This Amended and Restated Pricing
Supplement No. 2017-USNCH0735 is being filed to revise the fixed return amount.
|
The
information in this preliminary pricing supplement is not complete and may be changed. A registration statement relating to these
securities has been filed with the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus are not an offer to sell these securities, nor
are they soliciting an offer to buy these securities, in any state where the offer or sale is not permitted.
SUBJECT
TO COMPLETION, DATED SEPTEMBER 18, 2017
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Citigroup Global Markets Holdings Inc.
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September
-----
,
2017
Medium-Term
Senior Notes, Series N
Amended
and Restated Pricing Supplement No. 2017-USNCH0735
Filed
Pursuant to Rule 424(b)(3)
Registration
Statement Nos. 333-216372 and 333-216372-01
|
Dual Directional Trigger Jump Securities Based
on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
Overview
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▪
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The securities offered by this pricing supplement are
unsecured debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance
of the EURO STOXX 50
®
Index (the “underlying index”) from the initial index level to the final index
level.
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|
▪
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The securities offer a fixed positive return at maturity
if the underlying index remains the same or appreciates from the initial index level to the final index level, regardless of the
extent of that appreciation. The securities also offer the potential for a positive return at maturity based on the absolute value
of a limited range of potential depreciation (not more than 20.00%) of the underlying index. In exchange for these features, investors
in the securities must be willing to forgo participation in any appreciation of the underlying index in excess of the fixed return
and any dividends that may be paid on the stocks that constitute the underlying index. In addition, investors in the securities
must be willing to accept full downside exposure to the underlying index if the underlying index depreciates by more than 20.00%.
If the underlying index depreciates by more than 20.00% from the pricing date to the valuation date, you will lose 1% of the
stated principal amount of your securities for every 1% by which the final index level is less than the initial index level. There
is no minimum payment at maturity.
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|
▪
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In order to obtain the modified exposure to the underlying
index that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity
and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default on our obligations.
All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup
Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed
by Citigroup Inc.
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Underlying index:
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The EURO STOXX 50
®
Index (ticker symbol: “SX5E”)
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Aggregate stated principal amount:
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$
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Stated principal amount:
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$10 per security
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Pricing date:
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September , 2017 (expected to be September
29, 2017)
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Issue date:
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October , 2017 (three business days
after the pricing date) . See “Supplemental Plan of Distribution” in this pricing supplement.
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Valuation date:
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September , 2020 (expected to be September
30, 2020), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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October , 2020 (expected to be October
5, 2020)
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Payment at maturity:
|
For each $10 stated principal
amount security you hold at maturity:
§
If
the final index level is
greater than or equal to
the initial index level:
$10
+ the fixed return amount
§
If
the final index level is
less than
the initial index level but
greater than or equal to
the trigger level:
$10
+ ($10 × the absolute index return)
§
If
the final index level is
less than
the trigger level:
$10
× the index performance factor
If the final index level
is less than the trigger level, your payment at maturity will be less, and possibly significantly less, than $8.00 per security.
You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion of your
investment.
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Initial index level:
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, the closing level of the underlying index
on the pricing date
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Final index level:
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The closing level of the underlying index on the valuation date
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Fixed return amount:
|
The fixed return amount will be determined on the pricing date and will be at
least $3.005 per security (at least 30.05% of the stated principal amount). You will receive the fixed return amount only if
the final index level is greater than or equal to the initial index level.
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Absolute index return:
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The absolute value of the index percent change
|
Index percent change:
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The final index level
minus
the initial index level,
divided by
the initial index level
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Index performance factor:
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The final index level
divided by
the initial index level
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Trigger level:
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, 80.00% of the initial index level
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17325K552 / US17325K5526
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer,
acting as principal
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Underwriting fee and issue price:
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Issue price
(1)(2)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.25
(2)
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$9.70
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|
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$0.05
(3)
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Total:
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$
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$
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$
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(1)
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Citigroup
Global Markets Holdings Inc. currently expects that the estimated value of the securities
on the pricing date will be at least $9.000 per security, which will be less than the
issue price. The estimated value of the securities is based on CGMI’s proprietary
pricing models and our internal funding rate. It is not an indication of actual profit
to CGMI or other of our affiliates, nor is it an indication of the price, if any, at
which CGMI or any other person may be willing to buy the securities from you at any time
after issuance. See “Valuation of the Securities” in this pricing supplement.
