Citigroup Global Markets Holdings Inc.
|
November
10, 2017
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2017—USNCH0828
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-216372 and 333-216372-01
|
Contingent Buffered Notes Based on the EURO
STOXX 50
®
Index Due May 15, 2019
Overview
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to
or less than the stated principal amount, depending on the performance of the EURO STOXX 50
®
Index (the “underlying
index”) from the initial index level to the final index level.
|
|
▪
|
The securities offer exposure to the potential appreciation of the underlying index and contingent repayment of the stated
principal amount at maturity if, and only if, the underlying index does not depreciate by more than 30.15% from the initial index
level to the final index level. In exchange for these features, investors in the securities must be willing to forgo any dividends
that may be paid on the stocks that constitute the underlying index. In addition, investors in the securities must be willing to
accept full downside exposure to the underlying index if the underlying index depreciates by more than 30.15%.
If the underlying
index depreciates by more than 30.15% from the initial index level to the final index level, you will lose 1% of the stated principal
amount of your securities for every 1% by which the final index level is less than the initial index level. There is no minimum
payment at maturity.
|
|
▪
|
In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we and Citigroup Inc. default on our obligations.
All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying index:
|
The EURO STOXX 50
®
Index (ticker symbol: “SX5E”)
|
Aggregate stated principal amount:
|
$8,655,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
November 10, 2017
|
Issue date:
|
November 15, 2017. See “Supplemental Plan of Distribution” in this pricing supplement for additional information.
|
Final valuation dates:
|
May 6, 7, 8, 9 and 10, 2019, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
May 15, 2019, subject to postponement as described under “Additional Information” below
|
Payment at maturity:
|
For each $1,000 stated principal amount security you
hold at maturity, you will receive the following amount in U.S. dollars:
▪
If
the final index level is
greater than
the initial index level:
$1,000 + the return amount
▪
If
the final index level is
less than or equal to
the initial index level but
greater than or equal to
the barrier
level:
$1,000
▪
If
the final index level is
less than
the barrier level:
$1,000 × the index performance factor
If the final index level is less than the barrier
level, your payment at maturity will be less, and possibly significantly less, than $698.50 per security. You should not invest
in the securities unless you are willing and able to bear the risk of losing a significant portion of your investment.
|
Initial index level:
|
3,593.76, the closing level of the underlying index on the pricing date
|
Final index level:
|
The arithmetic average of the closing level of the underlying index on each of the final valuation dates
|
Index performance factor:
|
The final index level
divided by
the initial index level
|
Index percent increase:
|
The final index level
minus
the initial index level,
divided by
the initial index level
|
Return amount:
|
$1,000 × the index percent increase
|
Barrier level:
|
2,510.241, 69.85% of the initial index level
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CP91 / US17324CP918
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)(2)
|
Underwriting fee
(2)
|
Proceeds to issuer
(3)
|
Per security:
|
$1,000.00
|
$12.50
|
$987.50
|
Total:
|
$8,655,000.00
|
$108,187.50
|
$8,546,812.50
|
(1) On the date of this pricing
supplement, the estimated value of the securities is $982.00 per security, which is less than the issue price. The estimated value
of the securities is based on CGMI’s proprietary pricing models and our internal funding rate. It is not an indication of
actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person
may be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this
pricing supplement.
(2) The issue price for investors
purchasing the securities in fiduciary accounts is $987.50 per security.
(3) CGMI will receive an underwriting
fee of up to $12.50 for each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act
as placement agents for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $12.50 for each
security they sell in this offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting
fee and placement fee for sales to fiduciary accounts. The total underwriting fees and proceeds to issuer in the table above give
effect to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental
Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-4.
Neither the Securities and Exchange Commission
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-02-06 dated April 7, 2017
Underlying Supplement No. 6 dated April 7, 2017
Prospectus Supplement and Prospectus each dated April 7, 2017
The securities are not bank deposits
and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they
obligations of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement (except
as set forth in the next paragraph). The accompanying underlying supplement contains important disclosures regarding the underlying
index that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the
securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Postponement of a Final Valuation Date; Postponement of the
Maturity Date.
If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed
to the next succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation
date, the calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading
day on which a market disruption event does not occur. If any final valuation date is postponed so that it coincides with a subsequent
scheduled final valuation date, each such subsequent final valuation date will be postponed to the next succeeding scheduled trading
day (subject to further postponement as provided above if a market disruption event occurs on such succeeding scheduled trading
day). However, in no event will any scheduled final valuation date be postponed more than five scheduled trading days after that
originally scheduled final valuation date as a result of a market disruption event occurring on that scheduled final valuation
date or on an earlier scheduled final valuation date (in each case, as any such scheduled final valuation date may be postponed).
