|
The information in this preliminary pricing supplement is not complete and may be changed. A registration statement relating to these notes has been filed with the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying prospectus supplement and prospectus are not an offer to sell these notes, nor are they soliciting an offer to buy these notes, in any state where the offer or sale is not permitted. SUBJECT TO COMPLETION, DATED JULY 18, 2018 | |
| Citigroup Global Markets Holdings Inc. |
August-----, 2018 Medium-Term Senior Notes, Series N Pricing Supplement No. 2018-USNCH1319 Filed Pursuant to Rule 424(b)(2) Registration Statement Nos. 333-216372 and 333-216372-01 |
Fixed to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due August 7, 2028
The notes will bear interest during each quarterly interest period (i) during the first two years: at a fixed rate of 6% per annum and (ii) after the second year until maturity: at a floating rate based on the 10-year Constant Maturity Swap Rate (“CMS10”) multiplied by 1.05 on the interest determination date for that interest period, as described below, subject to the minimum interest rate of 0% per annum. CMS10 is one market-accepted indicator of medium-to-longer term interest rates. The notes are designed for investors who seek fixed interest payments for the first two years of the term of the notes and floating interest payments linked to CMS10 thereafter. The notes are senior unsecured debt obligations of Citigroup Global Markets Holdings Inc. and are guaranteed by Citigroup Inc. All payments due on the notes 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 notes are fully and unconditionally guaranteed by Citigroup Inc. | ||
| Aggregate stated principal amount: | $ | ||
| Stated principal amount: | $1,000 per note | ||
| Pricing date: | August 2, 2018 | ||
| Issue date: | August 7, 2018 | ||
| Maturity date: | August 7, 2028. If the maturity date is not a business day, then the payment required to be made on the maturity date will be made on the next succeeding business day with the same force and effect as if it had been made on the maturity date. No additional interest will accrue as a result of delayed payment. | ||
| Payment at maturity: | $1,000 per note plus accrued and unpaid interest | ||
| Interest: |
· During each interest period from and including the issue date to but excluding August 7, 2020, the notes will bear interest at a fixed rate of 6% per annum
· During each interest period commencing on or after August 7, 2020, the notes will bear interest at a floating rate equal to CMS10, as determined on the interest determination date for that interest period, multiplied by 1.05 and subject to a minimum interest rate of 0% per annum.
The amount of interest you receive on each interest payment date for each note you hold will be equal to (i) $1,000 times the applicable interest rate per annum divided by (ii) 4.
After the first two years of the term of the notes, interest payments will vary based on fluctuations in the CMS10, subject to the minimum interest rate specified above. After the first two years, the notes may pay a below-market rate or no interest at all for an extended period of time, or even throughout the entire remaining term. | ||
| CMS10: | On any interest determination date, the 10-year Constant Maturity Swap Rate, as published on Reuters page “ICESWAP1” at 11:00 a.m. (New York City time) on that date of determination. See “General Information—Determination of CMS10” and “—Discontinuance of CMS10” below for further information. | ||
| Interest determination date: | For any interest period commencing on or after August 7, 2020, the second U.S. government securities business day prior to the first day of that interest period. | ||
| U.S. government securities business day: | Any day that is not a Saturday, a Sunday or a day on which The Securities Industry and Financial Markets Association’s U.S. holiday schedule recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities. | ||
| Interest period: | Each three-month period from and including an interest payment date (or the issue date, in the case of the first interest period) to but excluding the next interest payment date | ||
| Interest payment dates: | Interest on the notes is payable quarterly on the 7th day of each February, May, August and November, beginning on November 7, 2018 and ending on the maturity date. If any interest payment date is not a business day, then the payment required to be made on that interest payment date will be made on the next succeeding business day with the same force and effect as if it had been made on that interest payment date. No additional interest will accrue as a result of delayed payment. | ||
| Day count convention: | 30/360 Unadjusted | ||
| CUSIP / ISIN: | 17324CY83 / US17324CY837 | ||
| Listing: | The notes will not be listed on any securities exchange and accordingly, may have limited or no liquidity. You should not invest in the notes unless you are willing to hold them to maturity. | ||
| Underwriter: | Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal. See “General Information—Supplemental information regarding plan of distribution; conflicts of interest” in this pricing supplement. | ||
| Underwriting fee and issue price: | Issue price(1)(2) | Underwriting fee(3) | Proceeds to issuer(4) |
| Per note: | $1,000.00 | $12.50 | $987.50 |
| Total: | $ | $ | $ |
(1) Citigroup Global Markets
Holdings Inc. currently expects that the estimated value of the notes on the pricing date will be between $975.00 and $985.00 per note,
which will be less than the issue price. The estimated value of the notes 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 notes from you at any time after issuance. See
“Valuation of the Notes” in this pricing supplement. (2) The issue price for investors
purchasing the notes in fee-based advisory accounts will be $987.50 per note, assuming no custodial fee is charged by a selected
dealer, and up to $992.50 per note, assuming the maximum custodial fee is charged by a selected dealer. See “General Information—Fees
and selling concessions” in this pricing supplement. (3) CGMI, an affiliate of Citigroup
Global Markets Holdings Inc. and the underwriter of the sale of the notes, is acting as principal and will receive an underwriting
fee of up to $12.50 for each $1,000 note sold in this offering (or up to $5 for each note sold to fee-based advisory accounts).