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(2)
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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 $0.30 for each $10.00
security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth
Management, and their financial advisors will collectively receive from CGMI a fixed
selling concession of $0.25 for each $10.00 security they sell. Additionally, it is possible
that 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.
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(3)
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Reflects a structuring
fee payable to Morgan Stanley Wealth Management by CGMI of $0.05 for each security.
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Investing in the securities 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 securities or determined that this
pricing supplement and the accompanying product supplement, underlying 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, underlying supplement, prospectus supplement and prospectus, each of which can
be accessed via the hyperlinks below:
Product Supplement No. EA-02-06 dated April 7, 2017
Underlying Supplement No. 6 dated April 7, 2017
Prospectus Supplement and Prospectus each dated April 7, 2017
The securities are not bank deposits and
are not insured 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.
|
Dual Directional
Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
,
2020
Principal at Risk Securities
|
|
Additional Information
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 your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities 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 securities. Certain terms used but
not defined in this pricing supplement are defined in the accompanying product supplement.
Investment Summary
The securities can be used:
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§
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As an alternative to direct exposure to the underlying index that provides a fixed return
of at least 30.05% (to be determined on the pricing date) if the underlying index has not depreciated as of the
valuation
date;
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|
§
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To obtain a positive return for a limited range of negative performance of the underlying index;
and
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§
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To potentially outperform the underlying index in a moderately bullish or moderately bearish
scenario, without taking into account lost dividend yield.
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If the final index level is less than the trigger
level, the securities are exposed on a 1-to-1 basis to the percentage decline of the final index level from the initial index level.
Accordingly, investors may lose their entire initial investment in the securities.
Maturity:
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Approximately 3 years
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Fixed
return amount:
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At least $3.005 per security (at least 30.05% of
the stated principal amount), to be determined on the pricing date
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Trigger
level:
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80% of the initial index level
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Minimum
payment at maturity:
|
None. Investors may lose their entire initial investment
in the securities.
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Coupon:
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None
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Key Investment Rationale
The securities offer the potential for a positive return
at maturity regardless of whether the underlying index appreciates or depreciates,
but only
so long as any
depreciation does not exceed 20.00%. At maturity, if the final index level is
greater than
or
equal to
the
initial index level, investors will receive the fixed return of at least 30.05% (to be determined on the pricing
date), regardless of the extent of the appreciation of the underlying index. If the final index level is
less than
the
initial index level, but not by more than 20.00%, investors will receive the stated principal amount of their investment plus
a positive return equal to the absolute value of the percentage decline, which will effectively be limited to a positive
return of 20.00%. However, if the final index level is
less than
the initial index level by more than 20.00%,
investors will be negatively exposed to the full amount of the percentage decline in the underlying index from the initial
index level to the final index level and will lose 1% of the stated principal amount for every 1% of that decline.
Investors
may lose their entire initial investment in the securities.
All payments on the securities are subject to the credit risk
of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
Fixed Return and Absolute Return Features:
|
The securities offer the potential for a positive return at maturity regardless of whether the underlying index appreciates or depreciates,
but only
so long as any depreciation does not exceed 20.00%. The securities offer (i) a fixed positive return if the underlying index remains the same or appreciates at all, regardless of the extent of that appreciation and (ii) a positive return equal to the absolute value of the depreciation of the underlying index if the underlying index depreciates by up to 20.00%.
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Upside Scenario if the Underlying Index Appreciates:
|
The final index level is greater than or equal to the initial index level. In this case, you receive for each security that you hold $10
plus
the fixed return amount.
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
|
|
Absolute Return Scenario:
|
The final index level is less than the initial index level but is greater than or equal to the trigger level, which is 80% of the initial index level. In this case, you receive a 1% positive return on the securities for each 1% negative return on the underlying index. For example, if the final index level is 5% less than the initial index level, the securities will provide a positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20.00% return at maturity.
|
Downside Scenario:
|
The final index level is less than the trigger level. In this case, you would receive at least 20.00% less than the stated principal amount, and this decrease will be by an amount proportionate to the decline in the level of the underlying index over the term of the securities. Under these circumstances, the payment at maturity will be less than $8.00 per security. For example, if the final index level is 50% less than the initial index level, you would receive at maturity 50% of the stated principal amount. There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.
|
Hypothetical Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level. The diagram and examples below
are based on a hypothetical fixed return amount of $3.005, which is equivalent to a hypothetical fixed return at maturity of 30.05%.
