The
information in this preliminary pricing supplement is not complete and may be changed. A registration statement relating
to these securities has been filed with the Securities and Exchange Commission. This preliminary pricing supplement and
the accompanying product supplement, 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 MAY 23, 2018
|
Citigroup Global Markets Holdings Inc.
|
June
-----
,
2018
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2018-USNCH1176
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-216372 and 333-216372-01
|
Enhanced Barrier
Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust Due June
----
,
2023
Overview
|
▪
|
The securities offered by this
pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the
securities do not pay interest and do not repay a fixed amount of principal at maturity.
Instead, the securities offer a payment at maturity with a value that may be greater
than or less than the stated principal amount, depending on the performance of shares
of the SPDR
®
S&P 500
®
ETF Trust (the “underlying
shares”) from the initial share price to the final share price.
|
|
▪
|
The securities offer modified
exposure to the performance of the underlying shares, with (i) a minimum positive return
at maturity so long as the final share price is greater than or equal to 80.00% of the
initial share price and (ii) 1-to-1 participation in a limited range of appreciation
of the underlying shares in excess of the minimum positive return. In exchange for these
features, investors in the securities must be willing to forgo any appreciation of the
underlying shares in excess of the maximum return at maturity specified below and any
dividends that may be paid on the underlying shares over the term of the securities.
In addition, investors in the securities must be willing to accept full downside exposure
to the underlying shares if the underlying shares depreciate by more than 20.00%.
If
the underlying shares depreciate by more than 20.00% from the pricing date to the valuation
date, you will not be repaid the stated principal amount of your securities at maturity
and, instead, will receive underlying shares (or, in our sole discretion, cash based
on the value of those shares) expected to be worth less than your initial investment
and possibly worth nothing. You may lose up to your entire investment in the securities.
|
|
▪
|
In order to obtain the modified
exposure to the underlying shares that the securities provide, investors must be willing
to accept (i) an investment that may have limited or no liquidity and (ii) the risk of
not receiving any cash payment or delivery of underlying shares due under the securities
if we and Citigroup Inc. default on our obligations.
All payments and/or deliveries
on the securities are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup
Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by
Citigroup Inc.
|
Underlying shares:
|
Shares of the SPDR
®
S&P 500
®
ETF Trust (NYSE
Arca symbol: “SPY”) (the “underlying share issuer” or “ETF”)
|
Aggregate stated principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
June , 2018 (expected to be June 26, 2018)
|
Issue date:
|
June , 2018 (three business days after the pricing date).
See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Valuation date:
|
June , 2023 (expected to be June 26, 2023), subject
to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
June , 2023 (expected to be June 29, 2023)
|
Payment at maturity:
|
For each $1,000 stated
principal amount security you hold at maturity:
▪ If
the final share price is
greater than or equal to
the barrier price:
$1,000 + the greater of (i) the fixed return amount and (ii) $1,000 × the share percent increase, subject to the
maximum return at maturity
▪ If
the final share price is
less than
the barrier price:
A number of underlying shares equal to the equity ratio (or, in our sole discretion, cash in an amount equal to the equity
ratio
multiplied
by the final share price)
If the final share price
is less than the barrier price, you will receive underlying shares (or, in our sole discretion, cash) expected to be worth
less than 80.00% of the stated principal amount of your securities, and possibly nothing, at maturity. You should not
invest in the securities unless you are willing and able to bear the risk of losing a significant portion of your investment.
|
Initial share price:
|
$ , the closing price of the underlying shares on
the pricing date
|
Final share price:
|
The closing price of the underlying shares on the valuation date
|
Fixed return amount:
|
$180.00 to $200.00 per security (18.00% to 20.00% of the stated principal amount),
to be determined on the pricing date. You will receive the fixed return amount only if the final share price is greater than
or equal to the barrier price.
|
Equity ratio:
|
, the stated principal amount
divided
by
the initial share price, subject to adjustment as described in this pricing supplement
|
Share percent increase:
|
The final share price
minus
the initial share price,
divided by
the initial share price
|
Maximum return at maturity:
|
$600.00 (60.00% of the stated principal amount) per security. Because of the
maximum return at maturity, the payment at maturity will not exceed $1,600.00 per security.
|
Barrier price:
|
$ , 80.00% of the initial share price
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324XFM7 / US17324XFM74
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer,
acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)(2)
|
Underwriting fee
(3)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$30.00
|
$970.00
|
Total:
|
$
|
$
|
$
|
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $893.50 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) The issue price for investors
purchasing the securities in fee-based advisory accounts will be $970.00 per security, assuming no custodial fee is charged by
a selected dealer, and up to $975.00 per security, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental
Plan of Distribution” in this pricing supplement.
(3) For more information on the
distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to
the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the
value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-6.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined
that this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus is truthful or complete.
Any representation to the contrary is a criminal offense.
You should
read this pricing supplement together with the accompanying product supplement, prospectus supplement and prospectus, each of
which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-06 dated April 7, 2017
Prospectus Supplement and Prospectus, each dated April 7, 2017
The securities
are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
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 what you receive at maturity, such as market disruption events and other
events affecting the underlying shares. These events and their consequences are described in the accompanying product supplement
in the section “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” and not in this pricing supplement.
It is important that you read the accompanying product supplement, prospectus supplement and prospectus together with this pricing
supplement before deciding whether to invest in the securities. Certain terms used but not defined in this pricing supplement are
defined in the accompanying product supplement.
Dilution and Reorganization Adjustments.
The initial share
price, the barrier price and the equity ratio are each subject to adjustment upon the occurrence of any of the events described
in the section “Additional Terms of the Securities—Dilution and Reorganization Adjustments” in this pricing supplement.
That section supersedes 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.
Prospectus for ETF.
In addition to this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus, you should read the prospectus for the underlying
share issuer on file at the SEC website, which can be accessed via the hyperlink below. The contents of that prospectus and any
documents incorporated by reference therein are not incorporated by reference herein or in any way made a part hereof.
