|
Citigroup Global Markets Holdings Inc.
|
June 23, 2017
Medium-Term Senior Notes,
Series N
Pricing Supplement No.
2017—USNCH0575
Filed Pursuant to Rule
424(b)(2)
Registration Statement
Nos. 333-216372 and 333-216372-01
|
Callable Contingent Coupon Equity Linked Securities
Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging
Markets ETF Due June 30, 2020
|
|
▪
|
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 semi-annual coupon payments at an annualized
rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of
the same maturity. In exchange for this higher potential yield, you must be willing to accept the risks that (i) your actual yield
may be lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or
any, contingent coupon payments and (ii) your actual yield may be negative because you may receive significantly less than the
stated principal amount of your securities at maturity. These risks will depend on the performance of the
worst performing
of the EURO STOXX 50
®
Index and the shares of the iShares
®
MSCI Emerging Markets ETF (each, an “underlying
asset”), as described below. You will be subject to risks associated with both underlying assets and will be negatively affected
by adverse movements in either regardless of the performance of the other. Although you will be exposed to downside risk with respect
to the worst performing underlying asset, you will not participate in any appreciation of either underlying asset or receive any
dividends paid on the stocks included in or held by, as applicable, either underlying asset.
|
|
|
▪
|
We have the right to call the securities for mandatory redemption on any potential redemption date beginning approximately
six months after issuance.
|
|
|
▪
|
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations.
All payments
on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
|
|
KEY TERMS
|
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
|
Underlying assets:
|
Underlying assets
|
Starting value*
|
Coupon barrier value**
|
Final barrier value***
|
|
|
EURO STOXX 50
®
Index
|
3,543.68
|
2,480.576
|
2,480.576
|
|
|
Shares of the iShares
®
MSCI Emerging Markets ETF
|
$41.50
|
$29.05
|
$29.05
|
|
|
* The closing level or closing price of the applicable underlying
asset on the pricing date
** For each underlying asset, 70% of its starting value
*** For each underlying asset, 70% of its starting value
|
|
Aggregate stated principal amount:
|
$813,00
|
|
Stated principal amount:
|
$1,000 per security
|
|
Pricing date:
|
June 23, 2017
|
|
Issue date:
|
June 30, 2017. See “Supplemental Plan of Distribution” in this pricing supplement.
|
|
Valuation dates:
|
December 27, 2017, June 25, 2018, December 27, 2018, June 24, 2019, December 23, 2019 and June 23, 2020 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur with respect to either underlying asset
|
|
Maturity date:
|
Unless earlier redeemed by us, June 30, 2020
|
|
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 semi-annual contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 3.575% (approximately 7.15% per annum) of the stated principal amount of the securities
if and only if
the closing value of the worst performing underlying asset on the related valuation date is greater than or equal to the applicable coupon barrier value.
If the closing value of the worst performing underlying asset on any semi-annual valuation date is less than the applicable coupon barrier value, you will not receive any contingent coupon payment on the related contingent coupon payment date.
|
|
Payment at maturity:
|
Unless earlier redeemed by us, you will be entitled to receive
at maturity for each security you then hold:
▪ If the closing
value of the worst performing underlying asset on the final valuation date is
greater than or equal to
the applicable final
barrier value: $1,000
plus
the contingent coupon payment due at maturity
▪ If the closing
value of the worst performing underlying asset on the final valuation date is
less than
the applicable final barrier value:
$1,000 × the underlying asset performance factor
of the worst performing underlying asset on the final valuation date
If the closing value of the worst performing underlying
asset on the final valuation date is less than the applicable final barrier value, you will receive less than 70% of the stated
principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment
at maturity.
|
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
|
Per security:
|
$1,000.00
|
$20.00
|
$980.00
|
|
Total:
|
$813,000.00
|
$16,260.00
|
$796,740.00
|
(Key Terms
continued on next page)
(1) On the date of this pricing
supplement, the estimated value of the securities is $964.00 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 $20.00 for each $1,000 security sold in this offering. The total underwriting fees and proceeds to issuer in the
table above give effect to the actual underwriting fee. Selected dealers not affiliated with CGMI and their financial advisors
will collectively receive from CGMI a selling concession of up to $20.00 for each $1,000 security they sell. Selected dealers
through whom we distribute securities may enter into arrangements with other institutions with respect to the distribution of
the securities, and those institutions may share in the commissions, discounts or other compensation received by our selected
dealers, may be compensated separately and may also receive commissions from purchasers for whom they may act as agents. In addition,
CGMI will pay selected dealers a structuring fee of $4.00 for each security sold in this offering. We may also engage other firms
to provide marketing or promotional services in connection with the distribution of the securities. CGMI will pay these service
providers a fee of up to $2.50 per security in consideration for providing marketing, education, structuring or referral services
with respect to financial advisors or selected dealers. 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, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks
below:
Product Supplement No. EA-04-06 dated April 7, 201
7
Underlying
Supplement No. 6 dated April 7, 201
7
Prospectus and Prospectus Supplement 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.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
KEY TERMS (continued)
|
|
Redemption:
|
We may call the securities, in whole and not in part, for mandatory redemption
on any potential redemption date beginning January 4, 2018 upon not less than five business days’ notice. Following
an exercise of our call right, you will receive for each security you then hold an amount in cash equal to $1,000
plus
the related contingent coupon payment, if any.
