Citigroup Global Markets Holdings Inc.
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March
20, 2017
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2017-USNCH0443
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-214120 and 333-214120-03
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Autocallable Contingent Coupon Equity Linked
Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc.
Due March 23, 2018
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▪
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The securities offered by this pricing supplement are
unsecured senior debt securities issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. The securities
offer the potential for contingent quarterly coupon payments at an annualized rate that, if all are paid, would produce a yield
that is generally higher than the yield on our conventional debt securities of the same maturity. In exchange for this higher
potential yield, you must be willing to accept the risks that (i) your actual yield may be lower than the yield on our conventional
debt securities of the same maturity because you may not receive one or more, or any, contingent coupon payments; (ii) your actual
yield may be negative because, at maturity, what you receive may be worth significantly less than the stated principal amount
of your securities and possibly worth nothing; and (iii) the securities may be automatically redeemed prior to maturity. Each
of these risks will depend on the performance of the
worst performing
of the shares of common stock of Harley-Davidson,
Inc. and the shares of class B common stock of NIKE, Inc. (each, the “underlying shares”), as described below. You
will be subject to risks associated with each of the underlying shares and will be negatively affected by adverse movements in
either of the underlying shares regardless of the performance of the other underlying shares. Although you will be exposed to
downside risk with respect to the worst performing underlying shares, you will not participate in any appreciation of the underlying
shares or receive any dividends paid on the underlying shares.
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▪
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Investors in the securities must be willing to accept
(i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any payments due under the securities
if we and Citigroup Inc. default on our obligations.
All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Underlying shares
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Initial share price*
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Coupon barrier price**
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Final barrier price***
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Equity ratio****
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Shares of Common Stock of Harley-Davidson, Inc.
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$61.85
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$46.388
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$46.388
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16.16815
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Shares of Class B Common Stock of NIKE, Inc.
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$58.75
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$44.063
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$44.063
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17.02128
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* The closing price of the applicable underlying shares on the
pricing date
** For each of the underlying shares, 75% of the applicable initial
share price
*** For each of the underlying shares, 75% of the applicable
initial share price
**** The stated principal amount
divided by
the
applicable initial share price, subject to anti-dilution adjustments for certain corporate events
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Aggregate stated principal amount:
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$1,203,000
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Stated principal amount:
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$1,000 per security
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Pricing date:
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March 20, 2017
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Issue date:
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March 23, 2017
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Valuation dates:
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June 20, 2017, September 20, 2017, December 20, 2017 and March 20, 2018 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day for either of the underlying shares or if certain market disruption events occur with respect to either of the underlying shares
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Maturity date:
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Unless earlier redeemed, March 23, 2018
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Contingent coupon payment dates:
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For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
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Contingent coupon:
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On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.50% (approximately 10.00% per annum) of the stated principal amount of the securities
if and only if
the closing price of the worst performing underlying shares on the related valuation date is greater than or equal to the applicable coupon barrier price.
If the closing price of the worst performing underlying shares on any quarterly valuation date is less than the applicable coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
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Payment at maturity:
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If the securities are not automatically redeemed prior to maturity,
you will be entitled to receive at maturity for each security you then hold:
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
greater than or equal to
the applicable final barrier price: $1,000
plus
the contingent coupon payment due at maturity
▪
If
the final share price of the worst performing underlying shares on the final valuation date is
less than
the applicable
final barrier price:
a fixed number of the worst performing
underlying shares equal to the applicable equity ratio (or, if we exercise our cash election right, the cash value of those shares
based on their closing price on the final valuation date)
If the final share price of the worst performing underlying
shares on the final valuation date is less than the applicable final barrier price, you will receive a number of the worst performing
underlying shares (or, in our sole discretion, cash) worth less than 75% of the stated principal amount of your securities, and
possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity.
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Underwriting fee and issue price:
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Issue price
(1)(2)
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Underwriting fee
(3)
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Proceeds to issuer
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Per security:
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$1,000.00
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$12.50
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$987.50
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Total:
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$1,203,000.00
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$15,037.50
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$1,187,962.50
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(Key Terms
continued on next page)
(1) On the date of this pricing supplement, the estimated value
of the securities is $948.20 per security, which is less than the issue price. The estimated value of the securities is based on
Citigroup Global Markets Inc.’s (“CGMI”) proprietary pricing models and our internal funding rate. It is not
an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI
or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities”
in this pricing supplement.
