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
|
$1,000,000
|
$100.70
|
(1)
Calculated in
accordance with Rule 457(r) of the Securities Act.
(2)
Pursuant to
Rule 457(p) under the Securities Act, the $60,560.98 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 $100.70 is offset against
the registration fee due for this offering and of which $60,460.28 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 July 28, 2016. No additional registration fee has
been paid with respect to this offering.
Citigroup Global Markets Holdings Inc.
|
July 26, 2016
Medium-Term Senior Notes,
Series N
Pricing Supplement No.
2016-USNCH0113
Filed Pursuant to Rule
424(b)(2)
Registration Statement
Nos. 333-192302 and 333-192302-06
|
Callable Contingent
Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The securities offer the potential for contingent quarterly coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of
the same maturity. In exchange for this higher potential yield, you must be willing to accept the risks that (i) your actual yield
may be lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or
any, contingent coupon payments and (ii) your actual yield may be negative because you may receive significantly less than the
stated principal amount of your securities at maturity. These risks will depend on the performance of the
worst performing
of the S&P 500
®
Index and the Russell 2000
®
Index (each, an “underlying index”),
as described below. You will be subject to risks associated with both underlying indexes and will be negatively affected by adverse
movements in either regardless of the performance of the other. Although you will be exposed to downside risk with respect to the
worst performing underlying index, you will not participate in any appreciation of either underlying index or receive any dividends
paid on the stocks included in either underlying index.
|
|
▪
|
We have the right to call the securities for mandatory redemption on any contingent coupon payment date beginning approximately
one year after issuance.
|
|
▪
|
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations.
All payments
on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying
indexes:
|
Underlying
indexes
|
Initial
index level*
|
Coupon
barrier level**
|
Final
barrier level***
|
|
S&P
500
®
Index
|
2,169.18
|
1,626.885
|
1,084.590
|
|
Russell
2000
®
Index
|
1,216.859
|
912.644
|
608.430
|
|
* The closing level of the applicable underlying index
on the pricing date
** For each underlying index, 75% of its initial index
level
*** For each underlying index, 50% of its initial index
level
|
Aggregate stated principal amount:
|
$1,000,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
July 26, 2016
|
Issue date:
|
July 29, 2016
|
Valuation dates:
|
The 26th day of each January, April, July and October, beginning in October 2016 and ending on July 28, 2031 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur with respect to either underlying index
|
Maturity date:
|
Unless earlier redeemed by us, July 31, 2031
|
Contingent coupon payment dates:
|
For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
|
Contingent coupon:
|
On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.00% (approximately 8.00% per annum) of the stated principal amount of the securities
if and only if
the closing level of the worst performing underlying index on the related valuation date is greater than or equal to the applicable coupon barrier level.
If the closing level of the worst performing underlying index on any quarterly valuation date is less than the applicable coupon barrier level, you will not receive any contingent coupon payment on the related contingent coupon payment date.
|
Payment at maturity:
|
Unless earlier redeemed by us, you will be entitled to receive
at maturity for each security you then hold:
▪ If the final index
level of the worst performing underlying index on the final valuation date is
greater than or equal to
the applicable coupon
barrier level: $1,000
plus
the contingent coupon payment due at maturity
▪ If the final index
level of the worst performing underlying index on the final valuation date is
less than
the applicable coupon barrier level
but
greater than or equal to
the applicable final barrier level: $1,000
▪ If the
final index level of the worst performing underlying index on the final valuation date is
less than
the
applicable final barrier level: $1,000 × the index performance factor of the worst performing underlying index on the
final valuation date
If the final index level of the worst performing underlying
index on the final valuation date is less than the applicable final barrier level, you will receive less than 50% of the stated
principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment
at maturity.
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$50.00
|
$950.00
|
Total:
|
$1,000,000.00
|
$50,000.00
|
$950,000.00
|
(Key Terms
continued on next page)
(1) On the date of this pricing
supplement, the estimated value of the securities is $866.70 per security, which is less than the issue price. The estimated value
of the securities is based on Citigroup Global Markets Inc.’s (“CGMI”) proprietary pricing models and our internal
funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price,
if any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation
of the Securities” in this pricing supplement.