Selected dealers not affiliated with CGMI will receive a selling concession of up to $12.50 for each note they sell other than
to 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 for each note they sell to fee-based advisory accounts. See “General Information—Fees
and selling concessions” 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 notes declines. See “Use of Proceeds and
Hedging” in the accompanying prospectus. (4) The per note proceeds to Citigroup
Global Markets Holdings Inc. indicated above represent the minimum per note proceeds to Citigroup Global Markets Holdings Inc.
for any note, assuming the maximum per note underwriting fee of $12.50. As noted in footnote (3), the underwriting fee is variable. Investing in the notes involves risks not associated with
an investment in conventional fixed-rate debt securities. See “Risk Factors” beginning on page PS-2. Neither the Securities and Exchange Commission nor any
state securities commission has approved or disapproved of the notes or determined that this pricing supplement and the accompanying
prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense. It is important for you to consider the information
contained in this pricing supplement together with the information contained in the accompanying prospectus supplement and prospectus,
which may be accessed via the hyperlink below. Prospectus Supplement and Prospectus each dated April 7, 2017 The notes 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. Risk Factors The following is a non-exhaustive list of certain key risk
factors for investors in the notes. You should read the risk factors below together with 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. We also urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the notes. 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 notes, 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 notes prior
to maturity. under the notes, as part of their
general business activities or otherwise. These trading activities could affect the level of CMS10 in a way that has a negative
effect on the interest rate payable under the notes. They could also result in substantial returns for our affiliates while the
value of the notes declines. In engaging in these trading activities, our affiliates will have no obligation to consider your interests
as an investor in the notes. The description of the notes in this pricing supplement supplements,
and, to the extent inconsistent with, replaces the general terms of the notes set forth in the accompanying prospectus supplement
and prospectus. The accompanying prospectus supplement and prospectus contain important disclosures that are not repeated in this
pricing supplement. The notes are senior unsecured debt securities issued
by Citigroup Global Markets Holdings Inc. under the senior debt indenture described in the accompanying prospectus supplement
and prospectus, the payments on which are fully and unconditionally guaranteed by Citigroup Inc. The notes will constitute part
of the senior debt of Citigroup Global Markets Holdings Inc. and will rank equally with all other unsecured and unsubordinated
debt of Citigroup Global Markets Holdings Inc. The guarantee of payments due on the notes will constitute part of the senior indebtedness
of Citigroup Inc. and will rank on an equal basis with all other unsecured debt of Citigroup Inc. other than subordinated debt. CMS10 on any date of determination is the rate for U.S. dollar
interest rate swaps with a 10-year maturity appearing on Reuters page “ICESWAP1” (or any successor page as determined
by the calculation agent) as of 11:00 a.m. (New York City time) on that date of determination. If, however, a rate for CMS10 is not published on Reuters page
“ICESWAP1” (or any successor page as determined by the calculation agent) on that date of determination, then the calculation
agent will request mid-market semi-annual swap rate quotations from the principal New York City office of five leading swap dealers
in the New York City interbank market (the “reference banks”) at approximately 11:00 am, New York City time, on that
day. For this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed
leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. dollar interest rate swap transaction with a 10-year
maturity, commencing on that day and in a representative amount with an acknowledged dealer of good credit in the swap market,
where the floating leg, calculated on an actual/360 day count basis, is equivalent to U.S. dollar LIBOR with a designated maturity
of three months. If at least three quotations are provided, the rate for CMS10 for that day will be the arithmetic mean of the
quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or,
in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, a rate for CMS10 will be