(2) The issue price for investors purchasing the securities in
fee-based advisory accounts will be $987.50 per security, assuming no custodial fee is charged by a selected dealer, and up to
$992.50 per security, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution”
in this pricing supplement.
(3) 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-5.
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:
Product Supplement No. EA-04-05 dated February 27, 2017
Prospectus and Prospectus Supplement each dated October 14, 2016
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
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KEY TERMS (continued)
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Automatic early redemption:
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If, on any potential redemption date, the closing price of the worst
performing underlying shares is greater than or equal to the applicable initial share price, each security you then hold will
be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment
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Potential redemption dates:
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Each quarterly valuation date beginning in June 2017 and ending in December 2017
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Final share price:
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For each of the underlying shares, the applicable closing price on the final valuation date
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Share performance factor:
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For each of the underlying shares on any valuation date, the applicable closing price on
that valuation date
divided by
the applicable initial share price
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Worst performing underlying shares:
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For any valuation date, the underlying shares with the lowest share performance factor on
that valuation date
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17324XBN9 / US17324XBN93
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Underwriter:
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CGMI, an affiliate of the issuer, acting as principal
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Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect whether you receive a contingent coupon payment on a contingent coupon
payment date as well as your payment at maturity or, in the case of a delisting of the underlying shares, could give us the right
to call the securities prior to maturity for an amount that may be less than the stated principal amount. These events, including
market disruption events and other events affecting the underlying shares, and their consequences are described in the accompanying
product supplement in the sections “Description of the Securities—Certain Additional Terms for Securities Linked to
Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution
and Reorganization Adjustments” and “—Delisting of Company Shares,” 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.
Postponement of a valuation date.
If a scheduled valuation
date is not a scheduled trading day for either of the underlying shares or if a market disruption event occurs with respect to
either of the underlying shares on a scheduled valuation date, that valuation date will be subject to postponement as described
in the accompanying product supplement in the section “Description of the Securities—Certain Additional Terms for Securities
Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date.”
If a scheduled valuation date is postponed, the closing price of each of the underlying shares in respect of that valuation date
will be determined based on (i) for any underlying shares for which the originally scheduled valuation date is a scheduled trading
day and as to which a market disruption event does not occur on the originally scheduled valuation date, the closing price of such
underlying shares on the originally scheduled valuation date and (ii) for any other underlying shares, the closing price of such
underlying shares on the valuation date as postponed (or, if earlier, the first scheduled trading day for such underlying shares
following the originally scheduled valuation date on which a market disruption event did not occur with respect to such underlying
shares).
Dilution and Reorganization Adjustments.
With respect
to the underlying shares, the initial share price, the coupon barrier price and the final barrier price are each a “Relevant
Price” for purposes of the section “Description of the Securities—Certain Additional Terms for Securities Linked
to Company Shares or ETF Shares—Dilution and Reorganization Adjustments” in the accompanying product supplement. Accordingly,
the initial share price, the coupon barrier price and the final barrier price applicable to each of the underlying shares, as well
as the equity ratio applicable to each of the underlying shares, are each subject to adjustment upon the occurrence of any of the
events described in that section.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid and whether the securities will be automatically redeemed with respect to a quarterly valuation date and, if
the securities are not automatically redeemed prior to maturity, how to determine what you will receive at maturity. You should
understand that the term of the securities, and your opportunity to receive the contingent coupon payments on the securities, may
be limited to as short as three months if the securities are automatically redeemed prior to the maturity date. Unless earlier
redeemed, during the term of the securities, there are three valuation dates. For ease of analysis, figures in the table below
may have been rounded.
The examples below are based on the following values in order
to illustrate how the securities work:
Underlying
shares
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Initial
share price
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Coupon
barrier price
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Final
barrier price
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Equity
ratio
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Shares
of common stock of Harley-Davidson, Inc.
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$61.85
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$46.388
(75% of the applicable initial share price)
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$46.388
(75% of the applicable initial share price)
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16.16815
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Shares
of class B common stock of NIKE, Inc.
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$58.75
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$44.063
(75% of the applicable initial share price)
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$46.388
(75% of the applicable initial share price)
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17.02128
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Contingent
coupon rate:
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10.00%
per annum, paid quarterly
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Hypothetical Examples of Contingent Coupon
Payments and any Payment upon Automatic Early Redemption with Respect to a Quarterly Valuation Date that is also a Potential Redemption
Date
Set forth below are three hypothetical examples of the calculation of the contingent coupon payment with respect to a hypothetical
quarterly valuation date that is also a potential redemption date.