The actual fixed return amount will be determined on the pricing date.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Dual Directional Trigger Jump Securities Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Index
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
|
|
Your actual payment at maturity per security will depend on the
actual fixed return amount, which will be determined on the pricing date, the actual initial index level, the actual trigger level
and the actual final index level. The examples below are intended to illustrate how your payment at maturity will depend on whether
the final index level is greater than or less than the initial index level and by how much. The examples are based on a hypothetical
initial index level of 3,500.00 and a hypothetical trigger level of 2,800.00.
Example 1—Upside Scenario A.
The hypothetical final
index level is 3,850.00 (a 10.00% increase from the hypothetical initial index level), which is
greater than
the hypothetical
initial index level by
less than
the hypothetical fixed return of 30.05%.
Payment at maturity per security = $10 + the hypothetical fixed
return amount
= $10 + $3.005
= $13.005
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level, your total return on the securities at maturity in this scenario would
equal the hypothetical fixed return of 30.05%.
Example 2—Upside Scenario B.
The hypothetical final
index level is 5,250.00 (a 50.00% increase from the hypothetical initial index level), which is
greater than
the hypothetical
initial index level by
more than
the hypothetical fixed return of 30.05%.
Payment at maturity per security = $10 + the hypothetical fixed
return amount
= $10 + $3.005
= $13.005
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level, your total return on the securities at maturity in this scenario would
equal the hypothetical fixed return of 30.05%. In this scenario, an investment in the securities would underperform a hypothetical
alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a fixed return.
Example 3—Upside Scenario C.
The hypothetical final
index level is 3,150.00 (a 10.00% decrease from the hypothetical initial index level), which is
less than
the hypothetical
initial index level but
greater than
the hypothetical trigger level.
Payment at maturity per security = $10 + ($10 × the absolute
index return)
= $10 + ($10 × |-10.00%|)
=$10 + $1.00 = $11.00
Because the hypothetical final index level is less than the initial
index level, but not by more than 20.00%, your payment at maturity in this scenario would reflect 1-to-1 positive exposure to the
absolute value of the negative performance of the underlying index.
Example 4—Downside Scenario.
The hypothetical final
index level is 1,050.00 (a 70.00% decrease from the hypothetical initial index level), which is
less than
the hypothetical
trigger level.
Payment at maturity per security = $10 × the index performance
factor
= $10 × 30.00%
= $3.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by more than 20.00%, your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the underlying index.
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 that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default
on our obligations under the securities, and are also subject to risks associated with the underlying index. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-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.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
|
|
|
§
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index. If the
final index level is less than the trigger level, the absolute return feature will no longer be available and the payout at maturity
will be at least 20% less than the stated principal amount of the securities, and you will lose 1% of the stated principal amount
of the securities for every 1% by which the final index level is less than the initial index level. There is no minimum payment
at maturity on the securities, and you could lose your entire investment.
|
|
§
|
The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
§
|
Your potential return on the securities is limited.
If the underlying index appreciates, your potential total
return on the securities at maturity is limited to the fixed return at maturity of at least 30.05%, which is
equivalent to a
fixed return amount of at least $3.005 per security. The actual fixed return at maturity will be determined on the
pricing date. Your return on the securities will not exceed the fixed return, even if the underlying index appreciates by
significantly more than the fixed return. If the underlying index appreciates by more than the fixed return, the securities
will underperform an alternative investment providing 1-to-1 exposure to the performance of the underlying index. When lost
dividends are taken into account, the securities may underperform an alternative investment providing 1-to-1 exposure to the
performance of the underlying index even if the underlying index appreciates by less than the fixed return. In addition,
your potential
for positive
participation in the absolute value of any depreciation of the underlying index is limited. Because
the trigger level is equal to 80.00% of the initial index level, the return potential of the securities in the event that
the underlying
index depreciates is limited to 20.00%. Any depreciation of the underlying index in excess of 20.00% will result
in a loss, rather than a positive return, on the securities.
|
|
§
|
Investing in the securities 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. As of September 13, 2017, the average dividend yield of the underlying index
was approximately 3.34% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
10.02% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that
constitute the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends.
