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
|
$3,330,000
|
$385.95
|
|
(1)
|
Calculated in accordance
with Rule 457(r) of the Securities Act.
|
|
(2)
|
Pursuant to Rule 456(b)
under the Securities Act, a total of $249,585.87 remains of the fees previously paid on January 8, 2016. The filing fee for this
issuance of $385.95 is offset against that amount, such that $249,199.92 remains available for future registration fees.
|
Citigroup Global Markets Holdings Inc.
|
October
21, 201
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2016-USNCH0213
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-192302 and333-192302-06
|
Dual Directional Barrier Securities Based on
Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to
or less than the stated principal amount, depending on the performance of shares of the Energy Select Sector SPDR
®
Fund
(the “underlying shares”) from the initial share price to the final share price.
|
|
▪
|
The securities offer leveraged exposure to a limited range of potential appreciation of the underlying shares, subject to the
maximum upside return specified below. In addition, if the underlying shares depreciate within a limited range (not more than 20.00%),
the securities provide for a positive return at maturity based on the absolute value of that depreciation. In exchange for the
leveraged upside exposure and the potential for a positive return at maturity even if the underlying shares depreciate, investors
in the securities must be willing to forgo (i) participation in any appreciation of the underlying shares in excess of the maximum
upside return, (ii) positive participation in the absolute value of any depreciation of the underlying shares if the underlying
shares depreciate by more than 20.00% and (iii) any dividends that may be paid on the underlying shares. Moreover, investors in
the securities must be willing to accept full downside exposure to the underlying shares if the underlying shares depreciate by
more than 20.00%.
If the underlying shares depreciate by more than 20.00% from the pricing date to the valuation date, you will
lose 1% of the stated principal amount of your securities for every 1% by which the final share price is less than the initial
share price. There is no minimum payment at maturity.
|
|
▪
|
In order to obtain the modified exposure to the underlying shares that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we 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 shares:
|
Shares of the Energy Select Sector SPDR
®
Fund (NYSE Arca symbol: “XLE”) (the “underlying share issuer” or “ETF”)
|
Aggregate stated principal amount:
|
$3,330,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
October 21, 2016
|
Issue date:
|
October 26, 2016
|
Valuation date:
|
October 22, 2018, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
October 25, 2018
|
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at
maturity:
▪
If
the final share price is
greater than or equal to
the initial share price:
$1,000 + the upside return amount, subject to the maximum upside return
▪
If
the final share price is
less than
the initial share price but
greater than or equal to
the barrier price:
$1,000 + the downside return amount
▪
If
the final share price is
less than
the barrier price:
$1,000 × the share performance factor
If the final share price is less than the barrier price, your
payment at maturity will be less, and possibly significantly less, than $800.00 per security. You should not invest in the securities
unless you are willing and able to bear the risk of losing a significant portion, and up to all, of your investment.
|
Initial share price:
|
$70.19, the closing price of the underlying shares on the pricing date
|
Final share price:
|
The closing price of the underlying shares on the valuation date
|
Upside return amount:
|
$1,000 × the share percent change × the leverage factor
|
Downside return amount:
|
$1,000 × the absolute value of the share percent change
|
Leverage factor:
|
200.00%. The leverage factor will be applicable only if the final share price is
greater than
the initial share price.
|
Share performance factor:
|
The final share price
divided by
the initial share price
|
Share percent change:
|
The final share price
minus
the initial share price,
divided by
the initial share price
|
Barrier price:
|
$56.152, 80.00% of the initial share price
|
Maximum upside return:
|
$214.00 per security (21.40% of the stated principal amount)
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CC20 / US17324CC205
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
$15.00
|
$985.00
|
Total:
|
$3,330,000.00
|
$49,950.00
|
$3,280,050.00
|
(1) On the date of this pricing supplement, the estimated value
of the securities is $969.60 per security, which is less than the issue price. The estimated value of the securities is based on
CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other
of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) 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, 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, prospectus supplement and prospectus, each of which can be accessed via the
hyperlinks below:
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.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity, such as market disruption events and other events
affecting the underlying shares. 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 ETF Shares or Company Shares—Consequences
of a Market Disruption Event; Postponement of a Valuation Date”, “—Dilution and Reorganization Adjustments”
and “—Delisting, Liquidation or Termination of an ETF,” and not in this pricing supplement. It is important that
you read the accompanying product 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.
Dilution and Reorganization Adjustments.
The initial share
price and the barrier price are each a “Relevant Price” for purposes of the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in
the accompanying product supplement. Accordingly, the initial share price and the barrier price are each subject to adjustment
upon the occurrence of any of the events described in that section.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial share price to the final share price.