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Hypothetical
closing price of the shares of common stock of Harley-Davidson, Inc.
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Hypothetical
closing price of the shares of class B common stock of NIKE, Inc.
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Hypothetical
contingent coupon payment per security and any payment upon an automatic early redemption
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Example
1
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$74.22
(Share
performance factor =
$74.22 / $61.85 = 1.20)
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$49.94
(Share
performance factor =
$49.94 / $58.75 = 0.85)
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$25.00
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Example
2
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$27.83
(Share
performance factor =
$27.83 / $61.85 = 0.45)
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$70.50
(Share
performance factor =
$70.50 / $58.75 = 1.20)
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$0.00
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Example
3
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$68.04
(Share
performance factor =
$68.04 / $61.85 = 1.10)
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$61.69
(Share
performance factor =
$61.69 / $58.75 = 1.05)
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$1,025.00
($1,000 stated principal amount per security
plus
the related contingent coupon payment)
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Example 1:
On the
hypothetical valuation date, the shares of class B common stock of NIKE, Inc. have the lowest share performance factor and, therefore,
are the worst performing underlying shares. In this scenario, the closing price of the worst performing underlying shares is
greater
than
the applicable coupon barrier price but
less than
the applicable initial share price. As a result, investors in
the securities would receive the contingent coupon payment of $25.00 per security on the related contingent coupon payment date
and the securities would not be automatically redeemed.
Example 2:
On the
hypothetical valuation date, the shares of common stock of Harley-Davidson, Inc. have the lowest share performance factor and,
therefore, are the worst performing underlying shares. In this scenario, the closing price of the worst performing underlying shares
is
less than
the applicable coupon barrier price and
less than
the applicable initial share price. As a result, investors
would not receive any payment on the related contingent coupon payment date, even though the other underlying shares have appreciated
from the applicable initial share price, and the securities would not be automatically redeemed.
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if, on that valuation date, the closing price of
the worst performing underlying shares is less than the applicable coupon barrier price.
Example 3:
On the
hypothetical valuation date, the hypothetical closing prices of both of the underlying shares are
greater than
the applicable
coupon barrier prices and the applicable initial share prices. In this scenario, the closing price of the worst performing underlying
shares is
greater than
the applicable initial share price and the securities would be automatically redeemed on the related
contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment, or $1,025.00.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
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Hypothetical Examples of the Payment at
Maturity on the Securities
The following examples illustrate the hypothetical payment at maturity on the securities as determined based on the applicable
final share prices of the underlying shares on the final valuation date, assuming the securities have not been earlier automatically
redeemed.
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Hypothetical
final share price of the shares of common stock of Harley-Davidson, Inc.
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Hypothetical
final share price of the shares of class B common stock of NIKE, Inc.
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Hypothetical
value of what you receive at maturity per security
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Example
4
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$62.47
(Share
performance factor =
$62.47 / $61.85 = 1.01)
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$64.63
(Share
performance factor =
$64.63 / $58.75 = 1.10)
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$1,025.00
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Example
5
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$55.67
(Share
performance factor =
$55.67 / $61.85 = 0.90)
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$17.63
(Share
performance factor =
$17.63 / $58.75 = 0.30)
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$300.00
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Example
6
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$0.00
(Share
performance factor =
$0.00 / $61.85 = 0.00)
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$35.25
(Share
performance factor =
$35.25 / $58.75 = 0.60)
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$0.00
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Example 4:
In this
example, the shares of common stock of Harley-Davidson, Inc. are the worst performing underlying shares. In this scenario, the
final share price of the worst performing underlying shares is greater than the applicable final barrier price. Accordingly, at
maturity, you would receive the stated principal amount of the securities
plus
the contingent coupon payment of $25.00 per
security, but you would not participate in the appreciation of either of the underlying shares.
Example 5:
In this
example, the shares of class B common stock of NIKE, Inc. are the worst performing underlying shares. In this scenario, the final
share price of the worst performing underlying shares is less than the applicable final barrier price. Accordingly, at maturity,
you would receive a fixed number of worst performing underlying shares equal to the applicable equity ratio (or, at our option,
the cash value thereof) per security.
In this example, the value
of a number of the worst performing underlying shares equal to the applicable equity ratio, based on their closing price on the
final valuation date, would be $300.00. Therefore, in this scenario, the value of the worst performing underlying shares (or, in
our discretion, cash) you receive at maturity would be significantly less than the stated principal amount of your securities.