|
|
Potential redemption dates:
|
The contingent coupon payment dates related to each valuation date, beginning in December
2017 and ending in December 2019
|
|
Closing value:
|
For each underlying asset on any valuation date, its closing level or closing price, as
applicable, on that date
|
|
Underlying asset performance factor:
|
For each underlying asset on any valuation date, the closing value of that underlying asset
on that valuation date
divided by
its starting value
|
|
Worst performing underlying asset:
|
For any valuation date, the underlying asset with the lowest underlying asset performance
factor determined on that valuation date
|
|
Listing:
|
The securities will not be listed on any securities exchange
|
|
CUSIP / ISIN:
|
17324CJY3 / US17324CJY30
|
|
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. These events, including market disruption events and other events affecting the
underlying assets, and their consequences are described in the accompanying product supplement in the sections “Description
of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “—Discontinuance or Material Modification of an Underlying Index”
or “—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,
Liquidation or Termination of an ETF,” and not in this pricing supplement. The accompanying underlying supplement contains
important disclosures regarding each underlying asset that are not repeated in this pricing supplement. It is important that you
read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Relevant price.
With respect to the iShares
®
MSCI Emerging Markets ETF, its starting value, its coupon barrier value and its final barrier value are each a “Relevant
Price” for purposes of the section “Description of the Securities—Certain Additional Terms for Securities Linked
to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in the accompanying product supplement. Accordingly,
the starting value, the coupon barrier value and the final barrier value with respect to the iShares
®
MSCI Emerging
Markets ETF are each subject to adjustment upon the occurrence of any of the events described in that section.
Postponement of a valuation date.
If any valuation date
is not a scheduled trading day for either of the underlying assets or if a market disruption event occurs with respect to either
of the underlying assets on any valuation date, that valuation date will be subject to postponement as described in the accompanying
product supplement in the sections “Description of the Securities—Certain Additional Terms for Securities Linked to
an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” or “—Certain
Additional Terms for Securities Linked to Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement
of a Valuation Date.” If any valuation date is postponed, the closing value of each of the underlying assets in respect of
that valuation date will be determined based on (i) for any underlying asset 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 value of such underlying asset on the originally scheduled valuation date and (ii) for any other underlying asset,
the closing value of such underlying asset on the valuation date as postponed (or, if earlier, the first scheduled trading day
for such underlying asset following the originally scheduled valuation date on which a market disruption event did not occur with
respect to such underlying asset).
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
Hypothetical
Examples
The examples below illustrate how to determine whether a contingent
coupon will be paid with respect to a semi-annual valuation date and how to calculate the payment at maturity on the securities,
assuming the securities are not redeemed prior to maturity. You should understand that the term of the securities, and your opportunity
to receive the contingent coupon payments on the securities, may be limited to as short as six months if the securities are redeemed
prior to the maturity date, which is not reflected in the examples below. For ease of analysis, figures in the table below may
have been rounded.
The examples below are based on the following values in order
to illustrate how the securities work:
|
Underlying
asset
|
Starting
value
|
Coupon
barrier value
|
Final
barrier value
|
|
EURO
STOXX 50
®
Index
|
3,543.68
|
2,480.576
(70% of the applicable starting value)
|
2,480.576
(70% of the applicable starting value)
|
|
Shares
of the iShares
®
MSCI Emerging Markets ETF
|
$41.50
|
$29.05
(70% of the applicable starting value)
|
$29.05
(70% of the applicable starting value)
|
|
Contingent
coupon rate:
|
7.15%
per annum (approximately 3.575% paid semi-annually)
|
Hypothetical Examples of Contingent Coupon
Payments with Respect to a Semi-Annual Valuation Date
The following examples illustrate the hypothetical contingent coupon payments with respect to four hypothetical semi-annual valuation
dates.