Investors in the securities will not receive any dividends
on the underlying shares or the stocks included in or held by the ETF. The diagram and examples below do not show any effect of
lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not have voting rights,
rights to receive any dividends or other distributions or any other rights with respect to the ETF” below.
Dual Directional Barrier Securities
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Shares
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
Your actual payment at maturity per security will depend on the
actual final share price. The examples below are intended to illustrate how your payment at maturity will depend on whether the
final share price is greater than or less than the initial share price and by how much.
Example 1—Upside Scenario A.
The hypothetical final
share price is $77.21 (an approximately 10.00% increase from the initial share price), which is
greater than
the initial
share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $214.00 per security
= $1,000 + ($1,000 × the share percent change × the
leverage factor), subject to the hypothetical maximum upside return of $214.00 per security
= $1,000 + ($1,000 × 10.00% × 200.00%), subject to
the hypothetical maximum upside return of $214.00 per security
= $1,000 + $200.00, subject to the hypothetical maximum upside
return of $214.00 per security
= $1,200.00
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the upside return amount of $200.00 results in a total return at maturity of 20.00%,
which is less than the hypothetical maximum upside return of 21.40%, your payment at maturity in this scenario would be equal to
the $1,000 stated principal amount per security
plus
the upside return amount, or $1,200.00 per security.
Example 2—Upside Scenario B.
The hypothetical final
share price is $105.29 (an approximately 50.00% increase from the initial share price), which is
greater than
the initial
share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the hypothetical maximum upside return of $214.00 per security
= $1,000 + ($1,000 × the share percent change × the
leverage factor), subject to the hypothetical maximum upside return of $214.00 per security
= $1,000 + ($1,000 × 50.00% × 200.00%), subject to
the hypothetical maximum upside return of $214.00 per security
= $1,000 + $1,000.00, subject to the hypothetical maximum upside
return of $214.00 per security
= $1,214.00
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the upside return amount of $1,000.00 per security would result in a total return
at maturity of 100.00%, which is greater than the hypothetical maximum upside return of 21.40%, your payment at maturity in this
scenario would be limited to the stated principal amount
plus
the maximum upside return. In this scenario, an investment
in the securities would underperform a direct investment in the underlying shares.
Example 3—Upside Scenario C.
The hypothetical final
share price is $63.17 (an approximately 10.00% decrease from the initial share price), which is
less than
the initial share
price but
greater than
the barrier price.
Payment at maturity per security = $1,000 + the downside return
amount
= $1,000 + ($1,000 × the absolute value of the share percent
change)
= $1,000 + ($1,000 × | -10.00%|)
= $1,000 + $100.00
= $1,100.00
Because the underlying shares depreciated from the initial share
price to the hypothetical final share price but not by more than 20.00%, your payment at maturity in this scenario would reflect
1-to-1 exposure to the absolute value of the depreciation of the underlying shares.
Example 4—Downside Scenario.
The hypothetical final
share price is $21.06 (an approximately 70.00% decrease from the initial share price), which is
less than
the barrier price.
Payment at maturity per security = $1,000 × the share performance
factor
= $1,000 × 30.00% = $300.00
Because the underlying shares depreciated from the initial share
price to the hypothetical final share price by more than 20.00%, your payment at maturity in this scenario would reflect 1-to-1
exposure to the negative performance of the underlying shares. In this scenario, the depreciation of the underlying shares results
in a significant loss, rather than a positive return, on your investment in the securities.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
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 the underlying shares. 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 repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If
the final share price is less than the barrier price, the absolute return feature will no longer be available and the payout at
maturity will be at least 20.00% less than the stated principal amount of the securities, and you will lose 1% of the stated principal
amount of the securities for every 1% by which the final share price is less than the initial share price. There is no minimum
payment at maturity on the securities, and you may lose up to all of your investment.
|
|
▪
|
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.
|
|
▪
|
Your potential return on the securities is limited.
If the final share price is greater than the initial share price,
your potential total return on the securities at maturity is limited to the maximum upside return of 21.40%, which is equivalent
to a maximum upside return of $214.00 per security. The return on the underlying shares from the initial share price to the final
share price may significantly exceed the maximum upside return. Taking into account the leverage factor, any increase in the final
share price over the initial share price by more than 10.70% will not increase your return on the securities and will progressively
reduce the effective amount of leverage provided by the securities. Therefore, your return on the securities may be significantly
less than the return you could have achieved on a direct investment in the underlying shares. In addition, your potential for positive
participation in the absolute value of any depreciation of the underlying shares is limited. Because the barrier price is equal
to 80.00% of the initial share price, the return potential of the securities in the event that the underlying shares depreciate
is limited to 20.00%. Any depreciation of the underlying shares in excess of 20.00% will result in a loss, rather than a positive
return, on the securities.
|
|
▪
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the underlying shares.
As of October 21, 2016, the trailing 12-month dividend yield of the underlying shares was 2.62%.