You would incur a loss based on the performance of the worst performing underlying shares, even though the final share price of
the other underlying shares is greater than the applicable final barrier price. In addition, because the final share price of the
worst performing underlying shares is below the applicable coupon barrier price, you would not receive any contingent coupon payment
at maturity.
If the final share price
of the worst performing underlying shares on the final valuation date is less than the applicable final barrier price, we will
have the option to deliver to you on the maturity date either a number of the worst performing underlying shares equal to the applicable
equity ratio or the cash value of those shares based on their closing price on the final valuation date. The value of the worst
performing underlying shares on the maturity date may be different than their value on the final valuation date.
Example 6:
In this
example, the shares of common stock of Harley-Davidson, Inc. are the worst performing underlying shares and are worthless on the
final valuation date. Accordingly, you would lose your entire investment in the securities at maturity. In addition, because the
final share price of the worst performing underlying shares is below the applicable coupon barrier price, you would not receive
any contingent coupon payment at maturity.
If the closing price of
the worst performing underlying shares were less than the applicable coupon barrier price on each valuation date and less than
the final barrier price on the final valuation date, you would not have received any quarterly contingent coupon payments over
the term of the securities and, at maturity, would receive significantly less than the stated principal amount of your securities
(and possibly nothing).
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
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Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with each of the underlying 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.
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▪
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You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed
prior to maturity, what you receive at maturity will depend on the performance of the worst performing underlying shares on the
final valuation date. If the closing price of the worst performing underlying shares on the final valuation date is less than the
applicable final barrier price, you will not receive the stated principal amount of your securities at maturity and, instead, will
receive a number of the worst performing underlying shares (or, in our sole discretion, cash based on the value thereof) that will
be worth less than 75.00% of the stated principal amount and may be worth nothing. There is no minimum payment at maturity on the
securities, and you may lose up to all of your investment.
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▪
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You will not receive any contingent coupon payment for any quarter in which the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on the related valuation date.
A contingent coupon payment will be
made on a contingent coupon payment date if and only if the closing price of the worst performing underlying shares on the related
valuation date is greater than or equal to the applicable coupon barrier price. If the closing price of the worst performing underlying
shares is less than the applicable coupon barrier price on any quarterly valuation date, you will not receive any contingent coupon
payment on the related contingent coupon payment date. If the closing price of the worst performing underlying shares is below
the applicable coupon barrier price on each valuation date, you will not receive any contingent coupon payments over the term of
the securities.
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▪
|
The securities are subject to the risks of both of the underlying shares and will be negatively affected if either of the
underlying shares perform poorly, even if the other underlying shares perform well.
You are subject to risks associated with
both of the underlying shares. If either of the underlying shares perform poorly, you will be negatively affected, even if the
other underlying shares perform well. The securities are not linked to a basket composed of the underlying shares, where the better
performance of one could ameliorate the poor performance of the other. Instead, you are subject to the full risks of whichever
of the underlying shares are the worst performing underlying shares.
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying shares.
The return on the securities
depends solely on the performance of the worst performing underlying shares, and you will not benefit in any way from the performance
of the better performing underlying shares. The securities may underperform a similar investment in both of the underlying shares
or a similar alternative investment linked to a basket composed of the underlying shares, since in either such case the performance
of the better performing underlying shares would be blended with the performance of the worst performing underlying shares, resulting
in a better return than the return of the worst performing underlying shares.
|
|
▪
|
You will be subject to risks relating to the relationship between the underlying shares.
It is preferable from your
perspective for the underlying shares to be correlated with each other, in the sense that they tend to increase or decrease at
similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlying shares will not
exhibit this relationship. The less correlated the underlying shares, the more likely it is that either one of the underlying shares
will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the
underlying shares to perform poorly; the performance of the underlying shares that are not the worst performing underlying shares
is not relevant to your return on the securities. It is impossible to predict what the relationship between the underlying shares
will be over the term of the securities.
|
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that what you receive at maturity may be worth significantly less than the stated principal amount
of your securities at maturity and may be worth nothing. The volatility of and the correlation between the underlying shares are
important factors affecting these risks. Greater expected volatility of and lower expected correlation between the underlying shares
as of the pricing date may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as
of the pricing date that the closing price of the worst performing underlying shares will be less than the applicable coupon barrier
price
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
on
one or more valuation dates, such that you will not receive one or more, or any, contingent coupon payments during the term of
the securities, and that the closing price of the worst performing underlying shares will be less than the applicable final barrier
price on the final valuation date, such that you will not be repaid the stated principal amount of your securities at maturity.
|
▪
|
You may not be adequately compensated for assuming the downside risk of the worst performing underlying shares.