|
|
Hypothetical
closing value of the EURO STOXX 50
®
Index
|
Hypothetical
closing value of the shares of the iShares
®
MSCI Emerging Markets ETF
|
Hypothetical
contingent coupon payment per security
|
|
Example
1: Hypothetical Valuation Date 1
|
3,189.31
(underlying asset performance
factor =
3,189.31 / 3,543.68 = 0.90)
|
$45.65
(underlying
asset performance factor =
$45.65 / $41.50 = 1.10)
|
$35.75
|
|
Example
2: Hypothetical Valuation Date 2
|
4,252.42
(underlying asset performance
factor =
4,252.42 / 3,543.68 = 1.20)
|
$20.75
(underlying
asset performance factor =
$20.75 / $41.50 = 0.50)
|
$0.00
|
|
Example
3: Hypothetical Valuation Date 3
|
2,126.21
(underlying asset performance
factor =
2,126.21 / 3,543.68 = 0.60)
|
$43.58
(underlying
asset performance factor =
$43.58 / $41.50 = 1.05)
|
$0.00
|
|
Example
4: Hypothetical Valuation Date 4
|
2,126.21
(underlying
asset performance factor =
2,126.21 / 3,543.68 = 0.60)
|
$22.83
(underlying
asset performance factor =
$22.83 / $41.50 = 0.55)
|
$0.00
|
Example 1:
In this
example, the EURO STOXX 50
®
Index has the lowest underlying asset performance factor and, therefore, is the worst
performing underlying asset. In this scenario, the closing value of the worst performing underlying asset is
greater than
the applicable coupon barrier value and investors in the securities would receive the contingent coupon payment of $35.75 per security
on the related contingent coupon payment date.
Example 2:
In this
example, the shares of the iShares
®
MSCI Emerging Markets ETF have the lowest underlying asset performance factor
and, therefore, are the worst performing underlying asset. In this scenario, the closing value of the worst performing underlying
asset is
less than
the applicable coupon barrier value and investors would not receive any payment on the related contingent
coupon payment date, even though the EURO STOXX 50
®
Index has appreciated from its starting value.
Example 3:
In this
example, the EURO STOXX 50
®
Index has the lowest underlying asset performance factor and, therefore, is the worst
performing underlying asset. In this scenario, the closing value of the worst performing underlying asset is
less than
the
applicable coupon barrier value and investors would not receive any payment on the related contingent coupon payment date, even
though the shares of the iShares
®
MSCI Emerging Markets ETF have appreciated from their starting value.
Example 4:
In this
example, the shares of the iShares
®
MSCI Emerging Markets ETF have the lowest underlying asset performance factor
and, therefore, are the worst performing underlying asset. In this scenario, the closing value of the worst performing underlying
asset is
less than
the applicable coupon barrier value and investors would not receive any payment on the related contingent
coupon payment date. In this example, the closing values of both underlying assets are less than their respective coupon barrier
values.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
Investors in the securities
will not receive a contingent coupon payment with respect to a valuation date if, on that valuation date, the closing value of
the worst performing underlying asset is less than the applicable coupon barrier value, even if the closing value of the other
underlying asset is greater than its coupon barrier value.
Hypothetical Examples of the Payment at
Maturity on the Securities
The following examples illustrate the payment at maturity on the securities as determined by the applicable closing values of the
underlying assets on the final valuation date.
|
|
Hypothetical
closing value of the EURO STOXX 50
®
Index on the final valuation date
|
Hypothetical
closing value of the shares of the iShares
®
MSCI Emerging Markets ETF on the final valuation date
|
Hypothetical
payment at maturity per security
|
|
Example
5
|
3,012.13
(underlying
asset performance factor =
3,012.13 / 3,543.68 = 0.85)
|
$49.80
(underlying
asset performance factor =
$49.80 / $41.50 = 1.20)
|
$1,035.75
|
|
Example
6
|
1,417.47
(underlying
asset performance factor =
1,417.47 / 3,543.68 = 0.40)
|
$33.20
(underlying
asset performance factor =
$33.20 / $41.50 = 0.80)
|
$400.00
|
|
Example7
|
2,480.58
(underlying
asset performance factor =
2,480.58 / 3,543.68 = 0.70)
|
$8.30
(underlying
asset performance factor =
$8.30 / $41.50 = 0.20)
|
$200.00
|
Example 5:
In this
example, the EURO STOXX 50
®
Index is the worst performing underlying asset. In this scenario, the closing value
of the worst performing underlying asset on the final valuation date is greater than the applicable final barrier value. Accordingly,
at maturity, you would receive the stated principal amount of the securities
plus
the contingent coupon payment of $35.75
per security.
Example 6:
In this
example, the EURO STOXX 50
®
Index is the worst performing underlying asset. In this scenario, the closing value
of the worst performing underlying asset on the final valuation date is less than the applicable final barrier value. Accordingly,
at maturity, you would receive a payment per security calculated as follows:
Payment at maturity =
$1,000 × underlying asset performance factor of the EURO STOXX 50
®
Index on the final valuation date
= $1,000 × 0.40
= $400
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based
on the performance of the worst performing underlying asset, even though the closing value of the other underlying asset was greater
than the applicable final barrier value. In addition, because the closing value of the worst performing underlying asset on the
final valuation date is below the applicable coupon barrier value, you will not receive any semi-annual contingent coupon payment.
