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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying indices:
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Underlying indices
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Initial index level*
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Downside threshold level**
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Russell 2000® Index
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S&P 500® Index
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Nasdaq-100 Index®
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* For each underlying index, its closing level on the pricing
date
** For each underlying index, 60% of its initial index level
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Aggregate stated principal amount:
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$
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Stated principal amount:
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$1,000 per security
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Pricing date:
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June , 2020 (expected to be June 9, 2020)
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Issue date:
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June , 2020 (three business days after the pricing date)
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Valuation date:
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Expected to be June 9, 2023, subject to postponement if such date is not a scheduled trading day for any underlying index or if certain market disruption events occur with respect to any underlying index
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Maturity date:
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Unless earlier redeemed by us, June , 2023 (expected to be June 14, 2023)
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Coupon payment dates:
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September 14, 2020, December 14, 2020, March 12, 2021, June 14, 2021, September 14, 2021, December 14, 2021, March 14, 2022, June 14, 2022, September 14, 2022, December 14, 2022, March 14, 2023 and the maturity date
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Coupon:
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On each quarterly coupon payment date, unless previously redeemed by us, the securities will pay a coupon equal to 1.4625% of the stated principal amount of the securities (5.85% per annum)
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Payment at maturity:
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Unless earlier redeemed by us, for each $1,000 stated principal amount
security you hold at maturity, you will receive cash in an amount determined as follows (in addition to the final coupon payment):
▪
If the final index level of the worst performing underlying index is greater than or equal to its downside
threshold level: $1,000
▪
If the final index level of the worst performing underlying index is less than its downside threshold level:
$1,000 + ($1,000 × the index
return of the worst performing underlying index)
If the final index level of the worst performing underlying index
is less than its downside threshold level, you will receive less, and possibly significantly less, than 60% of the stated principal
amount of your securities at maturity (excluding the final coupon payment).
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Listing:
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The securities will not be listed on any securities exchange
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$1,000
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$10.50(2)
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$987.50
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$2.50(3)
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Total:
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$
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$
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$
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(Key Terms continued
on next page)
(1) Citigroup Global Markets Holdings
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $925.00 per security, which
will be less than the issue price. The estimated value of the securities is based on CGMI’s proprietary pricing models and
our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication
of the price, if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance.
See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, 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 $12.50 for each $1,000 security sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management,
and their financial advisors will collectively receive from CGMI a fixed selling concession of $10.00 for each $1,000 security
they sell. Additionally, it is possible that CGMI and its affiliates may profit from expected hedging activity related to this
offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable
to Morgan Stanley Wealth Management by CGMI of $2.50 for each security.
Investing in the securities involves risks not associated with
an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-8.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful
or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can
be accessed via the following hyperlinks:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21, 2019
Prospectus Supplement and Prospectus each dated May 14, 2018
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.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
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KEY TERMS (continued)
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Redemption:
|
We may call the securities, in whole and not in part, for mandatory redemption on any potential redemption date upon not less than three business days’ notice. Following an exercise of our call right, you will receive for each security you then hold an amount in cash equal to the early redemption payment. If the securities are redeemed, no further payments will be made.
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Potential redemption dates:
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The coupon payment dates beginning in September 2020 and ending in March 2023
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Early redemption payment:
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The stated principal amount of $1,000 per security plus the related coupon payment
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Final index level:
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For each underlying index, its closing level on the valuation date
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Index return:
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For each underlying index, (i) its final index level minus its initial index level, divided by (ii) its initial index level
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Worst performing underlying index:
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The underlying index with the lowest index return
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CUSIP / ISIN:
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17328VWA4 / US17328VWA42
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Additional
Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing
supplement. The accompanying underlying supplement contains important disclosures regarding each underlying index that are not
repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus together with this pricing supplement before deciding whether to invest in the securities.
Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Prospectus. The first sentence of “Description of
Debt Securities— Events of Default and Defaults” in the accompanying prospectus shall be amended to read in its entirety
as follows:
Events of default under the indenture are:
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•
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failure of Citigroup Global Markets Holdings or Citigroup to pay required interest on any debt security of such series for 30 days;
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•
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failure of Citigroup Global Markets Holdings or Citigroup to pay principal, other than a scheduled installment payment to a sinking fund, on any debt security of such series for 30 days;
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•
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failure of Citigroup Global Markets Holdings or Citigroup to make any required scheduled installment payment to a sinking fund for 30 days on debt securities of such series;
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•
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failure of Citigroup Global Markets Holdings to perform for 90 days after notice any other covenant in the indenture applicable to it other than a covenant included in the indenture solely for the benefit of a series of debt securities other than such series; and
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•
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certain events of bankruptcy or insolvency of Citigroup Global Markets Holdings, whether voluntary or not (Section 6.01).
