This Amended and Restated Pricing Supplement No. 2017-USNCH0842 is being filed to revise disclosure related to the underwriting fee and proceeds to issuer.
|
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, 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 NOVEMBER
17, 2017
|
Citigroup Global Markets Holdings Inc.
|
November
-----
,
2017
Medium-Term Senior Notes, Series
N
Amended and Restated Pricing
Supplement No. 2017-USNCH0842
Filed Pursuant to Rule 424(b)(3)
Registration Statement Nos.
333-216372 and 333-216372-01
|
Autocallable Equity Linked Securities
Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the
Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
,
2019
|
▪
|
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 knock-in event (as described below) occurs, you will be exposed to any depreciation in the worst
performing underlying asset from its starting value to its closing value on the valuation date and the payment you receive at
maturity may be significantly less than the stated principal amount of your securities, and possibly nothing. Each of these risks
will depend on the performance of the
worst performing
of the shares of the VanEck Vectors Gold Miners ETF, the S&P
500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index (each, an “underlying
asset”), as described below. You will be subject to risks associated with each of the underlying assets and will be negatively
affected by adverse movements in any of the underlying assets regardless of the performance of any other underlying assets. Although
you will be exposed to downside risk with respect to the worst performing underlying asset, you will not participate in any appreciation
of the underlying assets or receive any dividends paid on the underlying assets or the stocks included in or held by the underlying
assets, as applicable.
|
|
▪
|
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 assets:
|
Underlying assets
|
Starting value*
|
Knock-in value**
|
|
Shares of the VanEck Vectors Gold Miners ETF
|
$
|
$
|
|
S&P 500
®
Index
|
|
|
|
Russell 2000
®
Index
|
|
|
|
EURO STOXX 50
®
Index
|
|
|
|
* For each of the underlying assets, its closing level
or closing price, as applicable, on the pricing date
** For each of the underlying assets, 65% of its starting
value
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
November , 2017 (expected to be November 17, 2017)
|
Issue date:
|
November , 2017 (three business days after the pricing date). See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Valuation date:
|
May , 2019 (expected to be May 17, 2019), subject to postponement if such date is not a scheduled trading day for any of the underlying assets or if certain market disruption events occur with respect to any of the underlying assets
|
Maturity date:
|
Unless earlier redeemed, May , 2019 (expected to be May 22, 2019)
|
Coupon payments:
|
0.8875% of the stated principal amount (approximately 10.65% per annum) paid on each monthly coupon payment date, subject to automatic early redemption
|
Coupon payment dates:
|
Expected to be December 22, 2017, January 24, 2018, February 26, 2018, March 26, 2018, April 24, 2018, May 24, 2018, June
25, 2018, July 24, 2018, August 24, 2018, September 24, 2018, October 24, 2018, November 26, 2018, December 24, 2018, January
25, 2019, February 26, 2019, March 25, 2019, April 25, 2019 and the maturity date
|
Observation dates:
|
The day of each month (expected to be the 17th day of each month), beginning in December 2017 and ending in April 2019, 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:
▪ If the
closing value of the worst performing underlying asset on the valuation date is
greater than or equal to
the applicable
starting value: $1,000
▪ If the
closing value of the worst performing underlying asset on the valuation date is
less than
the applicable starting value
and a knock-in event has not occurred: $1,000
▪ If the
closing value of the worst performing underlying asset on the valuation date is
less than
the applicable starting value
and a knock-in event has occurred:
$1,000 × the underlying
asset performance factor of the worst performing underlying asset on the valuation date
If the closing value of the worst performing underlying
asset on the valuation date is less than the applicable starting value and a knock-in event has occurred, you will receive less
than the stated principal amount of your securities, and possibly nothing, at maturity.
|
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
(3)
|
Per security:
|
$1,000.00
|
$7.00
|
$993.00
|
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 $940.00 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) CGMI will receive an underwriting
fee of up to $7.00 for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial
advisors will collectively receive from CGMI a selling concession of $2.50 for each $1,000 security they sell. Selected dealers
through whom we distribute securities may enter into arrangements with other institutions with respect to the distribution of
the securities, and those institutions may share in the commissions, discounts or other compensation received by our selected
dealers, may be compensated separately and may also receive commissions from purchasers for whom they may act as agents. We may
also engage other firms to provide marketing or promotional services in connection with the distribution of the securities. CGMI
will also pay certain service providers a fee of up to $4.50 per security in consideration for providing marketing, education,
structuring or referral services with respect to financial advisors or selected dealers. 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.
(3) The per security proceeds to Citigroup
Global Markets Holdings Inc. indicated above represent the minimum per security proceeds to Citigroup Global Markets Holdings
Inc. for any security, assuming the maximum per security underwriting fee of $7.00. As noted in footnote (2), the underwriting
fee is variable. The total underwriting fee and proceeds to issuer shown above give effect to the actual amount of this variable
underwriting fee. You should refer to “Supplemental Plan of Distribution” in this pricing supplement and “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, 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 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 Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
If, on any potential redemption date, the closing value of the worst performing underlying asset on that date is greater than or equal to its starting value, 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 May 2018 and ending in April 2019
|
Closing value:
|
For each underlying asset on any date, its closing level or closing price, as applicable, on that date
|
Knock-in event:
|
A knock-in event will occur if, on any trading day during the observation period, the closing value of the worst performing underlying asset on that trading day is less than the applicable knock-in value
|
Observation period:
|
The period from but excluding the pricing date to and including the valuation date
|
Underlying asset performance factor:
|
For each of the underlying assets on any date, its closing value on that date
divided by
its starting value
|
Worst performing underlying asset:
|
For any date, the underlying asset with the lowest underlying asset performance factor on that date
|
CUSIP / ISIN:
|
17324CPA8 / US17324CPA89
|
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, such as market disruption events and other events
affecting the underlying assets. 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 ETF Shares or Company Shares—Consequences
of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution and Reorganization Adjustments”
and “—Delisting, Liquidation or Termination of an ETF” with respect to the shares of the VanEck Vectors Gold
Miners ETF, and 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” with respect to the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index. The accompanying underlying supplement contains important disclosures
regarding the underlying assets 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.