The
potential contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst
performing underlying shares, as well as all the other risks of the securities. That compensation is effectively “at risk”
and may, therefore, be less than you currently anticipate. First, the actual yield you realize on the securities could be lower
than you anticipate because the coupon is “contingent” and you may not receive a contingent coupon payment on one or
more, or any, of the contingent coupon payment dates. Second, the contingent coupon payments are the compensation you receive not
only for the downside risk of the worst performing underlying shares, but also for all of the other risks of the securities, including
the risk that the securities may be automatically redeemed prior to maturity, interest rate risk and our and Citigroup Inc.’s
credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments
may turn out to be inadequate to compensate you for all the risks of the securities, including the downside risk of the worst performing
underlying shares.
|
|
▪
|
The securities may be automatically called prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any valuation date beginning approximately three months after issuance and prior to the final valuation date, the securities
will be automatically called if the closing price of the worst performing underlying shares on that valuation date is greater than
or equal to the applicable initial share price. Thus, the term of the securities may be limited to as short as three months. If
the securities are called prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may
not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk.
|
|
▪
|
The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares.
You
will not participate in any appreciation in the prices of the underlying shares over the term of the securities. Consequently,
your return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less
than the return on the underlying shares over the term of the securities. In addition, you will not receive any dividends or other
distributions or any other rights with respect to the underlying shares.
|
|
▪
|
The performance of the securities will depend on the closing prices of the underlying shares solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying shares.
Whether the contingent
coupon will be paid for any given quarter and whether the securities will be automatically redeemed prior to maturity will depend
on the closing prices of the underlying shares solely on the applicable valuation dates, regardless of the closing prices of the
underlying shares on other days during the term of the securities. If the securities are not automatically redeemed, what you receive
at maturity will depend solely on the closing price of the worst performing underlying shares on the final valuation date, and
not on any other day during the term of the securities. Because the performance of the securities depends on the closing prices
of the underlying shares on a limited number of dates, the securities will be particularly sensitive to volatility in the closing
prices of the underlying shares. You should understand that each of the underlying shares has historically been highly volatile.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any amounts
owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, 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,
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
it
may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation between the underlying
shares, the dividend yields on the underlying shares and interest rates. CGMI’s views on these inputs may differ from your
or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not the same as the coupon
that is payable on the securities.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
▪
|
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 correlation between the underlying shares, dividend yields on the underlying shares, 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 prices 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 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.
|
|
▪
|
Our offering of the securities is not a recommendation of either 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 either of 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 in instruments related to the underlying shares and may publish research or express
opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other of our affiliates’
activities may affect the prices of the underlying shares in a way that has a negative impact on your interests as a holder of
the securities.
|
|
▪
|
The prices 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 and other financial instruments related to the underlying shares and may adjust such positions
during the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the
underlying shares 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 prices 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 any underlying share issuer, including
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
extending
loans to, making equity investments in or providing advisory services to those issuers. In the course of this business, we or
our affiliates may acquire non-public information about the underlying share 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 that issuer that
are available to them without regard to your interests.
|
▪
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You will have no rights and will not receive dividends with respect to the underlying shares unless and until you receive
underlying shares at maturity.
If any change to the underlying shares is proposed, such as an amendment to any underlying share
issuer’s organizational documents, you will not have the right to vote on such change, but you will be subject to such change
in the event you receive the applicable underlying shares at maturity. Any such change may adversely affect the market price of
the applicable underlying shares.
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|
▪
|
Even if any 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 either of the underlying
shares unless the amount of the dividend per share, together with any other dividends paid in the same fiscal quarter, exceeds
the dividend paid per share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the applicable
shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the applicable underlying shares
by the amount of the dividend per share. If the applicable underlying share issuer pays any dividend for which an adjustment is
not made under the terms of the securities, holders of the securities may be adversely affected. See “Description of the
Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of either 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, partial tender offers or additional public offerings of the underlying shares. 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 either of the underlying shares would not.
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|
▪
|
If either of the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be
less than the stated principal amount.
