Autocallable Contingent Coupon Equity
Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck
& Co., Inc. Due April 23, 2024
KEY TERMS
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying shares:
|
Underlying shares
|
Initial share price*
|
Coupon barrier price**
|
Final barrier price***
|
|
Shares of Common Stock of Bristol-Myers Squibb Company
|
$52.93
|
$31.758
|
$31.758
|
|
Shares of Common Stock of Merck & Co., Inc.
|
$62.27
|
$37.362
|
$37.362
|
|
* The closing price of the applicable underlying shares
on the pricing date
** For each of the underlying shares, 60% of the applicable
initial share price
*** For each of the underlying shares, 60% of the applicable
initial share price
|
Aggregate stated principal amount:
|
$3,350,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
April 18, 2017
|
Issue date:
|
April 25, 2017. See “Supplemental Plan of Distribution” for more information.
|
Valuation dates:
|
The 18th day of each January, April, July and October, beginning in July 2017 and ending on April 18, 2024 (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
|
Maturity date:
|
Unless earlier redeemed, April 23, 2024
|
Contingent coupon payment dates:
|
For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
|
Contingent coupon:
|
On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.3125% (9.25% 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.
|
Payment at maturity:
|
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:
$1,000 × the share
performance factor of the worst performing underlying shares 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 less than 60%
of the stated principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent
coupon payment at maturity.
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
(3)
|
Per security:
|
$1,000.00
|
$28.50
|
$971.50
|
Total:
|
$3,350,000.00
|
$95,475.00
|
$3,254,525.00
|
(Key Terms
continued on next page)
(1) On the date of this pricing supplement, the estimated value
of the securities is $909.20 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) CGMI will receive an underwriting fee of up to $30.00 for
each security sold in this offering. 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.
(3) The per security proceeds to Citigroup Global Markets Holdings
Inc. indicated above represent the minimum per security proceeds to Citigroup Global Markets Holdings Inc. for any security, assuming
the maximum per security underwriting fee of $30.00. As noted in footnote (2), the underwriting fee is variable.
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-04-06 dated April 7, 2017
Prospectus Supplement and Prospectus each dated April 7, 2017
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 Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
KEY TERMS (continued)
|
Automatic early redemption:
|
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
|
Potential redemption dates:
|
Each valuation date beginning in October 2017 and ending in January 2024
|
Final share price:
|
For each of the underlying shares, the applicable closing price on the final valuation date
|
Share performance factor:
|
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
|
Worst performing underlying shares:
|
For any valuation date, the underlying shares with the lowest share performance factor on that valuation date
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CHN9 / US17324CHN92
|
Underwriter:
|
CGMI, an affiliate of the issuer, acting as principal
|
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 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 Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a quarterly valuation date and how to calculate the payment at maturity on the securities,
assuming the securities are not automatically redeemed prior to maturity. You should understand that the term of the securities,
and your opportunity to receive the contingent coupon payments on the securities, may be limited to as short as six months if the
securities are automatically redeemed prior to the maturity date. Unless earlier redeemed, during the term of the securities, there
are twenty-eight 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
|
Initial share price
|
Coupon barrier price
|
Final barrier price
|
Shares of common stock of Bristol-Myers Squibb Company
|
$52.93
|
$31.758 (60% of the applicable initial share price)
|
$31.758 (60% of the applicable initial share price)
|
Shares of common stock of Merck & Co., Inc.
|
$62.27
|
$37.362 (60% of the applicable initial share price)
|
$37.362 (60% of the applicable initial share price)
|
Contingent coupon rate:
|
9.25% per annum (2.3125% paid quarterly)
|
Hypothetical Examples of Quarterly 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.
|
Hypothetical closing price of the shares of common stock of Bristol-Myers Squibb Company
|
Hypothetical closing price of the shares of common stock of Merck & Co., Inc.
|
Hypothetical contingent coupon payment per security and any payment upon an automatic early redemption
|
Example 1
|
$63.52
(Share performance factor =
$63.52 / $52.93 = 1.20)
|
$40.48
(Share performance factor =
$40.48 / $62.27 = 0.65)
|
$23.125
|
Example 2
|
$23.82
(Share performance factor =
$23.82 / $52.93 = 0.45)
|
$68.50
(Share performance factor =
$68.50 / $62.27 = 1.10)
|
$0.00
|
Example 3
|
$58.22
(Share performance factor =
$58.22 / $52.93 = 1.10)
|
$74.72
(Share performance factor =
$74.72 / $62.27 = 1.20)
|
$1,023.125 ($1,000 stated principal amount per security
plus
the related contingent coupon payment)
|
Example 1:
On the
hypothetical valuation date, the shares of common stock of Merck & Co., 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 $23.125 per security on the related contingent coupon
payment date and the securities would not be automatically called.