determined by the calculation agent in good faith and using its reasonable judgment. CMS10 is calculated by ICE Benchmark Administration Limited based
on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps with a 10-year maturity that are sourced from electronic
trading venues. The provisions set forth in this section “—Determination
of CMS10” are subject to the discussion in “Discontinuance of CMS10” below. If the calculation and publication of CMS10 is permanently canceled,
then the calculation agent may identify an alternative rate that it determines, in its sole discretion, represents the same or
a substantially similar measure or benchmark as CMS10, and the calculation agent may deem that rate (the “successor CMS rate”)
to be CMS10. Upon the selection of any successor CMS rate by the calculation agent pursuant to this paragraph, references in this
pricing supplement to the original CMS10 will no longer be deemed to refer to the original CMS10 and will be deemed instead to
refer to that successor CMS rate for all purposes. In such event, the calculation agent will make such adjustments, if any, to
any level of CMS10 that is used for purposes of the notes as it determines are appropriate in the circumstances. Upon any selection
by the calculation agent of a successor CMS rate, the calculation agent will cause notice to be furnished to us and the trustee. If the calculation and publication of CMS10 is permanently canceled
and no successor CMS rate is chosen as described above, then the calculation agent will calculate the level of CMS10 on each subsequent
date of determination in good faith and using its reasonable judgment. Such level, as calculated by the calculation agent, will
be the relevant rate for CMS10 for all purposes. Notwithstanding these alternative arrangements, the
cancellation of CMS10 may adversely affect In the opinion of our counsel, Davis Polk & Wardwell LLP,
the notes should be treated as “variable rate debt instruments” that provide for a single fixed rate followed by a
qualified floating rate (“QFR”) for U.S. federal income tax purposes. Under the Treasury Regulations applicable to
variable rate debt instruments, the notes may be treated as issued with original issue discount (“OID”). In order to determine the amount of qualified stated interest
(“QSI”) and OID in respect of the notes, an equivalent fixed rate debt instrument must be constructed. The equivalent
fixed rate debt instrument is constructed in the following manner: (i) first, the initial fixed rate is converted to a QFR that
would preserve the fair market value of the notes, and (ii) second, each QFR (including the QFR determined under (i) above) is
converted to a fixed rate substitute (which will generally be the value of that QFR as of the issue date of the notes). The rules
described under “United States Federal Tax Considerations — Tax Consequences to U.S. Holders — Original Issue
Discount” in the accompanying prospectus supplement are then applied to the equivalent fixed rate debt instrument for purposes
of calculating the amount of OID on the notes. Under these rules, the notes will generally be treated as providing for QSI at a
rate equal to the lowest rate of interest in effect at any time under the equivalent fixed rate debt instrument, and any interest
in excess of that rate will generally be treated as part of the stated redemption price at maturity and, therefore, as giving rise
to OID. Based on the application of these rules to the notes, we will indicate in the final pricing supplement if the notes are
issued with OID. QSI on the notes will generally be taxable to a U.S. Holder (as
defined in the accompanying prospectus supplement) as ordinary interest income at the time it accrues or is received in accordance
with the U.S. Holder’s method of tax accounting. If the notes are issued with OID, a U.S. Holder will be required to include
the OID in income for federal income tax purposes as it accrues, in accordance with a constant-yield method based on a compounding
of interest. If the notes are not issued with OID, all stated interest on the notes will be treated as QSI and will be taxable
to a U.S. Holder as ordinary interest income at the time it accrues or is received in accordance with the U.S. Holder’s method
of tax accounting. If the amount of interest a U.S. Holder receives on the notes in a calendar year is greater than the interest
assumed to be paid or accrued under the equivalent fixed rate debt instrument, the excess is treated as additional QSI taxable
to the U.S. Holder as ordinary income. Otherwise, any difference will reduce the amount of QSI the U.S. Holder is treated as receiving
and will therefore reduce the amount of ordinary income the U.S. Holder is required to take into income. Upon the sale or other taxable disposition of a note, a U.S.