If the last final valuation date is postponed so that it falls less than three business days prior to the scheduled maturity date,
the maturity date will be postponed to the third business day after the last final valuation date as postponed. The provisions
in this paragraph supersede the related provisions in the accompanying product supplement to the extent the provisions in this
paragraph are inconsistent with those provisions. The terms “scheduled trading day” and “market disruption event”
are defined in the accompanying product supplement.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
Contingent Buffered Notes
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Index
|
The table and examples below illustrate various hypothetical
payments at maturity assuming various hypothetical final index levels. Your actual payment at maturity per security will depend
on the actual final index level and may differ substantially from the examples shown. It is impossible to predict whether you will
realize a gain or loss on your investment in the securities. Figures in the table and examples below have been rounded for ease
of analysis. The table and examples below are intended to illustrate how your payment at maturity will depend on whether the final
index level is greater than or less than the initial index level and by how much.
Hypothetical Final Index Level
|
Hypothetical Underlying Index Return
(1)
|
Hypothetical Payment at Maturity per Security
|
Hypothetical Total Return on Securities at Maturity
(2)
|
7,187.52
|
100.00%
|
$2,000.00
|
100.00%
|
6,828.14
|
90.00%
|
$1,900.00
|
90.00%
|
6,468.77
|
80.00%
|
$1,800.00
|
80.00%
|
6,109.39
|
70.00%
|
$1,700.00
|
70.00%
|
5,750.02
|
60.00%
|
$1,600.00
|
60.00%
|
5,390.64
|
50.00%
|
$1,500.00
|
50.00%
|
5,031.26
|
40.00%
|
$1,400.00
|
40.00%
|
4,671.89
|
30.00%
|
$1,300.00
|
30.00%
|
4,312.51
|
20.00%
|
$1,200.00
|
20.00%
|
3,953.14
|
10.00%
|
$1,100.00
|
10.00%
|
3,593.76
|
0.00%
|
$1,000.00
|
0.00%
|
3,234.38
|
-10.00%
|
$1,000.00
|
0.00%
|
2,875.01
|
-20.00%
|
$1,000.00
|
0.00%
|
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
2,510.25
|
-30.15%
|
$1,000.00
|
0.00%
|
2,510.24
|
-30.15003%
|
$698.4997
|
-30.15003%
|
2,156.26
|
-40.00%
|
$600.00
|
-40.00%
|
1,796.88
|
-50.00%
|
$500.00
|
-50.00%
|
1,437.50
|
-60.00%
|
$400.00
|
-60.00%
|
1,078.13
|
-70.00%
|
$300.00
|
-70.00%
|
718.75
|
-80.00%
|
$200.00
|
-80.00%
|
359.38
|
-90.00%
|
$100.00
|
-90.00%
|
0.000
|
-100.00%
|
$0.00
|
-100.00%
|
(1)
Hypothetical
underlying index return = hypothetical final index level
minus
hypothetical initial index level,
divided by
hypothetical
initial index level
(2)
Hypothetical
total return on securities at maturity = hypothetical payment at maturity per security
minus
$1,000 stated principal amount
per security,
divided by
$1,000 stated principal amount per security
Example 1—Upside Scenario.
The hypothetical final
index level is 3,773.45 (an approximately 5.00% increase from the initial index level), which is
greater than
the initial
index level.
Payment at maturity per security = $1,000 + the return amount
= $1,000 + ($1,000 × the index percent increase)
= $1,000 + ($1,000 × 5.00%)
= $1,000 + $50.00
= $1,050.00
Because the underlying index appreciated from the initial index
level to the hypothetical final index level, your payment at maturity in this scenario would be equal to the $1,000 stated principal
amount per security
plus
the return amount, or $1,050.00 per security.
Example 2—Par Scenario.
The hypothetical final index
level is 3,414.07 (an approximately 5.00% decrease from the initial index level), which is
less than
the initial index level
but
greater than
the barrier level.
Payment at maturity per security = $1,000
Because the underlying index depreciated from the initial index
level to the hypothetical final index level by less than 30.15%, your payment at maturity in this scenario would be equal to the
$1,000 stated principal amount per security.
Example 3—Downside Scenario.
The hypothetical final
index level is 1,078.13 (an approximately 70.00% decrease from the initial index level), which is
less than
the barrier
level.
Payment at maturity per security = $1,000 × the index performance
factor
= $1,000 × 30.00%
= $300.00
Because the underlying index depreciated from the initial index
level to the hypothetical final index level by more than 30.15%, the contingent repayment of the stated principal amount at maturity
would not apply in this scenario and your payment at maturity would reflect 1-to-1 exposure to the negative performance of the
underlying index.
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying index. 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 advisors 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.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index. If the
final index level is less than the barrier level, you will lose 1% of the stated principal amount of the securities for every 1%
by which the final index level is less than the initial index level. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment.
|
|
▪
|
The barrier feature of the securities exposes you to particular risks.
