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
OCTOBER 18, 2017
Citigroup Global Markets Holdings Inc.
|
October
-----
,
2017
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2017-USNCH0785
Filed Pursuant
to Rule 424(b)(2)
|
Registration Statement Nos. 333-216372 and 333-216372-01
|
Autocallable Equity Linked Securities
Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common
Stock of Advanced Micro Devices, Inc. Due October
-----
, 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 a monthly coupon payment at a per annum rate that is generally higher
than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon, you must be
willing to accept the risks that (i) the securities may be automatically redeemed prior to maturity in the circumstances described
below and (ii) if the securities are not automatically redeemed prior to maturity and a downside event (as described below) occurs,
what you receive at maturity will be worth significantly less than the stated principal amount of your securities, and possibly
worth nothing. Each of these risks will depend on the performance of the
worst performing
of the shares of common stock
of NVIDIA Corporation, the shares of class A common stock of Square, Inc. and the shares of common stock of Advanced Micro Devices,
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*
|
Downside threshold price**
|
Equity ratio***
|
|
Shares of Common Stock of NVIDIA Corporation
|
$
|
$
|
|
|
Shares of
Class A
Common Stock of Square, Inc.
|
$
|
$
|
|
|
Shares of Common Stock of Advanced Micro Devices, Inc.
|
$
|
$
|
|
|
* For each of the underlying shares, their closing price
on the pricing date
** For each of the underlying shares, 60% of their initial
share price
*** For each of the underlying shares, the stated principal
amount of $1,000
divided by
their initial share price
|
Aggregate
stated principal amount:
|
$
|
Stated
principal amount:
|
$1,000 per security
|
Pricing
date:
|
October , 2017 (expected to be October 23, 2017)
|
Issue
date:
|
October , 2017 (three business days after the pricing date). See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Valuation
date:
|
October , 2018 (expected to be October 23, 2018), 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, October , 2018 (expected to be October 26, 2018)
|
Coupon
payments:
|
At least 1.167% of the stated principal amount (approximately 14.00% per annum) (to be determined on the pricing date) paid on each monthly coupon payment date, subject to automatic early redemption
|
Coupon
payment dates:
|
The fifth business day following each observation date, and the final coupon payment date will be the maturity date (or the earlier date on which the securities are automatically redeemed, if applicable)
|
Observation
dates:
|
The day of each month (expected to be the 23rd day of each month), beginning in November 2017 and ending in September 2018, each subject to postponement on the same basis as if it were the valuation date
|
Payment
at maturity:
|
If the securities have not been earlier redeemed, for
each $1,000 stated principal amount security you hold at maturity, you will be entitled to receive the final coupon payment
plus:
▪ If a downside
event occurs: a fixed number of the worst performing underlying shares on the valuation date equal to the applicable equity ratio
(or, if we exercise our cash election right, the cash value of those shares based on their final share price)
▪ If a downside
event
does not
occur: $1,000
If the securities have not been automatically redeemed
prior to maturity and a downside event occurs, you will receive a number of the worst performing underlying shares (or, in our
sole discretion, cash) worth less than 60% of the stated principal amount of your securities, and possibly nothing, at maturity.
You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion, and
up to all, of your investment.
|
Downside
event:
|
A downside event will occur if the final share price of the worst performing underlying shares on the valuation date is less than their downside threshold price.
|
Final
share price:
|
For each of the underlying shares, their closing price on the valuation date
|
Worst
performing underlying shares:
|
For the valuation date or any observation date, the underlying shares with the lowest share return percentage on that date
|
Listing:
|
The securities will not be listed on any securities exchange
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting
fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per
security:
|
$1,000.00
|
$28.75
|
$971.25
|
Total:
|
$
|
$
|
$
|
(Key Terms
continued on next page)
(1) Citigroup Global Markets Holdings Inc. currently expects
that the estimated value of the securities on the pricing date will be at least $912.30 per security, which will be less than
the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding
rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any,
at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation
of the Securities” in this pricing supplement.
(2) For more information on the distribution of the securities,
see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and
its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-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, 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. ES-01-06 dated April 7, 2017
Prospectus
Supplement and Prospectus each dated April 7, 2017
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 Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
If, on any potential redemption date, the closing price of the worst performing underlying shares on that date is greater than or equal to their initial share price, each security you then hold will be automatically redeemed on the related coupon payment date for an amount in cash equal to $1,000
plus
the related coupon payment.