Holder generally will recognize capital gain or loss equal to the difference between the amount realized on the disposition (other
than any amount attributable to accrued QSI, which will be treated as a payment of interest) and the U.S. Holder’s tax basis
in the note. A U.S. Holder’s tax basis in a note generally will equal the cost of the note to the U.S. Holder, increased
by the amounts of OID (if any) previously included in income by the U.S. Holder with respect to the note and reduced by any payments
other than QSI received by the U.S. Holder. Such gain or loss generally will be long-term capital gain or loss if the U.S. Holder
has held the note for more than one year at the time of disposition. Under current law Non-U.S. Holders (as defined in the accompanying
prospectus supplement) generally will not be subject to U.S. federal withholding or income tax with respect to interest (or OID,
if any) paid on and amounts received on the sale, exchange or retirement of the notes if they comply with applicable certification
requirements. Special rules apply to Non-U.S. Holders whose income on the notes is effectively connected with the conduct of a
U.S. trade or business or who are individuals present in the United States for 183 days or more in a taxable year. The discussions herein and in the accompanying prospectus supplement
do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Internal Revenue
Code of 1986, as amended. You should read the section entitled “United States
Federal Tax Considerations” in the accompanying prospectus 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 notes. You should also consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction. CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the notes, is acting as principal and will receive an underwriting fee of up to $12.50 for each
note sold in this offering (or up to $5 for each note sold to fee-based advisory accounts). The actual underwriting fee will be
equal to $12.50 for each note 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 selling concession
of up to $12.50 for each note 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 for each note they
sell to fee-based advisory accounts. Additionally, it is possible that CGMI and its affiliates
may profit from expected hedging activity related to this offering, even if the value of the notes declines. You should refer
to “Risk Factors” above and the section “Use of Proceeds and Hedging” in the accompanying prospectus. The terms and conditions set forth in the Amended and Restated
Global Selling Agency Agreement dated April 7, 2017 among Citigroup Global Markets Holdings Inc., Citigroup Inc. and the agents
named therein, including CGMI, govern the sale and purchase of the notes. The notes will not be listed on any securities exchange. In order to hedge its obligations under the notes, Citigroup
Global Markets Holdings Inc. expects to enter into one or more swaps or other derivatives transactions with one or more of its
affiliates. You should refer to the sections “Risk Factors—The estimated value of the notes on the pricing date, based
on CGMI’s proprietary pricing models and our internal funding rate, will be less than the issue price,” and the section
“Use of Proceeds and Hedging” in the accompanying prospectus. CGMI is an affiliate of Citigroup Global Markets Holdings Inc.
Accordingly, the offering of the notes will conform with the requirements addressing conflicts of interest when distributing the
securities of an affiliate set forth in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client
accounts over which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted
to purchase the notes, 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 settlement date for the notes is more than two business
days after the pricing date, investors who wish to sell the notes at any time prior to the second business day preceding the settlement
date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors
should consult their own investment advisers in this regard. See “Plan of Distribution; Conflicts of Interest”
in the accompanying prospectus supplement for more information. Historical Information on CMS10 The following graph shows the published daily rate for CMS10
in the period from January 1, 2008 through July 17, 2018. The historical CMS10 should not be taken as an indication of the future
performance of CMS10. Any historical upward or downward trend in CMS10 during any period set forth below is not an indication that
CMS10 is more or less likely to increase or decrease at any time during the term of the notes. The rate for CMS10 on July 17, 2018,
was 2.926% per annum. Historical CMS10 January 1, 2008
to July 17, 2018 Valuation of the Notes CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (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 “Risk Factors—The value of
the notes prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but not including
our and 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 notes is a function of the terms of
the notes and the inputs to CGMI’s proprietary pricing models. The range for the estimated value of the notes set forth on
the cover page of this preliminary pricing supplement reflects uncertainty on the date of this preliminary pricing supplement about
the inputs to CGMI’s proprietary pricing models on the pricing date. For a period of approximately six months following issuance of
the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes 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 notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the six-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time. See
“Risk Factors—The notes will not be listed on any securities exchange and you may not be able to sell them prior to
maturity.” Certain Selling Restrictions Hong Kong Special Administrative Region The contents of this pricing supplement and the accompanying
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 prospectus
supplement and prospectus, they should obtain independent professional advice. The notes have not been offered or sold and will not be offered
or sold in Hong Kong by means of any document, other than There is no advertisement, invitation or document relating to
the notes 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 notes are not insured by any governmental
agency. These notes are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme. Singapore This pricing supplement and the accompanying prospectus supplement
and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the notes will be offered
pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities and Futures Act”).