The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
§
|
Your payment at maturity depends on the closing level of the underlying index on a single day.
Because your payment
at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that
the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the underlying index that you could
sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the
underlying index, you might have achieved better returns.
|
|
§
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
§
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
§
|
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 and structuring
fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the
economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than
our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were
calculated based on our secondary market rate” below.
|
|
§
|
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,
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
|
|
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 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 an interest rate that we
will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
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§
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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|
§
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the 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 volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the underlying index, the time remaining to maturity and our and/or 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 securities. You should understand that the value of your securities at any time prior to maturity may
be significantly less than the issue price.
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|
§
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
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|
§
|
The underlying index is subject to risks associated with non-U.S. markets.
Investments in securities linked to the value
of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility in those
markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally
less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to
the reporting requirements of the SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial
reporting standards and requirements and securities trading rules that are different from those applicable to U.S. reporting companies.
The prices of securities in foreign markets may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Moreover, the economies
in such countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross
national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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The underlying index performance will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar.
The underlying index is composed of stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative
to the U.S. dollar. However, the performance of the underlying index and the value of your securities will not be
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Citigroup Global Markets Holdings Inc.
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Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
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, 2020
Principal at Risk Securities
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adjusted
for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, your return
on the securities will underperform an alternative investment that offers exposure to that appreciation in addition to the change
in the level of the underlying index.
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§
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Our offering of the securities does not constitute a recommendation of the underlying index.
The fact that we are offering
the securities 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 securities.
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§
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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 securities 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 securities. 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 securities. They could
also result in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with the issuers of the 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
any such issuer that are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
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 securities.
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§
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Adjustments to the underlying index may affect the value of your securities.
STOXX Limited (the “underlying index
publisher”) 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 underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below 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. 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.
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In addition, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
as of the date of this preliminary pricing supplement the securities should not be subject to withholding under Section 871(m).
However, information about the application of Section 871(m) to the securities will be updated in the final pricing supplement.
Moreover, the IRS could challenge a conclusion that the securities should not be subject to withholding under Section 871(m). If
withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
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, 2020
Principal at Risk Securities
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Information About the Underlying Index
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50
®
Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50
®
Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—The EURO STOXX
50
®
Index—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
EURO STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures regarding the underlying
index.
Historical Information
The closing level of the underlying index on September 13, 2017
was 3,523.14.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 2, 2012 to September 13, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
EURO STOXX 50
®
Index – Historical Closing Levels
January 2, 2012 to September 13, 2017
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* The red line indicates the hypothetical trigger level of
2,818.512, assuming the closing level on September 13, 2017 were the initial index level.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
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, 2020
Principal at Risk Securities
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United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
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Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, 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.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
the regulations exempt financial instruments issued in 2017 that do not have a “delta” of one. Based on the terms of
the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. Underlying Equity,
you could be subject to withholding tax or income tax liability under Section 871(m) even if the securities are not Specified Securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
This information is indicative and will be updated in the final
pricing supplement or may otherwise be updated by us in writing from time to time. Non-U.S. Holders should be warned that Section
871(m) may apply to the securities based on circumstances as of the pricing date for the securities and, therefore, it is possible
that the securities will be subject to withholding tax under Section 871(m).
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
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, 2020
Principal at Risk Securities
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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 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 $0.30 for each
$10.00 security sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including
Morgan Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $0.25 for each $10.00
security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security 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 securities, either directly or indirectly, without the prior written consent of
the client.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
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 level of the underlying index 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.
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.”
Citigroup Global Markets Holdings Inc.
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Dual Directional Trigger Jump Securities Based on the EURO STOXX 50
®
Index Due October
-----
, 2020
Principal at Risk Securities
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Contact
Clients of Morgan Stanley Wealth Management may contact their
local Morgan Stanley branch office or the Morgan Stanley principal executive offices at 1585 Broadway, New York, New York 10036
(telephone number (212) 762-9666). All other clients may contact their local brokerage representative.
©
2017 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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