Example 2:
On the
hypothetical valuation date, the shares of common stock of Bristol-Myers Squibb Company 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 their applicable initial share price, and the securities would not be automatically called.
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
their applicable
coupon barrier prices and their 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 $1,023.125.
If the quarterly valuation date were not also a potential redemption date, the securities would not be automatically redeemed on
the related contingent coupon payment date.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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.
|
Hypothetical final share price of the shares of common stock of Bristol-Myers Squibb Company
|
Hypothetical final share price of the shares of common stock of Merck & Co., Inc.
|
Hypothetical payment at maturity per security
|
Example 4
|
$53.46
(Share performance factor =
$53.46 / $52.93 = 1.01)
|
$65.38
(Share performance factor =
$65.38 / $62.27 = 1.05)
|
$1,023.125
|
Example 5
|
$47.64
(Share performance factor =
$47.64 / $52.93 = 0.90)
|
$18.68
(Share performance factor =
$18.68 / $62.27 = 0.30)
|
$300.00
|
Example 6
|
$37.05
(Share performance factor =
$37.05 / $52.93 = 0.70)
|
$0.00
(Share performance factor =
$0.00 / $62.27 = 0.00)
|
$0.00
|
Example 4:
In this
example, the shares of common stock of Bristol-Myers Squibb Company 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 $23.125
per security, but you would not participate in the appreciation of any of the underlying shares.
Example 5:
In this
example, the shares of common stock of Merck & Co., 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 payment per security calculated as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of Merck & Co., Inc. on the final valuation date
= $1,000 × 0.30
= $300
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based
on the performance of the worst performing underlying 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 will not receive any quarterly contingent coupon payment.
Example 6:
In this
example, the shares of common stock of Merck & Co., Inc. are the worst performing underlying shares and their final share price
is less than the applicable final barrier price. Accordingly, at maturity, you would receive a payment per security calculated
as follows:
Payment at maturity =
$1,000 × share performance factor of the shares of common stock of Merck & Co., Inc. on the final valuation date
= $1,000 × 0.00
= $0
In this scenario, because
the closing price of the worst performing underlying shares on the final valuation date is $0, you would lose your entire investment
in the securities. In addition, because the final share price of the worst performing underlying shares is below the applicable
coupon barrier price, you will not receive any quarterly contingent coupon payment.
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 and,
in addition, you would incur a significant loss on your securities at maturity.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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.
|
▪
|
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, your payment 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 lose 1% of the stated principal amount of the securities for every 1% by which the worst performing
underlying shares have declined from their initial share price, regardless of the performance of the other underlying shares. There
is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
|
▪
|
You will not receive any contingent coupon payment for any quarter in which the closing 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.
|
|
▪
|
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 any 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. 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 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
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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 potential redemption date, beginning in October 2017 and ending in January 2024, the securities will be automatically called
if the closing price of the worst performing underlying shares on that potential redemption 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 six 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 worst performing underlying shares, but no upside exposure to either of the
underlying shares.
You will not participate in any appreciation in the price 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, 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
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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
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,
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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.
|
▪
|
You will have no rights and will not receive dividends with respect to the underlying shares.
You
should understand that you will not receive any dividend payments under the securities. In addition, i
f any change to the
underlying shares is proposed, such as an amendment to either underlying share issuer’s organizational documents, you will
not have the right to vote on such change. Any such change may adversely affect the market price of the applicable underlying shares.
|
|
▪
|
Even if either 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 prices 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 the underlying shares would not.
|
|
▪
|
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 an original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of any of the underlying shares.
For example, if an 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.
|
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.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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 Bristol-Myers Squibb Company
Bristol-Myers Squibb Company is a global biopharmaceutical company
engaged in the discovery, development, licensing, manufacturing, marketing, distribution and sale of biopharmaceutical products.