Accordingly, the notes 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 notes 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 notes are subscribed or purchased under Section
275 of the Securities and Futures Act by a relevant person which is: Any notes referred to herein may not be registered with any regulator,
regulatory body or similar organization or institution in any jurisdiction. The notes 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 notes are not insured by any governmental
agency. These notes are not bank deposits. These notes 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 notes may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision: © 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. Citigroup Global Markets Holdings Inc.
· After the first two years, the notes will pay interest at a floating rate that may be as low as 0% on one or more interest
payment dates. The rate at which the notes will bear interest during each quarterly interest period after the first two years
will depend on CMS10 on the interest determination date for that interest period. As a result, the interest payable on the notes
will vary with fluctuations in CMS10, subject to the minimum interest rate of 0% per annum. It is impossible to predict whether
CMS10 will rise or fall or the amount of interest payable on the notes. After the first two years, you may receive no interest
for extended periods of time or even throughout the remaining term of the notes.
· An investment in the notes may be more risky than an investment in notes with a shorter term. The notes have a term
of ten years. By purchasing notes with a longer term, you will bear greater exposure to fluctuations in market interest rates than
if you purchased a note with a shorter term. In particular, if the level of CMS10 does not increase from its current level, you
may be holding a long-dated security that pays an interest rate that is less than that which would be payable on a conventional
fixed-rate, non-callable debt security of Citigroup Inc. of comparable maturity. In addition, if you tried to sell your notes at
such time, the value of your notes in any secondary market transaction would also be adversely affected.
· The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., and any actual or
perceived changes to the creditworthiness of either entity may adversely affect the value of the notes. You are subject to
the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. defaults
on its obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, your investment would be at risk and
you could lose some or all of your investment. As a result, the value of the notes will be affected by changes in the market’s
view of the creditworthiness of Citigroup Global Markets Holdings Inc. or Citigroup Inc. Any decline or anticipated decline in
the credit ratings of either entity, or any increase or anticipated increase in the credit spreads of either entity, is likely
to adversely affect the value of the notes.
· You will be entitled to receive the full principal amount of your notes, subject to the credit risk of Citigroup Global
Markets Holdings Inc. and Citigroup Inc., only if you hold the notes to maturity. Because the value of the notes may fluctuate,
if you are able to sell your notes in the secondary market prior to maturity, you may receive less than the stated principal amount.
· The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The
notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a
daily basis. Any indicative bid price for the notes 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 notes 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
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
· The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) any selling concessions or other fees paid
in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with
the offering of the notes 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 notes. These costs adversely affect the economic terms of the notes
because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are
also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the
notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary market rate”
below.
· The estimated value of the notes 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 CMS10 and interest rates. CGMI’s
views on these inputs and assumptions 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 notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes.
You should not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes
to maturity irrespective of the initial estimated value. PS-2 Citigroup Global Markets Holdings Inc.
· The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated
value of the notes 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 notes. 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 notes for purposes of any purchases of the notes
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 notes, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not the same as the rate at which interest is payable on
the notes.
· The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes
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 notes 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 notes than if our internal funding rate were used. In addition,
any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated
principal amount of the notes 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 notes will be less than the issue price.
· The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes
prior to maturity will fluctuate based on the level and volatility of CMS10, interest and yield rates in the market generally,
the time remaining to maturity of the notes and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. Changes in the level of CMS10 may not result in a comparable change in the value of your notes. You should understand
that the value of your notes 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 Notes” in this pricing supplement.
· Our offering of the notes does not constitute a recommendation to invest in an instrument linked to CMS10. You should
not take our offering of the notes as an expression of our views about how CMS10 will perform in the future or as a recommendation
to invest in any instrument linked to CMS10, including the notes. As we are part of a global financial institution, our affiliates
may, and often do, have positions (including short positions), and may publish research or express opinions, that in each case
conflict with an investment in the notes. You should undertake an independent determination of whether an investment in the notes
is suitable for you in light of your specific investment objectives, risk tolerance and financial resources.
