupon barrier price and hypothetical final barrier price with respect to salesforce.com, inc. of $38.98, assuming
the closing price on August 16, 2016 were the applicable initial share price.
Common Stock of salesforce.com, inc.
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First Quarter
|
$36.62
|
$30.00
|
$0.00000
|
Second Quarter
|
$38.39
|
$32.24
|
$0.00000
|
Third Quarter
|
$39.83
|
$27.72
|
$0.00000
|
Fourth Quarter
|
$34.79
|
$24.51
|
$0.00000
|
2012
|
|
|
|
First Quarter
|
$39.34
|
$24.37
|
$0.00000
|
Second Quarter
|
$39.89
|
$31.83
|
$0.00000
|
Third Quarter
|
$39.86
|
$30.34
|
$0.00000
|
Fourth Quarter
|
$42.73
|
$34.92
|
$0.00000
|
2013
|
|
|
|
First Quarter
|
$46.59
|
$40.84
|
$0.00000
|
Second Quarter
|
$47.01
|
$36.75
|
$0.00000
|
Third Quarter
|
$53.38
|
$37.80
|
$0.00000
|
Fourth Quarter
|
$57.31
|
$49.91
|
$0.00000
|
2014
|
|
|
|
First Quarter
|
$66.22
|
$54.23
|
$0.00000
|
Second Quarter
|
$58.80
|
$49.13
|
$0.00000
|
Third Quarter
|
$61.21
|
$52.64
|
$0.00000
|
Fourth Quarter
|
$64.45
|
$52.72
|
$0.00000
|
2015
|
|
|
|
First Quarter
|
$70.24
|
$55.11
|
$0.00000
|
Second Quarter
|
$75.71
|
$65.81
|
$0.00000
|
Third Quarter
|
$74.04
|
$65.17
|
$0.00000
|
Fourth Quarter
|
$82.14
|
$72.91
|
$0.00000
|
2016
|
|
|
|
First Quarter
|
$77.05
|
$54.05
|
$0.00000
|
Second Quarter
|
$83.77
|
$73.81
|
$0.00000
|
Third Quarter (through August 16, 2016)
|
$82.55
|
$77.96
|
$0.00000
|
The closing price of the common stock of salesforce.com, inc.
on August 16, 2016 was $77.96.
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of common stock of salesforce.com, inc. in the future. In any event, as an investor in the securities,
you will not be entitled to receive dividends, if any, that may be payable on the shares of common stock of salesforce.com, inc.
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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”)
written by you with respect to the underlying shares, secured by a cash deposit equal to the stated principal amount of the security
(the “Deposit”). In the opinion of our tax counsel, Davis Polk & Wardwell LLP, which is based on current market
conditions, this treatment of the securities is reasonable under current law; however, our tax counsel has advised us that it is
unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are
possible. Under this treatment:
|
·
|
a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
|
|
·
|
the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
|
We will specify in the final pricing supplement the portion of
each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
Assuming the treatment of a security as a Put Option and a Deposit
is respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should
not be taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders” in the accompanying product supplement.
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
Subject to the discussion in the section of the accompanying
product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S. Holder (as defined in
the accompanying product supplement) of the securities, under current law 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.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In addition, the U.S.
Treasury Department and the IRS have released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts.” While it is not clear whether the securities would be viewed as similar to the typical prepaid forward
contract described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect.
While we currently do not intend to withhold on payments on
the securities to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussions in
the accompanying product supplement regarding “FATCA”), in light of the uncertain treatment of the securities other
persons having withholding or information reporting responsibility in respect of the securities may treat some or all of each coupon
payment on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine
that we should withhold at a rate of 30% on coupon payments on 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.
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 $33.50 for each
$1,000 security sold in this offering. CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $33.50
for each $1,000 security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We expect to hedge our obligations under the securities through CGMI
or other of our affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value
of the securities declines. This hedging activity could affect the closing prices of any of the underlying shares and, therefore,
the value of and your return on the securities. For additional information on the ways in which our counterparties may hedge our
obligations under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. 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.
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
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
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
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
|
|
(iii)
|
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
|
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 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:
|
(a)
|
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
|
|
(b)
|
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:
|
|
(i)
|
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
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
Citigroup Global Markets Holdings Inc
.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Netflix, Inc., the Common Stock of Halliburton Company and the Common Stock of salesforce.com, inc. Due August
-----
, 2018
|
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
2016 Citigroup Global Markets Inc. All rights
reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
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