If the securities are automatically redeemed prior to maturity, you will not receive any further coupon payments following the redemption.
|
Potential redemption dates:
|
Each observation date beginning in January 2018 and ending in September 2018
|
Share return percentage:
|
For each of the underlying shares on the valuation date or any observation date, (i) their closing price on that date
minus
their initial share price
divided by
(ii) their initial share price
|
CUSIP / ISIN:
|
17324XDY3 / US17324XDY31
|
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 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—Consequences of
a Market Disruption Event; Postponement of the Valuation Date,” “—Dilution and Reorganization Adjustments”
and “—Delisting of Underlying Shares (Other than Shares of an ETF),” 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 an observation date.
If a scheduled observation
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 observation date, that observation date will be subject to postponement as if it were the
valuation date as described in the accompanying product supplement in the section “Description of the Securities—Consequences
of a Market Disruption Event; Postponement of the Valuation Date.” If a scheduled observation date is postponed, the closing
price of each of the underlying shares in respect of that observation date will be determined based on (i) for any underlying shares
for which the originally scheduled observation date is a scheduled trading day and as to which a market disruption event does not
occur on the originally scheduled observation date, the closing price of such underlying shares on the originally scheduled observation
date and (ii) for any other underlying shares, the closing price of such underlying shares on the observation date as postponed
(or, if earlier, the first scheduled trading day for such underlying shares following the originally scheduled observation date
on which a market disruption event did not occur with respect to such underlying shares).
Dilution and reorganization adjustments.
With respect
to each of the underlying shares, the initial share price, the downside threshold price and the equity ratio are subject to adjustment
upon the occurrence of certain events as described in the section “Description of the Securities—Dilution and Reorganization
Adjustments” in the accompanying product supplement.
Coupon payments.
The provisions of the accompanying product
supplement describing the computation of each coupon payment do not apply and are superseded by this pricing supplement.
References to least performing underlying shares.
The
term “least performing underlying shares” as used in the accompanying product supplement has the same meaning as “worst
performing underlying shares” in this pricing supplement.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
Hypothetical
Examples of the Payment at Maturity on the Securities
The examples below illustrate how to determine what you will
receive at maturity of the securities, assuming the securities have not been previously redeemed. You should understand that the
term of the securities, and your opportunity to receive the coupon payments on the securities, may be limited to as short as approximately
three months by the automatic early redemption feature of the securities, which is not reflected in the examples below. The outcomes
illustrated below are not exhaustive, and your actual payment at maturity on the securities (if the securities are not earlier
automatically redeemed) may differ from any example illustrated below. For ease of analysis, figures below 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 price, downside threshold
price or equity ratio of any of the underlying shares or the coupon payment rate of the securities, each of which will be determined
on the pricing date:
Underlying shares
|
Hypothetical initial share price*
|
Hypothetical downside threshold price**
|
Hypothetical equity ratio***
|
Shares of common stock of NVIDIA Corporation
|
$200.00
|
$120.00
|
5.00000
|
Shares of
class A
common stock of Square, Inc.
|
$30.00
|
$18.00
|
33.33333
|
Shares of common stock of Advanced Micro Devices, Inc.
|
$15.00
|
$9.00
|
66.66667
|
Coupon payment rate:
|
14.00% of the stated principal amount per annum, paid monthly, subject to automatic early redemption
|
*
For each of the underlying shares, their actual initial
share price will be their closing price on the pricing date.
**
For each of the underlying shares, their actual downside
threshold price will be equal to 60% of their initial share price.
***
For each of the underlying shares, their actual equity
ratio will be equal to the stated principal amount of $1,000
divided by
their initial share price.