If the final index level is less than the barrier
level, the contingent repayment of the stated principal amount at maturity will not apply and you will lose 1% of the stated principal
amount of the securities for every 1% by which the final index level is less than the initial index level. Therefore, the securities
offer no protection at all if the underlying index depreciates by more than 30.15% from the initial index level to the final index
level. As a result, you may lose up to all of your investment.
|
|
▪
|
The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
▪
|
Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index.
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of November 10, 2017, the average dividend yield of the underlying index
was approximately 3.29% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
4.94% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends. The
payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
▪
|
The payment at maturity on the securities is based on the arithmetic average of the closing level of the underlying index
on the five final valuation dates.
As a result, you are subject to the risk that the closing level of the underlying index
on those five final valuation dates will result in a less favorable return than you would have received had the final index level
been based on the closing level on other days during the term of the securities. If you had invested in another instrument linked
to the underlying index that you could sell for full value at a time selected by you, you might have achieved better returns. In
addition, because the final index level is based on the average over the five final valuation dates, your return on the securities
may be less favorable than it would have been if it were based on the closing level of the underlying index on only one of those
five final valuation dates.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no 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 placement 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.
|
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend
yields on the stocks that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from
your or
|
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models
and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover,
the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we
or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest
in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity
irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we
will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the underlying index, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the level of the underlying index 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 underlying index is subject to risks associated with non-U.S. markets.
Investments in securities linked to the value
of non-U.S. stocks 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 companies in some of these jurisdictions than about U.S. companies that are subject to
the reporting requirements of the SEC. Further, non-U.S. 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 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. Moreover, the economies
in such countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross
national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
|
|
▪
|
The underlying index performance will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar.
The underlying 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 underlying index and the value of 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, your
|
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
return
on the securities will underperform an alternative investment that offers exposure to that appreciation in addition to the change
in the level of the underlying index.
|
▪
|
Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or
by the placement agents or their affiliates.
The fact that we are offering the securities does not mean that we believe, or
that the placement agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely
to achieve favorable returns. In fact, as we and the placement agents are part of global financial institutions, our affiliates
and the placement agents and their affiliates may have positions (including short positions) in the stocks that constitute the
underlying index or in instruments related to the underlying index over the term of the securities and may publish research or
express opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other activities
of our affiliates or the placement agents or their affiliates may affect the level of the underlying index in a way that has a
negative impact on your interests as a holder of the securities.
|
|
▪
|
The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the stocks that constitute the underlying index and other financial instruments related to the underlying index and may adjust
such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also trade the stocks
that constitute the underlying index and other financial instruments related to the underlying index 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 of the underlying index in a way that negatively affects the value
of the securities. They could also result in substantial returns for us or our affiliates or the placement agents or their affiliates
while the value of the securities declines.
|
|
▪
|
We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ or their business activities.
Our affiliates or the placement agents or their affiliates
may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates or the placement agents or their affiliates may acquire non-public information about such issuers, which we
and they will not disclose to you. Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes
a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard to
your interests.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
Adjustments to the underlying index may affect the value of your securities.
STOXX Limited (the “underlying index
publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders 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 prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below 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. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should
be subject to withholding tax, possibly with retroactive effect.
|
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. If
withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
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.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
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.
Information
About the Underlying 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 underlying
index.
Historical Information
The closing level of the underlying index on November 10, 2017
was 3,593.76.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 2, 2012 to November 10, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
EURO STOXX 50
®
Index – Historical Closing Levels
January 2, 2012 to November 10, 2017
|
|
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
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:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
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. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
|
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” 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 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 a U.S. Underlying Equity,
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.
If withholding tax applies 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 $12.50
for each security sold in this offering. The amount of the underwriting fee to CGMI will be equal to the placement fee paid to
the placement agents. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities
and, from the underwriting fee to CGMI, will receive a placement fee of $12.50 for each security they sell in this offering to
accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales
to fiduciary accounts. In addition to the underwriting fee, CGMI and its affiliates may profit from hedging activity
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
related to
this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying
prospectus.
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 two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing level of the underlying index 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.
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
|
(a)
|
the expression “retail investor” means a person who is one (or more) of the following:
|
|
(i)
|
a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
|
|
(ii)
|
a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined
in point (10) of Article 4(1) of MiFID II; or
|
|
(iii)
|
not a qualified investor as defined in Directive 2003/71/EC; and
|
|
(b)
|
the expression “offer” includes the communication in any form and by any means of sufficient information on the
terms of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.
|
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 six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
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.
Citigroup Global Markets Holdings Inc.
|
Contingent Buffered Notes Based on the EURO STOXX 50
®
Index Due May 15, 2019
|
|
will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated April 7, 2017, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on April 7, 2017, that the indenture has been duly
authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc.
is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws
or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
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.
© 2017 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024