Example 7:
In this
example, the shares of the iShares
®
MSCI Emerging Markets ETF are the worst performing underlying asset and their
closing value on the final valuation date is less than the applicable final barrier value. Accordingly, at maturity, you would
receive a payment per security calculated as follows:
Payment at maturity =
$1,000 × underlying asset performance factor of the shares of the iShares
®
MSCI Emerging Markets ETF on the
final valuation date
= $1,000 × 0.20
= $200
In this scenario, because
the closing value of the worst performing underlying asset on the final valuation date is less than the applicable final barrier
value, you would lose a significant portion of your investment in the securities. In addition, because the closing value of the
worst performing underlying asset on the final valuation date is below the applicable coupon barrier value, you will not receive
any semi-annual contingent coupon payment at maturity. If the closing value of the worst performing underlying asset were less
than the applicable coupon barrier value on each valuation date and less than the final barrier value on the final valuation date,
you would not have received any semi-annual contingent coupon payments and, in addition, would incur a significant loss on your
securities at maturity.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
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 assets. Accordingly, the
securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should
consult your own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If we do not redeem the securities prior to maturity,
your payment at maturity will depend on the performance of the worst performing underlying asset on the final valuation date. If
the closing value of the worst performing underlying asset on the final valuation date is less than the applicable final barrier
value, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying
asset has declined from its starting value, regardless of the performance of the other underlying asset. 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 semi-annual period in which the closing value of the worst performing
underlying asset is less than the applicable coupon barrier value on the related valuation date.
A contingent coupon payment
will be made on a contingent coupon payment date if and only if the closing value of the worst performing underlying asset on the
related valuation date is greater than or equal to the applicable coupon barrier value. If the closing value of the worst performing
underlying asset is less than the applicable coupon barrier value on any semi-annual valuation date, you will not receive any contingent
coupon payment on the related contingent coupon payment date. If the closing value of the worst performing underlying asset is
below the applicable coupon barrier value 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 assets and will be negatively affected if either of the
underlying assets performs poorly, even if the other underlying asset performs well.
The securities are not linked to a basket
composed of the underlying assets, 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 assets is the worst performing underlying asset.
|
|
|
▪
|
You will not benefit in any way from the performance of the better performing underlying asset.
The return on the securities
depends solely on the performance of the worst performing underlying asset, and you will not benefit in any way from the performance
of the better performing underlying asset. The securities may underperform a similar investment in both of the underlying assets
or a similar alternative investment linked to a basket composed of the underlying assets, since in either such case the performance
of the better performing underlying asset would be blended with the performance of the worst performing underlying asset, resulting
in a better return than the return of the worst performing underlying asset.
|
|
|
▪
|
You will be subject to risks relating to the relationship between the underlying assets.
It is preferable from your
perspective for the underlying assets 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 assets will not
exhibit this relationship. The less correlated the underlying assets, the more likely it is that one or the other of the underlying
assets 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 assets to perform poorly; the performance of the underlying asset that is not the worst performing underlying
asset is not relevant to your return on the securities. It is impossible to predict what the relationship between the underlying
assets will be over the term of the securities.
The EURO STOXX 50
®
Index represents large capitalization stocks
in the Eurozone and the iShares
®
MSCI Emerging Markets ETF represents international emerging markets. Accordingly,
the underlying assets represent markets that differ in significant ways and, therefore, may not be correlated with each other.
|
|
|
▪
|
Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that you may receive significantly less than the stated principal amount of your securities at
maturity. The volatility of and the correlation between the underlying assets are important factors affecting these risks. Greater
expected volatility of, and lower expected correlation between, the underlying assets 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 value of
the worst performing underlying asset will be less than the applicable coupon barrier value 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
value of the
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
worst performing underlying asset will be less than
the applicable final barrier value 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 asset.
The potential
contingent coupon payments on the securities are the compensation you receive for assuming the downside risk of the worst performing
underlying asset, 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 asset, but also for all of the other risks of the securities, including
the risk that the securities may be redeemed prior to maturity, interest rate risk and our and Citigroup Inc.’s credit risk.
If those other risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments may turn out
to be inadequate to compensate you for all the risks of the securities, including the downside risk of the worst performing underlying
asset.
|
|
|
▪
|
We may redeem the securities at our option, which will limit your ability to receive the contingent coupon payments.
Beginning
approximately six months after issuance, we may redeem the securities on any potential redemption date upon not less than five
business days’ notice. In the event that we redeem the securities, you will receive the stated principal amount of your securities
and the related contingent coupon payment, if any. Thus, the term of the securities may be limited to as short as six months. If
we redeem the securities prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not
be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. If we redeem the
securities prior to maturity, it is likely to be at a time when the underlying assets are performing in a manner that would otherwise
have been favorable to you. By contrast, if the underlying assets are performing unfavorably from your perspective, we are less
likely to redeem the securities. If we redeem the securities, we will do so at a time that is advantageous to us and without regard
to your interests.
|
|
|
▪
|
The securities offer downside exposure to the underlying assets, but no upside exposure to the underlying assets.