The following examples illustrate the hypothetical payment at
maturity on the securities determined based on the following hypothetical final share prices of each of the underlying shares,
assuming the securities have not been earlier automatically redeemed.
|
Hypothetical final share price of the shares of common stock of NVIDIA Corporation
|
Hypothetical final share price of the shares of class A common stock of Square, Inc.
|
Hypothetical final share price of the shares of common stock of Advanced Micro Devices, Inc.
|
Hypothetical value received
1
at maturity per security (excluding final coupon payment)
|
Example 1
|
$220.00
(Share return percentage = 10%)
|
$39.00
(Share return percentage = 30%)
|
$18.75
(Share return percentage = 25%)
|
$1,000.00
|
Example 2
|
$240.00
(Share return percentage = 20%)
|
$9.00
(Share return percentage = -70%)
|
$22.50
(Share return percentage = 50%)
|
$300.00
|
Example 3
|
$150.00
(Share return percentage = -25%)
|
$48.00
(Share return percentage = 60%)
|
$0.00
(Share return percentage = -100%)
|
$0.00
|
1
Assumes that
the closing price of the worst performing underlying shares on the valuation date is the same as their closing price on the maturity
date.
Example 1:
In this
example, the shares of common stock of NVIDIA Corporation have the lowest share return percentage (based on their final share price)
and are therefore the worst performing underlying shares on the valuation date. In this scenario, the final share price of the
worst performing underlying shares on the valuation date is greater than their downside threshold price and, as a result, a downside
event
does not
occur. Accordingly, at maturity, you would receive the stated principal amount of the securities
plus
the final coupon payment. You would not participate in the appreciation of any of the underlying shares, even though each of the
underlying shares have appreciated from their initial share price in this example.
Example 2:
In this
example, the shares of class A common stock of Square, Inc. have the lowest share return percentage (based on their final share
price) and are therefore the worst performing underlying shares on the valuation date. In this scenario, the final share price
of the worst performing underlying shares on the valuation date is less than their downside threshold price and, as a result, a
downside event occurs. Accordingly, at maturity, you would receive a fixed number of the worst performing underlying shares on
the valuation date equal to the applicable equity ratio (or, at our option, the cash value thereof) per security, plus the final
coupon payment.
In this example, the value
of a number of the worst performing underlying shares on the valuation date equal to the applicable equity ratio, based on their
final share price, would be $300.00. Therefore, in this scenario, the value of the worst performing underlying shares (or, in our
discretion, cash) you receive at maturity would be significantly less than the stated principal amount of your securities. 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 their downside threshold prices.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
If the final share price
of the worst performing underlying shares on the valuation date is less than their downside threshold price, we will have the option
to deliver to you on the maturity date either a number of the worst performing underlying shares on the valuation date equal to
the applicable equity ratio or the cash value of those shares based on their final share price. The value of these shares on the
maturity date may be different than their final share price.
Example 3:
In this
example, the shares of common stock of Advanced Micro Devices, Inc. have the lowest share return percentage (based on their final
share price) and are therefore the worst performing underlying shares on the valuation date. In this scenario, the final share
price of the worst performing underlying shares on the valuation date is less than their downside threshold price and, as a result,
a downside event occurs. Accordingly, at maturity, you would receive a fixed number of the worst performing underlying shares on
the valuation date equal to the applicable equity ratio (or, at our option, the cash value thereof) per security, plus the final
coupon payment. In this example, because the worst performing underlying shares on the valuation date are worthless, you would
lose your entire investment in the securities.
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 ES-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 valuation
date. If the closing price of the worst performing underlying shares on the valuation date is less than their downside threshold
price, a downside event will occur and you will not receive the stated principal amount of your securities at maturity and, instead,
will receive a number of the worst performing underlying shares (or, in our sole discretion, cash based on the value thereof) that
will be worth less than 60.00% of the stated principal amount and may be worth nothing. There is no minimum payment at maturity
on the securities, and you may lose up to all of your investment.
|
|
▪
|
Your opportunity to receive coupon payments may be limited by the automatic early redemption feature.
Beginning approximately
three months after issuance, the securities will be automatically redeemed following a monthly observation date if the closing
price of the worst performing underlying shares on that date is greater than or equal to their initial share price. If the securities
are automatically redeemed prior to maturity, you will not receive any additional coupon payments following the redemption and
may not be able to reinvest your funds in another investment that offers comparable terms or returns. The term of the securities,
and your opportunity to receive the coupon payments on the securities, may be limited to as short as three months.
|
|
▪
|
Higher coupon payment rates are associated with greater risk.