If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Delisting of Company
Shares” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated
principal amount of the securities.
|
|
▪
|
The securities may become linked to shares of an issuer other than any original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of either of the underlying shares.
For example, if any underlying share issuer
enters into a merger agreement that provides for holders of the applicable underlying shares to receive stock of another entity,
the stock of such other entity will become the applicable underlying shares for all purposes of the securities upon consummation
of the merger. Additionally, if the applicable underlying shares are delisted and we do not exercise our call right, the calculation
agent may, in its sole discretion, select shares of another issuer to be the applicable underlying shares. See “Description
of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization
Adjustments” and “—Delisting of Company Shares” 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, corporate events with respect to either of the underlying share issuers
that may require a dilution adjustment or the delisting of the applicable underlying shares, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect what you receive at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the
securities might be materially and adversely affected. Moreover, as described in the accompanying product supplement under “United
States Federal Tax Considerations,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the
notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
recognized by U.S. investors, possibly with retroactive effect. You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement
and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser
regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
Non-U.S. investors should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
In addition, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
the securities should not be subject to withholding under Section 871(m). However, the IRS could challenge this conclusion.
We will not be required to pay any additional amounts
with respect to amounts withheld.
Information
About Harley-Davidson, Inc.
Harley-Davidson, Inc. operates in two reportable segments: the
Motorcycles and Related Products segment and the Financial Services segment. The Motorcycles and Related Products segment designs,
manufactures and sells at wholesale on-road Harley-Davidson motorcycles as well as motorcycle parts, accessories, general merchandise
and related services. The Financial Services segment provides wholesale and retail financing and insurance and insurance-related
programs primarily to Harley-Davidson dealers and their retail customers. The common stock of Harley-Davidson, Inc. is registered
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the
SEC by Harley-Davidson, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-09183 through
the SEC’s website at http://www.sec.gov. In addition, information regarding Harley-Davidson, Inc. may be obtained from other
sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. The common
stock of Harley-Davidson, Inc. trades on the New York Stock Exchange under the ticker symbol “HOG.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Harley-Davidson, Inc. or other securities of Harley-Davidson, Inc. We have derived
all disclosures contained in this pricing supplement regarding Harley-Davidson, Inc. 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 Harley-Davidson, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Harley-Davidson, Inc. 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 common stock of Harley-Davidson, Inc.
Historical Information
The graph below shows the closing prices of the common stock
of Harley-Davidson, Inc. for each day such price was available from January 3, 2012 to March 20, 2017. The table that follows shows
the high and low closing prices of, and dividends paid on, the common stock of Harley-Davidson, Inc. for each quarter in that same
period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. If certain
corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs or mergers,
then the closing prices of the shares of common stock of Harley-Davidson, Inc. shown below for the period prior to the occurrence
of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in
the period shown below. You should not take the historical prices of the common stock of Harley-Davidson, Inc. as an indication
of future performance.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
Common Stock
of Harley-Davidson, Inc. – Historical Closing Prices
January 3, 2012
to March 20, 2017
|
|
* The red line indicates the
coupon barrier price and final barrier price with respect to Harley-Davidson, Inc. of $46.388, equal to 75.00% of the applicable
closing price on March 20, 2017.
Common Stock of Harley-Davidson, Inc.
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$50.48
|
$39.33
|
$0.15500
|
Second Quarter
|
$53.49
|
$44.69
|
$0.15500
|
Third Quarter
|
$47.09
|
$41.18
|
$0.00000
|
Fourth Quarter
|
$49.39
|
$40.79
|
$0.31000
|
2013
|
|
|
|
First Quarter
|
$55.41
|
$48.69
|
$0.21000
|
Second Quarter
|
$59.48
|
$49.95
|
$0.21000
|
Third Quarter
|
$64.79
|
$53.99
|
$0.21000
|
Fourth Quarter
|
$69.36
|
$62.94
|
$0.21000
|
2014
|
|
|
|
First Quarter
|
$69.85
|
$61.23
|
$0.27500
|
Second Quarter
|
$73.94
|
$65.22
|
$0.27500
|
Third Quarter
|
$70.33
|
$58.20
|
$0.27500
|
Fourth Quarter
|
$70.15
|
$55.48
|
$0.27500
|
2015
|
|
|
|
First Quarter
|
$66.13
|
$58.80
|
$0.31000
|
Second Quarter
|
$62.59
|
$53.39
|
$0.31000
|
Third Quarter
|
$60.41
|
$52.75
|
$0.31000
|
Fourth Quarter
|
$56.05
|
$45.12
|
$0.31000
|
2016
|
|
|
|
First Quarter
|
$51.33
|
$37.49
|
$0.35000
|
Second Quarter
|
$51.66
|
$42.39
|
$0.35000
|
Third Quarter
|
$55.15
|
$47.49
|
$0.35000
|
Fourth Quarter
|
$62.07
|
$49.70
|
$0.35000
|
2017
|
|
|
|
First Quarter (through March 20, 2017)
|
$62.94
|
$56.25
|
$0.36500
|
The closing price of the common
stock of Harley-Davidson, Inc. on March 20, 2017 was $61.85.