You
will not participate in any appreciation in the value of the underlying assets 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 assets over the term of the securities. In addition, you will not receive any dividends or other distributions
or have any other rights with respect to the underlying assets or the stocks included in or held by, as applicable, either underlying
asset.
|
|
|
▪
|
The performance of the securities will depend on the closing values of the underlying assets solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying assets.
Whether the contingent
coupon will be paid for any given semi-annual period will depend on the closing values of the underlying assets solely on the applicable
semi-annual valuation dates, regardless of the closing values of the underlying assets on other days during the term of the securities.
If we do not redeem the securities, what you receive at maturity will depend solely on the closing value of the worst performing
underlying asset 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 values of the underlying assets on a limited number of dates, the securities will be particularly
sensitive to volatility in the closing values of the underlying assets. You should understand that each of the underlying assets
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 concession, structuring fee
and other fees 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.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
|
▪
|
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 assets, dividend yields on the stocks included in or held by, as applicable, the underlying assets 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 value and volatility of the underlying assets and a number of other factors,
including the price and volatility of the stocks included in or held by, as applicable, the underlying assets, the correlation
between the underlying assets, dividend yields on the stocks included in or held by, as applicable, the underlying assets, interest
rates generally, changes in the exchange rate between the U.S. dollar and the euro, the correlation between that exchange rate
and the level of the EURO STOXX 50
®
Index, changes in the exchange rate between the U.S. dollar and each of the
currencies in which the stocks that are held by the iShares
®
MSCI Emerging Markets ETF trade, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the values
of the underlying assets 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.
|
|
|
▪
|
The EURO STOXX 50
®
Index is subject to risks associated with foreign equity securities.
Investments in
securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries,
including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies
that are subject to the reporting requirements of the SEC, and foreign companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S.
reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange
laws.
|
|
|
▪
|
The performance of the EURO STOXX 50
®
Index will not be adjusted for changes in the exchange rate between
the euro and the U.S. dollar.
The EURO STOXX 50
®
Index is composed of stocks traded in euro, the value of which
may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the EURO STOXX 50
®
Index and the value of
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
your securities will not be adjusted for exchange
rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, the performance of the
EURO STOXX 50
®
Index as measured for purposes of the securities will be less than it would have been if it offered
exposure to that appreciation in addition to the change in the prices of the underlying stocks.
|
|
▪
|
Investing in the securities exposes investors to risks associated with emerging markets equity securities.
The stocks
composing the iShares
®
MSCI Emerging Markets ETF and that are generally tracked by the iShares
®
MSCI
Emerging Markets ETF have been issued by companies in various emerging markets. Investments in securities linked to the value of
foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility
in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there
is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements
different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal
policies and currency exchange laws. Countries with emerging markets may have relatively unstable governments, present the risks
of nationalization of businesses, have restrictions on foreign ownership and prohibitions on the repatriation of assets and have
less protection of property rights than more developed countries. The economies of countries with emerging markets may be based
on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer from extreme and volatile
debt burdens or inflation rates. Local securities markets may trade a small number of securities and be unable to respond effectively
to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the
economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
|
|
|
▪
|
Fluctuations in exchange rates will affect the price of the iShares
®
MSCI Emerging Markets ETF.
Because
the iShares
®
MSCI Emerging Markets ETF invests in stocks that are traded in non-U.S. currencies, while the net asset
value of the iShares
®
MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, holders of the
securities will be exposed to currency exchange rate risk with respect to each of the currencies in which those stocks trade. If
the U.S. dollar generally strengthens against the currencies in which those stocks trade, the price of shares of the iShares
®
MSCI Emerging Markets ETF will be adversely affected for that reason alone and the payment at maturity on the securities may be
reduced.
|
Exchange rate movements for a particular currency
are volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the demand
for, those currencies, as well as government policy, intervention or actions, but are also influenced significantly from time
to time by political or economic developments, and by macroeconomic factors and speculative actions related to each applicable
region. An investor’s net exposure will depend on the extent to which the currencies of the applicable countries strengthen
or weaken against the U.S. dollar and the relative weight of each currency. Of particular importance to potential currency exchange
risk are: existing and expected rates of inflation; existing and expected interest rate levels;
the balance of payments; and the extent of governmental surpluses or deficits in the applicable countries and the United States.
All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the applicable
countries and the United States and other countries important to international trade and finance.
|
|
▪
|
Changes that affect the underlying
assets may affect the value of your securities.