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
Investment
Summary
The securities provide an opportunity for investors to earn a
quarterly coupon payment, which is an amount equal to $14.625 (1.4625% of the stated
principal amount) per security. The quarterly coupon payment will be payable quarterly on each coupon payment date and the maturity
date.
We may call the securities, in whole and not in part, for mandatory
redemption on any potential redemption date upon not less than three business days’ notice for an early redemption payment
equal to the stated principal amount plus the quarterly coupon payment due on that coupon payment date. Thus, the term of
the securities may be limited to three months. If we redeem the securities prior to maturity, you will not receive any additional
coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a similar yield with
a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlying indices
are performing in a manner that would otherwise have been favorable to you. On the other hand, we will be less likely to redeem
the securities when the underlying indices are performing unfavorably from your perspective, including when the final index level
of any underlying index is expected to be below its respective downside threshold level, such that you will suffer a significant
loss on your initial investment in the securities at maturity. Thus, if we do not redeem the securities prior to maturity, it is
more likely that you will suffer a significant loss at maturity.
If the securities have
not previously been redeemed by us and the final index level of the worst performing underlying index is greater than or equal
to its downside threshold level, you will be repaid the stated principal amount of your securities at maturity and receive the
final quarterly coupon payment. However, if the securities have not previously been redeemed by us and the final index level of
the worst performing underlying index is less than its downside threshold level, investors will be exposed to the decline in the
closing level of the worst performing underlying index, as compared to its initial index level, on a 1-to-1 basis. Under these
circumstances, the payment at maturity will be (i) the stated principal amount plus (ii) (a) the stated principal amount
times (b) the index return of the worst performing underlying index, which means that the payment at maturity will be less
than 60% of the stated principal amount of the securities and could be zero (excluding the final coupon payment). Regardless of
the performance of the worst performing underlying index, investors will receive the final coupon payment on the maturity date.
Investors in the securities must be willing to accept the risk
of losing their entire principal. The stated payments on the securities are based solely on the performance of the worst
performing of the three underlying indices. As a result, investors will be negatively affected by adverse movements in any
one of the underlying indices, regardless of the performance of the others. In addition, investors will not participate in any
appreciation of any of the underlying indices.
Key Investment
Rationale
The securities offer investors a quarterly coupon payment equal
to 1.4625% of the stated principal amount with respect to each coupon payment date. The securities may be redeemed by us prior
to maturity for the stated principal amount per security plus the applicable quarterly coupon payment and the payment at
maturity will vary depending on the final index level of the worst performing underlying index, as follows:
|
Scenario 1
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On any potential redemption date (beginning
approximately three months after the issue date), we exercise our right to call the securities.
■
The securities will be redeemed for (i) the stated principal amount plus (ii) the quarterly coupon payment
with respect to the related coupon payment date.
■
Investors will not participate in any appreciation of any of the underlying indices from their applicable initial
index levels.
|
|
Scenario 2
|
The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is greater than or equal to its downside threshold level.
■
You will be repaid the stated principal amount of your securities at maturity plus the quarterly coupon payment.
■
Investors will not participate in any appreciation of any of the underlying indices from their applicable initial
index levels.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
|
Scenario 3
|
The securities are not redeemed prior to maturity,
and the final index level of the worst performing underlying index is less than its downside threshold level.
■
The payment due at maturity will be, in addition to the final coupon payment, (i) the stated principal amount plus
(ii) (a) the stated principal amount times (b) the index return of the worst performing underlying index.
■
Investors will lose a significant portion, and may lose all, of their principal in this scenario.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
How the Securities
Work
The following diagram illustrates potential payments on the securities.
The diagram illustrates how to determine the payment at maturity if the securities are not redeemed by us prior to maturity.
Payment at Maturity if No Early Redemption
Occurs
For more information about the payment at maturity in
different hypothetical scenarios, see “Hypothetical Examples” starting on page PS-6.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
Hypothetical Examples
The examples below illustrate how to calculate the payment at
maturity on the securities if we do not redeem the securities prior to maturity. You should understand that the term of the securities,
and your opportunity to receive the coupon payments on the securities, may be limited to as short as three months if we elect
to redeem the securities prior to the maturity date, which is not reflected in the examples below. For ease of analysis, figures
in the examples below may have been rounded.
