Prospectus Filed Pursuant to Rule 424(b)(2) (424b2)
May 27 2016 - 4:24PM
Edgar (US Regulatory)
CALCULATION
OF REGISTRATION FEE
|
Title of each class of securities to be registered
|
Maximum aggregate offering price
|
Amount of registration fee
(1) (2)
|
|
Medium-Term Senior Notes, Series N
|
$1,631,900
|
$164.33
|
(1)
Calculated in
accordance with Rule 457(r) of the Securities Act.
(2)
Pursuant to
Rule 457(p) under the Securities Act, the $90,009.37 remaining of the registration fees previously paid with respect to unsold
securities registered on Post-Effective Amendment No. 1 to Registration Statement File No. 333-157386, filed on February 11, 2011
by Citigroup Funding Inc., a wholly owned subsidiary of Citigroup Inc., and Registration Statement File No. 333-172554, filed
on March 2, 2011 by Citigroup Funding Inc., is being carried forward, of which $164.33 is offset against the registration fee
due for this offering and of which $89,845.04 remains available for future registration fee offset. The most recent filing
utilizing a portion of the registration fees previously paid with respect to unsold securities registered on these registration
statements was filed on May 27, 2016. No additional registration fee has been paid with respect to this offering.
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Pricing Supplement No. 2016—USNCH0031 to Product Supplement
No. EA-02-04 dated March 8, 2016, Underlying Supplement
No. 4 dated March 8, 2016, Prospectus Supplement
and Prospectus each dated March 7, 2016
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-192302 and 333-192302-06
Dated May 26, 2016
Citigroup Global Markets Holdings Inc. $1,631,900 Capped GEARS
|
|
Linked to the EURO STOXX 50
®
Index Due July
31, 2017
All payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc.
The Capped GEARS offered by this pricing supplement (the “
securities
”)
are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “
issuer
”), guaranteed
by Citigroup Inc. (the “
guarantor
”), with a return at maturity linked to the performance of the EURO STOXX 50
®
Index (the “
underlying
”) from the initial underlying level to the final underlying level.
If the underlying return is positive, the issuer will repay the stated principal amount of the securities at maturity and pay a
return equal to the underlying return multiplied by the upside gearing of 3.00, but no more than the maximum gain of 21.00%. However,
if the underlying return is negative, you will be fully exposed to the negative underlying return and the issuer will pay you less
than the stated principal amount at maturity, resulting in a loss on the stated principal amount to investors that is proportionate
to the percentage decline in the level of the underlying. In this case, you will have full downside exposure to the underlying
from the initial underlying level to the final underlying level, and could lose all of your initial investment
.
Investing in the securities involves significant risks. You will not receive coupon payments during the 14-month term
of the securities. You may lose a substantial portion or all of your initial investment.
You will not receive dividends or other distributions paid on any stocks included in the underlying.
Any payment on the securities, including any repayment of the stated principal amount provided at maturity, is subject to the creditworthiness
of the issuer and the guarantor.
If the issuer and the guarantor
were to default on their obligations, you might not receive any amounts owed to you under the securities and you could lose your
entire investment.
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Features
|
|
Key Dates
|
|
q
Enhanced
Growth Potential Subject to Maximum Gain —
If the underlying return is positive, the issuer will repay the stated principal
amount of the securities at maturity and pay a return equal to the underlying return multiplied by the upside gearing, but no more
than the maximum gain. The upside gearing feature will provide leveraged exposure to a limited range of positive performance of
the underlying.
q
Full
Downside Exposure —
If the underlying return is negative, your investment will be fully exposed to the negative underlying
return and the issuer will pay less than the stated principal amount of the securities at maturity, resulting in a loss on the
stated principal amount to investors that is proportionate to the percentage decline in the level of the underlying.