The sponsor of the EURO STOXX 50
®
Index or of the index underlying the iShares
®
MSCI Emerging Markets
ETF may add, delete or substitute the stocks that constitute those indexes or make other
methodological changes that could affect the levels of those indexes. In addition, the
investment adviser to the iShares
®
MSCI Emerging Markets ETF may change
the manner in which the iShares
®
MSCI Emerging Markets ETF operates or
its investment objectives at any time. We are not affiliated with any such index sponsor
or investment advisor and, accordingly, we have no control over any changes any such
index sponsor or investment adviser may make. Such changes could be made at any time
and could adversely affect the performance of the underlying assets and the value of
and your payment at maturity on the securities.
|
|
|
▪
|
Even
if the issuer of the iShares
®
MSCI Emerging Markets ETF 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 shares of the
iShares
®
MSCI Emerging Markets ETF
unless
the amount of the dividend per share, together with any other dividends paid in the same
quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing price of the shares of the
iShares
®
MSCI Emerging Markets ETF
on
the date of declaration of the dividend. Any dividend will reduce the closing price of
the shares of the
iShares
®
MSCI Emerging Markets ETF
by
the amount of the dividend per share. If the issuer of the
iShares
®
MSCI Emerging Markets ETF
pays
any dividend for which an adjustment is not made under the terms of the securities, holders
of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the
accompanying product supplement.
|
|
|
▪
|
An
adjustment will not be made for all events that may have a dilutive effect on or otherwise
adversely affect the market price of the iShares
®
MSCI Emerging Markets
ETF.
For example, we will not make any adjustment for ordinary dividends or extraordinary
dividends that do not meet the criteria described above. Moreover, the adjustments we
do make may not fully offset the dilutive or adverse effect of the particular event.
Investors in the securities may be adversely affected by such an event in a circumstance
in which a direct holder of shares of the
iShares
®
MSCI Emerging Markets ETF
would
not.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
|
▪
|
The
securities may become linked to shares of an issuer other than the original issuer of
the iShares
®
MSCI Emerging Markets ETF upon the occurrence of a reorganization
event or upon the delisting of the shares of the iShares
®
MSCI Emerging
Markets ETF.
For example, if the
iShares
®
MSCI Emerging Markets ETF
enters
into a merger agreement that provides for holders of the shares of the
iShares
®
MSCI Emerging Markets ETF
to
receive shares of another entity, the shares of such other entity will become the applicable
underlying asset for all purposes of the securities upon consummation of the merger.
Additionally, if the shares of the
iShares
®
MSCI Emerging Markets
ETF
are delisted, or the
iShares
®
MSCI Emerging Markets ETF
is
otherwise terminated, the calculation agent may, in its sole discretion, select shares
of another ETF to be the applicable underlying asset. See “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution
and Reorganization Adjustments” and “—Delisting, Liquidation or Termination
of an Underlying ETF” in the accompanying product supplement.
|
|
|
▪
|
The price and performance
of the
iShares
®
MSCI Emerging Markets ETF
may not completely track the performance of its
underlying index or its net asset value per share.
The iShares
®
MSCI
Emerging Markets ETF does not fully replicate the underlying index that it seeks to track
and may hold securities different from those included in its underlying index. In addition,
the performance of the iShares
®
MSCI Emerging Markets ETF reflect additional
transaction costs and fees that are not included in the calculation of its underlying
index. All of these factors may lead to a lack of correlation between the performance
of the iShares
®
MSCI Emerging Markets ETF and its underlying index. In
addition, corporate actions with respect to the equity securities constituting the iShares
®
MSCI Emerging Markets ETF’s underlying index or held by the iShares
®
MSCI Emerging Markets ETF (such as mergers and spin-offs) may impact the variance
between the performance of the iShares
®
MSCI Emerging Markets ETF and
its underlying index. Finally, because shares of the iShares
®
MSCI Emerging
Markets ETF are traded on NYSE Arca, Inc. and are subject to market supply and investor
demand, the market value of the iShares
®
MSCI Emerging Markets ETF may
differ from its net asset value per share.
|
During periods of market volatility, securities underlying
the iShares
®
MSCI Emerging Markets ETF may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the iShares
®
MSCI Emerging Markets ETF and the liquidity
of the iShares
®
MSCI Emerging Markets ETF may be adversely affected. This kind of market volatility may also disrupt
the ability of market participants to create and redeem shares of the iShares
®
MSCI Emerging Markets ETF. Further,
market volatility may adversely affect, sometimes materially, the price at which market participants are willing to buy and sell
the iShares
®
MSCI Emerging Markets ETF. As a result, under these circumstances, the market value of the iShares
®
MSCI Emerging Markets ETF may vary substantially from its net asset value per share. For all of the foregoing reasons, the performance
of the iShares
®
MSCI Emerging Markets ETF might not correlate with the performance of its underlying index and/or
its net asset value per share, which could materially and adversely affect the value of the securities in the secondary market
and/or reduce your payment at maturity.
|
|
▪
|
Our offering of the securities is not a recommendation of either underlying asset.