Postponement of an observation date.
If a scheduled observation
date is not a scheduled trading day for any of the underlying assets or if a market disruption event occurs with respect to any
of the underlying assets 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—Certain
Additional Terms for Securities Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement
of a Valuation Date” and “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.” If a scheduled observation
date is postponed, the closing value of each of the underlying assets in respect of that observation date will be determined based
on (i) for any underlying asset 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 value of such underlying asset
on the originally scheduled observation date and (ii) for any other underlying assets, the closing values of such underlying assets
on the observation date as postponed (or, if earlier, the first scheduled trading day for such underlying assets following the
originally scheduled observation date on which a market disruption event did not occur with respect to such underlying assets).
Postponement of the valuation date.
If the scheduled valuation
date is not a scheduled trading day for any of the underlying assets or if a market disruption event occurs with respect to any
of the underlying assets on the scheduled valuation date, the valuation 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—Certain
Additional Terms for Securities Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement
of a Valuation Date” and “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.” If the scheduled valuation
date is postponed, the closing value of each of the underlying assets in respect of the valuation date will be determined based
on (i) for any underlying asset for which the originally scheduled valuation date is a scheduled trading day and as to which a
market disruption event does not occur on the originally scheduled valuation date, the closing value of such underlying asset on
the originally scheduled valuation date and (ii) for any other underlying assets, the closing values of such underlying assets
on the valuation date as postponed (or, if earlier, the first scheduled trading day for such underlying assets following the originally
scheduled valuation date on which a market disruption event did not occur with respect to such underlying assets).
Dilution and reorganization adjustments.
With respect
to the VanEck Vectors Gold Miners ETF, the starting value and the knock-in value are each a “Relevant Price” for purposes
of the section “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company
Shares—Dilution and Reorganization Adjustments” in the accompanying product supplement. Accordingly, the starting value
and the knock-in value applicable to the VanEck Vectors Gold Miners ETF are each subject to adjustment upon the occurrence of any
of the events described in that section.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Hypothetical
Examples of the Payment at Maturity on the Securities
The examples below illustrate how to calculate the payment at
maturity on 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
six 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 starting value or knock-in value of
any of the underlying assets, each of which will be determined on the pricing date:
Underlying
assets
|
Hypothetical
starting value*
|
Hypothetical
knock-in value**
|
Shares
of the VanEck Vectors Gold Miners ETF
|
$23.00
|
$14.95
(65% of the applicable hypothetical starting value)
|
S&P
500
®
Index
|
2,600.00
|
1,690.00
(65% of the applicable hypothetical starting value)
|
Russell
2000
®
Index
|
1,500.000
|
975.00
(65% of the applicable hypothetical starting value)
|
EURO
STOXX 50
®
Index
|
3,600.00
|
2,340.00
(65% of the applicable hypothetical starting value)
|
Coupon
payment rate:
|
10.65%
of the stated principal amount per annum, paid monthly, subject to automatic early redemption
|
*
For each of the underlying
assets, its actual starting value will be its closing level or closing price, as applicable, on the pricing date.
**
For each of the underlying
assets, its actual knock-in value will be equal to 65% of its starting value.
The following examples illustrate the hypothetical payment at
maturity on the securities, assuming the securities have not been earlier automatically redeemed.
Example 1:
In this
example, the closing value of the Russell 2000
®
Index has the lowest underlying asset performance factor (based
on its closing value on the valuation date) and is therefore the worst performing underlying asset on the valuation date. In this
scenario, the closing value of the worst performing underlying asset on the valuation date is greater than its starting value.
Accordingly, at maturity, you would receive the $1,000 stated principal amount of the securities
plus
the final coupon payment.
You would not participate in the appreciation of any of the underlying assets. Because the closing value of the worst performing
underlying asset on the valuation date is
greater than
the applicable starting value, you would receive the $1,000 stated
principal of the securities.
Example 2:
In this
example, the closing value of the EURO STOXX 50
®
Index on the valuation date
has depreciated
from the applicable
initial index level by 10% and a knock-in event has not occurred. Accordingly, at maturity, you would receive the $1,000 stated
principal amount of the securities even though the closing value of the worst performing underlying index on the valuation date
has depreciated from the applicable starting value.