The examples below are based on the following hypothetical values
and assumptions in order to illustrate how the securities work and do not reflect the actual initial index levels of any of the
underlying indices or their applicable downside threshold levels, each of which will be determined on the pricing date:
|
Quarterly coupon payment:
|
$14.625 (1.4625% of the stated
principal amount) per security
|
|
Hypothetical initial index level:
|
With respect to the Russell 2000®
Index, 1,500.000
With respect to the S&P 500®
Index, 3,100.00
With respect to the Nasdaq-100 Index®,
9,600.000
|
|
Hypothetical downside threshold level:
|
With respect to the Russell 2000®
Index, 900.000, which is 60% of its hypothetical initial index level
With respect to the S&P 500®
Index, 1,860.000, which is 60% of its hypothetical initial index level
With respect to the Nasdaq-100 Index®,
5,760.000, which is 60% of its hypothetical initial index level
|
How to determine the payment at maturity
on the securities if we do not elect to redeem the securities prior to maturity:
|
|
Hypothetical
final index level of the Russell 2000® Index
|
Hypothetical
final index level of the S&P 500® Index
|
Hypothetical
final index level of the Nasdaq-100 Index®
|
Hypothetical
payment at maturity per security
|
|
Example
1
|
1,650.000
(index return =
10%)
|
3,720.00
(index return =
20%)
|
11,040.000
(index return =
15%)
|
$1,014.625
|
|
Example
2
|
1,575.000
(index return =
5%)
|
1,240.00
(index return =
-60%)
|
9,600.000
(index return =
0%)
|
$414.625
|
|
Example
3
|
1,275.000
(index return =
-15%)
|
2,790.00
(index return =
-10%)
|
1,920.000
(index return =
-80%)
|
$214.625
|
Example 1: In
this example, the Russell 2000® Index is the worst performing underlying index. In this scenario, the final index
level of the worst performing underlying index is greater than its downside threshold level. Accordingly, at maturity,
you would be repaid the stated principal amount of the securities plus the coupon payment of $14.625 per security, but you would
not participate in the appreciation of any of the underlying indices even though all of the underlying indices have appreciated
from their respective initial index levels.
Example 2: In this
example, the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is less than its downside threshold level. Accordingly, at maturity, you would receive
a payment per security calculated as follows:
Payment at maturity =
$1,000 + ($1,000 × the index return of the S&P 500® Index) + the final coupon payment
= $1,000 + ($1,000 ×
-60%) + $14.625
= $1,000 + -$600 + $14.625
= $414.625
In this scenario, you
would receive significantly less than the stated principal amount of your securities. You would incur a loss based on the performance
of the worst performing underlying index, even though the final index levels of the other underlying indices are greater than their
respective downside threshold levels.
Example 3: In this
example, the Nasdaq-100 Index® is the worst performing underlying index and its final index level is less than its
downside threshold level. Accordingly, at maturity, you would receive a payment per security calculated as follows:
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
Payment at maturity =
$1,000 + ($1,000 × the index return of the Nasdaq-100 Index®) + the final coupon payment
= $1,000 + ($1,000 ×
-80%) + $14.625
= $1,000 + -$800 + $14.625
= $214.625
In this scenario, because the final index level of the worst
performing underlying index is less than its downside threshold level, you would lose a significant portion of your investment
in the securities, even though the final index levels of the other underlying indices are greater than their respective downside
threshold levels.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default
on our obligations under the securities, and are also subject to risks associated with each of the underlying indices. 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-7 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 a significant portion or all of your investment. Unlike conventional debt securities, the securities do
not provide for the repayment of the stated principal amount at maturity in all circumstances. If we do not redeem the securities
prior to maturity and the final index level of the worst performing underlying index is less than its downside threshold level,
you will lose a significant portion or all of your investment, based on a loss of 1% of the stated principal amount of the securities
for every 1% by which the final index level of the worst performing underlying index is less than its initial index level, regardless
of the performance of the other underlying indices. There is no minimum payment at maturity on the securities (excluding the final
coupon payment), and you may lose up to all of your investment. If the final index level of any underlying index is less than
its downside threshold level, you will be fully exposed to any depreciation of the worst performing underlying index from its initial
index level to its final index level.
|
|
|
▪
|
The securities are subject to the risks of all of the underlying indices and will be negatively affected if any one of the
underlying indices performs poorly, even if the others perform well. You are subject to risks associated with all of the underlying
indices. If any one of the underlying indices performs poorly, you will be negatively affected, even if the other underlying indices
perform well. The securities are not linked to a basket composed of the underlying indices, where the better performance of one
or two could ameliorate the poor performance of the others. Instead, you are subject to the full risks of whichever of the underlying
indices is the worst performing underlying index.
|
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying indices. The return on the
securities depends solely on the performance of the worst performing of the three underlying indices, and
you will not benefit in any way from the performance of the better performing underlying indices. The securities may underperform
a similar alternative investment linked to a basket composed of the underlying indices, since in such case the performance of the
better performing underlying indices would be blended with the performance of the worst performing of the three underlying indices,
resulting in a better return than the return of the worst performing of the three underlying indices.