While it is impossible to know the future dividend yield of the underlying shares, if this trailing 12-month dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 5.24% (assuming no
reinvestment of dividends) by investing in the securities instead of investing directly in the underlying shares or in another
investment linked to the underlying shares that provides for a pass-through of dividends. The payment scenarios described in this
pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
▪
|
Your payment at maturity depends on the closing price of the underlying shares on a single day.
Because your payment
at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the risk that
the closing price of the underlying shares 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 directly in the underlying shares or in another instrument linked
to the underlying shares 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 prices of the underlying shares, you might have achieved better returns.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
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 the underlying shares, dividend
yields on the underlying shares and the stocks held by the ETF 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 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.
|
▪
|
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.
The value of your
securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors,
including the price and volatility of the stocks held by the ETF, the dividend yields on the underlying shares and the stocks held
by the ETF, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected
in our secondary market rate. Changes in the price of the underlying shares may not result in a comparable change in the value
of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the issue price.
|
|
▪
|
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
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
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.
|
▪
|
Investing in the securities exposes investors to concentrated risks associated with the energy sector.
The stocks included
in the index underlying the ETF and that are generally tracked by the ETF are stocks of companies whose primary business is directly
associated with the energy sector, including the following two sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment
and services. Because the securities are linked to the performance of the underlying shares, an investment in the securities exposes
investors to concentrated risks associated with investments in the energy sector.
|
Energy companies develop and produce
crude oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock
prices for these types of companies are mainly affected by the business, financial and operating conditions of the particular company,
as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various
energy products and services. Some of the factors that may influence supply and demand for energy products and services include:
general economic conditions and growth rates; weather conditions; the cost of exploring for, producing and delivering oil and gas;
technological advances affecting energy efficiency and energy consumption; the ability of the Organization of Petroleum Exporting
Countries (OPEC) to set and maintain production levels of oil; currency fluctuations; inflation; natural disasters; civil unrest,
acts of sabotage or terrorism; and other regional or global events. The profitability of energy companies may also be adversely
affected by existing and future laws, regulations, government actions and other legal requirements relating to protection of the
environment, health and safety matters and others that may increase the costs of conducting their business or may reduce or delay
available business opportunities. Increased supply or weak demand for energy products and services, as well as various developments
leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies
in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than a
different investment linked to securities of a more broadly diversified group of issuers.
|
▪
|
Our offering of the securities does not constitute a recommendation of the underlying shares.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares 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 underlying shares or the stocks held by the ETF over the term of the securities or in instruments related to
the underlying shares or such stocks over the term of the securities and may publish research or express opinions, that in each
case are inconsistent with an investment linked to the underlying shares. These and other activities of our affiliates may affect
the price of the underlying shares in a way that has a negative impact on your interests as a holder of the securities.
|
|
▪
|
The price of the underlying shares 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 underlying shares or the stocks held by the ETF and other financial instruments related to the underlying shares or such
stocks and may adjust such positions during the term of the securities. Our affiliates also trade the underlying shares or the
stocks held by the ETF and other financial instruments related to the underlying shares or such stocks on a regular basis (taking
long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on
behalf of customers. These activities could affect the price of the underlying shares 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 underlying share issuer or the issuers
of the stocks held by the ETF, including extending loans to, making equity investments in or providing advisory services to such
issuers. In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will
not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies
against such issuer that are available to them without regard to your interests.
|
|
▪
|
Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares
unless the amount of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price
of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying
shares by the amount of the dividend per underlying share. If the underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of
the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of the underlying shares.
For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above.
Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in
the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would
not.
|
|
▪
|
The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares.
For example, if the underlying share issuer enters
into a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such
other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally,
if the underlying shares are delisted or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select
shares of another ETF to be the underlying shares. See “Description of the Securities—Certain Additional Terms for
Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an ETF” in the accompanying product supplement.
|
|
▪
|
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 , events with respect to the underlying share issuer that may require
a dilution adjustment or the delisting of the underlying shares, 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 price and performance of the underlying shares may not completely track the performance of the S&P Energy Select
Sector Index or the net asset value per share of the ETF.