The fact that we are offering the
securities does not mean that we believe that investing in an instrument linked to the underlying assets is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions)
in the stocks included in or held by the underlying assets or in instruments related to the underlying assets or the stocks included
in or held by the underlying assets, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlying assets. These and other activities of our affiliates may affect the values of the underlying assets in
a way that has a negative impact on your interests as a holder of the securities.
|
|
|
▪
|
The level or price of an underlying asset may be adversely affected by our or our affiliates’ hedging and other trading
activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions
directly in the stocks included in the EURO STOXX 50
®
Index and in the shares of the iShares
®
MSCI
Emerging Markets ETF and other financial instruments related to the underlying assets or the stocks included in or held by the
underlying assets and may adjust such positions during the term of the securities. Our affiliates also trade the stocks included
in the EURO STOXX 50
®
Index and the shares of the iShares
®
MSCI Emerging Markets ETF and other related
financial instruments on a regular basis (taking long or short positions or both), for their accounts, for other accounts under
their management or to facilitate transactions on behalf of customers. These activities could affect the level or price, as applicable,
of the underlying assets in a way that negatively affects the value of the securities. They could also result in substantial returns
for us or our affiliates while the value of the securities declines.
|
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with the companies included in or held by
the underlying assets or with the iShares
®
MSCI Emerging Markets ETF, including extending loans to, making equity
investments in or providing advisory services to such companies or the iShares
®
MSCI Emerging Markets ETF. In the
course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover, if
any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that are
available to them without regard to your interests.
|
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, the discontinuance of the EURO STOXX 50
®
Index or events
with respect to the iShares
®
MSCI Emerging Markets ETF that may require a dilution adjustment or the delisting of
the iShares
®
MSCI Emerging Markets ETF, CGMI, as calculation agent, will be required to make discretionary judgments
that could significantly affect
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
your payment at maturity.
In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as
a holder of the securities.
|
|
▪
|
The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the
securities might be materially and adversely affected. 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.
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 the EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50
®
Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50
®
Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—The EURO STOXX
50
®
Index—License Agreement” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—The
EURO STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures regarding the EURO
STOXX 50
®
Index.
Historical Information
The closing value of the EURO STOXX 50
®
Index
on June 23, 2017 was 3,543.68.
The graph below shows the closing values of the EURO STOXX 50
®
Index for each day such level was available from January 2, 2008 to June 23, 2017. We obtained the closing values from Bloomberg
L.P., without independent verification. You should not take the historical levels of the EURO STOXX 50
®
Index as
an indication of future performance.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
EURO STOXX 50
®
Index – Historical Closing Values
January 2, 2008 to June
23, 2017
|
|
* The red line indicates the coupon barrier value and final barrier
value with respect to the EURO STOXX 50
®
Index of 2,480.576, equal to 70.00% of the applicable closing value on
June 23, 2017.
Information
About the iShares
®
MSCI Emerging Markets ETF
The iShares
®
MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. However, for purposes of the
securities, the performance of the iShares
®
MSCI Emerging Markets ETF will reflect only its price performance, as
any dividends paid on the shares of the iShares
®
MSCI Emerging Markets ETF will not be factored into a determination
of the closing price of the iShares
®
MSCI Emerging Markets ETF. The MSCI Emerging Markets Index was developed by
MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance in the
global emerging markets.
The iShares
®
MSCI Emerging Markets ETF is an investment
portfolio managed by iShares
®
Inc. BlackRock Fund Advisors is the investment adviser to the iShares
®
MSCI Emerging Markets ETF. iShares
®
, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares
®
MSCI Emerging Markets ETF. Information provided to or filed with the
SEC by iShares
®
, Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940,
as amended, can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website
at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. The iShares
®
MSCI Emerging Markets ETF trades on the
NYSE Arca, Inc. under the ticker symbol “EEM.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—iShares
®
MSCI Emerging Markets ETF” in the accompanying underlying supplement for important
disclosures regarding the iShares
®
MSCI Emerging Markets ETF, including certain risks that are associated with an
investment linked to shares of the iShares
®
MSCI Emerging Markets ETF.
Historical Information
The graph below shows the closing prices of shares of the iShares
®
MSCI Emerging Markets ETF for each day such price was available from January 2, 2008 to June 23, 2017. The table that follows shows
the high and low closing prices of, and dividends paid on, the shares of the iShares
®
MSCI Emerging Markets ETF
for each quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent
verification. You should not take the historical prices of the iShares
®
MSCI Emerging Markets ETF as an indication
of future performance.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
iShares
®
MSCI Emerging Markets ETF – Historical Closing Values
January 2, 2008 to June
23, 2017
|
|
* The red line indicates the coupon barrier value and final barrier
value with respect to the shares of the iShares
®
MSCI Emerging Markets ETF of $29.05, equal to 70.00% of the applicable
closing value on June 23, 2017.
