The information in this
preliminary pricing supplement is not complete and may be changed. A registration statement relating to these securities has been
filed with the Securities and Exchange Commission. This preliminary pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus are not an offer to sell these securities, nor are they soliciting
an offer to buy these securities, in any state where the offer or sale is not permitted.
SUBJECT TO COMPLETION, DATED
JULY 1, 2015
|
Citigroup Inc. |
July , 2015
Medium-Term Senior Notes,
Series G
Pricing Supplement No.
2015-CMTNG0601
Filed Pursuant to Rule
424(b)(2)
Registration Statement
No. 333-192302 |
Enhanced Barrier Digital Plus Securities Based
on the EURO STOXX 50® Index Due July , 2020
Overview
| ▪ | The securities offered by this preliminary pricing supplement are unsecured senior debt securities issued by Citigroup Inc.
Unlike conventional debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity.
Instead, the securities offer a payment at maturity that may be greater than or less than the stated principal amount, depending
on the performance of the EURO STOXX 50® Index (the “underlying index”) from the initial index level
to the final index level. |
| ▪ | The securities offer modified exposure to the performance of the underlying index, with (i) a minimum positive return at maturity
so long as the final index level is greater than or equal to 80.00% of the initial index level and (ii) 1-to-1 participation in
any appreciation of the underlying index in excess of the minimum positive return. In exchange, investors in the securities must
be willing to forgo any dividends that may be paid on the stocks that constitute the underlying index. In addition, investors in
the securities must be willing to accept full downside exposure to the underlying index, with no buffer, if the underlying index
depreciates by more than 20.00%. If the underlying index depreciates by more than 20.00% from the pricing date to the valuation
date, you will lose 1% of the stated principal amount of your securities for every 1% by which the final index level is less than
the initial index level. There is no minimum payment at maturity. |
| ▪ | In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Inc. |
KEY TERMS |
|
Underlying index: |
The EURO STOXX 50® Index (ticker symbol: “SX5E”) |
Aggregate stated principal amount: |
$ |
Stated principal amount: |
$1,000 per security |
Pricing date: |
July , 2015 (expected to be July 28, 2015) |
Issue date: |
July , 2015 (three business days after the pricing
date) |
Valuation date: |
July , 2020 (expected to be July 28, 2020), subject
to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
July , 2020 (expected to be July 31, 2020) |
Payment at maturity: |
For each $1,000
stated principal amount security you hold at maturity:
▪
If the final index level is greater than or equal to the barrier level:
$1,000 + the greater of (i) the fixed return amount and (ii) $1,000 × the index percent increase
▪
If the final index level is less than the barrier level:
$1,000 × the index performance factor
If the final index level
is less than the barrier level, your payment at maturity will be less, and possibly significantly less, than $800.00 per
security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant
portion of your investment. |
Initial index level: |
, the closing level of the underlying index on
the pricing date |
Final index level: |
The closing level of the underlying index on the valuation date |
Fixed return amount: |
$200.00 to $250.00 per security (20.00% to 25.00% of the stated principal amount),
to be determined on the pricing date. You will receive the fixed return amount only if the final index level is greater than
or equal to the barrier level. |
Index performance factor: |
The final index level divided by the initial index level |
Index percent increase: |
The final index level minus the initial index level, divided by
the initial index level |
Barrier level: |
, 80.00% of the initial index level |
Listing: |
The securities will not be listed on any securities exchange. |
CUSIP / ISIN: |
17298CCP1 / US17298CCP14
|
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer,
acting as principal |
Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee(3) |
Proceeds to issuer(3) |
Per security: |
$1,000.00 |
$30.00 |
$970.00 |
Total: |
$ |
$ |
$ |
(1) Citigroup Inc. currently expects that the estimated value
of the securities on the pricing date will be between $890.00 and $940.00 per security, which will be less than the issue price.
The estimated value of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is
not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI
or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities”
in this preliminary pricing supplement.
(2) The issue price for investors purchasing the securities in
fee-based advisory accounts will be $970.00 per security, assuming no custodial fee is charged by a selected dealer, and up to
$975.00, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution”
in this preliminary pricing supplement.
(3) For more information on the distribution of the securities,
see “Supplemental Plan of Distribution” in this preliminary pricing supplement. In addition to the underwriting fee,
CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the securities
declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities
involves risks not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning
on page PS-3.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or determined
that this preliminary pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
You should
read this preliminary pricing supplement together with the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below:
Product
Supplement No. EA-02-03 dated November 13, 2013 Underlying
Supplement No. 3 dated November 13, 2013
Prospectus
Supplement and Prospectus each dated November 13, 2013
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 Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
Additional
Information
The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this preliminary pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this preliminary
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—Certain Additional
Terms for Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation
Date” and “—Discontinuance or Material Modification of an Underlying Index,” and not in this preliminary
pricing supplement. The accompanying underlying supplement contains important disclosures regarding the underlying index that are
not repeated in this preliminary pricing supplement. It is important that you read the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus together with this preliminary pricing supplement before deciding whether to invest
in the securities. Certain terms used but not defined in this preliminary pricing supplement are defined in the accompanying product
supplement.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level. The diagram and examples below
are based on a hypothetical fixed return at maturity of 20.00%, which is equivalent to a hypothetical fixed return amount of $200.00
per security.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Enhanced Barrier Digital Plus Securities
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Index |
Your actual payment at maturity per security will depend on the
actual fixed return amount, which will be determined on the pricing date, the actual initial index level, the actual barrier level
and the actual final index level. The examples below are intended to illustrate how your payment at maturity will depend on whether
the final index level is greater than or less than the initial index level and by how much. The examples are based on a hypothetical
initial index level of 3,468.90 and a hypothetical barrier level of 2,775.12.