Example 3:
In this
example, the S&P 500
®
Index has the lowest underlying asset performance factor (based on its closing value on
the valuation date) and is therefore the worst performing underlying asset on the valuation date. In this scenario, the closing
value of the worst performing underlying asset on the valuation date is less than its knock-in value and, as a result, a knock-in
event occurs. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity = $1,000 × underlying
asset performance factor of the S&P 500
®
Index on the valuation date + final coupon payment
= ($1,000 × 0.30) + $8.875
= $308.875
In this example, you would
receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based on the
performance of the worst performing underlying asset, even though the closing values of the other underlying assets on the valuation
date are greater than their knock-in values.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
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 assets. 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 and a knock-in event has occurred, you will be fully exposed to any depreciation of the worst performing underlying
asset. If a knock-in event has occurred, you will lose 1% of the stated principal amount of the securities for every 1% by which
the worst performing underlying asset has declined from its starting value to its closing value on the valuation date, regardless
of the performance of the other underlying assets. 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
six months after issuance, the securities will be automatically redeemed following a monthly observation date if the closing value
of the worst performing underlying asset on that date is greater than or equal to its starting value. 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 six 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 assets are important factors affecting these risks. In general, the higher the expected
volatility of the underlying assets, and the lower the expected correlation among the underlying assets, 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 value of any one of the underlying assets will be less than its knock-in
value on any day during the observation period and the closing value of the worst performing underlying asset on the valuation
date will be less than its starting value, such that you will not be repaid the stated principal amount of your securities at maturity.
|
|
▪
|
The securities are subject to the risks of all of the underlying assets and will be negatively affected if any of the underlying
assets perform poorly, even if the other underlying assets perform well.
You are subject to risks associated with all of the
underlying assets. If any of the underlying assets perform poorly, you will be negatively affected, even if the other underlying
assets perform well. The securities are not linked to a basket composed of the underlying assets, where the better performance
of some could ameliorate the poor performance of the others. Instead, you are subject to the full risks of whichever of the underlying
assets is the worst performing underlying asset.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying assets.
The return on the securities
depends solely on the performance of the worst performing underlying asset, and you will not benefit in any way from the performance
of the better performing underlying assets. The securities may underperform a similar investment in all of the underlying assets
or a similar alternative investment linked to a basket composed of the underlying assets, since in either such case the performance
of the better performing underlying assets would be blended with the performance of the worst performing underlying asset, resulting
in a better return than the return of the worst performing underlying asset.
|
|
▪
|
You will be subject to risks relating to the relationship
among the underlying assets.
It is preferable from your perspective for the underlying assets 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 assets will not exhibit this relationship. The less correlated the underlying assets,
the more likely it is that any one of the underlying assets 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 assets to perform poorly; the performance of the underlying
assets that are not the worst performing underlying asset is not relevant to your return on the securities. It is impossible to
predict what the relationship among the underlying assets will be over the term of the securities.
The VanEck Vectors Gold
Miners ETF represents stocks of companies primarily engaged in the mining of gold and silver. The S&P 500
®
Index
represents large capitalization stocks in the United States, the Russell 2000
®
Index
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
represents small
capitalization stocks in the United States and the EURO STOXX 50
®
Index represents large capitalization stocks
in the Eurozone. Accordingly, the underlying indices represent markets that differ in significant ways and, therefore, may not
be correlated with each other.
|
▪
|
The securities offer downside exposure to the underlying assets, but no upside exposure to the underlying assets.
You
will not participate in any appreciation in the price of any of the underlying assets 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 assets 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 assets or the stocks included in or held by the underlying assets, as applicable.
|
|
▪
|
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 assets, the dividend yields on the shares of the VanEck Vectors Gold Miners ETF and the stocks included in or held by
the underlying assets and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as
an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may
prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the
securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the
estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial
estimated value.
|
|
▪
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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
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
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 price and volatility of the underlying assets and a number of other factors,
including the correlation among the underlying assets, dividend yields on the stocks included in or held by, as applicable, the
underlying assets, interest rates generally, changes in the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the EURO STOXX 50
®
Index, 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 assets
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.
|
|
▪
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Risks associated with the gold and silver mining industries will affect the price of the shares of the VanEck Vectors Gold
Miners ETF.
The equity securities included in the NYSE Arca Gold Miners Index and that are generally tracked by the VanEck
Vectors Gold Miners ETF are common stocks and American depositary receipts (“ADRs”) of companies primarily engaged
in mining for gold and silver. The shares of the VanEck Vectors Gold Miners ETF may be subject to increased price volatility as
they are linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or regulatory
occurrences affecting that industry, market or sector.
|
Because the VanEck Vectors Gold Miners ETF invests
primarily in common stocks and ADRs of companies that are involved in the gold mining industries, the shares of the VanEck Vectors
Gold Miners ETF are subject to certain risks associated with such companies. Competitive pressures may have a significant effect
on the financial condition of such companies in the gold mining industry. Also, gold mining companies are highly dependent on the
price of gold. The price of gold is primarily affected by the global demand for and supply of gold. The market for gold bullion
is global, and gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors,
including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding
the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of
gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political,
regulatory, judicial or other events. Gold prices may be affected by industry factors, such as industrial and jewelry demand as
well as lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and
multilateral institutions that hold gold. Additionally, gold prices may be affected by levels of gold production, production costs
and short-term changes in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories
of gold may also influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors.
The price of gold has recently been, and may continue to be, extremely volatile.
The VanEck Vectors Gold Miners ETF invests to a lesser
extent in common stocks and ADRs of companies involved in the silver mining industry. Silver mining companies are highly dependent
on the price of silver. The price of silver is primarily affected by global demand for and supply of silver. Silver prices can
fluctuate widely and may be affected by numerous factors. These include general economic trends, technical developments, substitution
issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate
of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other
currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic events and
production costs and disruptions in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply
of silver affect silver prices, but not necessarily in the same manner as supply and demand affect the prices of other commodities.
The supply of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held
by governments, public and private financial institutions, industrial organizations and private individuals. In addition, the price
of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From time to time, above-ground
inventories of silver may also influence the market. The major end uses for silver include industrial applications, jewelry and
silverware.
|
▪
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The securities are linked to the Russell 2000
®
Index and will be subject to risks associated with small capitalization
stocks.