|
iShares
®
MSCI Emerging Markets ETF
|
High
|
Low
|
Dividends
|
|
2008
|
|
|
|
|
First Quarter
|
$50.37
|
$42.17
|
$0.64893
|
|
Second Quarter
|
$51.70
|
$44.43
|
$0.51726
|
|
Third Quarter
|
$44.43
|
$31.33
|
$0.00000
|
|
Fourth Quarter
|
$33.90
|
$18.22
|
$0.34042
|
|
2009
|
|
|
|
|
First Quarter
|
$27.09
|
$19.94
|
$0.00000
|
|
Second Quarter
|
$34.64
|
$25.65
|
$0.24728
|
|
Third Quarter
|
$39.29
|
$30.75
|
$0.00000
|
|
Fourth Quarter
|
$42.07
|
$37.56
|
$0.32289
|
|
2010
|
|
|
|
|
First Quarter
|
$43.22
|
$36.83
|
$0.01201
|
|
Second Quarter
|
$43.98
|
$36.16
|
$0.26160
|
|
Third Quarter
|
$44.77
|
$37.59
|
$0.00000
|
|
Fourth Quarter
|
$48.58
|
$44.77
|
$0.35942
|
|
2011
|
|
|
|
|
First Quarter
|
$48.69
|
$44.63
|
$0.02512
|
|
Second Quarter
|
$50.21
|
$45.50
|
$0.46092
|
|
Third Quarter
|
$48.46
|
$34.95
|
$0.00000
|
|
Fourth Quarter
|
$42.80
|
$34.36
|
$0.34696
|
|
2012
|
|
|
|
|
First Quarter
|
$44.76
|
$38.23
|
$0.00000
|
|
Second Quarter
|
$43.54
|
$36.68
|
$0.46836
|
|
Third Quarter
|
$42.37
|
$37.42
|
$0.00000
|
|
Fourth Quarter
|
$44.35
|
$40.14
|
$0.26233
|
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
|
2013
|
|
|
|
|
First Quarter
|
$45.20
|
$41.80
|
$0.01423
|
|
Second Quarter
|
$44.23
|
$36.63
|
$0.00000
|
|
Third Quarter
|
$43.29
|
$37.34
|
$0.49260
|
|
Fourth Quarter
|
$43.66
|
$40.44
|
$0.36578
|
|
2014
|
|
|
|
|
First Quarter
|
$40.99
|
$37.09
|
$0.00000
|
|
Second Quarter
|
$43.95
|
$40.82
|
$0.00000
|
|
Third Quarter
|
$45.85
|
$41.56
|
$0.34063
|
|
Fourth Quarter
|
$42.44
|
$37.73
|
$0.53502
|
|
2015
|
|
|
|
|
First Quarter
|
$41.07
|
$37.92
|
$0.00000
|
|
Second Quarter
|
$44.09
|
$39.04
|
$0.00000
|
|
Third Quarter
|
$39.78
|
$31.32
|
$0.30125
|
|
Fourth Quarter
|
$36.29
|
$31.55
|
$0.50084
|
|
2016
|
|
|
|
|
First Quarter
|
$34.28
|
$28.25
|
$0.00000
|
|
Second Quarter
|
$35.26
|
$31.87
|
$0.26598
|
|
Third Quarter
|
$38.20
|
$33.77
|
$0.00000
|
|
Fourth Quarter
|
$38.10
|
$34.08
|
$0.39621
|
|
2017
|
|
|
|
|
First Quarter
|
$39.99
|
$35.43
|
$0.00000
|
|
Second Quarter (through June 23, 2017)
|
$41.93
|
$38.81
|
$0.00000
|
The closing price of the shares of the iShares
®
MSCI Emerging Markets ETF on June 23, 2017 was $41.50.
On June 19, 2017, the iShares
®
MSCI Emerging Markets
ETF declared a cash dividend of $0.19171 per share payable on June 26, 2017. We make no representation as to the amount of dividends,
if any, that may be paid on the shares of the iShares
®
MSCI Emerging Markets ETF 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 the
iShares
®
MSCI Emerging Markets ETF.
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
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
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 up to $20.00
for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial advisors will collectively
receive from CGMI a selling concession of up to $20.00 for each $1,000 security they sell. Selected dealers through whom we distribute
securities may enter into arrangements with other institutions with respect to the distribution of the securities, and those institutions
may share in the commissions, discounts or other compensation received by our selected dealers, may be compensated separately and
may also receive commissions from purchasers for whom they may act as agents. In addition, CGMI will pay selected dealers participating
in the distribution of the securities a structuring fee of $4.00 for each security sold in this offering. We may also engage other
firms to provide marketing or promotional services in connection with the distribution of the securities. CGMI will pay these service
providers a fee of up to $2.50 per security in consideration for providing marketing, education, structuring or referral services
with respect to financial advisors or selected dealers. For the avoidance of doubt, the fees and selling concessions described
in this pricing supplement will not be rebated if we redeem the securities prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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.
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
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 value of either underlying asset 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, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
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
|
|
|
(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,
|
Citigroup Global Markets Holdings Inc.
|
|
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due June 30, 2020
|
|
|
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.
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 Mar 2024 to Apr 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Apr 2023 to Apr 2024