|
|
|
▪
|
You will be subject to risks relating to the relationship among the underlying indices. It is preferable from your perspective
for the underlying indices to be correlated with each other, in the sense that they tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlying indices will not exhibit this
relationship. The less correlated the underlying indices, the more likely it is that any one of the underlying indices will perform
poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlying
indices to perform poorly; the performance of any underlying index that is not the worst performing of the three underlying indices
is not relevant to your return on the securities. It is impossible to predict what the relationship among the underlying indices
will be over the term of the securities. The S&P 500® Index represents
large capitalization stocks in the United States, the Russell 2000® Index represents small capitalization stocks
in the United States and the Nasdaq-100 Index® represents 100 of the largest non-financial companies listed on the
Nasdaq Stock Market. Accordingly, the underlying indices represent markets that differ in significant ways and, therefore, may
not be correlated with each other.
|
|
|
▪
|
Higher coupon rates are associated with greater risk. The securities offer coupon payments at an annualized rate that,
if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing date for the securities,
including the risk that the amount you receive at maturity may be significantly less than the stated principal amount of your securities
and may be zero (excluding the final coupon payment). The volatility of and the correlation among the underlying indices are important
factors affecting these risks. Greater expected volatility of, and lower expected correlation among, the underlying indices as
of the pricing date may result in a higher coupon rate, but would also represent a greater expected likelihood as of the pricing
date that the final index level of the worst performing underlying index will be less than its downside threshold level, such that
you will suffer a substantial loss of principal at maturity.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
|
|
|
|
▪
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying index. The coupon
payments on the securities are the compensation you receive for assuming the downside risk of the worst performing underlying index,
as well as all the other risks of the securities. That compensation may be less than you currently anticipate. The coupon payments
are the compensation you receive not only for the downside risk of the worst performing underlying index, but also for all of the
other risks of the securities, including the risk that the securities may be redeemed by us beginning approximately three months
after the issue date, interest rate risk and our and/or Citigroup Inc.’s credit risk. If those other risks increase or are
otherwise greater than you currently anticipate, the coupon payments may turn out to be inadequate to compensate you for all the
risks of the securities, including the downside risk of the worst performing underlying index.
|
|
|
▪
|
We may redeem the securities at our option, which will limit your ability to receive the coupon payments. We may redeem
the securities on any potential redemption date upon not less than three business days’ notice. In the event that we redeem
the securities, you will receive the stated principal amount of your securities and the related coupon payment. Thus, the term
of the securities may be limited to as short as three months. If we redeem the securities prior to maturity, you will not receive
any additional coupon payments. Moreover, you may not be able to reinvest your funds in another investment that provides a similar
yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when the underlying
indices are performing in a manner that would otherwise have been favorable to you. By contrast, if the underlying indices are
performing unfavorably from your perspective, we are less likely to redeem the securities. If we redeem the securities, we will
do so at a time that is advantageous to us and without regard to your interests.
|
|
|
▪
|
The securities offer downside exposure to the worst performing underlying index, but no upside exposure to the underlying
indices. You will not participate in any appreciation in the level of any of the underlying indices over the term of the securities.
Consequently, your return on the securities will be limited to the coupon payments you receive and may be significantly less than
the return on the underlying indices over the term of the securities. In addition, you will not receive any dividends or other
distributions or have any other rights with respect to the underlying indices or the stocks included in the underlying indices
over the term of the securities.
|
|
|
▪
|
The performance of the securities will depend on the closing levels of the underlying
indices solely on the valuation date, which makes the securities particularly sensitive to the volatility of the underlying indices.
If the securities are not redeemed by us prior to maturity, what you receive at maturity will depend solely on the closing level
of the worst performing underlying index on the valuation date, and not on any other day during the term of the securities. Because
the performance of the securities depends on the closing levels of the underlying indices on only one date, the securities will
be particularly sensitive to volatility in the closing levels of the underlying indices. You should understand that all of the
underlying indices have historically been highly volatile.
|
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions and structuring
fees paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to
CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the
economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you.
The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than
our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were
calculated based on our secondary market rate” below.
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Citigroup Global Markets Holdings Inc.
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Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation among the
underlying indices, dividend yields on the stocks included in the underlying indices and interest rates. CGMI’s views on
these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict
with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting
purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing
to hold the securities to maturity irrespective of the initial estimated value.
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The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as the coupon
that is payable on the securities.