The stocks that constitute the Russell 2000
®
Index are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
|
▪
|
The EURO STOXX 50
®
Index is subject to risks associated with foreign equity securities.
Investments in
securities linked to the value of foreign equity securities 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 foreign companies than about U.S. companies
that are subject to the reporting requirements of the SEC, and foreign 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 issued 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.
|
|
▪
|
The performance of the EURO STOXX 50
®
Index will not be adjusted for changes in the exchange rate between
the euro and the U.S. dollar.
The EURO STOXX 50
®
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 EURO STOXX 50
®
Index and the value of your securities will not be adjusted for exchange rate fluctuations. If the euro appreciates relative to
the U.S. dollar over the term of the securities, the performance of the EURO STOXX 50
®
Index as measured for purposes
of the securities will be less than it would have been if it offered exposure to that appreciation in addition to the change in
the prices of the underlying stocks.
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Our offering of the securities is not a recommendation of any of the underlying assets.
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 assets 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 assets or in instruments related to the underlying assets and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying assets. These and other of our affiliates’
activities may affect the prices of the underlying assets 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 levels or prices of the underlying assets 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 shares of the VanEck Vectors Gold Miners ETF and in the stocks included in the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index and other financial instruments related
to the underlying assets or the stocks included in or held by the underlying assets, as applicable, and may adjust such positions
during the term of the securities. Our affiliates also trade the shares of the VanEck Vectors Gold Miners ETF and the stocks included
in the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index and
other financial instruments related to the underlying assets 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 values of the underlying assets 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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▪
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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 VanEck Vectors Gold Miners ETF or
with the issuers of the stocks included in or held by the underlying assets, as applicable, including extending loans to, making
equity investments in or providing advisory services to such issuers or the VanEck Vectors Gold Miners ETF. In the course of this
business, we or our affiliates may acquire non-public information 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.
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|
▪
|
Changes that affect the underlying assets may affect the value of your securities.
The sponsors of the S&P 500
®
Index, the Russell 2000
®
Index, the EURO STOXX 50
®
Index or the index underlying the VanEck Vectors
Gold Miners ETF may add, delete or substitute the stocks that constitute those indexes or make other methodological changes that
could affect the levels of those indexes. In addition, the investment adviser to the VanEck Vectors Gold Miners ETF may change
the manner in which the VanEck Vectors Gold Miners ETF operates or its investment objectives at any time. We are not affiliated
with any such index sponsor or investment advisor and, accordingly, we have no control over any changes any such index sponsor
or investment adviser may make. Such changes could be made at any time and could adversely affect the performance of the underlying
assets and the value of and your payment at maturity on the securities.
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|
▪
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You will have no rights and will not receive dividends with respect to the VanEck Vectors Gold Miners ETF.
You should
understand that you will not receive any dividend payments under the securities. If any change to the VanEck Vectors Gold Miners
ETF is proposed, such as an amendment to its organizational documents, you will not have the right to vote on such change. Any
such change may adversely affect the market price of the VanEck Vectors Gold Miners ETF.
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▪
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Even if the issuer of the VanEck Vectors Gold Miners ETF 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 the VanEck Vectors Gold Miners ETF 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 shares of the VanEck Vectors Gold Miners ETF on the date of declaration of the dividend. Any dividend
will reduce the closing price of the shares of the VanEck Vectors Gold Miners ETF by the amount of the dividend per share. If the
issuer of the VanEck Vectors Gold Miners ETF 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.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of the shares of the VanEck Vectors Gold
Miners ETF.
For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet
the criteria described above. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular
event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the
shares of the VanEck Vectors Gold Miners ETF would not.
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▪
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The securities may become linked to shares of an issuer other than the original issuer of the VanEck Vectors Gold Miners
ETF upon the occurrence of a reorganization event or upon the delisting of the shares of the VanEck Vectors Gold Miners ETF.
For example, if the issuer of the VanEck Vectors Gold Miners ETF enters into a merger agreement that provides for holders of the
shares of the VanEck Vectors Gold Miners ETF to receive stock of another entity, the stock of such other entity will become the
applicable underlying asset for all purposes of the securities upon consummation of the merger. Additionally, if the shares of
the VanEck Vectors Gold Miners ETF are delisted or otherwise terminated, the calculation agent may, in its sole discretion, select
shares of another issuer to be the applicable underlying asset. See “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an Underlying ETF” in the accompanying product supplement.
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The price and performance of the VanEck Vectors Gold Miners ETF may not completely track the performance of the NYSE Arca
Gold Miners Index or the net asset value per share of the VanEck Vectors Gold Miners ETF.
The VanEck Vectors Gold Miners ETF
does not fully replicate the NYSE Arca Gold Miners Index and may hold securities different from those included in the NYSE Arca
Gold Miners Index. In addition, the performance of the VanEck Vectors Gold Miners ETF reflect additional transaction costs and
fees that are not included in the calculation of the NYSE Arca Gold Miners Index. All of these factors may lead to a lack of correlation
between the performance of the VanEck Vectors Gold Miners ETF and the NYSE Arca Gold Miners Index. In addition, corporate actions
with respect to the equity securities constituting the NYSE Arca Gold Miners Index or held by the VanEck Vectors Gold Miners ETF
(such as mergers and spin-offs) may impact the variance between the performance of the VanEck Vectors Gold Miners ETF and the NYSE
Arca Gold Miners Index. Finally, because shares of the VanEck Vectors Gold Miners ETF are traded on NYSE Arca, Inc. and are subject
to market supply and investor demand, the market value of the VanEck Vectors Gold Miners ETF may differ from its net asset value
per share.