The common stock of Bristol-Myers Squibb Company is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by Bristol-Myers Squibb Company pursuant to the Exchange Act can be
located by reference to the SEC file number 001-01136 through the SEC’s website at http://www.sec.gov. In addition, information
regarding Bristol-Myers Squibb Company may be obtained from other sources including, but not limited to, press releases, newspaper
articles and other publicly disseminated documents. The common stock of Bristol-Myers Squibb Company trades on the New York Stock
Exchange under the ticker symbol “BMY.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Bristol-Myers Squibb Company or other securities of Bristol-Myers Squibb Company.
We have derived all disclosures contained in this pricing supplement regarding Bristol-Myers Squibb Company 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 Bristol-Myers
Squibb Company.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Bristol-Myers Squibb Company 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 Bristol-Myers Squibb Company.
Historical Information
The graph below shows the closing prices of the shares of common
stock of Bristol-Myers Squibb Company for each day such price was available from January 2, 2008 to April 18, 2017. The table that
follows shows the high and low closing prices of, and dividends paid on, the common stock of Bristol-Myers Squibb Company 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 Bristol-Myers Squibb Company 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 Bristol-Myers
Squibb Company 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 Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
Common Stock
of Bristol-Myers Squibb Company – Historical Closing Prices
January 2, 2008
to April 18, 2017
|
|
* The red line indicates the
coupon barrier price and final barrier price with respect to Bristol-Myers Squibb Company of $31.758, equal to 60.00% of the applicable
closing price on April 18, 2017.
Common Stock of Bristol-Myers Squibb Company
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$27.08
|
$20.46
|
$0.31000
|
Second Quarter
|
$23.35
|
$19.57
|
$0.31000
|
Third Quarter
|
$22.54
|
$19.85
|
$0.31000
|
Fourth Quarter
|
$23.25
|
$17.26
|
$0.31000
|
2009
|
|
|
|
First Quarter
|
$23.88
|
$17.51
|
$0.31000
|
Second Quarter
|
$21.97
|
$19.15
|
$0.31000
|
Third Quarter
|
$22.95
|
$19.37
|
$0.31000
|
Fourth Quarter
|
$25.96
|
$21.77
|
$0.31000
|
2010
|
|
|
|
First Quarter
|
$27.00
|
$23.89
|
$0.32000
|
Second Quarter
|
$26.95
|
$22.44
|
$0.32000
|
Third Quarter
|
$27.93
|
$24.65
|
$0.32000
|
Fourth Quarter
|
$27.51
|
$25.24
|
$0.32000
|
2011
|
|
|
|
First Quarter
|
$27.29
|
$24.97
|
$0.33000
|
Second Quarter
|
$29.33
|
$26.46
|
$0.33000
|
Third Quarter
|
$31.49
|
$26.38
|
$0.33000
|
Fourth Quarter
|
$35.29
|
$30.15
|
$0.33000
|
2012
|
|
|
|
First Quarter
|
$35.01
|
$31.85
|
$0.34000
|
Second Quarter
|
$35.95
|
$32.47
|
$0.34000
|
Third Quarter
|
$36.15
|
$31.57
|
$0.34000
|
Fourth Quarter
|
$34.38
|
$30.81
|
$0.34000
|
2013
|
|
|
|
First Quarter
|
$41.19
|
$32.71
|
$0.35000
|
Second Quarter
|
$47.68
|
$39.68
|
$0.35000
|
Third Quarter
|
$47.53
|
$41.32
|
$0.35000
|
Fourth Quarter
|
$53.84
|
$46.41
|
$0.35000
|
2014
|
|
|
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
First
Quarter
|
$56.61
|
$48.54
|
$0.36000
|
Second Quarter
|
$52.19
|
$46.59
|
$0.36000
|
Third Quarter
|
$51.96
|
$47.86
|
$0.36000
|
Fourth Quarter
|
$61.30
|
$48.92
|
$0.36000
|
2015
|
|
|
|
First Quarter
|
$68.47
|
$58.48
|
$0.37000
|
Second Quarter
|
$69.15
|
$63.00
|
$0.37000
|
Third Quarter
|
$70.06
|
$57.30
|
$0.37000
|
Fourth Quarter
|
$70.71
|
$59.88
|
$0.37000
|
2016
|
|
|
|
First Quarter
|
$68.35
|
$58.87
|
$0.38000
|
Second Quarter
|
$74.29
|
$64.91
|
$0.38000
|
Third Quarter
|
$76.77
|
$53.87
|
$0.38000
|
Fourth Quarter
|
$59.61
|
$49.23
|
$0.38000
|
2017
|
|
|
|
First Quarter
|
$60.13
|
$46.82
|
$0.39000
|
Second Quarter (through April 18, 2017)
|
$54.21
|
$52.83
|
$0.00000
|
The closing price of the common
stock of Bristol-Myers Squibb Company on April 18, 2017 was $52.93.