You might
lose some or all of your initial investment. Any payment on the securities is subject to the creditworthiness of the issuer and
the guarantor. If the issuer and the guarantor were to default on their obligations, you might not receive any amounts owed to
you under the securities and you could lose your entire investment.
|
|
Trade date
Settlement date
Final valuation date
1
Maturity date
|
May 26, 2016
May 31, 2016
July 26, 2017
July 31, 2017
|
|
1
See page PS-3 for additional details.
|
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER
THAN CONVENTIONAL DEBT SECURITIES. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY YOUR INITIAL INVESTMENT IN THE SECURITIES AT
MATURITY, AND THE SECURITIES HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT
RISK INHERENT IN PURCHASING AN OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS GUARANTEED BY CITIGROUP INC. YOU SHOULD
NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN
THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND, ACCORDINGLY, MAY HAVE LIMITED OR NO LIQUIDITY.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “SUMMARY
RISK FACTORS” BEGINNING ON PAGE PS-4 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS RELATING TO THE SECURITIES”
BEGINNING ON PAGE EA-6 OF THE ACCOMPANYING PRODUCT SUPPLEMENT IN CONNECTION WITH YOUR PURCHASE OF THE SECURITIES. EVENTS RELATING
TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
We are offering Capped GEARS Linked
to the EURO STOXX 50
®
Index. Any return at maturity will be determined by the performance of the underlying. The
securities are our unsecured, unsubordinated debt obligations, guaranteed by Citigroup Inc., and are offered for a minimum investment
of 100 securities at the issue price described below.
|
Underlying
|
Initial
Underlying Level
|
Upside
Gearing
|
Maximum
Gain
|
CUSIP/
ISIN
|
|
EURO
STOXX 50
®
Index
(Ticker:
SX5E)
|
3,071.21
|
3.00
|
21.00%
|
17324P214
/ US17324P2149
|
See “Additional Terms
Specific to the Securities” in this pricing supplement. The securities will have the terms specified in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement.
Neither the Securities and Exchange
Commission (the “
SEC
”) nor any state securities commission has approved or disapproved of the securities or
passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus. Any representation to the contrary is a criminal offense. The securities are not bank deposits
and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.
|
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Issue Price
(1)
|
Underwriting Discount
(2)
|
Proceeds to Issuer
|
|
Per security
|
$10.00
|
$0.20
|
$9.80
|
|
Total
|
$1,631,900.00
|
$32,638.00
|
$1,599,262.00
|
|
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(1)
|
On the date of this pricing supplement, the estimated value of the securities is $9.710 per security, which is less than the
issue price. The estimated value of the securities is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”)
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.
|
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(2)
|
The underwriting discount is $0.20 per security. CGMI, acting as principal, has agreed to purchase from Citigroup Global Markets
Holdings Inc., and Citigroup Global Markets Holdings Inc. has agreed to sell to CGMI, the aggregate stated principal amount of
the securities set forth above for $9.80 per security. UBS Financial Services Inc. (“
UBS
”), acting as principal,
has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the securities for $9.80 per security. UBS will receive
an underwriting discount of $0.20 per security for each security it sells. UBS proposes to offer the securities to the public at
a price of $10.00 per security. For additional information on the distribution of the securities, see “Supplemental Plan
of Distribution” in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
|
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Citigroup Global Markets Inc.
|
UBS Financial Services Inc.
|
|
Additional Terms Specific to the Securities
|
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—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
pricing supplement. The accompanying underlying supplement contains important disclosures regarding the underlying 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 in connection with your investment in the securities.
Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
You may access the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or
if such address has changed, by reviewing our filings for March 7, 2016 and March 8, 2016 on the SEC website):
References to “Citigroup
Global Markets Holdings Inc.,” “we,” “our” and “us” refer to Citigroup Global Markets
Holdings Inc. and not to any of its subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to
any of its subsidiaries. In this pricing supplement, “securities” refers to the Capped GEARS Linked to the EURO STOXX
50
®
Index that are offered hereby, unless the context otherwise requires.
This pricing supplement, together
with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. The description in this pricing supplement
of the particular terms of the securities supplements, and, to the extent inconsistent with, replaces, the descriptions of the
general terms and provisions of the debt securities set forth in the accompanying product supplement, prospectus supplement and
prospectus. You should carefully consider, among other things, the matters set forth in “Summary Risk Factors” in
this pricing supplement and “Risk Factors Relating to the Securities” in the accompanying product supplement, as the
securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisers in connection with your decision to invest in the securities.
