Citigroup Global Markets Holdings Inc.
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July 25, 2017
Medium-Term Senior
Notes, Series N
Pricing Supplement
No. 2017-USNCH0664
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
Nos. 333-216372 and 333-216372-01
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Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
Overview
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The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. 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 with a value that may be greater than,
equal to or less than the stated principal amount, depending on the performance of shares of the iShares
®
Russell
2000 ETF (the “underlying shares”) from the initial share price to the final share price.
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The securities offer modified exposure to the underlying shares, with the opportunity to participate in a limited range of
potential appreciation of the underlying shares and a limited buffer against potential depreciation of the underlying shares as
described below. In exchange for the limited buffer offered by the securities, investors must be willing to forgo (i) any appreciation
of the underlying shares in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on
the underlying shares. In addition, investors in the securities must be willing to accept downside exposure to any depreciation
of the underlying shares in excess of the 20.00% buffer percentage.
If the underlying shares depreciate by more than the buffer
percentage from the initial share price to the final share price, you will not be repaid the stated principal amount of your securities
at maturity and, instead, will receive underlying shares (or, in our sole discretion, cash based on the value of those shares)
and a cash buffer that together will be worth less than your initial investment. You may lose up to 80.00% of your investment in
the securities.
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In order to obtain the modified exposure to the underlying shares that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any cash payment or delivery
of underlying shares due under the securities if we and Citigroup Inc. default on our obligations.
All payments and/or deliveries
on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Shares of the iShares
®
Russell 2000 ETF (NYSE Arca symbol: “IWM”) (the “underlying share issuer” or “ETF”)
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Aggregate stated principal amount:
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$1,100,000
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Stated principal amount:
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$1,000 per security
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Pricing date:
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July 25, 2017
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Issue date:
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July 28, 2017
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Valuation date:
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July 25, 2022, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Maturity date:
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July 28, 2022
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Payment at maturity:
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At maturity, for each $1,000 stated principal amount security
you then hold, you will receive the following:
▪
If
the final share price is
greater than
the initial share price:
$1,000 + the upside return amount, subject to the maximum return at maturity
▪
If
the final share price is
equal to
the initial share price or
less than
the initial share price by an amount
less
than or equal to
the buffer percentage:
$1,000
▪
If
the final share price is
less than
the initial share price by an amount
greater than
the buffer percentage:
A number of underlying shares equal to the equity ratio (or, in our sole discretion, cash in an amount equal to the equity
ratio
multiplied by
the final share price) + the cash buffer
If the underlying shares depreciate by more than the buffer
percentage from the initial share price to the final share price, you will receive underlying shares (or, in our sole discretion,
cash based on the value of those shares) and a cash buffer at maturity that together will be worth less than your initial investment.
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.
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Initial share price:
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$144.05, the closing price of the underlying shares on the pricing date
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Final share price:
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The closing price of the underlying shares on the valuation date
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Upside return amount:
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$1,000 × share percent increase × upside participation rate
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Share percent increase:
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The final share price
minus
the initial share price,
divided by
the initial share price
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Upside participation rate:
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110.00%
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Maximum return at maturity:
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$500.00 per security (50.00% of the stated principal amount). Because of the maximum return at maturity, in no event will the payment at maturity exceed $1,500.00 per security.
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Buffer percentage:
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20.00%
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Equity ratio:
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6.94203, the stated principal amount
divided by
the initial share price, subject to adjustment as described in this pricing supplement
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Cash buffer:
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$200.00 in cash per security (20.00% of the stated principal amount)
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17324XCN8 / US17324XCN84
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price
(1)(2)
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Underwriting fee
(3)
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Proceeds to issuer
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Per security:
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$1,000.00
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$30.00
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$970.00
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Total:
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$1,100,000.00
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$33,000.00
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$1,067,000.00
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(1) On the date of this pricing supplement, the estimated value
of the securities is $922.50 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
fee-based advisory accounts will be $970.00 per security, assuming no custodial fee is charged by a selected dealer, and up to
$975.00 per security, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution”
in this pricing supplement.
(3) For more information on the distribution of the securities,
see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its
affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-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, prospectus supplement and prospectus is truthful or complete. Any representation to the contrary
is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, prospectus supplement and prospectus, each of which can be accessed via the
hyperlinks below:
Product Supplement No. EA-02-06 dated April 7, 2017
Prospectus Supplement and Prospectus each dated April 7, 2017
The securities are not bank deposits and
are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect what you receive at maturity, such as market disruption events and other
events affecting the underlying shares. These events and their consequences are described in the accompanying product supplement
in the section “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company
Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and not in this pricing supplement.