The underlying share issuer does not fully replicate the underlying
index that it seeks to track and may hold securities different from those included in its underlying index. In addition, the performance
of the underlying shares will reflect additional transaction costs and fees that are not included in the calculation of the S&P
Energy Select Sector Index (the “ETF Underlying Index”). All of these factors may lead to a lack of correlation between
the performance of the underlying shares and the ETF Underlying Index. In addition, corporate actions with respect to the equity
securities constituting the ETF Underlying Index or held by the underlying share issuer (such as mergers and spin-offs) may impact
the variance between the performances of the underlying shares and the ETF Underlying Index. Finally, because the underlying shares
are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of the underlying shares may
differ from the net asset value per share of the ETF.
|
During periods of market volatility,
securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the ETF and the liquidity of the underlying shares may be adversely affected. This kind of market
volatility may also disrupt the ability of market participants to create and redeem shares of the ETF. Further, market volatility
may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the underlying
shares. As a result, under these circumstances, the market value of the underlying shares may vary substantially from the net asset
value per share of the ETF. For all of the foregoing reasons, the performance of the underlying shares may not correlate with the
performance of the ETF Underlying Index and/or the net asset value per share of the ETF, which could materially and adversely affect
the value of the securities in the secondary market and/or reduce your payment at maturity.
|
▪
|
Changes made by the investment adviser to the underlying share issuer or by the sponsor of the index underlying the ETF
may adversely affect the underlying shares
. We are not affiliated with the investment adviser to the underlying share issuer
or with the sponsor of the index underlying the ETF. Accordingly, we have no control over any changes such investment adviser or
sponsor may make to the underlying share issuer or the index underlying the ETF. Such changes could be made at any time and could
adversely affect the performance of the underlying shares.
|
|
▪
|
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. Even if the treatment of the securities as prepaid forward contracts is respected, a security
may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under
“United States Federal Tax Considerations.” In addition, 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
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Information
About the Underlying Shares
The Energy Select Sector SPDR
®
Fund (the “ETF”
or the “underlying share issuer”) is an exchange-traded fund that seeks to provide investment results that, before
expenses, correspond generally to the performance of publicly traded equity securities of companies in the S&P Energy Select
Sector Index (the “ETF Underlying Index”). The S&P Energy Select Sector Index is intended to provide an indication
of the pattern of common stock price movements of companies that are components of the S&P 500
®
Index and are
involved in the development or production of energy. The S&P Energy Select Sector Index includes companies in the following
two industries: (i) oil, gas and consumable fuels and (ii) energy equipment and services.
The ETF is managed by the Select Sector SPDR
®
Trust, a registered investment company. The Select Sector SPDR
®
Trust consists of nine separate investment portfolios,
including the ETF. Information provided to or filed with the SEC by The Select Sector SPDR
®
Trust pursuant to the
Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The Energy Select Sector SPDR
®
Fund trades on the NYSE Arca under the ticker symbol “XLE.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the underlying shares or other securities of the underlying share issuer. We have derived all disclosures
contained in this pricing supplement regarding the underlying shares and the underlying share issuer from the publicly available
documents described above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup
Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to the underlying
share issuer or the ETF Underlying Index.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and
has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlying shares.
Historical
Information
The graph below shows the closing prices of the underlying shares
for each day such price was available from January 3, 2011 to October 21, 2016. The table that follows shows the high and low closing
prices of, and dividends paid on, the underlying shares for each quarter in that same period. We obtained the closing prices and
other information below from Bloomberg L.P., without independent verification. You should not take the historical prices of the
underlying shares as an indication of future performance.
Energy Select Sector SPDR
®
Fund – Historical Closing Prices
January 3, 2011 to October 21, 2016
|
|
* The red line indicates the barrier price of $56.152, equal
to 80.00% of the closing price on October 21, 2016.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
Energy Select Sector
SPDR
®
Fund
(CUSIP of the Underlying
Shares: 81369Y506)
|
High
|
Low
|
Dividends
|
2011
|
|
|
|
First Quarter
|
$80.01
|
$67.78
|
$0.25490
|
Second Quarter
|
$80.44
|
$70.99
|
$0.26457
|
Third Quarter
|
$79.79
|
$58.59
|
$0.26444
|
Fourth Quarter
|
$73.04
|
$56.55
|
$0.27738
|
2012
|
|
|
|
First Quarter
|
$76.29
|
$69.46
|
$0.28462
|
Second Quarter
|
$72.42
|
$62.00
|
$0.31109
|
Third Quarter
|
$76.57
|
$64.96
|
$0.00000
|
Fourth Quarter
|
$74.94
|
$68.59
|
$0.33369
|
2013
|
|
|
|
First Quarter
|
$79.99
|
$72.86
|
$0.72805
|
Second Quarter
|
$83.28
|
$74.09
|
$0.00000
|
Third Quarter
|
$85.30
|
$78.83
|
$0.76704
|
Fourth Quarter
|
$88.51
|
$81.87
|
$0.40268
|
2014
|
|
|
|
First Quarter
|
$89.06
|
$81.89
|
$0.42707
|
Second Quarter
|
$101.29
|
$88.45
|
$0.46353
|
Third Quarter
|
$100.58
|
$90.62
|
$0.48327
|
Fourth Quarter
|
$88.77
|
$73.36
|
$0.48542
|
2015
|
|
|
|
First Quarter
|
$82.29
|
$72.86
|
$0.51494
|
Second Quarter
|
$82.94
|
$74.64
|
$0.50882
|
Third Quarter
|
$74.54
|
$59.22
|
$0.47811
|
Fourth Quarter
|
$71.40
|
$58.78
|
$0.54224
|
2016
|
|
|
|
First Quarter
|
$63.75
|
$51.80
|
$0.45241
|
Second Quarter
|
$69.50
|
$60.18
|
$0.43643
|
Third Quarter
|
$71.80
|
$65.27
|
$0.41052
|
Fourth Quarter (through October 21, 2016)
|
$71.72
|
$69.46
|
$0.00000
|
The closing price of the underlying shares on October 21, 2016
was $70.19.