(2) For more information on the
distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to
the underwriting fee, CGMI and its affiliates may profit from 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-4.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined
that this pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
is truthful or complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which
can be accessed via the hyperlinks below:
Product Supplement No. EA-04-03 dated March 8, 2016
Underlying Supplement No. 4 dated March 8, 2016
Prospectus and Prospectus Supplement each dated March 7, 2016
The securities
are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
KEY TERMS (continued)
|
Redemption:
|
We may call the securities, in whole and not in part, for mandatory redemption
on any contingent coupon payment date beginning August 2, 2017 upon not less than five business days’ notice. Following
an exercise of our call right, you will receive for each security you then hold an amount in cash equal to $1,000 plus the
related contingent coupon payment, if any.
|
Final index level:
|
For each underlying index, its closing level on the final valuation date
|
Index performance factor:
|
For each underlying index on any valuation date, its closing level on that valuation date
divided by
its initial index level
|
Worst performing underlying index:
|
For any valuation date, the underlying index with the lowest index performance factor on
that valuation date
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324C6U5 / US17324C6U59
|
Underwriter:
|
CGMI, an affiliate of the issuer, acting as principal
|
Additional
Information
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 whether you receive a contingent coupon payment on a contingent coupon
payment date as well as 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 each underlying index that are not repeated in this pricing supplement. It is important
that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this
pricing supplement 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.
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly valuation date and how to calculate the payment at maturity on the securities,
assuming the securities are not redeemed prior to maturity. You should understand that the term of the securities, and your opportunity
to receive the contingent coupon payments on the securities, may be limited to as short as one year if the securities are redeemed
prior to the maturity date, which is not reflected in the examples below. For ease of analysis, figures in the table below may
have been rounded.
The examples below are based on the following values in order
to illustrate how the securities work:
Underlying
index
|
Initial
index level
|
Coupon
barrier level
|
Final
barrier level
|
S&P
500
®
Index
|
2,169.18
|
1,626.885
(75% of the applicable initial index level)
|
1,084.590
(50% of the applicable initial index level)
|
Russell
2000
®
Index
|
1,216.859
|
912.644
(75% of the applicable initial index level)
|
608.430
(50% of the applicable initial index level)
|
Hypothetical Examples of Contingent Coupon
Payments with Respect to a Quarterly Valuation Date
The following examples illustrate the hypothetical contingent coupon payments with respect to three hypothetical quarterly valuation
dates.
|
Hypothetical
closing level of the S&P 500
®
Index
|
Hypothetical
closing level of the Russell 2000
®
Index
|
Hypothetical
contingent coupon payment per security
|
Example
1: Hypothetical
Valuation Date 1
|
1,952.26
(index
performance factor =
1,952.26 / 2,169.18 = 0.90)
|
1,338.545
(index
performance factor =
1,338.545 / 1,216.859 = 1.10)
|
$20.00
|
Example
2: Hypothetical
Valuation Date 2
|
2,603.02
(index
performance factor =
2,603.02 / 2,169.18 = 1.20)
|
608.430
(index
performance factor =
608.430 / 1,216.859 = 0.50)
|
$0.00
|
Example
3: Hypothetical
Valuation Date 3
|
1,518.43
(index
performance factor =
1,518.43 / 2,169.18 = 0.70)
|
1,277.702
(index
performance factor =
1,277.702 / 1,216.859 = 1.05)
|
$0.00
|
Example
4: Hypothetical
Valuation Date 4
|
1,301.51
(index
performance factor =
1,301.51 / 2,169.18 = 0.60)
|
669.272
(index
performance factor =
669.272 / 1,216.859 = 0.55)
|
$0.00
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
Example 1:
In this
example, the S&P 500
®
Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is
greater than
the applicable
coupon barrier level and investors in the securities would receive the contingent coupon payment of $20.00 per security on the
related contingent coupon payment date.
Example 2:
In this
example, the Russell 2000
®
Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is
less than
the applicable
coupon barrier level and investors would not receive any payment on the related contingent coupon payment date, even though the
S&P 500
®
Index has appreciated from its initial index level.