The securities offer coupon payments at a per annum rate
that is higher than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon
payment rate, investors in the securities will be subject to significantly greater risk than investors in our conventional debt
securities, including the risk that you may lose a significant portion, and up to all, of your investment at maturity. The volatility
of and the correlation among the underlying shares are important factors affecting these risks. In general, the higher the expected
volatility of the underlying shares, and the lower the expected correlation among the underlying shares, the greater the coupon
payment rate on the securities. However, higher expected volatility and lower expected correlation would also represent a greater
expected likelihood as of the pricing date that the closing price of any one of the underlying shares will be less than their downside
threshold price on the valuation date, resulting in a downside event and a significant loss at maturity.
|
|
▪
|
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 some 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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
|
▪
|
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. It is impossible to predict what the relationship among the underlying shares will be over the
term of the securities.
|
|
▪
|
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 any of the underlying shares over the term of the securities. Consequently,
your return on the securities will be limited to the coupon payments and may be significantly less than the return on any of 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 any of the underlying shares.
|
|
▪
|
The performance of the securities will depend on the closing price of the worst performing underlying shares solely on the
observation dates and the valuation date, which makes the securities particularly sensitive to volatility of the worst performing
underlying shares.
If the securities are not automatically redeemed prior to maturity, the amount you receive at maturity will
depend solely on the closing price of the worst performing underlying shares on the valuation date. Whether your securities will
be automatically redeemed prior to maturity depends solely on the closing price of the worst performing underlying shares on each
observation date. As a result, the performance of the securities will be sensitive to the volatility of the worst performing underlying
shares. You should understand that each of the underlying shares have 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
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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
|
▪
|
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 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 any of the underlying shares unless and until you
receive underlying shares at maturity.
As of October 17, 2017, Square, Inc. and Advanced Micro Devices, Inc. do not pay regular
dividends. However, that may change, and if Square, Inc. or Advanced Micro Devices, 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. If any
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
change to any of the underlying
shares is proposed, such as an amendment to any underlying share issuer’s organizational documents, you will not have the
right to vote on such change, but you will be subject to such change in the event you receive the applicable underlying shares
at maturity. 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—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—Delisting of Underlying Shares (Other than Shares of an ETF)” 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—Dilution and Reorganization Adjustments” and “—Delisting of Underlying Shares (Other
than Shares of an ETF)” 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 any 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. 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
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
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%.
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.
Information
About NVIDIA Corporation
NVIDIA Corporation designs, develops, and markets three dimensional
(3D) graphics processors and related software. The company’s products provide interactive 3D graphics to the mainstream personal
computer market. The common stock of NVIDIA Corporation is registered under the Securities Exchange Act of 1934, as amended (the
“Exchange Act”). Information provided to or filed with the SEC by NVIDIA Corporation pursuant to the Exchange Act can
be located by reference to the SEC file number 000-23985 through the SEC’s website at http://www.sec.gov. In addition, information
regarding NVIDIA Corporation may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. The common stock of NVIDIA Corporation trades on the NASDAQ Global Select Market under
the ticker symbol “NVDA.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of NVIDIA Corporation or other securities of NVIDIA Corporation. We have derived
all disclosures contained in this pricing supplement regarding NVIDIA Corporation 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 NVIDIA Corporation.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. NVIDIA Corporation 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 NVIDIA Corporation.
Historical Information
The graph below shows the closing prices of the common stock
of NVIDIA Corporation for each day such price was available from January 2, 2008 to October 17, 2017. The table that follows shows
the high and low closing prices of, and dividends paid on, the common stock of NVIDIA Corporation 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 NVIDIA Corporation 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 NVIDIA Corporation as an indication
of future performance.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
Common Stock
of NVIDIA Corporation – Historical Closing Prices
January 2, 2008
to October 17, 2017
|
|
* The red line indicates the
hypothetical downside threshold price with respect to NVIDIA Corporation of $118.65, assuming the closing price on October 17,
2017 were the applicable initial share price.