We make no representation as to the amount of dividends, if any,
that may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled
to receive dividends, if any, that may be payable on the underlying shares.
The Energy Select Sector SPDR
®
Fund
Investment Objective and Strategy
The ETF seeks to provide investment results that correspond generally
to the performance, before fees and expenses, of publicly traded equity securities of companies included in the ETF Underlying
Index. For additional information regarding the ETF Underlying Index, see “—The S&P Energy Select Sector Index”
below.
Replication
The ETF employs a replication strategy in attempting to approximate
the performance of the ETF Underlying Index, which means that the ETF typically invests in substantially all of the securities
represented in the ETF Underlying Index in approximately the same proportions as the ETF Underlying Index. Under normal market
conditions, the ETF generally invests substantially all, but at least 95%, of its total assets in the securities included in the
ETF Underlying Index. In addition, the ETF may invest in equity securities that are not included in the ETF Underlying Index, cash
and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market
funds advised by SSgA FM).
Correlation
The ETF Underlying Index is a theoretical financial calculation,
while the ETF is an actual investment portfolio. The ETF seeks to track the performance of the ETF Underlying Index as closely
as possible (i.e., achieve a high degree of correlation with the ETF Underlying Index). However, the performance of the ETF and
the ETF Underlying Index will vary somewhat due to operating expenses, transaction costs, cash flows, regulatory requirements and
operational inefficiencies.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
The S&P Energy Select Sector Index
The S&P Energy Select Sector Index is a modified market capitalization-based
index that is calculated and disseminated by S&P Dow Jones Indices LLC (“S&P Dow Jones”). The S&P Energy
Select Sector Index is intended to provide an indication of the pattern of common stock price movements of companies that are components
of the S&P 500
®
Index and are involved in the development or production of energy. The S&P Energy Select
Sector Index includes companies in the following two industries: (i) oil, gas and consumable fuels and (ii) energy equipment and
services. The Energy Select Sector Index was launched on December 16, 1998 and had an initial value of 235.88. As of December 31,
2015, the S&P Energy Select Sector Index represented approximately 6.5% of the S&P 500
®
Index based on the
market capitalization of the stocks.
All disclosures contained in this pricing supplement regarding
the S&P Energy Select Sector Index, the Select Sector Indices and the S&P 500
®
Index, including the makeup,
method of calculation and changes of their respective components, are derived from publicly available information prepared by S&P
Dow Jones. None of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has independently verified such information.
The S&P Energy Select Sector Index is one of eleven Select
Sector sub-indices of the S&P 500
®
Index (each, a “Select Sector Index” and collectively, the “Select
Sector Indices”). The stocks included in the Select Sector Indices are selected by Merrill, Lynch, Pierce, Fenner & Smith,
Inc., acting as the index compilation agent (the “Index Compilation Agent”), in consultation with S&P Dow Jones
from the universe of companies defined as the S&P 500
®
Index. The composition and weighting of the stocks included
in the Select Sector Indices will likely differ from the composition and weighting of stocks included in any similar S&P 500
®
sector index that is published and disseminated by S&P Dow Jones. S&P Dow Jones acts as the index calculation agent in
connection with the calculation and dissemination of the Select Sector Indices. S&P Dow Jones’ only relationship to the
Index Compilation Agent is the licensing of certain trademarks and trade names of S&P Dow Jones and of the S&P 500
®
Index which is determined, composed and calculated by S&P Dow Jones without regard to the Index Compilation Agent. The Select
Sector Indices are developed and maintained in accordance with the following criteria:
|
§
|
Each of the component stocks in the Select Sector Indices (the “Component Stocks”) is a constituent company of
the S&P 500
®
Index.
|
|
§
|
Each stock in the S&P 500
®
Index is allocated to one and only one of the Select Sector Indices.
|
|
§
|
The Index Compilation Agent assigns each constituent stock of the S&P 500
®
Index to a Select Sector Index.