The suitability considerations
identified below are not exhaustive. Whether or not the securities are a suitable investment for you will depend on your individual
circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other
advisors have carefully considered the suitability of an investment in the securities in light of your particular circumstances.
You should also review “Summary Risk Factors” beginning on page PS-4 of this pricing supplement, “The EURO STOXX
50
®
Index” beginning on page PS-9 of this pricing supplement, “Risk Factors Relating to the Securities”
beginning on page EA-6 of the accompanying product supplement and “Equity Index Descriptions—EURO STOXX 50
®
Index” beginning on page 23 of the accompanying underlying supplement.
The securities may be suitable for you if, among other considerations:
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The securities may
not
be suitable for you if, among other considerations:
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¨
You
fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire initial
investment.
¨
You
can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that
has the full downside market risk of an investment in the underlying or in the stocks included in the underlying.
¨
You
believe that the level of the underlying will increase over the term of the securities and are willing to give up any
appreciation in excess of the maximum gain.
¨
You
understand and accept that your potential return is limited by the maximum gain and you are willing to invest in the securities
based on the maximum gain indicated on the cover page hereof.
¨
You
can tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the underlying.
¨
You
do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on
the stocks included in the underlying for the term of the securities.
¨
You
understand and accept the risks associated with the underlying.
¨
You
are willing and able to hold the securities to maturity, and accept that there may be little or no secondary market for
the securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing
to purchase the securities.
¨
You
are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under
the securities, and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations
you might not receive any amounts due to you, including any repayment of the stated principal amount.
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¨
You
do not fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire
initial investment.
¨
You
require an investment designed to guarantee a full return of the stated principal amount at maturity.
¨
You
cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an
investment that has the full downside market risk of an investment in the underlying or in the stocks included in the
underlying.
¨
You
believe that the level of the underlying will decline during the term of the securities and the final underlying level
is likely to close below the initial underlying level on the final valuation date, or you believe the underlying will
appreciate over the term of the securities by more than the maximum gain.
¨
You
seek an investment that participates in the full appreciation in the level of the underlying or that has unlimited return
potential, or you are unwilling to invest in the securities based on the maximum gain indicated on the cover page hereof.
¨
You
cannot tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the underlying.
¨
You
seek current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks
included in the underlying for the term of the securities.
¨
You
do not understand or accept the risks associated with the underlying.
¨
You
are unwilling or unable to hold the securities to maturity or you seek an investment for which there will be an active
secondary market.
¨
You
are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments
under the securities, including any repayment of the stated principal amount.
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Final Terms
|
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Issuer
|
Citigroup Global Markets
Holdings Inc.
|
|
Guarantee
|
All payments due on the securities
are fully and unconditionally guaranteed by Citigroup Inc.
|
|
Issue price
|
100% of the stated principal amount
per security
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Stated principal amount
|
$10.00 per security
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Term
|
Approximately 14 months
|
|
Trade date
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May 26, 2016
|
|
Settlement date
|
May 31, 2016
|
|
Final valuation date
1
|
July 26, 2017
|
|
Maturity date
|
July 31, 2017
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|
Underlying
|
EURO STOXX 50
®
Index (Ticker: SX5E)
|
|
Maximum gain
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21.00%
|
|
Upside gearing
|
3.00
|
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Payment at maturity (per $10.00
stated principal amount of securities)
|
If the underlying return
is zero or positive
, Citigroup Global Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal
amount of securities that provides you with the stated principal amount of $10.00 plus a return equal to the underlying
return multiplied by 3.00, but no more than the maximum gain, calculated as follows:
$10.00
× (1 + the
lesser of
(i) underlying return × upside gearing and (ii) maximum gain)
If the underlying return
is negative,
Citigroup Global Markets Holdings Inc. will pay you a cash payment at maturity less than the stated principal
amount of $10.00 per security, resulting in a loss on the stated principal amount that is proportionate to the percentage
decline in the level of the underlying, calculated as follows:
$10.00
× (1 + underlying return)
In this scenario, you
will be exposed to the full negative underlying return, and you will lose a substantial portion or all of the stated principal
amount in an amount proportionate to the percentage decline in the underlying.
|
|
Underlying return
|
final
underlying level – initial underlying level
initial underlying level
|
|
Initial underlying level
|
3,071.21, the closing level of
the underlying on the trade date
|
|
Final underlying level
|
The closing level of the underlying
on the final valuation date
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INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU
MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE
STATED PRINCIPAL AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS
HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE
SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Trade date:
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The closing level of the underlying (initial underlying level) is observed and the maximum gain is set.