|
During periods of market volatility,
securities underlying the VanEck Vectors Gold Miners ETF may be unavailable in the secondary market, market participants may be
unable to calculate accurately the net asset value per share of the VanEck Vectors Gold Miners ETF and the liquidity of the VanEck
Vectors Gold Miners ETF may be adversely affected. This kind of market volatility may also disrupt the ability of market participants
to create and redeem shares of the VanEck Vectors Gold Miners ETF. Further, market volatility may adversely affect, sometimes materially,
the price at which market participants are willing to buy and sell shares of the VanEck Vectors Gold Miners ETF. As a result, under
these circumstances, the market value of the VanEck Vectors Gold Miners ETF may vary substantially from its net asset value per
share. For all of the foregoing reasons, the performance of the VanEck Vectors Gold Miners ETF might not correlate with the performance
of the NYSE Arca Gold Miners Index and/or its net asset value per share, which could materially and adversely affect the value
of the securities in the secondary market and/or reduce your payment at maturity.
|
▪
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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, events with respect to the VanEck Vectors Gold Miners ETF that may require
a dilution adjustment, the delisting of the the VanEck Vectors Gold Miners ETF or the discontinuance of the S&P 500
®
Index, the Russell 2000
®
Index or the EURO STOXX 50
®
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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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 described herein. If the IRS were successful in asserting an alternative treatment
for the securities, the tax consequences of 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. While it is not clear whether the securities would be viewed as similar to the typical
prepaid forward contract described in the notice, 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 is subject to withholding tax,
possibly with retroactive effect.
|
As described below under “United
States Federal Tax Considerations,” in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment on a security to a non-U.S. person as subject to withholding tax at a rate of 30%. Moreover, it
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
is possible that in the
future we may determine that we should withhold at a rate of 30% on coupon payments on the securities to non-U.S. persons.
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 review carefully the
section of this pricing supplement entitled “United States Federal Tax Considerations.” You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible alternative treatments
and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Information
About the Shares of the VanEck Vectors Gold Miners ETF
The VanEck Vectors Gold Miners ETF is an exchange-traded fund
that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities involved primarily in the mining of gold or silver, as measured by the NYSE Arca Gold Miners Index.
However, for purposes of the securities, the performance of the VanEck Vectors Gold Miners ETF will reflect only its price performance,
as any dividends paid on the shares of the VanEck Vectors Gold Miners ETF will not be factored into a determination of the final
share price of the VanEck Vectors Gold Miners ETF.
The VanEck Vectors Gold Miners ETF is an investment portfolio
of Market Vectors ETF Trust. Van Eck Associates Corporation is currently the investment adviser to the VanEck Vectors Gold Miners
ETF. Information provided to or filed with the SEC by Market Vectors ETF Trust pursuant to the Securities Act of 1933, as amended,
and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-123257 and 811-10325, respectively,
through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other publicly disseminated documents. The VanEck Vectors Gold Miners ETF
trades on the NYSE Arca under the ticker symbol “GDX.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the shares of the VanEck Vectors Gold Miners ETF or other securities of the issuer of the shares
of the VanEck Vectors Gold Miners ETF. We have derived all disclosures contained in this pricing supplement regarding the shares
of the VanEck Vectors Gold Miners ETF and the issuer of the shares of the VanEck Vectors Gold Miners ETF 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 the VanEck
Vectors Gold Miners ETF or the NYSE Arca Gold Miners Index.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The VanEck Vectors Gold Miners ETF 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 shares of the VanEck Vectors Gold Miners ETF.
Historical Information
The graph below shows the closing prices of the shares of the
VanEck Vectors Gold Miners ETF for each day such price was available from January 2, 2008 to November 14, 2017. The table that
follows shows the high and low closing prices of, and dividends paid on, the shares of the VanEck Vectors Gold Miners ETF for each
quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent
verification.
You should not take the historical prices of the shares of the VanEck Vectors Gold Miners ETF as an indication
of future performance.