The Index Compilation Agent, after consultation with S&P Dow Jones, assigns a particular company’s stock to the relevant
Select Sector Index on the basis of such company’s sales and earnings composition and the sensitivity of the company’s
stock price and business results to the common factors that affect other companies in that Select Sector Index. S&P Dow Jones
has sole control over the removal of stocks from the S&P 500
®
Index and the selection of replacement stocks
to be added to the S&P 500
®
Index. However, S&P Dow Jones will play only a consulting role in the assignment
of the S&P 500
®
Index constituent stocks to the Select Sector Indices, that assignment being the sole responsibility
of the Index Compilation Agent.
|
|
§
|
The Select Sector Indices are calculated by S&P Dow Jones using a modified “market capitalization” methodology.
This design ensures that each of the Component Stocks within a Select Sector Index is represented in a proportion consistent with
its percentage with respect to the total market capitalization of that Select Sector Index. Under certain conditions, however,
the number of shares of a Component Stock within a Select Sector Index may be adjusted to conform to Internal Revenue Code requirements.
|
|
§
|
The Select Sector Indices are calculated using the same methodology utilized by S&P Dow Jones in calculating the S&P
500
®
Index, using a base-weighted aggregate methodology. See “—The S&P 500
®
Index”
below. The daily calculation of a Select Sector Index is computed by dividing the total market value of the companies in that Select
Sector Index by a number called the index divisor.
|
The Index Compilation Agent at any time may determine that a
Component Stock which has been assigned to one Select Sector Index has undergone such a transformation in the composition of its
business that it should be removed from that Select Sector Index and assigned to a different Select Sector Index. In the event
that the Index Compilation Agent notifies S&P Dow Jones that a Component Stock’s Select Sector Index assignment should
be changed, S&P Dow Jones will disseminate notice of the change following its standard procedure for announcing index changes
and will implement the change in the affected Select Sector Indices on a date no less than one week after the initial dissemination
of information on the sector change to the maximum extent practicable. It is not anticipated that Component Stocks will change
sectors frequently.
Component Stocks removed from and added to the S&P 500
®
Index will be deleted from and added to the appropriate Select Sector Index on the same schedule used by S&P Dow Jones for
additions and deletions from the S&P 500
®
Index as practicable.
The S&P 500
®
Index
The S&P 500
®
Index is intended to provide
a performance benchmark for the large capitalization segment of the U.S. equities market. The calculation of the level of the S&P
500
®
Index (discussed below in further detail) is based on the relative value of the aggregate Market Value (as
defined below) of the common stocks of 500 companies (the “S&P Component Stocks”) as of a particular time as compared
to the aggregate average Market Value of the common stocks of 500 similar companies during the base period of the years
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
1941 through 1943. Historically, the “Market Value”
of any S&P Component Stock was calculated as the product of the market price per share and the number of the then
-
outstanding
shares of such S&P Component Stock. As discussed below, on March 21, 2005, Standard & Poors (“S&P”) began
to use a new methodology to calculate the Market Value of the S&P Component Stocks and on September 16, 2005, S&P completed
its transition to the new calculation methodology. The 500 companies are not the 500 largest companies listed on the New York Stock
Exchange (the “NYSE”) and not all 500 companies are listed on such exchange. S&P Dow Jones chooses companies for
inclusion in the S&P 500
®
Index with the objective of achieving a distribution by broad industry groupings that
approximates the distribution of these groupings in the common stock population of the U.S. equities market. S&P Dow Jones
may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500
®
Index
to achieve the objectives stated above. Relevant criteria employed by S&P Dow Jones include the viability of the particular
company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company’s
common stock is widely-held and the Market Value and trading activity of the common stock of that company.
On March 21, 2005, S&P began to calculate the S&P 500
®
Index based on a half float-adjusted formula, and on September 16, 2005, the S&P 500
®
Index became fully float
-
adjusted.
S&P’s criteria for selecting stocks for the S&P 500
®
Index was not changed by the shift to float adjustment.
However, the adjustment affects each company’s weight in the S&P 500
®
Index (i.e., its Market Value).
Under float adjustment, the share counts used in calculating
the S&P 500
®
Index reflect only those shares that are available to investors, not all of a company’s outstanding
shares. S&P Dow Jones defines three groups of shareholders whose holdings are subject to float adjustment:
|
§
|
holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged
buyout groups;
|
|
§
|
holdings by government entities, including all levels of government in the United States or foreign countries; and
|
|
§
|
holdings by current or former officers and directors of the company, founders of the company or family trusts of officers,
directors or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment
vehicles associated with and controlled by the company.