Prospectus dated January 18, 2018:
https://www.sec.gov/Archives/edgar/data/884394/000119312518013487/d469152d485bpos.htm
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
Hypothetical
Examples
The diagram below illustrates the value of what you will receive
at maturity for a range of hypothetical percentage changes from the initial share price to the final share price. The diagram and
examples below are based on a hypothetical fixed return at maturity of 18.00%, which is equivalent to a hypothetical fixed return
amount of $180.00 per security. The actual fixed return at maturity will be determined on the pricing date. On the maturity date,
the value of any underlying shares you receive may differ from their value on the valuation date.
Investors in the securities will not receive any dividends
that may be paid on the underlying shares or the securities included in or held by the underlying share issuer. The diagram and
examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—You
will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to the underlying
shares unless and until you receive underlying shares at maturity” below.
Enhanced Barrier Digital Plus Securities
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Shares
|
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
The table below indicates what your payment at maturity and total
return on the securities would be for various hypothetical returns of the underlying shares, assuming the fixed return at maturity
indicated above. Your actual payment at maturity and total return on the securities will depend on the actual fixed return at maturity,
the actual initial share price, the actual barrier price and the actual equity ratio, each of which will be determined on the pricing
date, and the actual final share price.
Hypothetical Return of the Underlying Shares
(1)
|
Hypothetical Payment at Maturity per Security
|
Hypothetical Total Return on Securities at Maturity
(2)
|
100.00%
|
$1,600.00
|
60.00%
|
75.00%
|
$1,600.00
|
60.00%
|
60.00%
|
$1,600.00
|
60.00%
|
50.00%
|
$1,500.00
|
50.00%
|
20.00%
|
$1,200.00
|
20.00%
|
18.00%
|
$1,180.00
|
18.00%
|
10.00%
|
$1,180.00
|
18.00%
|
5.00%
|
$1,180.00
|
18.00%
|
0.00%
|
$1,180.00
|
18.00%
|
-5.00%
|
$1,180.00
|
18.00%
|
-10.00%
|
$1,180.00
|
18.00%
|
-20.00%
|
$1,180.00
|
18.00%
|
-20.01%
|
$799.99
|
-20.01%
|
-30.00%
|
$700.00
|
-30.00%
|
-40.00%
|
$600.00
|
-40.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-100.00%
|
$0.00
|
-100.00%
|
(1)
Hypothetical return
of the underlying shares = hypothetical percentage change from the initial share price to the final share price. Based on the
closing price of the underlying shares on the valuation date. If we elect to deliver any underlying shares as payment at maturity,
you will receive such underlying shares on the maturity date.
(2)
Hypothetical total
return on securities at maturity = (a) (i) the value of the underlying shares or cash amount received at maturity
minus
(ii) the $1,000 stated principal amount per security,
divided by
(b) $1,000 stated principal amount per security.
The examples below are intended to illustrate how what you receive
at maturity will depend on whether the final share price is greater than or less than the initial share price and by how much.
The examples are based on a hypothetical initial share price of $275.00, a hypothetical barrier price of $220.00 and a hypothetical
equity ratio of 3.63636 (which is equal to $1,000
divided by
the hypothetical initial share price of $275.00).
Example 1—Upside Scenario A.
The hypothetical final
share price is $288.75 (an approximately 5.00% increase from the hypothetical initial share price), which is
greater than
the hypothetical initial share price by
less than
the hypothetical fixed return of 18.00%.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the share percent increase, subject to the maximum return at maturity
of $600.00 per security
= $1,000 + the greater of (i) $180.00 and (ii) $1,000 ×
5.00%, subject to the maximum return at maturity of $600.00 per security
= $1,000 + $180.00, subject to the maximum return at maturity
of $600.00 per security
= $1,180.00
Because the underlying shares appreciated from the hypothetical
initial share price to the hypothetical final share price and the hypothetical fixed return amount is greater than the 5.00% return
you would have received based on the performance of the underlying shares but less than the maximum return at maturity of 60.00%,
your total return on the securities at maturity in this scenario would equal the hypothetical fixed return of 18.00%.
Example 2—Upside Scenario B.
The hypothetical final
share price is $412.50 (an approximately 50.00% increase from the hypothetical initial share price), which is
greater than
the hypothetical initial share price by
more than
the hypothetical fixed return of 18.00% but
less than
the maximum
return at maturity of 60.00%.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the share percent increase, subject to the maximum return at maturity
of $600.00 per security
= $1,000 + the greater of (i) $180.00 and (ii) $1,000 ×
50.00%, subject to the maximum return at maturity of $600.00 per security
= $1,000 + $500.00, subject to the maximum return at maturity
of $600.00 per security
= $1,500.00
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
Because the underlying shares appreciated from the hypothetical
initial share price to the hypothetical final share price and the 50.00% return based on the performance of the underlying shares
is greater than the hypothetical fixed return amount but less than the maximum return at maturity, your total return on the securities
at maturity in this scenario would reflect 1-to-1 exposure to the positive performance of the underlying shares.
Example 3—Upside Scenario C.
The hypothetical final
share price is $550.00 (an approximately 100.00% increase from the hypothetical initial share price), which is
greater than
the hypothetical initial share price by
more than
both the hypothetical fixed return of 18.00% and the maximum return at
maturity of 60.00%.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the share percent increase, subject to the maximum return at maturity
of $600.00 per security
= $1,000 + the greater of (i) $180.00 and (ii) $1,000 ×
100.00%, subject to the maximum return at maturity of $600.00 per security
= $1,000 + $1,000.00, subject to the maximum return at maturity
of $600.00 per security
= $1,600.00
Because the underlying shares appreciated from the hypothetical
initial share price to the hypothetical final share price and the 100.00% return based on the performance of the underlying shares
is greater than the maximum return at maturity, your payment at maturity in this scenario would be equal to the maximum payment
at maturity of $1,600.00 per security. In this scenario, an investment in the securities would underperform a hypothetical alternative
investment providing 1-to-1 exposure to the appreciation of the underlying shares without a maximum return.
Example 4—Upside Scenario D.
The hypothetical final
share price is $261.25 (an approximately 5.00% decrease from the hypothetical initial share price), which is
less than
the
hypothetical initial share price but
greater than
the hypothetical barrier price.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the share percent increase, subject to the maximum return at maturity
of $600.00 per security
= $1,000 + the greater of (i) $180.00 and (ii) $1,000 ×
-5.00%, subject to the maximum return at maturity of $600.00 per security
= $1,000 + $180.00, subject to the maximum return at maturity
of $600.00 per security
= $1,180.00
Because the underlying shares did not depreciate from the hypothetical
initial share price to the hypothetical final share price by more than 20.00%, your payment at maturity in this scenario would
be equal to the hypothetical fixed return of 18.00%, even though the hypothetical final share price is less than the hypothetical
initial share price.