Shares of the
VanEck Vectors Gold Miners ETF – Historical Closing Prices
January 2, 2008
to November 14, 2017
|
|
* The red line indicates the
hypothetical knock-in value with respect to the shares of the VanEck Vectors Gold Miners ETF of $14.684, assuming the closing price
on November 14, 2017 were the applicable starting value.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Shares of
the VanEck Vectors Gold Miners ETF
(CUSIP:
92189F106)
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$56.29
|
$46.50
|
$0.00000
|
Second Quarter
|
$51.40
|
$42.38
|
$0.00000
|
Third Quarter
|
$50.84
|
$27.95
|
$0.00000
|
Fourth Quarter
|
$33.96
|
$16.38
|
$0.00000
|
2009
|
|
|
|
First Quarter
|
$38.57
|
$28.20
|
$0.00000
|
Second Quarter
|
$44.55
|
$30.95
|
$0.00000
|
Third Quarter
|
$48.00
|
$35.14
|
$0.00000
|
Fourth Quarter
|
$54.78
|
$41.87
|
$0.11100
|
2010
|
|
|
|
First Quarter
|
$50.17
|
$40.22
|
$0.00000
|
Second Quarter
|
$54.07
|
$46.36
|
$0.00000
|
Third Quarter
|
$56.66
|
$47.09
|
$0.00000
|
Fourth Quarter
|
$63.80
|
$54.28
|
$0.40100
|
2011
|
|
|
|
First Quarter
|
$60.79
|
$53.12
|
$0.00000
|
Second Quarter
|
$63.95
|
$51.80
|
$0.00000
|
Third Quarter
|
$66.69
|
$53.75
|
$0.00000
|
Fourth Quarter
|
$63.32
|
$50.07
|
$0.15000
|
2012
|
|
|
|
First Quarter
|
$57.47
|
$48.75
|
$0.00000
|
Second Quarter
|
$50.37
|
$39.34
|
$0.00000
|
Third Quarter
|
$54.81
|
$40.70
|
$0.00000
|
Fourth Quarter
|
$54.25
|
$44.85
|
$0.46200
|
2013
|
|
|
|
First Quarter
|
$47.09
|
$35.91
|
$0.00000
|
Second Quarter
|
$37.45
|
$22.22
|
$0.00000
|
Third Quarter
|
$30.43
|
$22.90
|
$0.00000
|
Fourth Quarter
|
$26.52
|
$20.39
|
$0.19100
|
2014
|
|
|
|
First Quarter
|
$27.73
|
$21.27
|
$0.00000
|
Second Quarter
|
$26.45
|
$22.04
|
$0.00000
|
Third Quarter
|
$27.46
|
$21.35
|
$0.00000
|
Fourth Quarter
|
$21.94
|
$16.59
|
$0.12100
|
2015
|
|
|
|
First Quarter
|
$22.94
|
$17.67
|
$0.00000
|
Second Quarter
|
$20.82
|
$17.76
|
$0.00000
|
Third Quarter
|
$17.85
|
$13.04
|
$0.00000
|
Fourth Quarter
|
$16.90
|
$13.08
|
$0.11600
|
2016
|
|
|
|
First Quarter
|
$20.86
|
$12.47
|
$0.00000
|
Second Quarter
|
$27.70
|
$19.53
|
$0.00000
|
Third Quarter
|
$31.32
|
$25.45
|
$0.00000
|
Fourth Quarter
|
$25.96
|
$18.99
|
$0.05500
|
2017
|
|
|
|
First Quarter
|
$25.57
|
$21.14
|
$0.00000
|
Second Quarter
|
$24.57
|
$21.10
|
$0.00000
|
Third Quarter
|
$25.49
|
$21.21
|
$0.00000
|
Fourth Quarter (through November 14, 2017)
|
$23.84
|
$22.43
|
$0.00000
|
The closing price of the shares
of the VanEck Vectors Gold Miners ETF on November 14, 2017 was $22.59.
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of the VanEck Vectors Gold Miners ETF in the future. In any event, as an investor in the securities,
you will not be entitled to receive dividends, if any, that may be payable on the shares of the VanEck Vectors Gold Miners ETF.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Information
About the S&P 500
®
Index
The S&P 500
®
Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500
®
Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500
®
” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. As of July 31, 2017, the securities of companies with multiple share class
structures are no longer eligible to be added to the S&P 500
®
Index, but securities already included in the
S&P 500
®
Index have been grandfathered and are not affected by this change. For more information, see “Equity
Index Descriptions—The S&P U.S. Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500
®
Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500
®
Index.
Historical Information
The closing level of the S&P 500
®
Index on
November 14, 2017 was 2,578.87.
The graph below shows the closing levels of the S&P 500
®
Index for each day such level was available from January 2, 2008 to November 14, 2017. We obtained the closing levels from
Bloomberg L.P., without independent verification. You should not take the historical levels of the S&P 500
®
Index
as an indication of future performance.
S&P 500
®
Index – Historical Closing Levels
January 2, 2008
to November 14, 2017
|
|
* The red line indicates the hypothetical coupon barrier level
and hypothetical knock-in level with respect to the S&P 500
®
Index of 1,676.266, assuming the closing level
on November 14, 2017 were the applicable starting value.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Information
About the Russell 2000
®
Index
The Russell 2000
®
Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000
®
Index are traded on a major U.S. exchange. It is calculated and maintained by Russell Investments, a subsidiary of Russell Investment
Group. The Russell 2000
®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000
®
Index” is a trademark
of Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000
®
Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000
®
Index.
Historical Information
The closing level of the Russell 2000
®
Index on
November 14, 2017 was 1,471.257.
The graph below shows the closing levels of the Russell 2000
®
Index for each day such level was available from January 2, 2008 to November 14, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000
®
Index as
an indication of future performance.
Russell 2000
®
Index – Historical Closing Levels
January 2, 2008
to November 14, 2017
|
|
* The red line indicates
the hypothetical coupon barrier level and hypothetical knock-in level with respect to the Russell 2000
®
Index of
956.317, assuming the closing level on November 14, 2017 were the applicable starting value.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Information
About the EURO STOXX 50
®
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 EURO
STOXX 50
®
Index.
Historical Information
The closing level of the EURO STOXX 50
®
Index
on November 14, 2017 was 3,556.38.
The graph below shows the closing levels of the EURO STOXX 50
®
Index for each day such level was available from January 2, 2012 to November 14, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the EURO STOXX 50
®
Index as
an indication of future performance.
EURO STOXX 50
®
Index – Historical Closing Levels
January 2, 2012
to November 14, 2017
|
|
* The red line indicates the hypothetical coupon barrier level
and hypothetical knock-in level with respect to the EURO STOXX 50
®
Index of 2,311.647, assuming the closing level
on November 14, 2017 were the applicable starting value.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
United States
Federal Tax Considerations
Prospective investors should note that the discussion under
the section called “United States Federal Tax Considerations” in the accompanying product supplement generally does
not apply to the securities issued under this pricing supplement and is superseded by the following discussion. However, the discussion
below is subject to the discussion in “United States Federal Tax Considerations—Possible Taxable Event” in the
accompanying product supplement, and you should read it in conjunction with that discussion.