Example 3:
In this
example, the S&P 500
®
Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is
less than
the applicable
coupon barrier level and investors would not receive any payment on the related contingent coupon payment date, even though the
Russell 2000
®
Index has appreciated from its initial index level.
Example 4:
In this
example, the Russell 2000
®
Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is
less than
the applicable
coupon barrier level and investors would not receive any payment on the related contingent coupon payment date. In this example,
the closing levels of both underlying indexes are less than their respective coupon barrier levels.
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if, on that valuation date, the closing level of
the worst performing underlying index is less than the applicable coupon barrier level, even if the closing level of the other
underlying index is greater than its coupon barrier level.
Hypothetical Examples of the Payment at
Maturity on the Securities
The following examples illustrate the payment at maturity on the securities as determined by the applicable final index levels
of the underlying indexes on the final valuation date.
|
Hypothetical
final index level of the S&P 500
®
Index
|
Hypothetical
final index level of the Russell 2000
®
Index
|
Hypothetical
payment at maturity per security
|
Example
5
|
1,843.80
(index
performance factor =
1,843.80 / 2,169.18 = 0.85)
|
1,460.231
(index
performance factor =
1,460.231 / 1,216.859 = 1.20)
|
$1,020.00
|
Example
6
|
1,518.43
(index
performance factor =
1,518.43 / 2,169.18 = 0.70)
|
730.115
(index
performance factor =
730.115 / 1,216.859 = 0.60)
|
$1,000.00
|
Example
7
|
867.67
(index
performance factor =
867.67 / 2,169.18 = 0.40)
|
851.801
(index
performance factor =
851.801 / 1,216.859 = 0.70)
|
$400.00
|
Example
8
|
1,518.43
(index
performance factor =
1,518.43 / 2,169.18 = 0.70)
|
243.372
(index
performance factor =
243.372 / 1,216.859 = 0.20)
|
$200.00
|
Example 5:
In this
example, the S&P 500
®
Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is greater than the applicable coupon barrier level. Accordingly, at maturity, you would
receive the stated principal amount of the securities
plus
the contingent coupon payment of $20.00 per security.
Example 6:
In this
example, the Russell 2000
®
Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is less than the applicable coupon barrier level but greater than the applicable final
barrier level. Accordingly, at maturity, you would receive the $1,000.00 stated principal amount of the securities but you would
not receive a contingent coupon payment at maturity.
Example 7:
In this
example, the S&P 500
®
Index is the worst performing underlying index. In this scenario, the final index level
of the worst performing underlying index is less than the applicable final barrier level. Accordingly, at maturity, you would receive
a payment per security calculated as follows:
Payment at maturity =
$1,000 × index performance factor of the S&P 500
®
Index on the final valuation date
= $1,000 × 0.40
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
= $400
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based
on the performance of the worst performing underlying index, even though the final index level of the other underlying index was
greater than the applicable final barrier level. In addition, because the final index level of the worst performing underlying
index is below the applicable coupon barrier level, you will not receive any quarterly contingent coupon payment.
Example 8:
In this
example, the Russell 2000
®
Index is the worst performing underlying index and its final index level is less than
the applicable final barrier level. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment at maturity =
$1,000 × index performance factor of the Russell 2000
®
Index on the final valuation date
= $1,000 × 0.20
= $200
In this scenario, because
the closing level of the worst performing underlying index on the final valuation date is less than the applicable final barrier
level, you would lose a significant portion of your investment in the securities. In addition, because the final index level of
the worst performing underlying index is below the applicable coupon barrier level, you will not receive any quarterly contingent
coupon payment at maturity. If the closing level of the worst performing underlying index were less than the applicable coupon
barrier level on each valuation date and less than the final barrier level on the final valuation date, you would not have received
any quarterly contingent coupon payments and, in addition, would incur a significant loss on your securities at maturity.
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with each of the underlying indexes. 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.
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If we do not redeem the securities prior to maturity,
your payment at maturity will depend on the performance of the worst performing underlying index on the final valuation date. If
the closing level of the worst performing underlying index on the final valuation date is less than the applicable final barrier
level, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying
index has declined from its initial index level, regardless of the performance of the other underlying index. There is no minimum
payment at maturity on the securities, and you may lose up to all of your investment.
|
|
▪
|
You will not receive any contingent coupon payment for any quarter in which the closing level of the worst performing underlying
index is less than the applicable coupon barrier level on the related valuation date.