· The manner in which CMS rates are calculated may change in the future. The method by which CMS10 is calculated may change
in the future, as a result of governmental actions, actions by the publisher of CMS10 or otherwise. We cannot predict whether the
method by which CMS10 is calculated will change or what the impact of any such change might be.
· Uncertainty about the future of LIBOR may affect CMS10 in a way that adversely affects the return on and the value of the
notes. A CMS rate is a market rate for the fixed leg of a fixed-for-floating interest rate swap, where the floating leg is
based on 3-month U.S. dollar LIBOR. As a result, CMS10 is significantly influenced by 3-month U.S. dollar LIBOR and expectations
about future levels of 3-month U.S. dollar LIBOR. On July 27, 2017, the Chief Executive of the U.K. Financial Conduct Authority
(the “FCA”), which regulates LIBOR, announced that the FCA intends to stop persuading or compelling banks to submit
rates for the calculation of LIBOR to the LIBOR administrator. The announcement indicates that the continuation of LIBOR on the
current basis cannot and will not be guaranteed after 2021. It is impossible to predict whether and to what extent banks will continue
to provide LIBOR submissions to the administrator of LIBOR, whether LIBOR rates will cease to be published or supported before
or after 2021 or whether any additional reforms to LIBOR may be enacted in the United Kingdom or elsewhere. It is also impossible
to predict the impact of any LIBOR-related developments on the method of calculation or the values of CMS10. At this time, no consensus
exists as to what rate or rates may become accepted alternatives to LIBOR, including for purposes of the interest rate swaps underlying
CMS10, and it is impossible to predict the effect of any such alternatives on the value of securities, such as the notes, that
are linked to CMS rates. Any changes to 3-month U.S. dollar LIBOR or the calculation of CMS10, and any uncertainty at what these
changes may be, may affect CMS10 in a way that adversely affects your return on and value of the notes.
· Hedging and other trading activities by our affiliates may affect the determination of CMS10. CMS rates are determined
based on tradable quotes for U.S. dollar fixed-for-floating interest rate swaps of the relevant maturities sourced from electronic
trading venues. Our affiliates may engage in trading activities on these electronic trading venues, in order to hedge our obligations PS-3 Citigroup Global Markets Holdings Inc.
· The calculation agent, which is an affiliate of the issuer, will make determinations with respect to the notes. Citibank,
N.A., the calculation agent for the notes, is an affiliate of ours. As calculation agent, Citibank, N.A. will determine, among
other things, each CMS10 level and will calculate the related interest rate and payment to you on each interest payment date. Any
of these determinations or calculations made by Citibank, N.A. in its capacity as calculation agent, including with respect to
the calculation of the level of CMS10 in the event of the unavailability of the level of CMS10 and the selection of a successor
CMS10 if CMS10 is discontinued, may adversely affect the amount of one or more interest payments to you. PS-4 Citigroup Global Markets Holdings Inc.
General Information
Additional information:
Business day:
Any day that is not a Saturday or Sunday and that, in New York City, is not a day on which banking institutions are authorized or obligated by law or executive order to close.
Regular record date:
Interest will be payable on each interest payment date to the holders of record of the notes at the close of business on the business day immediately preceding the relevant interest payment date, except that the final interest payment will be made to the persons who hold the notes on the maturity date.
Determination of CMS10:
Discontinuance of CMS10:
PS-5 Citigroup Global Markets Holdings Inc.
interest payments on, and the value of, the notes.
U.S. federal income tax considerations:
PS-6 Citigroup Global Markets Holdings Inc.
Fees and selling concessions:
Supplemental information regarding plan of distribution; conflicts of interest:
Calculation agent:
Citibank, N.A., an affiliate of Citigroup Global Markets Holdings Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. Citibank, N.A. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment. PS-7 Citigroup Global Markets Holdings Inc.
PS-8 Citigroup Global Markets Holdings Inc.
(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
(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. PS-9 Citigroup Global Markets Holdings Inc.
(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 notes offered so as to enable an investor to decide to purchase or subscribe the notes. PS-10