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M
a
turity date:
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The final underlying level is determined on the final valuation
date and the underlying return is calculated.
If the underlying return is zero or positive
, Citigroup
Global Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal amount of securities that provides you with
the stated principal amount of $10.00 plus a return equal to the underlying return multiplied by 3.00, but no more than the maximum
gain, calculated as follows:
$10.00 × (1 + the
lesser of
(i)
underlying return × upside gearing and (ii) maximum gain)
If the underlying return is negative,
Citigroup Global
Markets Holdings Inc. will pay you a cash payment at maturity less than the stated principal amount of $10.00 per security, resulting
in a loss on the stated principal amount that is proportionate to the percentage decline in the level of the underlying, calculated
as follows:
$10.00 × (1 + underlying return)
In this scenario, you will be exposed to the full negative
underlying return, and you will lose a substantial portion or all of the stated principal amount in an amount proportionate to
the percentage decline in the underlying.
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_______________
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1
|
Subject to postponement as described under “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” in the accompanying
product supplement.
|
An investment in the securities is significantly
riskier than an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment
in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on
our obligations under the securities, and are also subject to risks associated with the underlying. 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 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.
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¨
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You may lose some or all of your investment —
The securities differ from ordinary debt securities in that we will
not necessarily repay the full stated principal amount of your securities at maturity. Instead, your return on the securities is
linked to the performance of the underlying and will depend on whether the final underlying level is greater than or less than
the initial underlying level. If the final underlying level is less than the initial underlying level, you will lose 1% of the
stated principal amount of the securities for every 1% by which the final underlying level is less than the initial underlying
level. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment in the securities.
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¨
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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.
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¨
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The appreciation potential of the securities is limited by the maximum gain —
Your potential total return on the
securities at maturity is limited by the maximum gain. As a result, the return on an investment in the securities may be less than
the return on a hypothetical direct investment in the underlying. In addition, the maximum gain reduces the effect of the upside
gearing for all final underlying levels exceeding the final underlying level at which, by multiplying the corresponding underlying
return by the upside gearing, the maximum gain is reached.
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¨
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Investing in the securities is not equivalent to investing in the underlying or the stocks that constitute the underlying
—
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. As of May 26, 2016, the average dividend yield of the underlying was approximately
3.93% per year. While it is impossible to know the future dividend yield of the underlying, if this average dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 4.59% (assuming no
reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute the underlying
or in another investment linked to the underlying 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. You should understand
that the underlying is not a total return index, which means that it does not reflect dividends paid on the stocks included in
the underlying. Therefore, the return on your securities will not reflect any reinvestment of dividends.
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¨
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Your payment at maturity depends on the closing level of the underlying on a single day —
Because your payment
at maturity depends on the closing level of the underlying solely on the final valuation date, you are subject to the risk that
the closing level of the underlying 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 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, you
might have achieved better returns.
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¨
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The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any
payment on the securities will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore
is subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations
under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that become due
under the securities. As a result, the value of the securities prior to maturity will be affected by changes in the market’s
view of our and Citigroup Inc.’s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.’s
credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or Citigroup
Inc.’s credit risk is likely to adversely affect the value of the securities.
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¨
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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.