Example 5—Downside Scenario.
The hypothetical final
share price is $82.50 (an approximately 70.00% decrease from the hypothetical initial share price), which is
less than
the
hypothetical barrier price.
What you would receive at maturity per security = A number of
underlying shares equal to the hypothetical equity ratio (or, in our sole discretion, cash in an amount equal to the equity ratio
× the final share price)
= 3.63636 underlying shares, with an aggregate cash value (based
on the final share price) of $300.00
Because the underlying shares depreciated from the hypothetical
initial share price to the hypothetical final share price by more than 20.00%, you would not be repaid the stated principal amount
of your securities at maturity and instead would receive a number of underlying shares (or, in our sole discretion, cash based
on the value thereof) expected to be worth less than the stated principal amount. In this example, the underlying shares have depreciated
by 60.00% from their initial share price to their final share price, and the value of what you receive at maturity (based on the
final share price) is worth 60.00% less than your initial investment.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
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 the underlying shares. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisors as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, the value of what you receive at maturity will depend on the performance of the underlying
shares. If the final share price is less than the barrier price, you will not receive the stated principal amount of your securities
at maturity and, instead, will receive underlying shares (or, in our sole discretion, cash based on the value thereof) expected
to be worth less than your initial investment in the securities and may be worth nothing. There is no minimum payment at maturity
on the securities, and you may lose up to all of your investment.
|
We may elect, in our sole discretion,
to pay you cash at maturity in lieu of delivering any underlying shares. If we elect to pay you cash at maturity in lieu of delivering
any underlying shares, the amount of that cash may be less than the market value of the underlying shares on the maturity date
because the market value will likely fluctuate between the valuation date and the maturity date. Conversely, if we do not exercise
our cash election right and instead deliver underlying shares to you on the maturity date, the market value of such underlying
shares may be less than the cash amount you would have received if we had exercised our cash election right. We will have no obligation
to take your interests into account when deciding whether to exercise our cash election right.
|
▪
|
The barrier feature of the securities exposes you to particular risks.
While you will receive a minimum positive return
if the underlying shares do not depreciate from the initial share price to the final share price by more than 20.00%, if the underlying
shares do depreciate by more than 20.00% and as a result the final share price is less than the barrier price, you will receive
underlying shares (or, in our sole discretion, cash based on the value thereof) expected to be worth less than $800.00 per security
and may be worth nothing. Therefore, the securities offer no protection at all if the underlying shares depreciate by more than
20.00% from the initial share price to the final share price. As a result, you may lose your entire investment in the securities.
|
|
▪
|
Your potential return on the securities is limited.
Your potential total return on the securities at maturity is limited
to the maximum return at maturity of 60.00%, which is equivalent to a maximum return at maturity of $600.00 per security. Any increase
in the final share price over the initial share price by more than 60.00% will not increase your return on the securities.
|
|
▪
|
The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
▪
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the underlying shares
unless and until you receive underlying shares at maturity
.
As of May 21, 2018, the trailing 12-month dividend yield of the underlying shares was approximately 1.78%. While it is impossible
to know the future dividend yield of the underlying shares, if this trailing 12-month dividend yield were to remain constant for
the term of the securities, you would be forgoing an aggregate yield of approximately 8.90% (assuming no reinvestment of dividends)
by investing in the securities instead of investing directly in the underlying shares or in another investment linked to the underlying
shares that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement do not show any
effect of lost dividend yield over the term of the securities. Furthermore, if any change to the underlying shares is proposed,
such as an amendment to the underlying share issuer’s organizational documents, you will not have the right to vote on such
change, but you will be subject to such change in the event you receive underlying shares at maturity. Any such change may adversely
affect the market price of the underlying shares.
|
|
▪
|
What you receive at maturity depends on the closing price of the underlying shares on a single day.
Because what you
receive at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the
risk that the closing price of the underlying shares on that day may be lower, and possibly significantly lower, than on one or
more other dates during the term of the securities. If you had invested directly in the underlying shares or in another instrument
linked to the
|
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
underlying shares that you could
sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing prices of the
underlying shares, you might have achieved better returns.
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions 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 the underlying shares, dividend
yields on the underlying shares and the securities held by the underlying share issuer and interest rates. CGMI’s views on
these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict
with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting
purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing
to hold the securities to maturity irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we
will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on
|
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
the aggregate stated principal amount
of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions.
As a result, it is likely that any secondary market price for the securities will be less than the issue price.
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors,
including the price and volatility of the securities held by the underlying share issuer, the dividend yields on the underlying
shares and the securities held by the underlying share issuer, interest rates generally, the time remaining to maturity and our
and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the price of the underlying
shares may not result in a comparable change in the value of your securities. You should understand that the value of your securities
at any time prior to maturity may be significantly less than the issue price.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
|
|
▪
|
Our offering of the securities does not constitute a recommendation of the underlying shares.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the underlying shares or the securities held by the underlying share issuer over the term of the securities or in
instruments related to the underlying shares or such securities over the term of the securities and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other activities of
our affiliates may affect the price of the underlying shares in a way that has a negative impact on your interests as a holder
of the securities.
|
|
▪
|
The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly
in the underlying shares or the securities held by the underlying share issuer and other financial instruments related to the underlying
shares or such securities and may adjust such positions during the term of the securities. Our affiliates also trade the underlying
shares or the securities held by the underlying share issuer and other financial instruments related to the underlying shares or
such securities 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 price of the underlying shares
in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates
while the value of the securities declines.
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with the underlying share issuer or the issuers
of the securities held by the underlying share issuer, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public information about
such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer,
they may exercise any remedies against such issuer that are available to them without regard to your interests.
|
|
▪
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Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares
unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price
of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying
shares by the amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Additional Terms
of the Securities—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in this pricing
supplement.
|
|
▪
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The securities will not be adjusted for all events that could affect the price of the underlying shares.
For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above.