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Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying indices and a number of other factors,
including the price and volatility of the stocks included in the underlying indices, the correlation among the underlying indices,
dividend yields on the stocks included in the underlying indices, interest rates generally, the time remaining to maturity and
our and/or Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the levels of the underlying
indices may not result in a comparable change in the value of your securities. You should understand that the value of your securities
at any time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
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The securities are linked to the Russell 2000® Index and will be subject to risks associated with small capitalization
stocks. The stocks that constitute the Russell 2000® Index are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
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Changes that affect the underlying indices may affect the value of your securities. The sponsors of the Russell 2000®
Index, the S&P 500® Index and the Nasdaq-100 Index® may add, delete or substitute the stocks
that constitute those indices or make
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Citigroup Global Markets Holdings Inc.
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|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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other methodological changes that
could affect the levels of those indices. We are not affiliated with any such index sponsor and, accordingly, we have no control
over any changes any such index sponsor may make. Such changes could be made at any time and could adversely affect the performance
of the underlying indices and the value of and your payment at maturity on the securities.
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Our offering of the securities does not constitute a recommendation of any underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying indices is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the stocks that constitute the underlying indices or in instruments related to the underlying indices, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying indices. These and
other activities of our affiliates’ may affect the levels of the underlying indices in a way that has a negative impact on
your interests as a holder of the securities.
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The level of an underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly
in the stocks included in the underlying indices and other financial instruments related to the underlying indices or the stocks
included in the underlying indices and may adjust such positions during the term of the securities. Our affiliates also trade the
stocks included in the underlying indices and other related financial instruments 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 levels of the underlying indices in a way that negatively affects the value of the securities. They
could also result in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates may currently or from time to time engage in business with the issuers of the stocks included in
the underlying indices, including extending loans to, making equity investments in or providing advisory services to such companies.
In the course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover,
if any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that
are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of an underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority
as to the proper U.S. federal tax treatment of the securities, and we do not intend to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment described herein. If the IRS were successful in asserting an alternative treatment,
the tax consequences of ownership and disposition of the securities might be materially and adversely affected. As described below
under “United States Federal Tax Considerations,” the U.S. Treasury Department and the IRS have requested comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial
instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition,
members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the securities, possibly with retroactive effect.
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As described below under “United
States Federal Tax Considerations,” in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment made to a non-U.S. investor on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that
in the future we may determine that we should withhold at a rate of 30% on coupon payments made to a non-U.S. investor on the securities.
If withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts so withheld.
Non-U.S. Holders should also review
the section entitled “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible
Withholding Under Section 871(m) of the Code” regarding the risk of withholding in respect of “dividend equivalents”
on the securities.
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Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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You should review carefully the
section of this pricing supplement entitled “United States Federal Tax Considerations.” You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information
About the Russell 2000® Index
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by Russell Investments, a subsidiary of Russell Investment
Group. The Russell 2000® Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000® Index” is a trademark
of Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for important disclosures
regarding the Russell 2000® Index.
Historical Information
The closing level of the Russell 2000® Index on
June 4, 2020 was 1,452.063.
The graph below shows the closing levels of the Russell 2000®
Index for each day such level was available from January 4, 2010 to June 4, 2020. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000® Index as
an indication of future performance.
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Russell 2000®
Index – Historical Closing Levels
January 4, 2010
to June 4, 2020
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* The red line indicates the hypothetical downside threshold
level with respect to the Russell 2000® Index of 871.238, assuming the closing level of the Russell 2000®
Index on June 4, 2020 were its initial index level.
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Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information
About the S&P 500® Index
The S&P 500® Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. As of July 31, 2017, the securities of companies
with multiple share class structures are no longer eligible to be added to the S&P 500® Index, but securities
already included in the S&P 500® Index have been grandfathered and are not affected by this change. For
more information, see “Equity Index Descriptions—The S&P U.S. Indices—License Agreement” in the accompanying
underlying supplement.
Please refer to the section “Equity Index Descriptions—The
S&P U.S. Indices—The S&P 500® Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500® Index.
Historical Information
The closing level of the S&P 500® Index on
June 4, 2020 was 3,112.35.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 4, 2010 to June 4, 2020. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500® Index as an
indication of future performance.
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S&P 500®
Index – Historical Closing Levels
January 4, 2010
to June 4, 2020
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* The red line indicates the hypothetical downside threshold
level with respect to the S&P 500® Index of 1,867.410, assuming the closing level of the S&P 500®
Index on June 4, 2020 were its initial index level.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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Information
About the Nasdaq-100 Index®
The Nasdaq-100 Index®
is a modified market capitalization-weighted index of stocks of the 100 largest non-financial companies listed on The Nasdaq Stock
Market. All stocks included in the Nasdaq-100 Index® are traded on a major U.S. exchange. The Nasdaq-100 Index®
was developed by The Nasdaq Stock Market, Inc. and is calculated, maintained and published by The Nasdaq OMX Group, Inc.