The following is a discussion of the material U.S. federal income
and certain estate tax consequences of the ownership and disposition of the securities. It applies to you only if you are an initial
holder of a security that purchases the security for cash at its stated principal amount, and holds the security as a capital asset
within the meaning of Section 1221 of the Code.
This discussion does not address all of the tax consequences
that may be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:
|
·
|
a financial institution;
|
|
·
|
a dealer or trader subject to a mark-to-market method of tax accounting
with respect to the securities;
|
|
·
|
a person holding the securities as part of a “straddle”
or conversion transaction or one who enters into a “constructive sale” with respect to a security;
|
|
·
|
a U.S. Holder (as defined below) whose functional currency is not the
U.S. dollar;
|
|
·
|
an entity classified as a partnership for U.S. federal income tax purposes;
|
|
·
|
a “regulated investment company”;
|
|
·
|
a tax-exempt entity, including an “individual retirement account”
or “Roth IRA”; or
|
|
·
|
a person subject to the alternative minimum tax.
|
If an entity that is classified as a partnership for U.S. federal
income tax purposes holds the securities, the U.S. federal income tax treatment of a partner will generally depend on the status
of the partner and the activities of the partnership. If you are a partnership holding the securities or a partner in such a partnership,
you should consult your tax adviser as to the particular U.S. federal income tax consequences of holding and disposing of the securities
to you.
This discussion is based on the Code, administrative pronouncements,
judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, changes to any of which may
affect the tax consequences described herein, possibly with retroactive effect. This discussion does not address the effect of
any applicable state, local or non-U.S. tax laws or the potential application of the Medicare contribution tax.
You should consult
your tax adviser about the application of the U.S. federal income and estate tax laws to your particular situation (including the
possibility of alternative treatments of the securities), as well as any tax consequences arising under the laws of any state,
local or non-U.S. jurisdiction.
Tax Treatment of the Securities
Due to the absence of statutory, judicial or administrative authorities
that directly address the U.S. federal tax treatment of the securities or similar instruments, 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 each security for U.S. federal income tax purposes as a unit comprising (i) an option
written by you that, if exercised, requires you to pay at maturity an amount equal to the Deposit (as defined below) in exchange
for an amount determined by reference to the final value of the index (the “Put Option”) and (ii) a deposit with us
of a fixed amount of cash equal to the stated principal amount of the security to secure your potential obligation under the Put
Option (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 due
to the lack of any controlling legal authority it is unable to conclude affirmatively that this treatment is more likely than not
to be upheld, and that alternative treatments are possible. Under this treatment:
|
·
|
a portion of each coupon payment made with respect to a security will
be attributable to interest on the Deposit; and
|
|
·
|
the remainder will represent option premium attributable to your grant
of the Put Option (with respect to each coupon payment received and, collectively, all coupon payments received, “Put Premium”).
|
We will specify in the final pricing supplement the portion of
each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
We do not plan to request a ruling from the IRS, and the IRS
or a court might not agree with this treatment. Accordingly, you should consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the securities. Unless otherwise stated, the following discussion is based on the treatment of
each security as a Put Option and a Deposit.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders. You are a “U.S.
Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
|
·
|
a citizen or individual resident of the United States;
|
|
·
|
a corporation created or organized in or under the laws of the United
States, any state therein or the District of Columbia; or
|
|
·
|
an estate or trust the income of which is subject to U.S. federal income
taxation regardless of its source.
|
Coupon Payments.
We intend to treat interest paid with
respect to the Deposit as ordinary interest income that is taxable to you at the time it accrues or is received in accordance with
your method of tax accounting.
The Put Premium should not be taken into account until retirement
or earlier sale or exchange of the security.
Sale or Exchange Prior to Retirement.
Upon a sale or exchange
of a security prior to retirement, you should apportion the amount realized between the Deposit and the Put Option based on their
respective values on the date of sale or exchange. If the value of the Put Option is negative, you should be treated as having
made a payment of such negative value to the purchaser in exchange for the purchaser’s assumption of the Put Option, in which
case a corresponding amount should be added to the amount realized in respect of the Deposit.
You should recognize gain or loss with respect to the Deposit
in an amount equal to the difference between (i) the amount realized that is apportioned to the Deposit (other than any amount
attributable to accrued interest on the Deposit, which should be treated as a payment of interest) and (ii) your basis in the Deposit
(i.e., the price you paid to acquire the security). Such gain or loss should be long-term capital gain or loss if you have held
the security for more than one year, and short-term capital gain or loss otherwise.
You should recognize gain or loss in respect of the Put Option
in an amount equal to the total Put Premium you previously received, decreased by the amount deemed to be paid by you, or increased
by the amount deemed to be paid to you, in exchange for the purchaser’s assumption of the Put Option. This gain or loss should
be short-term capital gain or loss.
Tax Treatment at Retirement
. The coupon payment received
upon retirement will be treated as described above under “Coupon Payments.”
If a security is retired for its stated principal amount (without
taking into account any coupon payment), the Put Option should be deemed to have expired unexercised, in which case you should
recognize short-term capital gain in an amount equal to the sum of all payments of Put Premium received, including the Put Premium
received upon retirement.
At maturity, if you receive an amount of cash that is different
(without taking into account the final coupon payment) from the stated principal amount of a security, the Put Option should be
deemed to have been exercised and you should be deemed to have applied the Deposit toward the cash settlement of the Put Option.