Common Stock of NVIDIA Corporation
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$33.01
|
$17.66
|
$0.00000
|
Second Quarter
|
$24.85
|
$17.91
|
$0.00000
|
Third Quarter
|
$18.75
|
$9.29
|
$0.00000
|
Fourth Quarter
|
$10.41
|
$5.90
|
$0.00000
|
2009
|
|
|
|
First Quarter
|
$10.56
|
$7.21
|
$0.00000
|
Second Quarter
|
$12.30
|
$8.40
|
$0.00000
|
Third Quarter
|
$16.47
|
$10.09
|
$0.00000
|
Fourth Quarter
|
$18.68
|
$11.96
|
$0.00000
|
2010
|
|
|
|
First Quarter
|
$18.88
|
$15.39
|
$0.00000
|
Second Quarter
|
$18.01
|
$10.21
|
$0.00000
|
Third Quarter
|
$12.28
|
$8.88
|
$0.00000
|
Fourth Quarter
|
$15.40
|
$10.70
|
$0.00000
|
2011
|
|
|
|
First Quarter
|
$25.69
|
$15.77
|
$0.00000
|
Second Quarter
|
$20.50
|
$15.41
|
$0.00000
|
Third Quarter
|
$16.15
|
$11.73
|
$0.00000
|
Fourth Quarter
|
$15.82
|
$11.81
|
$0.00000
|
2012
|
|
|
|
First Quarter
|
$16.45
|
$13.52
|
$0.00000
|
Second Quarter
|
$15.33
|
$11.73
|
$0.00000
|
Third Quarter
|
$14.81
|
$12.37
|
$0.00000
|
Fourth Quarter
|
$13.62
|
$11.38
|
$0.07500
|
2013
|
|
|
|
First Quarter
|
$13.16
|
$11.98
|
$0.07500
|
Second Quarter
|
$14.92
|
$12.13
|
$0.07500
|
Third Quarter
|
$16.00
|
$14.09
|
$0.07500
|
Fourth Quarter
|
$16.22
|
$14.54
|
$0.08500
|
2014
|
|
|
|
First Quarter
|
$18.88
|
$15.36
|
$0.08500
|
Second Quarter
|
$19.61
|
$17.98
|
$0.08500
|
Third Quarter
|
$20.03
|
$17.46
|
$0.08500
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
Fourth
Quarter
|
$21.14
|
$16.79
|
$0.08500
|
2015
|
|
|
|
First Quarter
|
$23.47
|
$19.14
|
$0.08500
|
Second Quarter
|
$22.76
|
$20.11
|
$0.09750
|
Third Quarter
|
$24.65
|
$19.31
|
$0.09750
|
Fourth Quarter
|
$33.75
|
$24.17
|
$0.11500
|
2016
|
|
|
|
First Quarter
|
$35.76
|
$25.22
|
$0.11500
|
Second Quarter
|
$48.49
|
$34.76
|
$0.11500
|
Third Quarter
|
$68.52
|
$46.66
|
$0.11500
|
Fourth Quarter
|
$117.32
|
$65.35
|
$0.14000
|
2017
|
|
|
|
First Quarter
|
$119.13
|
$97.67
|
$0.14000
|
Second Quarter
|
$159.94
|
$95.49
|
$0.14000
|
Third Quarter
|
$187.55
|
$139.33
|
$0.14000
|
Fourth Quarter (through October 17, 2017)
|
$197.93
|
$179.00
|
$0.00000
|
The closing price of the common
stock of NVIDIA Corporation on October 17, 2017 was $197.75.
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of NVIDIA Corporation 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 NVIDIA Corporation.
Information
About Square, Inc.
Square, Inc. sells
point-of-sale
software and services that help sellers make informed business decisions through the use of analytics and reporting
. The
class A common stock of Square, Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).
Information provided to or filed with the SEC by Square, Inc. pursuant to the Exchange Act can be located by reference to the SEC
file number 001-37622 through the SEC’s website at http://www.sec.gov. In addition, information regarding Square, Inc. may
be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The class A common stock of Square, Inc. trades on the New York Stock Exchange under the ticker symbol “SQ.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the class A common stock of Square, Inc. or other securities of Square, Inc. We have derived all
disclosures contained in this pricing supplement regarding Square, 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 Square, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Square, Inc. is not involved in any way in this offering and has no obligation
relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the class A common stock of Square, Inc.