On March 2, 2017, Bristol-Myers Squibb Company declared a cash
dividend of $0.39000 per share of common stock payable on May 1, 2017. We make no representation as to the amount of dividends,
if any, that may be paid on the common stock of Bristol-Myers Squibb Company 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 Bristol-Myers Squibb
Company.
Information
About Merck & Co., Inc.
Merck & Co., Inc. is a global health care company that delivers
health solutions through its prescription medicines, vaccines, biologic therapies and animal health products. The common stock
of Merck & Co., Inc. is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).
Information provided to or filed with the SEC by Merck & Co., Inc. pursuant to the Exchange Act can be located by reference
to the SEC file number 001-6571 through the SEC’s website at http://www.sec.gov. In addition, information regarding Merck
& Co., 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 Merck & Co., Inc. trades on The New York Stock Exchange under the ticker
symbol “MRK.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the common stock of Merck & Co., Inc. or other securities of Merck & Co., Inc. We have derived
all disclosures contained in this pricing supplement regarding Merck & Co., 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 Merck & Co., Inc.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. Merck & Co., 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 Merck & Co., Inc.
Historical Information
The graph below shows the closing prices of the shares of common
stock of Merck & Co., Inc. for each day such price was available from January 2, 2008 to April 18, 2017. The table that follows
shows the high and low closing prices of, and dividends paid on, the common stock of Merck & Co., 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 Merck & Co., 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 Merck & Co., 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 Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
Common Stock
of Merck & Co., Inc. – Historical Closing Prices
January 2, 2008
to April 18, 2017
|
|
* The red line indicates the
coupon barrier price and final barrier price with respect to Merck & Co., Inc. of $37.362, equal to 60.00% of the applicable
closing price on April 18, 2017.
Common Stock of Merck & Co., Inc.
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$60.55
|
$37.95
|
$0.38000
|
Second Quarter
|
$41.71
|
$34.68
|
$0.38000
|
Third Quarter
|
$38.45
|
$30.34
|
$0.38000
|
Fourth Quarter
|
$32.09
|
$23.56
|
$0.38000
|
2009
|
|
|
|
First Quarter
|
$31.00
|
$20.99
|
$0.38000
|
Second Quarter
|
$27.96
|
$22.97
|
$0.38000
|
Third Quarter
|
$32.95
|
$26.45
|
$0.38000
|
Fourth Quarter
|
$38.00
|
$30.67
|
$0.38000
|
2010
|
|
|
|
First Quarter
|
$41.03
|
$36.20
|
$0.38000
|
Second Quarter
|
$37.71
|
$31.82
|
$0.38000
|
Third Quarter
|
$37.34
|
$34.22
|
$0.38000
|
Fourth Quarter
|
$37.42
|
$34.10
|
$0.38000
|
2011
|
|
|
|
First Quarter
|
$37.35
|
$31.08
|
$0.38000
|
Second Quarter
|
$37.58
|
$33.07
|
$0.38000
|
Third Quarter
|
$36.31
|
$29.81
|
$0.38000
|
Fourth Quarter
|
$37.90
|
$31.35
|
$0.38000
|
2012
|
|
|
|
First Quarter
|
$39.26
|
$37.31
|
$0.42000
|
Second Quarter
|
$41.75
|
$37.18
|
$0.42000
|
Third Quarter
|
$45.23
|
$41.21
|
$0.42000
|
Fourth Quarter
|
$47.96
|
$40.64
|
$0.42000
|
2013
|
|
|
|
First Quarter
|
$45.04
|
$40.85
|
$0.43000
|
Second Quarter
|
$49.44
|
$44.35
|
$0.43000
|
Third Quarter
|
$48.58
|
$46.32
|
$0.43000
|
Fourth Quarter
|
$50.18
|
$45.09
|
$0.43000
|
2014
|
|
|
|
First Quarter
|
$57.47
|
$49.49
|
$0.44000
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
Second Quarter
|
$59.62
|
$54.83
|
$0.44000
|
Third Quarter
|
$61.18
|
$55.64
|
$0.44000
|
Fourth Quarter
|
$61.88
|
$53.43
|
$0.44000
|
2015
|
|
|
|
First Quarter
|
$63.03
|
$56.06
|
$0.45000
|
Second Quarter
|
$60.89
|
$56.73
|
$0.45000
|
Third Quarter
|
$59.71
|
$48.42
|
$0.45000
|
Fourth Quarter
|
$55.53
|
$49.37
|
$0.45000
|
2016
|
|
|
|
First Quarter
|
$53.32
|
$48.59
|
$0.46000
|
Second Quarter
|
$57.68
|
$53.60
|
$0.46000
|
Third Quarter
|
$63.86
|
$57.65
|
$0.46000
|
Fourth Quarter
|
$64.96
|
$58.43
|
$0.46000
|
2017
|
|
|
|
First Quarter
|
$66.58
|
$59.92
|
$0.47000
|
Second Quarter (through April 18, 2017
|
$63.67
|
$62.27
|
$0.47000
|
The closing price of the common stock of Merck & Co., Inc.