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 underlying shares would
not.
|
|
▪
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares.
For example, if the underlying share issuer enters
into a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the
|
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
shares of such other entity will
become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying
shares are delisted or the underlying share issuer is otherwise terminated, the calculation agent may, in its sole discretion,
select shares of another underlying share issuer to be the underlying shares. See “Additional Terms of the Securities”
in this pricing supplement.
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, events with respect to the underlying share issuer that may require
a dilution adjustment or the delisting of the underlying shares, 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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The price and performance of the underlying shares may not completely track the performance of the ETF underlying index
or the net asset value per share of the underlying share issuer.
The underlying share issuer does not fully replicate the underlying
index that it seeks to track (the “ETF underlying index”) and may hold securities different from those included in
the ETF underlying index. In addition, the performance of the underlying shares will reflect additional transaction costs and fees
of the underlying share issuer that are not included in the calculation of the ETF underlying index.
In
addition, the
underlying share issuer
may not hold all of the shares included in,
and may hold securities and derivative instruments that are not included in, the ETF underlying index.
All of these factors
may lead to a lack of correlation between the performance of the underlying shares and the ETF underlying index. In addition, corporate
actions with respect to the equity securities constituting the ETF underlying index or held by the underlying share issuer (such
as mergers and spin-offs) may impact the variance between the performances of the underlying shares and the ETF underlying index.
Finally, because the underlying shares are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the
market value of the underlying shares may differ from the net asset value per share of the underlying share issuer.
During periods of market volatility, securities underlying the underlying share issuer may be unavailable in the secondary market,
market participants may be unable to calculate accurately the net asset value per share of the underlying share issuer and the
liquidity of the underlying shares may be adversely affected. This kind of market volatility may also disrupt the ability of market
participants to create and redeem shares of the underlying share issuer. Further, market volatility may adversely affect, sometimes
materially, the prices at which market participants are willing to buy and sell the underlying shares. As a result, under these
circumstances, the market value of the underlying shares may vary substantially from the net asset value per share of the underlying
share issuer. For all of the foregoing reasons, the performance of the underlying shares may not correlate with the performance
of the ETF underlying index and/or the net asset value per share of the underlying share issuer, 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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▪
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Changes made by the investment adviser to the underlying share issuer or by the sponsor of the ETF underlying index may
adversely affect the underlying shares
. We are not affiliated with the investment adviser to the underlying share issuer or
with the sponsor of the ETF underlying index. Accordingly, we have no control over any changes such investment adviser or sponsor
may make to the underlying share issuer or the ETF underlying index. Such changes could be made at any time and could adversely
affect the performance of the underlying shares.
|
|
▪
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The U.S. federal tax consequences of an investment in th
e securities
ar
e unclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects
of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences
of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities
as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with
potentially adverse consequences described below under “United States Federal Tax Considerations.” In addition, in
2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S.
persons should be subject to withholding tax, possibly with retroactive effect.
|
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 Treasury
regulations, as modified by an IRS notice, that provide a general exemption for financial instruments issued in 2018 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.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Information About the SPDR
®
S&P 500
®
ETF Trust
The SPDR
®
S&P 500
®
ETF Trust
is an exchange-traded fund that seeks to provide investment results, before expenses, that generally correspond to the performance
of the S&P 500
®
Index. The SPDR
®
S&P 500
®
ETF Trust is managed by State Street
Bank and Trust Company (“SSBTC”), as trustee of the SPDR
®
S&P 500
®
ETF Trust and
PDR Services LLC (“PDRS”), as sponsor of the SPDR
®
S&P 500
®
ETF Trust. Information
provided to or filed with the SEC by the SPDR
®
S&P 500
®
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 033-46080
and 811-06125, 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
SPDR
®
S&P 500
®
ETF Trust trades on the NYSE Arca under the ticker symbol “SPY.”
You may receive shares of the SPDR
®
S&P 500
®
ETF Trust at maturity. Therefore, in making your decision to invest in the securities, you should review the prospectus for the
SPDR
®
S&P 500
®
ETF Trust on file at the SEC, which can be accessed via the hyperlink below.
Prospectus dated January 18, 2018:
https://www.sec.gov/Archives/edgar/data/884394/000119312518013487/d469152d485bpos.htm
.
The contents of that prospectus and any documents incorporated
by reference therein are not incorporated by reference herein or in any way made a part hereof.
Please refer to the section “Additional Information—Prospectus
for ETF” in this pricing supplement for important disclosures regarding the SPDR
®
S&P 500
®
ETF Trust.
This pricing supplement relates only to the securities offered
hereby and does not relate to the shares of the SPDR
®
S&P 500
®
ETF Trust or other securities
of the SPDR
®
S&P 500
®
ETF Trust. We have derived all disclosures contained in this pricing supplement
regarding the SPDR
®
S&P 500
®
ETF Trust from the publicly available documents described above.
We have not independently verified such information. Such information reflects the policies of, and is subject to change by, SSBTC
and PDRS. 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 SPDR
®
S&P 500
®
ETF Trust or the S&P 500
®
Index.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The SPDR
®
S&P 500
®
ETF Trust 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 SPDR
®
S&P 500
®
ETF Trust.
Historical Information
The graph below shows the closing price of the shares of the
SPDR
®
S&P 500
®
ETF Trust for each day such price was available from January 2, 2013 to May 21,
2018. The table that follows shows the high and low closing prices of, and dividends paid on, the shares of the SPDR
®
S&P 500
®
ETF Trust 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
SPDR
®
S&P 500
®
ETF Trust as an indication of future performance.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
SPDR
®
S&P 500
®
ETF Trust – Historical Closing Prices
January 2, 2013 to May 21, 2018
|
|
* The red line indicates the hypothetical barrier price of $218.696,
assuming the closing price on May 21, 2018 were the initial share price.