|
However, treasury stock, stock options, equity participation
units, warrants, preferred stock, convertible stock and rights are not part of the float. In cases where holdings in a group exceed
10% of the outstanding shares of a company, the holdings of that group will be excluded from the float-adjusted count of shares
to be used in the S&P 500
®
Index calculation. Mutual funds, investment advisory firms, pension funds or foundations
not associated with the company and investment funds in insurance companies, shares that trust beneficiaries may buy or sell without
difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding,
shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are also
part of the float. Shares held in a trust to allow investors in countries outside the country of domicile (e.g., ADRs, CDIs and
Canadian exchangeable shares) are normally part of the float.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares, defined as the total shares outstanding less shares held in one or more of
the three groups listed above where the group holdings exceed 10% of the outstanding shares, by the total shares outstanding. (On
March 21, 2005, the S&P 500
®
Index moved halfway to float adjustment, meaning that if a stock has an IWF of
0.80, the IWF used to calculate the S&P 500
®
Index between March 21, 2005 and September 16, 2005 was 0.90. On
September 16, 2005, S&P began to calculate the S&P 500
®
Index on a fully float-adjusted basis, meaning that
if a stock has an IWF of 0.80, the IWF used to calculate the S&P 500
®
Index on and after September 16, 2005
is 0.80.) The float-adjusted Index is calculated by dividing the sum of the IWF multiplied by both the price and the total shares
outstanding for each stock by the Index Divisor. For companies with multiple classes of stock, S&P Dow Jones calculates the
weighted average IWF for each stock using the proportion of the total company market capitalization of each share class as weights.
As of the date of this pricing supplement, the S&P 500
®
Index is calculated using a base-weighted aggregate methodology: the level of the S&P 500
®
Index reflects the
total Market Value of all 500 S&P Component Stocks relative to the S&P 500
®
Index’s base period of
1941–43 (the “Base Period”).
An indexed number is used to represent the results of this calculation
in order to make the value easier to work with and track over time.
The actual total Market Value of the S&P Component Stocks
during the Base Period has been set equal to an indexed value of 10. This is often indicated by the notation 1941–43=10.
In practice, the daily calculation of the S&P 500
®
Index is computed by dividing the total Market Value of the
S&P Component Stocks by a number called the Index Divisor. By itself, the Index Divisor is an arbitrary number. However, in
the context of the calculation of the S&P 500
®
Index, it is the only link to the original Base Period level
of the S&P 500
®
Index. The Index Divisor keeps the S&P 500
®
Index comparable over time and
is the manipulation point for all adjustments to the S&P 500
®
Index (“Index Maintenance”).
Index Maintenance includes monitoring and completing the adjustments
for company additions and deletions, share changes, stock splits, stock dividends and stock price adjustments due to company restructurings
or spin-offs.
To prevent the level of the S&P 500
®
Index
from changing due to corporate actions, all corporate actions which affect the total Market Value of the S&P 500
®
Index require an Index Divisor adjustment. By adjusting the Index Divisor for the change in total Market Value,
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
|
|
the level of the S&P 500
®
Index remains constant.
This helps maintain the level of the S&P 500
®
Index as an accurate barometer of stock market performance and
ensures that the movement of the S&P 500
®
Index does not reflect the corporate actions of individual companies
in the S&P 500
®
Index. All Index Divisor adjustments are made after the close of trading and after the calculation
of the closing level of the S&P 500
®
Index. Some corporate actions, such as stock splits and stock dividends,
require simple changes in the common shares outstanding and the stock prices of the companies in the S&P 500
®
Index and do not require Index Divisor adjustments.
The table below summarizes the types of Index Maintenance adjustments
and indicates whether or not an Index Divisor adjustment is required.
Type of Corporate Action
|
Comment
|
Divisor Adjustment Required
|
Company Added/Deleted
|
Net change in market value determines the divisor adjustment
|
Yes
|
Change in Shares Outstanding
|
Any combination of secondary issuance, share repurchase or buy back – share counts revised to reflect change.
|
Yes
|
Stock Split
|
Share count revised to reflect new count. Divisor adjustment is not required since the share count and price changes are offsetting.
|
No
|
Spin-off
|
If the spun-off company is not being added to the index, the divisor adjustment reflects the decline in index market value (i.e., the value of the spun-off unit).
|
Yes
|
Spin-off
|
Spun-off company added to the index, no company removed from the index.
|
No
|
Spin-off
|
Spun-off company added to the index, another company removed to keep number of names fixed. Divisor adjustment reflects deletion.
|
Yes
|
Change in Investable Weight Factor (IWF)
|
Increasing (decreasing) the IWF increases (decreases) the total market value of the index. The divisor change reflects the change in market value caused by the change to an IWF.
|
Yes
|
Special Dividends
|
When a company pays a special dividend the share price is assumed to drop by the amount of the dividend; the divisor adjustment reflects this drop in index market value.
|
Yes
|
Rights Offering
|
Each shareholder receives the right to buy a proportional number of additional shares at a set (often discounted) price. The calculation assumes that the offering is fully subscribed. Divisor adjustment reflects increase in market cap measured as the shares issued multiplied by the price paid.
|
Yes
|
Stock splits and stock dividends do not affect the Index Divisor,
because following a split or dividend, both the stock price and number of shares outstanding are adjusted by S&P Dow Jones
so that there is no change in the Market Value of the S&P Component Stock. All stock split and dividend adjustments are made
after the close of trading on the day before the ex-date.