A contingent coupon payment will be made
on a contingent coupon payment date if and only if the closing level of the worst performing underlying index on the related valuation
date is greater than or equal to the applicable coupon barrier level. If the closing level of the worst performing underlying index
is less than the applicable coupon barrier level on any quarterly valuation date, you will not receive any contingent coupon payment
on the related contingent coupon payment date. If the closing level of the worst performing underlying index is below the applicable
coupon barrier level on each valuation date, you will not receive any contingent coupon payments over the term of the securities.
|
|
▪
|
The securities are subject to the risks of both of the underlying indexes and will be negatively affected if either of the
underlying indexes performs poorly, even if the other underlying index performs well.
The securities are not linked to a basket
composed of the underlying indexes, where the better performance of one could ameliorate the poor performance of the other. Instead,
you are subject to the full risks of whichever of the underlying indexes is the worst performing underlying index.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying index.
The return on the securities
depends solely on the performance of the worst performing underlying index, and you will not benefit in any way from the performance
of the other underlying index. The securities may underperform a similar alternative investment linked to a basket composed of
the underlying indexes, since in such case the performance of the better performing underlying index would be
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
blended with the performance
of the worst performing underlying index, resulting in a better return than the return of the worst performing underlying index.
|
▪
|
You will be subject to risks relating to the relationship among the underlying indexes.
It is preferable from your perspective
for the underlying indexes to be correlated with each other, in the sense that they tend to increase or decrease at similar times
and by similar magnitudes. By investing in the securities, you assume the risk that the underlying indexes will not exhibit this
relationship. The less correlated the underlying indexes, the more likely it is that any one of the underlying indexes will perform
poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the underlying
indexes to perform poorly; the performance of the underlying index that is not the worst performing underlying index is not relevant
to your return on the securities. It is impossible to predict what the relationship between the underlying indexes will be over
the term of the securities.
The S&P 500
®
Index represents large capitalization stocks in the United States
and the Russell 2000
®
Index represents small capitalization stocks in the United States. Accordingly, the underlying
indexes represent markets that differ in significant ways and, therefore, may not be correlated with each other.
|
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may receive significantly less than the stated principal amount of your securities at
maturity. The volatility of and the correlation between the underlying indexes are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation between, the underlying indexes as of the pricing date may result in a higher
contingent coupon rate, but would also represent a greater expected likelihood as of the pricing date that the closing level of
the worst performing underlying index will be less than the applicable coupon barrier level on one or more valuation dates, such
that you will not receive one or more, or any, contingent coupon payments during the term of the securities, and that the closing
level of the worst performing underlying index will be less than the applicable final barrier level on the final valuation date,
such that you will not be repaid the stated principal amount of your securities at maturity.
|
|
▪
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying index.
The potential
contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing
underlying index, as well as all the other risks of the securities. That compensation is effectively “at risk” and
may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower than
you anticipate because the coupon is “contingent” and you may not receive a contingent coupon payment on one or more,
or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the compensation you receive not only
for the downside risk of the worst performing underlying index, but also for all of the other risks of the securities, including
the risk that the securities may be redeemed prior to maturity, interest rate risk and our and Citigroup Inc.’s credit risk.
If those other risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments may turn out
to be inadequate to compensate you for all the risks of the securities, including the downside risk of the worst performing underlying
index.
|
|
▪
|
The securities are riskier than securities with a shorter term.
The securities are relatively long-dated. Because the
securities are relatively long-dated, the risks of the securities are heightened as compared to securities with a shorter term
because you will be subject to those risks for a longer period of time. In addition, the value of a longer-dated security is typically
less than the value of an otherwise comparable security with a shorter term.
|
|
▪
|
We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments.