SPDR
®
S&P 500
®
ETF Trust
|
High
|
Low
|
Dividends
|
2013
|
|
|
|
First Quarter
|
$156.73
|
$145.53
|
$1.02183
|
Second Quarter
|
$167.11
|
$154.14
|
$0.69372
|
Third Quarter
|
$173.14
|
$161.16
|
$0.83912
|
Fourth Quarter
|
$184.67
|
$165.48
|
$0.83795
|
2014
|
|
|
|
First Quarter
|
$188.26
|
$174.15
|
$0.98025
|
Second Quarter
|
$196.48
|
$181.48
|
$0.82461
|
Third Quarter
|
$201.82
|
$190.99
|
$0.93669
|
Fourth Quarter
|
$208.72
|
$186.27
|
$0.93919
|
2015
|
|
|
|
First Quarter
|
$211.99
|
$198.97
|
$1.13492
|
Second Quarter
|
$213.50
|
$205.42
|
$0.93081
|
Third Quarter
|
$212.59
|
$187.27
|
$1.03007
|
Fourth Quarter
|
$211.00
|
$192.13
|
$1.03343
|
2016
|
|
|
|
First Quarter
|
$206.10
|
$183.03
|
$1.21155
|
Second Quarter
|
$212.39
|
$199.53
|
$1.04960
|
Third Quarter
|
$219.09
|
$208.39
|
$1.07844
|
Fourth Quarter
|
$227.76
|
$208.55
|
$1.08207
|
2017
|
|
|
|
First Quarter
|
$239.78
|
$225.24
|
$1.32893
|
Second Quarter
|
$244.66
|
$232.51
|
$1.03312
|
Third Quarter
|
$251.23
|
$240.55
|
$1.18311
|
Fourth Quarter
|
$268.20
|
$252.32
|
$1.23457
|
2018
|
|
|
|
First Quarter
|
$286.58
|
$257.63
|
$1.35133
|
Second Quarter (through May 21, 2018)
|
$273.37
|
$257.47
|
$1.09678
|
The closing price of the shares of the SPDR
®
S&P
500
®
ETF Trust on May 21, 2018 was $273.37.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of the SPDR
®
S&P 500
®
ETF Trust 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
SPDR
®
S&P 500
®
ETF Trust.
Additional
Terms of the Securities
Fractional Shares
In lieu of any fractional share that you would otherwise receive
in respect of the securities, at maturity you will receive an amount in cash equal to the value of such fractional share (based
on the final share price). If you receive underlying shares at maturity, the number of full underlying shares and any cash in lieu
of a fractional share that you receive will be calculated based on the aggregate principal amount of securities you hold.
Dilution and Reorganization Adjustments
The following provisions supersede 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.
The initial share price, the barrier price, the equity ratio
and the property we may deliver to you at maturity of the securities will be subject to adjustment from time to time if certain
events occur that affect the underlying shares. Any of these adjustments could have an impact on the value of what you receive
at maturity. CGMI, as calculation agent, will be responsible for the calculation of any adjustment described herein and will furnish
the trustee with notice of any adjustment. An adjustment will be made for events with an adjustment date (as defined below) from
but excluding the pricing date to and including the valuation date, except that, if we deliver underlying shares at maturity, the
equity ratio will be subject to adjustment for events with an adjustment date up to and including the maturity date.
No adjustments will be required other than those specified below.
The required adjustments specified in this section do not cover all events that could have a dilutive or adverse effect on the
underlying shares during the term of the securities. See “Summary Risk Factors—The securities will not be adjusted
for all events that could affect the price of the underlying shares.”
The calculation agent may elect not to make any of the adjustments
described below or may modify any of the adjustments described below if it determines, in its sole discretion, that such adjustment
would not be made in any relevant market for options or futures contracts relating to the underlying shares or that any adjustment
made in such market would materially differ from the relevant adjustment described below.
Stock Dividends, Stock Splits and Reverse Stock Splits
If the underlying share issuer:
|
(1)
|
declares a record date in respect of, or pays or makes, a dividend or distribution, in each case of underlying shares with
respect to the underlying shares (excluding any share dividend or distribution for which the number of shares paid or distributed
is based on a fixed cash equivalent value (“excluded share dividends”)),
|
|
(2)
|
subdivides or splits the outstanding underlying shares
into a greater number of shares, or
|
|
(3)
|
combines the outstanding underlying shares into a
smaller number of shares,
|
then, in each of these cases, the equity ratio will be multiplied
by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of underlying shares outstanding immediately
after giving effect to such event and (ii) the denominator of which will be the number of underlying shares outstanding immediately
prior to the open of business on the applicable adjustment date. An adjustment will also be made to the initial share price and
the barrier price by dividing each of the initial share price and the barrier price by that dilution adjustment.
Issuance of Certain Rights or Warrants
If the underlying share issuer issues, or declares a record date
in respect of an issuance of, rights or warrants, in each case to all holders of the underlying shares entitling them to subscribe
for or purchase the underlying shares at a price per share less than the then-current market price of the underlying shares, other
than excluded rights (as defined below), then, in each case, the equity ratio will be multiplied by a dilution adjustment equal
to a fraction, (i) the numerator of which will be the number of underlying shares outstanding immediately prior to the open of
business on the applicable adjustment date,
plus
the number of additional underlying shares offered for subscription or
purchase pursuant to the rights or warrants, and (ii) the denominator of which will be the number of underlying shares outstanding
immediately prior to the open of business on the applicable adjustment date,
plus
the number of additional underlying shares
which the aggregate offering price of the total number of underlying shares offered for subscription or
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
purchase pursuant to the rights or warrants would purchase at
the then-current market price of the underlying shares, which will be determined by multiplying the total number of underlying
shares so offered for subscription or purchase by the exercise price of the rights or warrants and dividing the product obtained
by the then-current market price. An adjustment will also be made to the initial share price and the barrier price by dividing
each of the initial share price and the barrier price by that dilution adjustment. To the extent that, prior to the maturity date,
after the expiration of the rights or warrants, the underlying share issuer publicly announces the number of underlying shares
with respect to which such rights or warrants have been exercised and such number is less than the aggregate number offered, the
equity ratio will be further adjusted to equal the equity ratio which would have been in effect had the adjustment for the issuance
of the rights or warrants been made upon the basis of delivery of only the number of underlying shares for which such rights or
warrants were actually exercised, and a corresponding adjustment will be made to the initial share price and the barrier price.
“Excluded rights” means (i) rights to purchase underlying
shares pursuant to a plan for the reinvestment of dividends or interest and (ii) rights that are not immediately exercisable, trade
as a unit or automatically with the underlying shares and may be redeemed by the underlying share issuer.