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¨
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The estimated value of the securities on the trade date, based on CGMI’s proprietary pricing models and our internal
funding rate, is 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 underwriting discount
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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¨
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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
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may have made discretionary judgments
about the inputs to its models, such as the volatility of the underlying, dividend yields on the stocks that constitute the underlying
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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¨
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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 an interest rate that
we will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
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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.
|
|
|
¨
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors —
As described
under “Valuation of the Securities” below, the payout on the securities could be replicated by a hypothetical package
of financial instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that
influence the values of fixed-income bonds and derivative instruments will also influence the terms of the securities at issuance
and the value of the securities prior to maturity. Accordingly, the value of your securities prior to maturity will fluctuate based
on the level and volatility of the underlying, dividend yields on the stocks that constitute the underlying, 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, the time remaining to maturity and our and Citigroup Inc.’s 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. The stated payout from the issuer, including the potential application of the upside gearing, only applies if
you hold the securities to maturity.
|
|
|
¨
|
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 decline to zero over the temporary adjustment period. See “Valuation of the
Securities” in this pricing supplement.
|
|
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¨
|
The underlying is subject to risks associated with the Eurozone —
The companies whose stocks constitute the underlying
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, are impossible
to predict. This uncertainty may contribute to significant volatility in the underlying, and adverse developments affecting the
Eurozone may affect the underlying 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.
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¨
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The underlying performance will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar—
The underlying 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 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.
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|
¨
|
Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the securities —
Any such research, opinions or recommendations could affect the level of
the underlying and the value of the securities. Our affiliates, and UBS and its affiliates, publish research from time to time
on financial markets and other matters that may influence the value of the securities, or express opinions or provide recommendations
that may be inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by our
affiliates or by UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice.
These and other activities of our affiliates or UBS or its affiliates may adversely affect the level of the underlying and may
have a negative impact on your interests as a holder of the securities. Investors should make their own independent investigation
of the merits of investing in the securities and the underlying to which the securities are linked.
|
|
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¨
|
Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the securities
— We have hedged our exposure under the securities through CGMI or other of our
affiliates, who
|
have entered into equity and/or equity
derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to the underlying or the stocks
included in the underlying and may adjust such positions during the term of the securities. It is possible that our affiliates
could receive substantial returns from these hedging activities while the value of the securities declines. Our affiliates and
UBS and its affiliates may also engage in trading in instruments linked to the underlying on a regular basis as part of their respective
general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for customers, including block transactions. Such trading and hedging activities may affect the level of the underlying and reduce
the return on your investment in the securities. Our affiliates or UBS or its affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the underlying. By introducing competing products into
the marketplace in this manner, our affiliates or UBS or its affiliates could adversely affect the value of the securities. Any
of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition
to, investors’ trading and investment strategies relating to the securities.
|
|
¨
|
Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities —
Our affiliates or UBS or its affiliates may currently or from time to time engage in business with
the issuers of the stocks that constitute the underlying, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public
information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates
is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without
regard to your interests.
|
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¨
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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 the underlying, CGMI, as calculation
agent, will be required to make discretionary judgments that could significantly affect what you receive at maturity. Such judgments
could include, among other things, any level required to be determined under the securities. In addition, if certain events occur,
CGMI will be required to make certain discretionary judgments that could significantly affect your payment at maturity. Such judgments
could include, among other things:
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¨
|
determining whether a market disruption event has occurred;
|
|
|
¨
|
if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;
|
|
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¨
|
determining the level of the underlying if the level of the underlying is not otherwise available or a market disruption event
has occurred; and
|
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¨
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selecting a successor underlying or performing an alternative calculation of the level of the underlying if the underlying
is discontinued or materially modified (see “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product
supplement).
|
In making these judgments, the calculation
agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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¨
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Adjustments to the underlying may affect the value of your securities —
STOXX Limited (the “underlying publisher”)
may add, delete or substitute the stocks that constitute the underlying or make other methodological changes that could affect
the level of the underlying. The underlying publisher may discontinue or suspend calculation or publication of the underlying at
any time without regard to your interests as holders of the securities.
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¨
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The U.S. federal tax consequences of an investment in the securities are unclear —
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “
IRS
”). Consequently, significant aspects of the tax treatment of the securities are uncertain,
and the IRS or a court might not agree with the treatment 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 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.
|
The diagram below illustrates your hypothetical payment at maturity
for a range of hypothetical percentage changes from the initial underlying level to the final underlying level. The diagram below
is based on a hypothetical maximum gain of 21.00% and does not reflect the actual terms of the securities.