Historical Information
The graph below shows the closing prices of the class A common
stock of Square, Inc. for each day such price was available from November 19, 2015 to October 17, 2017. The table that follows
shows the high and low closing prices of, and dividends paid on, the class A common stock of Square, Inc. for each quarter in that
same period. The underlying shares began trading on November 19, 2015 and therefore have a limited historical performance.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 class A common stock of Square, 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 Square, Inc. as an indication of future performance.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
Shares of Class
A Common Stock of Square, Inc. – Historical Closing Prices
November 19,
2015 to October 17, 2017
|
|
* The red line indicates the
hypothetical downside threshold price with respect to Square, Inc. of $19.614, assuming the closing price on October 17, 2017 were
the applicable initial share price.
Shares of Class A Common Stock of Square, Inc.
|
High
|
Low
|
Dividends
|
2015
|
|
|
|
Fourth Quarter (beginning November 19, 2015)
|
$13.09
|
$11.90
|
$0.00000
|
2016
|
|
|
|
First Quarter
|
$15.28
|
$8.37
|
$0.00000
|
Second Quarter
|
$15.48
|
$8.62
|
$0.00000
|
Third Quarter
|
$12.39
|
$8.94
|
$0.00000
|
Fourth Quarter
|
$14.48
|
$10.93
|
$0.00000
|
2017
|
|
|
|
First Quarter
|
$17.93
|
$13.81
|
$0.00000
|
Second Quarter
|
$24.78
|
$16.69
|
$0.00000
|
Third Quarter
|
$28.81
|
$22.83
|
$0.00000
|
Fourth Quarter (through October 17, 2017)
|
$33.22
|
$29.39
|
$0.00000
|
The closing price of the shares of class A common stock of Square,
Inc. on October 17, 2017 was $32.69.
We make no representation as to the amount of dividends, if any,
that may be paid on the class A common stock of Square, 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 class A common stock of Square, Inc.
Information
About Advanced Micro Devices, Inc.
Advanced Micro Devices, Inc.
is
a semiconductor company offering x86 microprocessors, as a standalone central processing unit (“CPU”) or as incorporated
into an accelerated processing unit (“APU”), chipsets, and discrete graphics processing units (“GPUs”)
for the consumer, commercial and professional graphics markets, and server and embedded CPUs, GPUs and APUs, and semi-custom System-on-Chip
products and technology for game consoles.
The common stock of Advanced Micro Devices, Inc. is registered under the Securities
Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the SEC by Advanced Micro
Devices, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-07882 through the SEC’s
website at http://www.sec.gov. In addition, information regarding Advanced Micro Devices, Inc. may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Prior to January 2,
2015, Advanced Micro Devices, Inc. traded on the New York Stock Exchange under the ticker symbol “AMD.” Since January
2, 2015, Advanced Micro Devices, Inc. has traded on the NASDAQ Global Select Market under the ticker symbol “AMD.”
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Advanced Micro Devices, Inc. or other securities of Advanced Micro Devices, Inc.
We have derived all disclosures contained in this pricing supplement regarding Advanced Micro Devices, 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 Advanced Micro
Devices, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Advanced Micro Devices, 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 Advanced Micro Devices, Inc.
Historical Information
The graph below shows the closing prices of the common stock
of Advanced Micro Devices, Inc. for each day such price was available from January 2, 2008 to October 17, 2017. The table that
follows shows the high and low closing prices of, and dividends paid on, the common stock of Advanced Micro Devices, 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 Advanced Micro Devices, 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 Advanced Micro
Devices, Inc. as an indication of future performance.
Shares of Common
Stock of Advanced Micro Devices, Inc. – Historical Closing Prices
January 2, 2008
to October 17, 2017
|
|
* The red line indicates the
hypothetical downside threshold price with respect to Advanced Micro Devices, Inc. of $8.496, assuming the closing price on October
17, 2017 were the applicable initial share price.
Shares of Common Stock of Advanced Micro Devices, Inc.