The “then-current market price” of the underlying
shares, for the purpose of applying any dilution adjustment, means the average closing price of the underlying shares for the ten
scheduled trading days ending on the scheduled trading day immediately preceding the related adjustment date. For purposes of determining
the then-current market price, if a market disruption event occurs with respect to the underlying shares on any such scheduled
trading day, the calculation agent may disregard the closing price on such scheduled trading day for purposes of calculating such
average;
provided
that the calculation agent may not disregard more than five scheduled trading days in such ten–scheduled
trading day period.
Spin-offs and Certain Other Non-Cash Distributions
If the underlying share issuer (a) declares a record date in
respect of, or pays or makes, a dividend or distribution, in each case to all holders of underlying shares, of any class of its
capital stock, the capital stock of one or more of its subsidiaries (excluding any capital stock of a subsidiary in the form of
marketable securities (as defined below)), evidences of its indebtedness or other non-cash assets or (b) issues to all holders
of underlying shares, or declares a record date in respect of an issuance to all holders of underlying shares of, rights or warrants
to subscribe for or purchase any of its or one or more of its subsidiaries’ securities, in each case excluding any share
dividends or distributions referred to above, excluded share dividends, any rights or warrants referred to above, excluded rights
and any reclassification referred to below, then, in each of these cases, the equity ratio will be multiplied by a dilution adjustment
equal to a fraction, (i) the numerator of which will be the then-current market price of one underlying share and (ii) the denominator
of which will be the then-current market price of one underlying share less the fair market value as of open of business on the
adjustment date of the portion of the capital shares, assets, evidences of indebtedness, rights or warrants so distributed or issued
applicable to one underlying share. An adjustment will also be made to the initial share price and the barrier price by dividing
each of the initial share price and the barrier price by that dilution adjustment. If any capital stock declared or paid as a dividend
or otherwise distributed or issued to all holders of underlying shares consists, in whole or in part, of marketable securities
(other than marketable securities of a subsidiary of the underlying share issuer), then the fair market value of such marketable
securities will be determined by the calculation agent by reference to the closing price of such capital stock. The fair market
value of any other distribution or issuance referred to in this paragraph will be determined by a nationally recognized independent
investment banking firm retained for this purpose by Citigroup Global Markets Holdings Inc., whose determination will be final.
Notwithstanding the foregoing, in the event that, with respect
to any dividend, distribution or issuance to which the immediately preceding paragraph would otherwise apply, the denominator in
the fraction referred to in such paragraph is less than $1.00 or is a negative number, then Citigroup Global Markets Holdings Inc.
may, at its option, elect to have the adjustment to the equity ratio provided by such paragraph not be made and, in lieu of this
adjustment, the closing price of the underlying shares on any date of determination thereafter will be deemed to be equal to the
sum of (i) the closing price of the underlying shares on such date and (ii) the fair market value of the capital stock, evidences
of indebtedness, assets, rights or warrants (determined, as of open of business on the adjustment date, by a nationally recognized
independent investment banking firm retained for this purpose by Citigroup Global Markets Holdings Inc., whose determination will
be final) so distributed or issued applicable to one underlying share. If the closing price of the underlying shares as so determined
on the valuation date is less than the barrier price, each holder of the securities will receive per security at maturity (x) a
number of underlying shares equal to the equity ratio (with cash in lieu of any fractional share based on the closing price of
such shares on the valuation date) (or, in our sole discretion, cash based on the value thereof) and (y) cash in an amount per
security equal to the equity ratio as of the adjustment date for such dividend, distribution or issuance
multiplied by
the
fair market value determined pursuant to clause (ii) of the immediately preceding sentence.
If the underlying share issuer declares a record date in respect
of, or pays or makes, a dividend or distribution, in each case to all holders of underlying shares of the capital stock of one
or more of its subsidiaries in the form of marketable securities, the closing price of the underlying shares on any date of determination
from and after open of business on the adjustment date will in each case equal the closing price of the underlying shares
plus
the product of (i) the closing price of such shares of subsidiary capital stock on such date and (ii) the number of shares of such
subsidiary capital stock distributed per underlying share. If the closing price of the underlying shares as so determined on the
valuation date is less than the barrier price, then in each of these cases, each holder of the securities will receive at maturity
per security a combination of (x) a number of underlying shares equal to the equity ratio and (y) a number of
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
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ETF Trust
Due June
-----
, 2023
|
|
shares of such subsidiary capital stock equal to the equity ratio
multiplied by
the number of shares of such subsidiary capital stock distributed per underlying share (in each case with
cash in lieu of any fractional share based on the closing price of such shares on the valuation date) (or, in our sole discretion,
cash based on the value thereof). In the event an adjustment pursuant to this paragraph occurs, following such adjustment, the
adjustments described in this section “—Dilution and Reorganization Adjustments” will also apply to such subsidiary
capital stock if any of the events described in this section “—Dilution and Reorganization Adjustments” occurs
with respect to such capital stock.
Certain Extraordinary Cash Dividends
If the underlying share issuer declares a record date in respect
of a distribution of cash, by dividend or otherwise, to all holders of underlying shares, other than (a) any permitted dividends
described below, (b) any cash distributed in consideration of fractional underlying shares and (c) any cash distributed in a reorganization
event referred to below, then in each case the equity ratio will be multiplied by a dilution adjustment equal to a fraction, (i)
the numerator of which will be the then-current market price of the underlying shares, and (ii) the denominator of which will be
the then-current market price of the underlying shares less the amount of the distribution applicable to one underlying share which
would not be a permitted dividend (such amount, the “Extraordinary Portion”). An adjustment will also be made to the
initial share price and the barrier price by dividing each of the initial share price and the barrier price by that dilution adjustment.
In the case of an issuer that is organized outside the United States, in order to determine the Extraordinary Portion, the amount
of the distribution will be reduced by any applicable foreign withholding taxes that would apply to dividends or other distributions
paid to a U.S. person that claims any reduction in such taxes to which a U.S. person would generally be entitled under an applicable
U.S. income tax treaty, if available.