Example 1—Upside Scenario A. The hypothetical final
index level is 3,642.35 (an approximately 5.00% increase from the hypothetical initial index level), which is greater than
the hypothetical initial index level by less than the hypothetical fixed return of 20.00%.
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the index percent increase
= $1,000 + the greater of (i) $200.00 and (ii) $1,000 ×
5.00%
= $1,000 + $200.00
= $1,200.00
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level and the hypothetical fixed return amount is greater than the 5.00% return
you would have received based on the performance of the underlying index, your total return on the securities at maturity in this
scenario would equal the hypothetical fixed return of 20.00%.
Example 2—Upside Scenario B. The hypothetical final
index level is 5,203.35 (an approximately 50.00% increase from the hypothetical initial index level), which is greater than
the hypothetical initial index level by more than the hypothetical fixed return of 20.00%.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the index percent increase
= $1,000 + the greater of (i) $200.00 and (ii) $1,000 ×
50.00%
= $1,000 + $500.00
= $1,500.00
Because the underlying index appreciated from the hypothetical
initial index level to the hypothetical final index level and the 50.00% return based on the performance of the underlying index
is greater than the hypothetical fixed return amount, your total return on the securities at maturity in this scenario would reflect
1-to-1 exposure to the positive performance of the underlying index.
Example 3—Upside Scenario C. The hypothetical final
index level is 3,295.46 (an approximately 5.00% decrease from the hypothetical initial index level), which is less than
the hypothetical initial index level but greater than the hypothetical barrier level.
Payment at maturity per security = $1,000 + the greater of (i)
the hypothetical fixed return amount and (ii) $1,000 × the index percent increase
= $1,000 + the greater of (i) $200.00 and (ii) $1,000 ×
-5.00%
= $1,000 + $200.00
= $1,200.00
Because the underlying index did not depreciate from the hypothetical
initial index level to the hypothetical final index level by more than 20.00%, your payment at maturity in this scenario would
be equal to the hypothetical fixed return of 20.00%, even though the hypothetical final index level is less than the hypothetical
initial index level.
Example 4—Downside Scenario. The hypothetical final
index level is 1,040.67 (an approximately 70.00% decrease from the hypothetical initial index level), which is less than
the hypothetical barrier level.
Payment at maturity per security = $1,000 × the index performance
factor
= $1,000 × 30.00%
= $300.00
Because the underlying index depreciated from the hypothetical
initial index level to the hypothetical final index level by more than 20.00%, your payment at maturity in this scenario would
reflect 1-to-1 exposure to the negative performance of the underlying index, with no buffer.
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, including the risk that we may default on our obligations under the securities, and are also
subject to risks associated with the underlying index. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisers as
to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the documents incorporated by reference
in the accompanying prospectus, including our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form
10-Q, which describe risks relating to our business more generally.
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
| ▪ | You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index. If the
final index level is less than the barrier level, you will lose 1% of the stated principal amount of the securities for every 1%
by which the final index level is less than the initial index level. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment. |
| ▪ | The barrier feature of the securities exposes you to particular risks. While you will receive a minimum positive return
if the underlying index does not depreciate from the initial index level to the final index level by more than 20.00%, if the underlying
index does depreciate by more than 20.00% and as a result the final index level is less than the barrier level, you will lose 1%
of the stated principal amount of the securities for every 1% depreciation of the underlying index, and you may lose your entire
investment in the securities. |
| ▪ | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities. |
| ▪ | Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of June 29, 2015, the average dividend yield of the underlying index was
approximately 3.55% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
17.75% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that
constitute the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends.
The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities. |
| ▪ | Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment
at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that
the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the underlying index that you could
sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the
underlying index, you might have achieved better returns. |
| ▪ | The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities,
you may not receive anything owed to you under the securities. |
| ▪ | The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity. The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity. |
| ▪ | The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below. |
| ▪ | The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI
derived the estimated value disclosed on the cover page of this preliminary pricing supplement from its proprietary pricing models.
In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying
index, dividend yields on the stocks that constitute the underlying index 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 |
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
| | estimated value of the securities set forth on the cover page of
this preliminary pricing supplement may differ from the value that we or our affiliates
may determine for the securities for other purposes, including for accounting purposes.