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of Harley-Davidson, Inc. 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 common stock of Harley-Davidson, Inc.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
Information
About NIKE, Inc.
NIKE, Inc. engages in the design, development and worldwide marketing
and selling of athletic footwear, apparel, equipment, accessories and services. The class B common stock of NIKE, Inc. is registered
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the
SEC by NIKE, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-10635 through the SEC’s
website at http://www.sec.gov. In addition, information regarding NIKE, Inc. may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other publicly disseminated documents. The class B common stock of NIKE,
Inc. trades on the New York Stock Exchange under the ticker symbol “NKE.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the class B common stock of NIKE, Inc. or other securities of NIKE, Inc. We have derived all disclosures
contained in this pricing supplement regarding NIKE, Inc. 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 NIKE, Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. NIKE, Inc. 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 class B common stock of NIKE, Inc.
Historical Information
The graph below shows the closing prices of the class B common
stock of NIKE, Inc. for each day such price was available from January 3, 2012 to March 20, 2017. The table that follows shows
the high and low closing prices of, and dividends paid on, the class B common stock of NIKE, Inc. for each quarter in that same
period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. If certain
corporate transactions occurred during the historical period shown below, including, but not limited to, spin-offs or mergers,
then the closing prices of the class B common stock of NIKE, Inc. shown below for the period prior to the occurrence of any such
transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first day in the period shown
below. You should not take the historical prices of the class B common stock of NIKE, Inc. as an indication of future performance.
Class B Common
Stock of NIKE, Inc. – Historical Closing Prices
January 3, 2012
to March 20, 2017
|
|
* The red line indicates the
coupon barrier price and final barrier price with respect to NIKE, Inc. of $44.063, equal to 75.00% of the applicable closing price
on March 20, 2017.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
|
|
Class B Common Stock of NIKE, Inc.
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$28.03
|
$24.20
|
$0.09000
|
Second Quarter
|
$28.60
|
$21.95
|
$0.09000
|
Third Quarter
|
$25.21
|
$22.21
|
$0.09000
|
Fourth Quarter
|
$26.40
|
$22.65
|
$0.19500
|
2013
|
|
|
|
First Quarter
|
$29.78
|
$25.92
|
$0.00000
|
Second Quarter
|
$32.96
|
$29.13
|
$0.10500
|
Third Quarter
|
$36.82
|
$31.17
|
$0.10500
|
Fourth Quarter
|
$39.93
|
$35.14
|
$0.10500
|
2014
|
|
|
|
First Quarter
|
$39.82
|
$35.26
|
$0.12000
|
Second Quarter
|
$38.84
|
$35.42
|
$0.12000
|
Third Quarter
|
$44.75
|
$38.18
|
$0.12000
|
Fourth Quarter
|
$49.67
|
$42.55
|
$0.12000
|
2015
|
|
|
|
First Quarter
|
$50.99
|
$45.59
|
$0.14000
|
Second Quarter
|
$54.86
|
$49.28
|
$0.14000
|
Third Quarter
|
$62.50
|
$51.77
|
$0.14000
|
Fourth Quarter
|
$67.17
|
$60.93
|
$0.14000
|
2016
|
|
|
|
First Quarter
|
$64.90
|
$55.04
|
$0.16000
|
Second Quarter
|
$61.59
|
$51.89
|
$0.16000
|
Third Quarter
|
$60.22
|
$52.16
|
$0.16000
|
Fourth Quarter
|
$52.67
|
$49.62
|
$0.16000
|
2017
|
|
|
|
First Quarter (through March 20, 2017)
|
$58.75
|
$51.98
|
$0.18000
|
The closing price of the class B common stock of NIKE, Inc. on
March 20, 2017 was $58.75.