In that case, you should recognize short-term capital gain or loss with respect to the Put Option in an amount equal to the difference
between (i) the sum of the total Put Premium received (including the Put Premium received at maturity) plus the cash you receive
at maturity, excluding the final coupon payment, and (ii) the Deposit.
Possible Alternative Tax Treatments of an Investment in the
Securities
Alternative U.S. federal income tax treatments of the securities
are possible that, if applied, could materially and adversely affect the timing and/or character of income, gain or loss with respect
to the securities. A security could be treated as a debt instrument issued by us, in which case the timing and character of taxable
income with respect to coupon payments on the securities would differ from that described herein and all or a portion of any gain
you realize would generally be treated as ordinary income. In addition, you could be subject to special reporting requirements
if any loss exceeded certain thresholds. Under other possible treatments, the entire coupon on the securities might either be (i)
treated as income to you at the time received or accrued or (ii) not accounted for separately as giving rise to income to you until
the sale, exchange or retirement of the securities. You should consult your tax adviser regarding these issues.
Other possible U.S. federal income tax treatments of the securities
are possible that could also affect the timing and character of income or loss with respect to the securities. 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. While it is not clear whether the securities would be viewed as similar to the
typical prepaid forward contract described in the notice, 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, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities,
including possible alternative treatments and the issues presented by this notice.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders. You are a “Non-U.S.
Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
|
·
|
an individual who is classified as a nonresident alien;
|
|
·
|
a foreign corporation; or
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
|
·
|
a foreign trust or estate.
|
You are not a Non-U.S. Holder for the purposes of this discussion
if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition or (ii)
a former citizen or resident of the United States. If you are or may become such a beneficial owner during the period in which
you hold a security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities
to you.
Subject to the discussions below regarding Section 871(m) and
“FATCA,” under current law, you generally should not be subject to U.S. federal withholding or income tax in respect
of payments on the securities or amounts received on the sale, exchange or retirement of 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 provide to the applicable withholding agent an appropriate IRS Form W-8 certifying under penalties of perjury that you are
not a U.S. person.
If you are engaged in a U.S. trade or business, and if income
from the securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular
U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable income
tax treaty provides otherwise. In this event, if you are a corporation, you should also consider the potential application of a
30% (or lower treaty rate) branch profits tax.
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.
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 might materially
and adversely affect the withholding tax consequences of an investment in the securities, possibly with retroactive effect. You
should consult your tax adviser regarding the issues presented by the notice.
Possible Withholding Under Section 871(m) of the Code.
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 the discussion below regarding “FATCA,” the discussion above regarding
Section 871(m) and the Form W-8 certification requirement described above), 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.
U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder, or an entity the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example,
a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), you should
note that, absent an applicable treaty exemption, a security may be treated as U.S. situs property subject to U.S. federal estate
tax. If you are such an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences
of an investment in the securities.
Information Reporting and Backup Withholding
Amounts paid on the securities, and payment of the proceeds of
a taxable disposition of the securities, may be subject to information reporting and, if you fail to provide certain identifying
information (such as an accurate taxpayer identification number if you are a U.S. Holder) or meet certain other conditions, may
also be subject to backup withholding at the rate specified in the Code. If you are a Non-U.S. Holder that provides an appropriate
IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld under the backup withholding
rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant
information is timely furnished to the IRS.
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
FATCA
Legislation commonly referred to as “FATCA” generally
imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to
certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An
intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest or dividend
equivalents or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP income”). Withholding
(if applicable) applies to payments of U.S.-source FDAP income and, for dispositions after December 31, 2018, payments of gross
proceeds of the disposition (including upon retirement) of certain financial instruments treated as providing for U.S.-source interest
or dividends. Although the application of these rules to the securities is not entirely clear because the U.S. federal income tax
treatment of the securities is unclear, it would be prudent to assume that a withholding agent will treat the securities as subject
to the withholding rules under FATCA. If withholding applies to the securities, we will not be required to pay any additional amounts
with respect to amounts withheld. You should consult your tax adviser regarding the potential application of FATCA to the securities.
The preceding discussion, when read in conjunction with “United
States Federal Tax Considerations—Possible Taxable Event” in the accompanying product supplement, 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 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 up to $7.00
for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial advisors will collectively
receive from CGMI a selling concession of $2.50 for each $1,000 security they sell. Selected dealers through whom we distribute
securities may enter into arrangements with other institutions with respect to the distribution of the securities, and those institutions
may share in the commissions, discounts or other compensation received by our selected dealers, may be compensated separately
and may also receive commissions from purchasers for whom they may act as agents. We may also engage other firms to provide marketing
or promotional services in connection with the distribution of the securities. CGMI will also pay certain service providers a
fee of up to $4.50 per security in consideration for providing marketing, education, structuring or referral services with respect
to financial advisors or selected dealers. 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 values of any of the underlying assets 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.
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
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(a)
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the expression “retail investor” means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
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a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined
in point (10) of Article 4(1) of MiFID II; or
|
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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Citigroup Global Markets Holdings Inc.
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Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
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the expression “offer” includes the communication
in any form and by any means of sufficient information on the terms of the offer and the securities offered so as to enable an
investor to decide to purchase or subscribe the securities.
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 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, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying 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
Citigroup Global Markets Holdings Inc.
|
Autocallable Equity Linked Securities Based on the Worst Performing of the Shares of the VanEck Vectors Gold Miners ETF, the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index Due May
-----
, 2019
|
|
the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
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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