The Nasdaq-100 Index® is reported by Bloomberg L.P. under the ticker symbol “NDX.”
“Nasdaq-100 Index®”
is a trademark of The Nasdaq OMX Group, Inc. and has been licensed for use by Citigroup Inc. and its affiliates. For more information,
see “Equity Index Descriptions—The Nasdaq-100 Index®—License Agreement” in the accompanying
underlying supplement.
Please refer to the section
“Equity Index Descriptions—The Nasdaq-100 Index®” in the accompanying underlying supplement for
important disclosures regarding the Nasdaq-100 Index®.
Historical
Information
The closing level of the
Nasdaq-100 Index® on June 4, 2020 was 9,629.664.
The graph below shows the
closing levels of the Nasdaq-100 Index® for each day such level was available from January 2, 2010 to June 4, 2020.
We obtained the closing levels from Bloomberg L.P., without independent verification. You should not take the historical levels
of the Nasdaq-100 Index® as an indication of future performance.
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Nasdaq-100 Index®
– Historical Closing Levels
January 4, 2010
to June 4, 2020
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* The red line indicates the hypothetical downside threshold
level with respect to the Nasdaq-100 Index® of 5,777.798, assuming the closing level of the Nasdaq-100 Index®
on June 4, 2020 were its initial index level.
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Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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United States Federal Tax Considerations
You should note that, other than the discussion under “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” regarding the possible
assumption of the securities by Citigroup Inc., the discussion under the section called “United States Federal Tax Considerations”
in the accompanying product supplement generally does not apply to the securities issued under this pricing supplement and is superseded
by the following discussion.
The following is a discussion of the material U.S. federal income
and certain estate tax consequences of the ownership and disposition of the securities. It applies to you only if you are an initial
holder of a security that purchases the security for cash at its stated principal amount, and holds the security as a capital asset
within the meaning of Section 1221 of the Code.
This discussion does not address all of the tax consequences
that may be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:
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a financial institution;
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a dealer or trader subject to a mark-to-market method of tax accounting with respect to the securities;
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a person holding the securities as part of a “straddle” or conversion transaction or one who enters into a “constructive
sale” with respect to a security;
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a U.S. Holder (as defined below) whose functional currency is not the U.S. dollar;
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an entity classified as a partnership for U.S. federal income tax purposes;
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a regulated investment company;
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a tax-exempt entity, including an “individual retirement account” or “Roth IRA”; or
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an investor subject to special tax accounting rules under Section 451(b) of the Code.
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If an entity that is classified as a partnership for U.S. federal
income tax purposes holds the securities, the U.S. federal income tax treatment of a partner will generally depend on the status
of the partner and the activities of the partnership. If you are a partnership holding the securities or a partner in such a partnership,
you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the securities
to you.
This discussion is based on the Code, administrative pronouncements,
judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement, changes
to any of which may affect the tax consequences described herein, possibly with retroactive effect. This discussion does not address
the effects of any applicable state, local or non-U.S. tax laws, the potential application of the Medicare contribution tax or
the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code . You should consult
your tax adviser about the application of U.S. federal tax laws to your particular situation (including the possibility of alternative
treatments of the securities), as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Securities
Due to the absence of statutory, judicial or administrative authorities
that directly address the U.S. federal tax treatment of the securities or similar instruments, there is substantial uncertainty
regarding the U.S. federal tax consequences of an investment in the securities. In connection with any information reporting requirements
we may have in respect of the securities under applicable law, we intend (in the absence of an administrative determination or
judicial ruling to the contrary) to treat each security for U.S. federal income tax purposes as a unit comprising (i) an option
written by you that, if exercised, requires you to pay us an amount equal to the Deposit (as defined below) in exchange for a cash
payment from us based on the underlying return of the least performing underlying (the “Put Option”) and (ii) a deposit
with us of a fixed amount of cash equal to the stated principal amount of the security to secure your potential obligation under
the Put Option (the “Deposit”). In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment
of the securities is reasonable under current law; however, our counsel has advised us that due to the lack of any controlling
legal authority it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative
treatments are possible. Moreover, our counsel’s opinion is based on market conditions as of the date of this preliminary
pricing supplement and is subject to confirmation on the pricing date. Under this treatment:
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a portion of each coupon payment made with respect to a security will be attributable to interest on the Deposit; and
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the remainder will represent option premium attributable to your grant of the Put Option (with respect to each coupon payment
received and, collectively, all coupon payments received, “Put Premium”).