Beginning
approximately one year after issuance, we may redeem the securities on any contingent coupon payment date upon not less than five
business days’ notice. In the event that we redeem the securities, you will receive the stated principal amount of your securities
and the related contingent coupon payment, if any. Thus, the term of the securities may be limited to as short as one year. If
we redeem the securities prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not
be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. If we redeem the
securities prior to maturity, it is likely to be at a time when the underlying indexes are performing in a manner that would otherwise
have been favorable to you. By contrast, if the underlying indexes are performing unfavorably from your perspective, we are less
likely to redeem the securities. If we redeem the securities, we will do so at a time that is advantageous to us and without regard
to your interests.
|
|
▪
|
The securities offer downside exposure to the underlying indexes, but no upside exposure to the underlying indexes.
You will not participate in any appreciation in the level of the underlying indexes over the term of the securities. Consequently,
your return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less
than the return on the underlying indexes over the term of the securities. In addition, you will not receive any dividends or other
distributions or any other rights with respect to the underlying indexes.
|
|
▪
|
The performance of the securities will depend on the closing levels of the underlying indexes solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying indexes.
Whether the contingent
coupon will be paid for any given quarter will depend on the closing levels of the underlying indexes solely on the applicable
quarterly valuation dates, regardless of the closing levels of the underlying indexes on other days during the term of the securities.
If we do not redeem the securities, what you receive at maturity will depend solely on the closing level of the worst performing
underlying index on the final valuation date, and not on any other day during the term of the securities. Because the
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
performance of the securities
depends on the closing levels of the underlying indexes on a limited number of dates, the securities will be particularly sensitive
to volatility in the closing levels of the underlying indexes. You should understand that each of the underlying indexes has historically
been highly volatile.
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any amounts
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, 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 selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below.
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation between
the underlying indexes, dividend yields on the stocks included in the underlying indexes and interest rates. CGMI’s views
on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may
conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection
of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement
may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting
purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing
to hold the securities to maturity irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining
the value of the securities for purposes of any
purchases
of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based on our
secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate
based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional
debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as the coupon that is payable
on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on 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.
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
|
▪
|
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 indexes and a number of other factors,
including the price and volatility of the stocks included in the underlying indexes, the correlation between the underlying indexes,
dividend yields on the stocks included in the underlying indexes, interest rates generally, 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.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
|
|
▪
|
The securities are linked to the Russell 2000
®
Index and will be subject to risks associated with small capitalization
stocks.
The stocks that constitute the Russell 2000
®
Index are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
|
▪
|
Changes that affect the underlying indexes may affect the value of your securities.
The sponsors of the S&P 500
®
Index and the Russell 2000
®
Index may add, delete or substitute the stocks that constitute those indexes or
make other methodological changes that could affect the levels of those indexes. We are not affiliated with any such index sponsor
and, accordingly, we have no control over any changes any such index sponsor may make. Such changes could be made at any time and
could adversely affect the performance of the underlying indexes and the value of and your payment at maturity on the securities.
|
|
▪
|
Our offering of the securities is not a recommendation of either 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 indexes 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 indexes or in instruments related to the underlying indexes, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying indexes. These and
other of our affiliates’ activities may affect the levels of the underlying indexes in a way that has a negative impact on
your interests as a holder of the securities.
|
|
▪
|
The level of an underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the stocks included in the S&P 500
®
Index and the Russell 2000
®
Index and other financial
instruments related to the underlying indexes or the stocks included in the underlying indexes and may adjust such positions during
the term of the securities. Our affiliates also trade the stocks included in the S&P 500
®
Index and the Russell
2000
®
Index and other related financial instruments on a regular basis (taking long or short positions or both),
for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities
could affect the levels of the underlying indexes 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 included in
the underlying indexes, including extending loans to, making equity investments in or providing advisory services to such companies.
In the course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover,
if any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that
are available to them without regard to your interests.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of an underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
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 described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the
securities might be materially and adversely affected. As described in the accompanying product supplement 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.
While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the
notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
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.
As described in “United States
Federal Tax Considerations” below, in connection with any information reporting requirements we may have in respect of the
securities under applicable law, we intend to treat a portion of each coupon payment as attributable to interest and the remainder
to option premium. However, in light of the uncertain treatment of the securities, it is possible that other persons having withholding
or information reporting responsibility in respect of the securities may treat a security differently, for instance, by treating
the entire coupon payment as ordinary income at the time received or accrued by a holder and/or treating some or all of each coupon
payment on a security to a non-U.S. investor as subject to withholding tax at a rate of 30%. If withholding applies to the securities,
we will not be required to pay any additional amounts with respect to amounts so withheld.