Investors in the securities will not receive any dividends on
the stocks that constitute the underlying. 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 or the stocks that constitute the underlying” above.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 stated principal amount of securities for a hypothetical range of performances for the underlying
from -100.00% to +100.00% and assume an initial underlying level of 3,100.00, a maximum gain of 21.00% and an upside gearing of
3.00. The actual initial underlying level and the maximum gain are listed on the cover page of this pricing supplement. The hypothetical
payment at maturity examples set forth below are for illustrative purposes only and are not the actual returns applicable to a
purchaser of the securities. The actual payment at maturity will be determined based on the final underlying level on the final
valuation date. You should consider carefully whether the securities are suitable to your investment goals. The numbers appearing
in the table and in the examples below have been rounded for ease of analysis and do not reflect the actual terms of the securities,
which are provided on the cover page of this pricing supplement.
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Final Underlying Level
|
Underlying Return
|
Payment at Maturity
|
Total Return on Securities at Maturity
(1)
|
|
6,200.00
|
100.00%
|
$12.10
|
21.00%
|
|
5,890.00
|
90.00%
|
$12.10
|
21.00%
|
|
5,580.00
|
80.00%
|
$12.10
|
21.00%
|
|
5,270.00
|
70.00%
|
$12.10
|
21.00%
|
|
4,960.00
|
60.00%
|
$12.10
|
21.00%
|
|
4,650.00
|
50.00%
|
$12.10
|
21.00%
|
|
4,340.00
|
40.00%
|
$12.10
|
21.00%
|
|
4,030.00
|
30.00%
|
$12.10
|
21.00%
|
|
3,720.00
|
20.00%
|
$12.10
|
21.00%
|
|
3,410.00
|
10.00%
|
$12.10
|
21.00%
|
|
3,317.00
|
7.00%
|
$12.10
|
21.00%
|
|
3,255.00
|
5.00%
|
$11.50
|
15.00%
|
|
3,100.00
|
0.00%
|
$10.00
|
0.00%
|
|
2,790.00
|
-10.00%
|
$9.00
|
-10.00%
|
|
2,480.00
|
-20.00%
|
$8.00
|
-20.00%
|
|
2,170.00
|
-30.00%
|
$7.00
|
-30.00%
|
|
1,860.00
|
-40.00%
|
$6.00
|
-40.00%
|
|
1,550.00
|
-50.00%
|
$5.00
|
-50.00%
|
|
1,240.00
|
-60.00%
|
$4.00
|
-60.00%
|
|
930.00
|
-70.00%
|
$3.00
|
-70.00%
|
|
620.00
|
-80.00%
|
$2.00
|
-80.00%
|
|
310.00
|
-90.00%
|
$1.00
|
-90.00%
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
(1)
The “Total Return on Securities
at Maturity” is calculated as (a) the payment at maturity per security minus the $10.00 issue price per security
divided
by
(b) the $10.00 issue price per security.
Example 1 — The final underlying level of 3,255.00 is
greater than the initial underlying level of 3,100.00, resulting in an underlying return of 5.00%.
Because the underlying return
of 5.00% multiplied by the upside gearing of 3.00 is less than the maximum gain of 21.00%, Citigroup Global Markets Holdings Inc.
would pay you the stated principal amount plus a return equal to 15.00%, resulting in a payment at maturity of $11.50 per $10.00
stated principal amount of securities (a total return at maturity of 15.00%*), calculated as follows:
$10.00
× (1
+ the
lesser of
(i) underlying return × upside gearing and (ii) maximum gain)
$10.00
×
(1 + the
lesser of
(i) 5.00% × 3.00 and (ii) 21.00%)
$10.00 × (1 + (5.00% × 3.00))
= $11.50
Example 2 — The final underlying level of 4,650.00 is
greater than the initial underlying level of 3,100.00, resulting in an underlying return of 50.00%.