You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the
initial estimated value. |
| ▪ | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated
value of the securities included in this preliminary 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 the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt
obligations, which we refer to as our secondary market rate. If the estimated value included in this preliminary pricing supplement
were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal
funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated
with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that
we will pay to investors in the securities, which do not bear interest. |
| ▪ | 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 preliminary pricing supplement, any value of the securities determined for purposes of a secondary market transaction
will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price. |
| ▪ | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the underlying index, the time remaining to maturity and our creditworthiness, as reflected
in our secondary market rate. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the issue price. |
| ▪ | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this preliminary pricing supplement. |
| ▪ | The underlying index is subject to risks associated with the Eurozone.
The companies whose stocks constitute the underlying index are leading companies in the Eurozone. A number of countries in the
Eurozone are undergoing a financial crisis affecting their economies, their ability to meet their sovereign financial obligations
and their financial institutions. Countries in the Eurozone that are not currently experiencing a financial crisis may do so in
the future as a result of developments in other Eurozone countries. The economic ramifications of this financial crisis, and its
effects on the companies that make up the underlying index, are impossible to predict. This uncertainty may contribute to significant
volatility in the underlying index, and adverse developments affecting the Eurozone may affect the underlying index in a way that
adversely affects the value of and return on the securities. Furthermore, you should understand that there is generally less publicly
available information about non-U.S. companies than about U.S. companies that are subject to the reporting requirements of the
SEC, and non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements and
securities trading rules that are different from those applicable to U.S. reporting companies. |
| ▪ | The underlying index performance will not be adjusted for changes
in the exchange rate between the Euro and the U.S. dollar. The underlying index is composed of stocks traded in Euro, the value
of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the underlying
index and the value of your securities will not be adjusted for exchange rate fluctuations. If the Euro appreciates relative to
the U.S. dollar over the term of the securities, your return on the securities will underperform an alternative investment that
offers exposure to that appreciation in addition to the change in the level of the underlying index. |
| ▪ | Our offering of the securities does not constitute a recommendation of the 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 index 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 index or in instruments related to the underlying index or such stocks
over the term of the securities, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the |
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
| | underlying index. These and other activities of our affiliates may
affect the level of the underlying index in a way that has a negative impact on your
interests as a holder of the securities. |
| ▪ | The level of the 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 that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates also trade the stocks that constitute the underlying
index and other financial instruments related to the underlying index or such stocks 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 level of the underlying index in a way that negatively affects the value of the securities. They could
also result in substantial returns for us or our affiliates while the value of the securities declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute
the underlying index, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests. |
| ▪ | 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 the 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. |
| ▪ | Adjustments to the underlying index may affect the value of your securities. STOXX Limited (the “underlying index
publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007,
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should
be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement
and “United States Federal Tax Considerations” in this preliminary pricing supplement. You should also consult your
tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction. |
Information
About the Underlying Index
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50® Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—EURO STOXX 50®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—EURO
STOXX 50® Index” in the accompanying underlying supplement for important disclosures regarding the underlying
index.
Historical Information
The closing level of the underlying index on June 29, 2015 was
3,468.90.
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to June 29, 2015. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
EURO STOXX 50® Index – Historical Closing Levels
January 4, 2010 to June 29, 2015 |
|
*The red line indicates the hypothetical barrier level, assuming
the closing level on June 29, 2015 were the initial index level.
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this preliminary pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year. |
Under current law, if you are a Non-U.S. Holder (as defined in
the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income
tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Inc. and the underwriter of the
sale of the securities, is acting as principal and will receive an underwriting fee of $30.00 for each $1,000 security sold in
this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). The actual underwriting fee will
be equal to $30.00 for each $1,000 security sold by CGMI directly to the public and will otherwise be equal to the selling concession
provided to selected dealers, as described in this paragraph. CGMI will pay selected dealers not affiliated with CGMI a fixed selling
concession of $30.00 for each security they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers
not affiliated with CGMI, which may include dealers acting as custodians, a variable selling concession of up to $5.00 for each
$1,000 security they sell to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including Citi International Financial
Services, Citigroup Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, will receive a fixed selling
concession, and financial advisers employed by such affiliated broker-dealers will receive a fixed selling concession, of $30.00
for each $1,000 security they sell. CGMI will pay the registered representatives of CGMI a fixed selling concession of $30.00 for
each $1,000 security they sell directly to the public.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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 level of the underlying index 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 preliminary 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 preliminary pricing supplement, but not including our 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. The range for the estimated value of the securities
set forth on the cover page of this preliminary pricing supplement reflects terms of the securities that have not yet been fixed
as well as 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 four months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by
Citigroup Inc. |
Enhanced Barrier Digital Plus Securities Based on the EURO STOXX 50® Index Due July , 2020 |
|
CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on a securities exchange and
you may not be able to sell them prior to maturity.”
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2015 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 (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024