Information
About the S&P 500
®
Index
The S&P 500
®
Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500
®
Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500
®
” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—S&P
500
®
Index—License Agreement” in the accompanying underlying supplement. Please refer to the sections
“Equity Index Descriptions—S&P 500
®
Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500
®
Index.
Historical Information
The closing level of the S&P 500
®
Index on
July 26, 2016 was 2,169.18.
The graph below shows the closing levels of the S&P 500
®
Index for each day such level was available from January 3, 2011 to July 26, 2016. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500
®
Index as an
indication of future performance.
S&P 500
®
Index – Historical Closing Levels
January 3, 2011 to July
26, 2016
|
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
Information
About the Russell 2000
®
Index
The Russell 2000
®
Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000
®
Index are traded on a major U.S. exchange. It is calculated and maintained by Russell Investments, a subsidiary of Russell Investment
Group. The Russell 2000
®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000
®
Index” is a trademark
of Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—Russell 2000
®
Index—License with Russell” in the accompanying underlying supplement.
Please refer to the sections “Equity Index Descriptions—Russell
2000
®
Index” in the accompanying underlying supplement for important disclosures regarding the Russell 2000
®
Index.
Historical Information
The closing level of the Russell 2000
®
Index on
July 26, 2016 was 1,216.859.
The graph below shows the closing levels of the Russell 2000
®
Index for each day such level was available from January 3, 2011 to July 26, 2016. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the Russell 2000
®
Index as
an indication of future performance.
Russell 2000
®
Index – Historical Closing Levels
January 3, 2011 to July
26, 2016
|
|
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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat a security as a put option (the “Put Option”)
written by you with respect to the underlying shares, secured by a cash deposit equal to the stated principal amount of the security
(the “Deposit”). In the opinion of our tax counsel, Davis Polk & Wardwell LLP, which is based on current market
conditions, this treatment of the securities is reasonable under current law; however, our tax counsel has advised us that it is
unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are
possible. Under this treatment:
|
·
|
a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
|
·
|
the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
|
We will treat 84.21% of each coupon payment as interest on the
Deposit and 15.79% as Put Premium for each security.
Assuming the treatment of a security as a Put Option and a Deposit
is respected, amounts treated as interest on the Deposit should be taxed as ordinary interest income, while the Put Premium should
not be taken into account prior to maturity or disposition of the securities. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders” in the accompanying product supplement.
Subject to the discussion in the section of the accompanying
product supplement entitled “United States Federal Tax Considerations,” if you are a Non-U.S. Holder (as defined in
the accompanying product supplement) of the securities, under current law 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.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In addition, the U.S.
Treasury Department and the IRS have released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts.” While it is not clear whether the securities would be viewed as similar to the typical prepaid forward
contract described in the notice, it is possible that 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.
While we currently do not intend to withhold on payments on
the securities to Non-U.S. Holders (subject to compliance with the applicable certification requirements and the discussions in
the accompanying product supplement regarding “FATCA”), in light of the uncertain treatment of the securities other
persons having withholding or information reporting responsibility in respect of the securities may treat some or all of each coupon
payment on a security as subject to withholding tax at a rate of 30%. Moreover, it is possible that in the future we may determine
that we should withhold at a rate of 30% on coupon payments on the securities. We will not be required to pay any additional amounts
with respect to amounts withheld.
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 underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $50.00 for each
$1,000 security sold in this offering. CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $50.00
for each security they sell. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if we redeem the securities prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing levels of the underlying indexes 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
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
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.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-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.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
|
(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries
'
’
rights and interests (howsoever described) in that trust shall not be transferable for 6 months after that corporation or that
trust has acquired the relevant securities pursuant to an offer under Section 275 of the Securities and Futures Act except:
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
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.
Citigroup Global Markets Holdings Inc.
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due July 31, 2031
|
|
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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
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.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024