Because the underlying
return of 50.00% multiplied by the upside gearing of 3.00 is greater than the maximum gain of 21.00%, Citigroup Global Markets
Holdings Inc. would pay you the stated principal amount plus a return equal to the maximum gain of 21.00%, resulting in a payment
at maturity of $12.10 per $10.00 stated principal amount of securities (a total return at maturity of 21.00%*), calculated as follows:
$10.00 × (1 + the
lesser
of
(i) underlying return × upside gearing and (ii) maximum gain)
$10.00
×
(1 + the
lesser of
(i) 50.00% × 3.00 and (ii) 21.00%)
$10.00 × (1 + 21.00%) = $12.10
In this example, an investment in the securities would underperform
a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying.
Example 3 — The final underlying level of 930.00 is
less than the initial underlying level of 3,100.00, (resulting in an underlying return of -70.00%).
Because the underlying
return is negative, Citigroup Global Markets Holdings Inc. would pay you a payment at maturity of $3.00 per $10.00 stated principal
amount of securities (a total return at maturity of -70.00%*), calculated as follows:
$10.00 × (1 + underlying return)
$10.00 × (1 + -70.00%) = $3.00
If the final underlying level is less than the initial
underlying level, you will be fully exposed to the negative underlying return, resulting in a loss on the stated principal amount
that is proportionate to the percentage decline in the level of the underlying. Under these circumstances, you will lose a significant
portion or all of the stated principal amount at maturity. Any payment on the securities, including any repayment of the stated
principal amount at maturity, is subject to the creditworthiness of the issuer and the guarantor, and if the issuer and the guarantor
were to default on their obligations, you could lose your entire investment.
* The total return at maturity is calculated as (a) the payment
at maturity per security minus the $10.00 issue price per security
divided by
(b) the $10.00 issue price per security.
|
The EURO STOXX 50
®
Index
|
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector Indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector Indices. The STOXX Europe 600
®
Supersector Indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. It is calculated and maintained by STOXX Limited.
The underlying is reported by Bloomberg L.P. under the ticker symbol “SX5E.”
The “EURO STOXX 50
®
Index” is a trademark
of STOXX Limited and has been licensed for use by Citigroup Inc. and its affiliates. 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 sections “Risk Factors” and “Equity
Index Descriptions—EURO STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures
regarding the underlying, including information concerning its composition and calculation and certain risks that are associated
with an investment linked to the underlying.
The graph below illustrates the performance of the underlying
from January 2, 2008 to May 26, 2016. The closing level of the underlying on May 26, 2016 was 3,071.21. We obtained the closing
levels of the underlying from Bloomberg, and we have not participated in the preparation of or verified such information. The historical
levels of the underlying should not be taken as an indication of future performance and no assurance can be given as to the final
underlying level or any future closing level of the underlying. We cannot give you assurance that the performance of the underlying
will result in a positive return on your initial investment and you could lose a significant portion or all of the stated principal
amount at maturity.
|
United States Federal Tax Considerations
|
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
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.
|
Subject to the discussion in “United States Federal Tax
Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product
supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, 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 Global Markets Holdings Inc.
and the lead agent for the sale of the securities, will receive an underwriting discount of $0.20 for each security sold in this
offering. UBS, as agent for sales of the securities, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all
of the securities sold in this offering for $9.80 per security. UBS proposes to offer the securities to the public at a price of
$10.00 per security. UBS will receive an underwriting discount of $0.20 per security for each security it sells to the public.
The underwriting discount will be received by UBS and its financial advisors collectively. If all of the securities are not sold
at the initial offering price, CGMI may change the public offering price and other selling terms.
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 have hedged our obligations under the securities through CGMI or
other of our affiliates. It is expected that CGMI or such other affiliates may profit from this hedging activity even if the value
of the securities declines. This hedging activity could affect the closing level of the underlying 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.
During a temporary adjustment period immediately 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 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 over
the temporary adjustment period. CGMI currently expects that the temporary adjustment period will be approximately 6.5 months,
but the actual length of the temporary adjustment period may be shortened due to various factors, such as the volume of secondary
market purchases of the securities and other factors that cannot be predicted. 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.”
|
Validity of the Securities
|
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated March 8, 2016, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on March 9, 2016, that the indenture has been duly
authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc.
is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws
or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
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2016 Citigroup Global Markets Inc. All rights
reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
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