A “permitted dividend” is (1) any distribution of
cash, by dividend or otherwise, to all holders of underlying shares other than to the extent that such distribution, together with
all other such distributions in the same quarterly fiscal period of the underlying share issuer with respect to which an adjustment
to the equity ratio under this “—Certain Extraordinary Cash Dividends” section has not previously been made,
per underlying share exceeds the sum of (a) the immediately preceding cash dividend(s) or other cash distribution(s) paid in the
immediately preceding quarterly fiscal period, if any, per underlying share and (b) 10% of the closing price of the underlying
shares on the date of declaration of such distribution, and (2) any cash dividend or distribution made in the form of a fixed cash
equivalent value for which the holders of underlying shares have the option to receive either a number of underlying shares or
a fixed amount of cash. If the underlying share issuer pays a dividend on an annual basis rather than a quarterly basis, the calculation
agent will make such adjustments to this provision as it deems appropriate.
Notwithstanding the foregoing, in the event that, with respect
to any dividend or distribution to which the first paragraph under “—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” would otherwise apply, the denominator in the fraction referred to in the formula in that paragraph
is less than $1.00 or is a negative number, then Citigroup Global Markets Holdings Inc. may, at its option, elect to have the adjustment
provided by such paragraph not be made and, in lieu of this adjustment, the closing price of the underlying shares on any date
of determination from and after open of business on the adjustment date will be deemed to be equal to the sum of (i) the closing
price of the underlying shares on such date and (ii) the amount of cash so distributed applicable to one underlying share. If the
closing price of the underlying shares as so determined on the valuation date is less than the barrier price, each holder of the
securities will receive per security at maturity (x) a number of underlying shares equal to the equity ratio (with cash in lieu
of any fractional share based on the closing price of such shares on the valuation date) (or, in our sole discretion, cash based
on the value thereof) and (y) cash in an amount per security equal to the equity ratio as of the adjustment date for such distribution
multiplied by
the amount of cash determined pursuant to clause (ii) of the immediately preceding sentence.
Reorganization Events
In the event of any of the following “reorganization events”
with respect to the underlying share issuer:
|
•
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the underlying share issuer reclassifies the underlying shares, including, without limitation, in connection with the issuance
of tracking stock,
|
|
•
|
any consolidation or merger of the underlying share issuer, or any surviving entity or subsequent surviving entity of the underlying
share issuer, with or into another entity, other than a merger or consolidation in which the underlying share issuer is the continuing
company and in which the underlying shares outstanding immediately before the merger or consolidation are not exchanged for cash,
securities or other property of the underlying share issuer or another issuer,
|
|
•
|
any sale, transfer, lease or conveyance to another company of the property of the underlying share issuer or any successor
as an entirety or substantially as an entirety,
|
|
•
|
any statutory exchange of the underlying shares with securities of another issuer, other than in connection with a merger or
acquisition,
|
|
•
|
another entity completes a tender or exchange offer for all the outstanding underlying shares or
|
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
|
•
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any liquidation, dissolution or winding up of the underlying share issuer or any successor of the underlying share issuer,
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the closing price of the underlying shares on any date of determination
from and after the open of business on the adjustment date will, in each case, be deemed to be equal to the transaction value on
such date of determination. The calculation agent will determine in its sole discretion whether a transaction constitutes a reorganization
event as defined above, including whether a transaction constitutes a sale, transfer, lease or conveyance to another company of
the property of the underlying share issuer or any successor “as an entirety or substantially as an entirety.” The
calculation agent will have significant discretion in determining what “substantially as an entirety” means and may
exercise that discretion in a manner that may be adverse to the interests of holders of the securities.
The “transaction value” will equal the sum of (1),
(2) and (3) below:
|
(1)
|
for any cash received in a reorganization event, the amount of cash received per underlying share,
|
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(2)
|
for any property other than cash or marketable securities received in a reorganization event, an amount equal to the fair market
value on the effective date of the reorganization event of that property received per underlying share, as determined by a nationally
recognized independent investment banking firm retained for this purpose by Citigroup Global Markets Holdings Inc., whose determination
will be final, and
|
|
(3)
|
for any marketable securities received in a reorganization
event, an amount equal to the closing price per unit of these marketable securities on the applicable date of determination
multiplied
by
the number of these marketable securities received per underlying share,
|
plus
, in each case, if underlying shares continue to be
outstanding following the reorganization event, the closing price of the underlying shares.
“Marketable securities” are any perpetual equity
securities or debt securities with a stated maturity after the maturity date, in each case that are listed on a U.S. national securities
exchange. The number of shares of any equity securities constituting marketable securities included in the calculation of transaction
value pursuant to clause (3) above will be adjusted if any event occurs with respect to the marketable securities or the issuer
of the marketable securities between the time of the reorganization event and maturity of the securities that would have required
an adjustment as described above, had it occurred with respect to the underlying shares or the underlying share issuer. Adjustment
for these subsequent events will be as nearly equivalent as practicable to the adjustments described above, as determined by the
calculation agent.
If the closing price of the underlying shares as determined based
on the transaction value on the valuation date is less than the barrier price, each holder of the securities will receive per security
at maturity (i) cash in an amount equal to the equity ratio immediately preceding the reorganization event
multiplied by
the sum of clauses (1) and (2) in the definition of “Transaction Value” above, (ii) if the underlying shares continue
to be outstanding following the effective date of the reorganization event, a number of such underlying shares equal to the equity
ratio (or, in our sole discretion, the cash value thereof based on the closing price of the underlying shares on the valuation
date) and (iii) the number of marketable securities received per underlying share in the reorganization event
multiplied by
the equity ratio immediately prior to the adjustment date for the reorganization event (or, in our sole discretion, the cash value
thereof based on the closing price of the marketable securities on the valuation date).
Certain General Provisions
The adjustments described in this section will be effected at
the open of business on the applicable date specified below (such date, the “adjustment date”):
|
•
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in the case of any dividend, distribution or issuance,
on the applicable ex-date (as defined below),
|
|
•
|
in the case of any subdivision, split, combination
or reclassification, on the effective date thereof, and
|
|
•
|
in the case of any reorganization event, on the effective
date of the reorganization event.