Each of the corporate events exemplified in the table requiring
an adjustment to the Index Divisor has the effect of altering the Market Value of the S&P Component Stock and consequently
of altering the aggregate Market Value of the S&P Component Stocks (the “Post-
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
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Event Aggregate Market Value”). In order that the level
of the S&P 500
®
Index (the “Pre-Event Index Value”) not be affected by the altered Market Value
(whether increase or decrease) of the affected Component Stock, a new Index Divisor (“New Divisor”) is derived as follows:
Post-Event Aggregate Market Value
New Divisor
|
= Pre-Event Index Value
|
New Divisor =
|
Post-Event Aggregate Market Value
Pre-Event Index Value
|
A large part of the Index Maintenance process involves tracking
the changes in the number of shares outstanding of each of the S&P 500
®
Index companies. Four times a year,
on a Friday close to the end of each calendar quarter, the share totals of companies in the S&P 500
®
Index are
updated as required by any changes in the number of shares outstanding. After the totals are updated, the Index Divisor is adjusted
to compensate for the net change in the total Market Value of the S&P 500
®
Index. In addition, any changes over
5% in the current common shares outstanding for the S&P 500
®
Index companies are carefully reviewed on a weekly
basis, and when appropriate, an immediate adjustment is made to the Index Divisor.
As of September 30, 2016, the aggregate market value of the 500
companies included in the S&P 500
®
Index represented approximately 80% of the U.S. equities market. S&P
Dow Jones chooses companies for inclusion in the S&P 500
®
Index with the aim of achieving a distribution by
broad industry groupings that approximates the distribution of these groupings in the common stock composition of the NYSE, which
S&P Dow Jones uses as an assumed model for the composition of the total market. Relevant criteria employed by S&P Dow Jones
include the viability of the particular company, the extent to which that company represents the industry group to which it is
assigned, the extent to which the market price of that company’s common stock is generally responsive to changes in the affairs
of the respective industry and the market value and trading activity of the common stock of that company.
As of September 30, 2016, the 500 companies included in the S&P
500
®
Index were divided into 11 Global Industry Classification Sectors. The Global Industry Classification Sectors
are (with the percentage of companies currently included in such sectors indicated in parentheses): Information Technology (21.2%);
Health Care (14.7%); Financials (12.8%); Consumer Discretionary (12.5%); Consumer Staples (9.9%); Industrials (9.7%); Energy (7.3%);
Utilities (3.3%); Real Estate (3.1%); Materials (2.9%); and Telecommunication Services (2.6%).
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:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”),
any gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or loss if you held
the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the underlying. In that case, all or a portion of any long-term capital
gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent such
gain exceeded the “net underlying long-term capital gain.” Although the matter is unclear, the “net underlying
long-term capital gain” may equal the amount of long-term capital gain you would have realized if on the issue date you had
purchased the underlying with a value equal to the amount you paid to acquire your securities and subsequently sold the underlying
for its fair market value at the time your securities are sold, exchanged or retired (which would reflect the percentage increase,
without regard to the upside participation rate, in the value of the underlying over the term of the securities). Alternatively,
the “net underlying long-term capital gain” could be calculated using an amount of the underlying that reflects the
upside participation rate used to calculate the payment that you will receive on your securities. Any long-term capital gain recharacterized
as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities,
and you would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior
tax years. Due to the lack of governing authority under
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
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Section 1260, our counsel is not able to opine as to whether
or how Section 1260 applies to the securities. You should read the section entitled “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying product supplement
for additional information and consult your tax adviser regarding the potential application of the “constructive ownership”
rule.
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 described above. 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 underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $15.00 for each
$1,000 security sold in this offering. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup
Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, will receive a fixed selling concession, and financial
advisors employed by such affiliated broker-dealers will receive a fixed selling concession, of $15.00 for each $1,000 security
they sell. CGMI will pay the registered representatives of CGMI a fixed selling concession of $15.00 for each $1,000 security they
sell directly to the public.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We 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 price of the underlying shares 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
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
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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 three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling
Restrictions
Hong
Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product 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, 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
|
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(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,
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:
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(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
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Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
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(ii)
|
where no consideration is or will be given for the transfer; or
|
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(iii)
|
where the transfer is by operation of law; or
|
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(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
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(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
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on Shares of the Energy Select Sector SPDR
®
Fund Due October 25, 2018
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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.
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.
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