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We will specify in the final pricing supplement the portion of
each coupon payment that we will allocate to interest on the Deposit and to Put Premium, respectively.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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We do not plan to request a ruling from the IRS, and the IRS
or a court might not agree with this treatment. Accordingly, you should consult your tax adviser regarding the U.S. federal tax
consequences of an investment in the securities. Unless otherwise stated, the following discussion is based on the treatment of
each security as a Put Option and a Deposit.
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders. You are a “U.S.
Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
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a citizen or individual resident of the United States;
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a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any
state thereof or the District of Columbia; or
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an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
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Coupon Payments. We intend to treat interest paid with
respect to the Deposit as ordinary interest income that is taxable to you at the time it accrues or is received, in accordance
with your method of tax accounting. The Put Premium should not be taken into account until retirement or earlier sale or exchange
of the security.
Sale or Exchange Prior to Retirement. Upon a sale or exchange
of a security prior to retirement, you should apportion the amount realized between the Deposit and the Put Option based on their
respective values on the date of sale or exchange. If the value of the Put Option is negative, you should be treated as having
made a payment of such negative value to the purchaser in exchange for the purchaser’s assumption of the Put Option, in which
case a corresponding amount should be added to the amount realized in respect of the Deposit.
You should recognize gain or loss with respect to the Deposit
in an amount equal to the difference between (i) the amount realized that is apportioned to the Deposit (other than any amount
attributable to accrued interest on the Deposit, which should be treated as a payment of interest) and (ii) your basis in the Deposit
(i.e., the price you paid to acquire the security). Such gain or loss should be long-term capital gain or loss if you have held
the security for more than one year, and short-term capital gain or loss otherwise.
You should recognize gain or loss in respect of the Put Option
in an amount equal to the total Put Premium you previously received, decreased by the amount deemed to be paid by you, or increased
by the amount deemed to be paid to you, in exchange for the purchaser’s assumption of the Put Option. This gain or loss should
be short-term capital gain or loss.
Tax Treatment at Retirement. The coupon payment received
upon retirement will be treated as described above under “Coupon Payments.”
If a security is retired for its stated principal amount (without
taking into account any coupon payment), the Put Option should be deemed to have expired unexercised, in which case you should
recognize short-term capital gain in an amount equal to the sum of all payments of Put Premium received, including the Put Premium
received upon retirement.
At maturity, if you receive an amount of cash, not counting the
final coupon payment, that is different from the stated principal amount, the Put Option should be deemed to have been exercised
and you should be deemed to have applied the Deposit toward the cash settlement of the Put Option. In that case, you should recognise
short-term capital gain or loss with respect to the Put Option in an amount equal to the difference between (i) the sum of the
total Put Premium received (including the Put Premium received at maturity) and the cash you receive at maturity, excluding the
final coupon payment, and (ii) the Deposit.
Possible Taxable Event. In the event of a designation
of a successor underlying, it is possible that the securities could be treated, in whole or part, as terminated and reissued for
U.S. federal income tax purposes. In such a case, you might be required to recognize gain or loss (subject to the possible
application of the wash sale rules) with respect to the securities.
Possible Alternative Tax Treatments of an Investment in the
Securities
Alternative U.S. federal income tax treatments of the securities
are possible that, if applied, could materially and adversely affect the timing and/or character of income, gain or loss with respect
to the securities. A security could be treated as a debt instrument issued by us, in which case the timing and character of taxable
income with respect to coupon payments on the securities would differ from that described herein and all or a portion of any gain
you realize would generally be treated as ordinary income. In addition, you could be subject to special reporting requirements
if any loss exceeded certain thresholds. Under other possible treatments, the entire coupon on the securities might either be (i)
treated as income to you at the time received or accrued or (ii) not accounted for separately as giving rise to income to you until
the sale, exchange or retirement of the securities. You should consult your tax adviser regarding these issues.
Other possible U.S. federal income tax treatments of the securities
are possible that could also affect the timing and character of income or loss with respect to the securities. In addition, the
U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar financial instruments and have
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Citigroup Global Markets Holdings Inc.
|
|
Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
|
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indicated that such transactions may be the subject of future
regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative
contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders. You are a “Non-U.S.
Holder” if you are a beneficial owner of a security that is, for U.S. federal income tax purposes:
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an individual who is classified as a nonresident alien;
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a foreign corporation; or
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a foreign trust or estate.
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You are not a Non-U.S. Holder for the purposes of this discussion
if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition or (ii)
a former citizen or resident of the United States. If you are or may become such a person during the period in which you hold a
security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities to
you.