on April 18, 2017 was $62.27.
We make no representation as to the amount of dividends, if any,
that may be paid on the common stock of Merck & Co., 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 Merck & Co., 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.
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:
|
·
|
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.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. 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 long-term capital gain or loss if you held the security for more than one year.
|
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
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
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 up to $30.00
for each $1,000 security sold in this offering. CGMI will pay selected dealers not affiliated with CGMI a selling concession of
up to $30.00 for each $1,000 security they sell. 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.
Secondary market sales of securities typically settle three business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than three business
days after the pricing date, investors who wish to sell the securities at any time prior to the third business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing 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 four months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
upward adjustment from the price or value that would otherwise
be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its
affiliates over the term of the securities. The amount of this temporary upward adjustment will decline to zero on a straight-line
basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any
time. See “Summary Risk Factors—The securities will not be listed on any securities exchange and you may not be able
to sell them prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or invitation
for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore
other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person
under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures
Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant
to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures Act. Where the securities
are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person which is:
|
(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of
the Securities
In the opinion of Davis Polk
& Wardwell LLP, as special products counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this
pricing supplement have been executed and issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant
to the indenture, and delivered against payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid
and binding obligations of Citigroup Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with
their respective terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally,
concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance,
fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the
date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel expresses no opinion
as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis
Polk & Wardwell LLP has assumed the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General
Counsel and Secretary of Citigroup Global Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets
of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated April 7, 2017, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on April 7,
2017, that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement
of, the trustee and that none of the terms of the securities nor the issuance and delivery of the securities and the related guarantee,
nor the compliance by Citigroup Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related
guarantee respectively, will result in a violation of any provision of any instrument or agreement then binding upon Citigroup
Global Markets Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having
jurisdiction over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L.
Flood, Secretary and General Counsel of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this
pricing supplement have been duly established under the indenture and the Board of Directors (or a duly authorized committee thereof)
of Citigroup Global Markets Holdings Inc. has duly authorized the issuance and sale of such securities and such authorization has
not been modified or rescinded; (ii) Citigroup Global Markets Holdings Inc. is validly existing and in good standing under the
laws of the State of New York; (iii) the indenture has been duly authorized, executed and delivered by Citigroup Global Markets
Holdings Inc.; and (iv) the execution and delivery of such indenture and of the securities offered by this pricing supplement by
Citigroup Global Markets Holdings Inc., and the performance by Citigroup Global Markets Holdings Inc. of its obligations thereunder,
are within its corporate powers and do not contravene its certificate of incorporation or bylaws or other constitutive documents.
This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal
attorneys with whom he has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to his satisfaction, of such corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed
appropriate as a basis for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity
of all natural persons, the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.),
the authenticity of all documents submitted to him or such persons as originals, the conformity to original documents of all documents
submitted to him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi,
Assistant General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof)
of Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not been modified
or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and
the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the General Corporation Law of the State of Delaware.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the Common Stock of Bristol-Myers Squibb Company and the Common Stock of Merck & Co., Inc. Due April 23, 2024
|
|
Barbara Politi, or other internal
attorneys with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified
to her satisfaction, of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a
basis for the opinions expressed above. In such examination, she or such persons has assumed the legal capacity of all natural
persons, the genuineness of all signatures (other than those of officers of Citigroup Inc.), the authenticity of all documents
submitted to her or such persons as originals, the conformity to original documents of all documents submitted to her or such persons
as certified or photostatic copies and the authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
©
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.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024