On February 16, 2017, NIKE, Inc. declared a cash dividend of
$0.18000 per share payable on April 3, 2017. We make no representation as to the amount of dividends, if any, that may be paid
on the shares of class B common stock of NIKE, Inc. 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 shares of class B common stock of NIKE, Inc.
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our tax counsel, Davis Polk & Wardwell
LLP, which is based on current market conditions, this treatment of the securities is reasonable under current law; however, our
tax counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld,
and that alternative treatments are possible. This discussion does not address the U.S. federal tax consequences of the ownership
or disposition of the underlying shares that you may receive at maturity. You should consult your tax adviser regarding the particular
U.S. federal tax consequences of the ownership and disposition of the underlying shares.
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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Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
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·
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss
equal to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does
not include any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated
as a coupon payment. Such gain or loss should be short-term capital gain or loss. If, upon retirement of the securities, you receive
underlying shares, you should not recognize gain or loss with respect to the underlying shares
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Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
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received,
other than any fractional underlying share for which you receive cash. Your basis in any underlying shares received, including
any fractional underlying share deemed received, should be equal to your tax basis in the securities.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In addition, the U.S.
Treasury Department and the IRS have released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts.” While it is not clear whether the securities would be viewed as similar to the typical prepaid forward
contract described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential consequences of the IRS notice.
Withholding Tax on Non-U.S. Holders.
Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with
certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility
of obtaining a refund of any amounts withheld and the certification requirement described above.
Moreover, as discussed under “United States Federal Tax
Considerations – Tax Consequences to Non-U.S. Holders – Possible Withholding Under Section 871(m) of the Code”
in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S.
Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one
or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified
Security”). However, the regulations exempt financial instruments issued in 2017 that do not have a “delta” of
one. Based on the terms of the securities and representations provided by us, our tax counsel is of the opinion that the securities
should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are
not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m)
is complex and its application may depend on your particular circumstances. For example, if you enter into other transactions relating
to an underlier, you could be subject to withholding tax or income tax liability under Section 871(m) even if the securities are
not Specified Securities subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential
application of Section 871(m) to the securities.
We will not be required to pay any additional
amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $12.50 for each
$1,000 security sold in this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). From this
underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $12.50 for each $1,000
security they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers not affiliated with CGMI,
which may include dealers acting as custodians, a variable selling concession of up to $5.00 for each $1,000 security they sell
to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup
Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, will receive a fixed selling concession, and financial
advisers employed by such affiliated broker-dealers will receive a fixed selling concession, of $12.50 for each $1,000 security
they sell. CGMI will pay the registered representatives of CGMI a fixed selling concession of $12.50 for each $1,000 security they
sell directly to the public. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
Citigroup Global Markets Holdings Inc.
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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 prices of either 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 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
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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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
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(iii)
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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
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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
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Harley-Davidson, Inc. and the Class B Common Stock of NIKE, Inc. Due March 23, 2018
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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)
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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
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(b)
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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:
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(i)
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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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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (shares and Debentures) Regulations 2005
of Singapore.
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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 October 14, 2016, which has
been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on October 14, 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,
Citigroup Global Markets Holdings Inc.
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are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant
General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of
Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not been modified
or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and
the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys
with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction,
of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions
expressed above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness
of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such
persons as originals, the conformity to original documents of all documents submitted to her or such persons as certified or photostatic
copies and the authenticity of the originals of such copies.
Additional
Terms of the Securities
The section “Description of Debt Securities—Covenants—Limitations
on Mergers and Sales of Assets” in the accompanying prospectus shall be amended to read in its entirety as follows:
The indenture provides that neither Citigroup Global Markets
Holdings nor Citigroup will merge or consolidate with another entity or sell other than for cash or lease all or substantially
all its assets to another entity, except, in the case of Citigroup, if such lease or sale is to one or more of its Subsidiaries,
unless:
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either (1) the Citi entity is the continuing entity, or (2) the successor entity, if other than the Citi entity, is a U.S.
corporation, partnership or trust and expressly assumes by supplemental indenture the obligations of the Citi entity evidenced
by the securities issued pursuant to the indenture; and
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·
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immediately after the transaction, there would not be any default in the performance of any covenant or condition of the indenture
(
Sections 5.05 and 16.05
).
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Other than the restrictions described above, the indenture does
not contain any covenants or provisions that would protect holders of the debt securities in the event of a highly leveraged transaction.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
2017 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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