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All adjustments will be rounded upward or downward to the nearest
1/10,000th or, if there is not a nearest 1/10,000th, to the next lower 1/10,000th. No adjustment in the equity ratio will be required
unless the adjustment would require an increase or decrease of at least one percent therein,
provided
,
however
, that
any adjustments which by reason of this sentence are not required to be made will be carried forward (on a percentage basis) and
taken into account in any subsequent adjustment. If any announcement or declaration of a record date in respect of a dividend,
distribution or issuance requiring an adjustment as described herein is subsequently canceled by the underlying share issuer, or
this dividend, distribution or issuance fails to receive requisite approvals or fails to occur for any other reason, in each case
prior to the maturity date, then, upon the cancellation, failure of approval or failure to occur, the equity ratio, the initial
share price and the barrier price will be further adjusted to the equity ratio, the initial share price and the barrier price,
respectively, which would then have been in effect had adjustment for the event not been made. All adjustments to the equity ratio
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
shall be cumulative, such that if more than one adjustment is
required to the equity ratio, each subsequent adjustment will be made to the equity ratio as previously adjusted.
The “ex-date” relating to any dividend, distribution
or issuance is the first date on which the underlying shares trade in the regular way on their principal market without the right
to receive such dividend, distribution or issuance from the underlying share issuer or, if applicable, from the seller on such
market (in the form of due bills or otherwise).
For the purpose of adjustments described herein, each non-U.S.
dollar value (whether a value of cash, property, securities or otherwise) shall be expressed in U.S. dollars as converted from
the relevant currency using the 12:00 noon buying rate in New York certified by the New York Federal Reserve Bank for customs purposes
on the date of valuation, or if this rate is unavailable, such rate as the calculation agent may determine.
Delisting, Liquidation or Termination of the Underlying Share
Issuer
If a termination event occurs with respect to the underlying
shares as described in the section “Description of the Securities—Certain Additional Terms for Securities Linked to
ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying product
supplement and the calculation agent selects successor ETF shares, the calculation agent will make such adjustments to the initial
share price, the barrier price and the equity ratio as are appropriate in the circumstances. If a termination event occurs and
the calculation agent has not selected successor ETF shares that are available as of the valuation date, the calculation agent
will calculate the closing price of the underlying shares on such date in the manner described in the section “Description
of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting, Liquidation
or Termination of an Underlying ETF” in the accompanying product supplement and, if the final share price as so determined
is less than the barrier price, we will not deliver underlying shares at maturity but in lieu of any such underlying shares, will
pay you cash in an amount per security equal to the final share price as so determined multiplied by the equity ratio.
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement. This discussion does not address the U.S. federal
tax consequences of the ownership or disposition of the underlying shares that you may receive at maturity. You should consult
your tax adviser regarding the U.S. federal tax consequences of the ownership and disposition of the underlying shares.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
|
|
·
|
If you receive the underlying shares (and cash in lieu of any fractional shares) at maturity, you should not recognize gain
or loss with respect to the underlying shares received. Instead, you should have an aggregate tax basis in the underlying shares
received (including any fractional shares deemed received) equal to your basis in the securities. Your holding period for any underlying
shares received should start on the day after receipt. With respect to any cash received in lieu of a fractional share, you should
recognize capital loss in an amount equal to the difference between the amount of cash received in lieu of the fractional share
and the portion of your tax basis in the securities that is allocable to the fractional share.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the underlying shares. In that case, all or a portion of any long-term
capital gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent
such gain exceeded the “net underlying long-term capital gain.” Any long-term capital gain recharacterized as ordinary
income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities, and you would
be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due
to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how
Citigroup Global Markets Holdings Inc.
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Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
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S&P 500
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ETF Trust
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-----
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|
|
Section 1260 applies to the securities. You should read the section
entitled “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential Application of
Section 1260 of the Code” in the accompanying product supplement for additional information and consult your tax adviser
regarding the potential application of the “constructive ownership” rule.
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
the regulations, as modified by an IRS notice, exempt financial instruments issued in 2018 that do not have a “delta”
of one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities
should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. Underlying Equity,
you could be subject to withholding tax or income tax liability under Section 871(m) even if the securities are not Specified Securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
This information is indicative and will be updated in the final
pricing supplement or may otherwise be updated by us in writing from time to time. Non-U.S. Holders should be warned that Section
871(m) may apply to the securities based on circumstances as of the pricing date for the securities and, therefore, it is possible
that the securities will be subject to withholding tax under Section 871(m).
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
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 $30.00 for each
$1,000 security sold in this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). The actual
underwriting fee will be equal to $30.00 for each $1,000 security sold by CGMI directly to the public and will otherwise be equal
to the selling concession provided to selected dealers, as described in this paragraph. CGMI will pay selected dealers not affiliated
with CGMI a fixed selling concession of $30.00 for each $1,000 security they sell to accounts other than fee-based advisory accounts.
CGMI will pay selected dealers not affiliated with CGMI, which may include dealers acting as custodians, a variable selling concession
of up to $5.00 for each $1,000 security they sell to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including
Citi International Financial Services, Citigroup Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited,
will receive a fixed selling concession, and financial advisors employed by such affiliated broker-dealers will receive a fixed
selling concession, of $30.00 for each $1,000 security they sell. CGMI will pay the registered representatives of CGMI a fixed
selling concession of $30.00 for each $1,000 security they sell directly to the public.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We expect to hedge our obligations under the securities through CGMI
or other of our affiliates. CGMI or such other of our affiliates may profit from this expected hedging activity even if the value
of the securities declines. This hedging activity could affect the closing price of the underlying shares and, therefore, the value
of and your return on the securities. For additional information on the ways in which our counterparties may hedge our obligations
under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
The estimated value of the securities is a function of the terms
of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary pricing supplement,
it is uncertain what the estimated value of the securities will be on the pricing date because certain terms of the securities
have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary pricing models will
be on the pricing date.
For a period of approximately four 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 four-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or invitation
for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore
other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person
under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures
Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant
to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures Act. Where the securities
are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person which is:
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(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on the Shares of the SPDR
®
S&P 500
®
ETF Trust
Due June
-----
, 2023
|
|
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.
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:
|
(a)
|
the expression “retail investor” means a person who is one (or more) of the following:
|
|
(i)
|
a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
|
|
(ii)
|
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
|
|
(iii)
|
not a qualified investor as defined in Directive 2003/71/EC; and
|
|
(b)
|
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.
|
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2018 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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