Subject to the discussions below regarding Section 871(m) and
“FATCA,” under current law, you generally should not be subject to U.S. federal withholding or income tax in respect
of payments on the securities or amounts received on the sale, exchange or retirement of the securities, provided that (i) income
in respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii)
you provide to the applicable withholding agent an appropriate IRS Form W-8 certifying under penalties of perjury that you are
not a U.S. person.
If you are engaged in a U.S. trade or business, and if income
from the securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular
U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable income
tax treaty provides otherwise. If you are a Non-U.S. Holder to which this paragraph may apply, you should consult your tax adviser
regarding other U.S. tax consequences of the ownership and disposition of the securities. If you are a corporation, you should
also consider the potential application of a 30% (or lower treaty rate) branch profits tax.
As described above under “—Tax Consequences to U.S.
Holders—Possible Alternative Tax Treatments of an Investment in the Securities” alternative tax treatments could apply
to the securities, in which case the tax consequences to you could be materially and adversely affected. In addition, potential
legislative or regulatory changes to the tax treatment of the securities could adversely impact your consequences of an investment
in the securities.
Possible Withholding Under Section 871(m) of the Code. Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies
to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based
on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial
instruments issued prior to January 1, 2023 that do not have a “delta” of one. Based on the terms of the securities
and representations provided by us as of the date of this preliminary pricing supplement, 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 subject to withholding tax under Section 871(m). However, the
final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for the
securities, and it is possible that the securities will be subject to withholding under Section 871(m) based on the circumstances
as of that date.
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, including your other transactions. You should consult your tax adviser regarding the
potential application of Section 871(m) to the securities.
While we currently do not intend to withhold on payments on
the securities to Non-U.S. Holders (subject to the certification requirement described above, the discussion above regarding Section
871(m) and the discussion below regarding “FATCA”), in light of the uncertain treatment of the securities other persons
having withholding or information reporting responsibility in respect of the securities may treat some or all of each coupon payment
on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine that
we should withhold at a rate of 30% on coupon payments on the securities. We will not be required to pay any additional amounts
with respect to amounts withheld.
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Citigroup Global Markets Holdings Inc.
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Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder, or an entity the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example,
a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), you should
note that, absent an applicable treaty exemption, a security may be treated as U.S.-situs property subject to U.S. federal estate
tax. If you are such an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences
of an investment in the securities.
Information Reporting and Backup Withholding
Amounts paid on the securities, and payment of the proceeds of
a sale, exchange or other taxable disposition of the securities, may be subject to information reporting and, if you fail to provide
certain identifying information (such as an accurate taxpayer identification number if you are a U.S. Holder) or meet certain other
conditions, may also be subject to backup withholding at the rate specified in the Code. If you are a Non-U.S. Holder that provides
the applicable withholding agent with an appropriate IRS Form W-8, you will generally establish an exemption from backup withholding.
Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S.
federal income tax liability, provided the relevant information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA” generally
imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to
certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An
intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest, dividend equivalents
or other U.S.-source “fixed or determinable annual or periodical” income (“FDAP income”). Withholding (if
applicable) applies to payments of U.S.-source FDAP income. While existing Treasury regulations would also require withholding
on payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated as providing
for U.S.-source interest or dividends, the U.S. Treasury Department has indicated in subsequent proposed regulations its intent
to eliminate this requirement. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations
pending their finalization. Although the application of the FATCA rules to the securities is not entirely clear because the U.S.
federal income tax treatment of the securities is unclear, it would be prudent to assume that a withholding agent will treat the
securities as subject to the withholding rules under FATCA. If withholding applies to the securities, we will not be required to
pay any additional amounts with respect to amounts withheld. You should consult your tax adviser regarding the potential application
of FATCA to the securities.
The preceding discussion, when read in conjunction with “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Possible Taxable Event” in the accompanying
product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities, and any tax consequences arising under
the laws of any state, local or foreign taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $12.50 for each
$1,000 security sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including
Morgan Stanley Wealth Management, and their financial advisors collectively a fixed selling concession of $10.00 for each $1,000
security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $2.50 for each security they sell.
For the avoidance of doubt, the fees and selling concessions described in this pricing supplement will not be rebated if the securities
are redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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 levels of the
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Citigroup Global Markets Holdings Inc.
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Callable Fixed Income Securities Due June-----, 2023
Based on the Worst Performing of the Russell 2000® Index, the S&P 500® Index and the Nasdaq-100 Index®
Principal at Risk Securities
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underlying indices 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 it is uncertain what the values
of the inputs to CGMI’s proprietary pricing models will be on the pricing date.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
© 2020 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.
VelocityShs 3x Long Crud... (AMEX:UWT)
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