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$8.00
|
$5.53
|
$0.00000
|
Second Quarter
|
$7.78
|
$5.78
|
$0.00000
|
Third Quarter
|
$6.34
|
$4.19
|
$0.00000
|
Fourth Quarter
|
$4.74
|
$1.80
|
$0.00000
|
2009
|
|
|
|
First Quarter
|
$3.56
|
$2.00
|
$0.00000
|
Second Quarter
|
$4.82
|
$3.02
|
$0.00000
|
Third Quarter
|
$6.08
|
$3.36
|
$0.00000
|
Fourth Quarter
|
$9.91
|
$4.60
|
$0.00000
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
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, 2018
|
|
2010
|
|
|
|
First Quarter
|
$9.71
|
$7.19
|
$0.00000
|
Second Quarter
|
$10.16
|
$7.32
|
$0.00000
|
Third Quarter
|
$8.21
|
$5.61
|
$0.00000
|
Fourth Quarter
|
$8.24
|
$6.82
|
$0.00000
|
2011
|
|
|
|
First Quarter
|
$9.44
|
$7.48
|
$0.00000
|
Second Quarter
|
$9.10
|
$6.89
|
$0.00000
|
Third Quarter
|
$7.75
|
$5.08
|
$0.00000
|
Fourth Quarter
|
$5.95
|
$4.53
|
$0.00000
|
2012
|
|
|
|
First Quarter
|
$8.25
|
$5.43
|
$0.00000
|
Second Quarter
|
$8.20
|
$5.41
|
$0.00000
|
Third Quarter
|
$6.03
|
$3.28
|
$0.00000
|
Fourth Quarter
|
$3.28
|
$1.86
|
$0.00000
|
2013
|
|
|
|
First Quarter
|
$2.85
|
$2.40
|
$0.00000
|
Second Quarter
|
$4.38
|
$2.29
|
$0.00000
|
Third Quarter
|
$4.64
|
$3.27
|
$0.00000
|
Fourth Quarter
|
$4.09
|
$3.14
|
$0.00000
|
2014
|
|
|
|
First Quarter
|
$4.47
|
$3.31
|
$0.00000
|
Second Quarter
|
$4.47
|
$3.65
|
$0.00000
|
Third Quarter
|
$4.66
|
$3.41
|
$0.00000
|
Fourth Quarter
|
$3.40
|
$2.47
|
$0.00000
|
2015
|
|
|
|
First Quarter
|
$3.31
|
$2.24
|
$0.00000
|
Second Quarter
|
$2.87
|
$2.22
|
$0.00000
|
Third Quarter
|
$2.53
|
$1.62
|
$0.00000
|
Fourth Quarter
|
$3.00
|
$1.74
|
$0.00000
|
2016
|
|
|
|
First Quarter
|
$2.93
|
$1.80
|
$0.00000
|
Second Quarter
|
$5.45
|
$2.62
|
$0.00000
|
Third Quarter
|
$7.67
|
$4.96
|
$0.00000
|
Fourth Quarter
|
$12.07
|
$6.30
|
$0.00000
|
2017
|
|
|
|
First Quarter
|
$15.20
|
$9.75
|
$0.00000
|
Second Quarter
|
$14.64
|
$10.04
|
$0.00000
|
Third Quarter
|
$14.76
|
$12.05
|
$0.00000
|
Fourth Quarter (through October 17, 2017)
|
$14.26
|
$12.71
|
$0.00000
|
The closing price of the shares of common stock of Advanced Micro
Devices, Inc. on October 17, 2017 was $14.16.
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of Advanced Micro Devices, 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 Advanced Micro Devices, 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 counsel, Davis Polk & Wardwell LLP, which is based on current market conditions,
this treatment of the securities is reasonable under current law; however, our 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:
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
|
·
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a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
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|
·
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the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
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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.
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and 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.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations – Tax Consequences to Non-U.S. Holders – Possible
Withholding Under Section 871(m) of the Code” in the accompanying product supplement, Section 871(m) of the Code and Treasury
regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities (“U.S. Underlying
Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies to instruments that substantially
replicate the economic performance of one or more U.S. Underlying Equities, as determined based on tests set forth in the applicable
Treasury regulations (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).
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 discussion 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 $28.75 for each
$1,000 security sold in this offering. CGMI will pay selected dealers not affiliated with
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
CGMI a fixed selling concession of $28.75 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.
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 advisers 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 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.
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
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Common Stock of NVIDIA Corporation, the Class A Common Stock of Square, Inc. and the Common Stock of Advanced Micro Devices, Inc. Due October
-----
, 2018
|
|
|
(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
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(ii)
|
where no consideration is or will be given for the transfer; or
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|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
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(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.
©
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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