It is important that you read the accompanying product supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments.
The initial share
price and the equity ratio are each subject to adjustment upon the occurrence of any of the events described in the section “Additional
Terms of the Securities—Dilution and Reorganization Adjustments” in this pricing supplement. That section supersedes
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.
Prospectus for ETF.
In addition to this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus, you should read the prospectus for the ETF and its
supplements on file at the SEC website, which can be accessed via the hyperlink below. The contents of that prospectus, its supplements
and any documents incorporated by reference therein are not incorporated by reference herein or in any way made a part hereof.
Prospectus dated August 1, 2016:
https://www.sec.gov/Archives/edgar/data/1100663/000119312516658588/d157416d485bpos.htm
Hypothetical Examples
The diagram below illustrates the value of what you will receive
at maturity for a range of hypothetical percentage changes from the initial share price to the final share price. For purposes
of the diagram, the value of any underlying shares you receive at maturity is based on the final share price, which is the closing
price of the underlying shares on the valuation date. On the maturity date, the value of any underlying shares you receive may
differ from their value on the valuation date.
Investors in the securities will not receive any dividends
on the underlying shares or the stocks included in or held by the ETF. The diagram and examples below do not show any effect of
lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not have voting rights,
rights to receive any dividends or other distributions or any other rights with respect to the underlying shares unless and until
you receive underlying shares at maturity” below.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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Buffer Securities
Payment at Maturity Diagram
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n
The Securities
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n
The Underlying Shares
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What you actually receive at maturity per security will depend
on the actual final share price and the actual equity ratio. The examples below are intended to illustrate how what you receive
at maturity will depend on whether the final share price is greater than or less than the initial share price and by how much.
Example 1—Upside Scenario A.
The hypothetical final
share price is $151.25 (an approximately 5.00% increase from the initial share price), which is
greater than
the initial
share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the maximum return at maturity of $500.00 per security
= $1,000 + ($1,000 × share percent increase × upside
participation rate), subject to the maximum return at maturity of $500.00 per security
= $1,000 + ($1,000 × 5.00% × 110.00%), subject to
the maximum return at maturity of $500.00 per security
= $1,000 + $55.00, subject to the maximum return at maturity
of $500.00 per security
= $1,055.00
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the upside return amount of $55.00 per security results in a total return at maturity
of 5.50%, which is less than the maximum return at maturity of 50.00%, your payment at maturity in this scenario would be equal
to the $1,000 stated principal amount per security
plus
the upside return amount, or $1,055.00 per security.
Example 2—Upside Scenario B.
The hypothetical final
share price is $230.48 (an approximately 60.00% increase from the initial share price), which is
greater than
the initial
share price.
Payment at maturity per security = $1,000 + the upside return
amount, subject to the maximum return at maturity of $500.00 per security
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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= $1,000 + ($1,000 × share percent increase × upside
participation rate), subject to the maximum return at maturity of $500.00 per security
= $1,000 + ($1,000 × 60.00% × 110.00%), subject to
the maximum return at maturity of $500.00 per security
= $1,000 + $660.00, subject to the maximum return at maturity
of $500.00 per security
= $1,500.00
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the upside return amount of $660.00 per security would result in a total return
at maturity of 66.00%, which is greater than the maximum return at maturity of 50.00%, your payment at maturity in this scenario
would equal the maximum payment at maturity of $1,500.00 per security. In this scenario, an investment in the securities would
underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying shares without
a maximum return.
Example 3—Par Scenario.
The hypothetical final share
price is $136.85 (an approximately 5.00% decrease from the initial share price), which is
less than
the initial share price
by an amount that is
less than
the buffer percentage of 20.00%.
Payment at maturity per security = $1,000
Because the underlying shares did not depreciate from the initial
share price to the hypothetical final share price by more than the 20.00% buffer percentage, your payment at maturity in this scenario
would be equal to the $1,000 stated principal amount per security.
Example 4—Downside Scenario.
The hypothetical final
share price is $43.22 (an approximately 70.00% decrease from the initial share price), which is
less than
the initial share
price by an amount that is
more than
the buffer percentage of 20.00%.
What you would receive at maturity per security = A number of
underlying shares equal to the equity ratio (or, in our sole discretion, cash in an amount equal to the equity ratio × the
final share price) + the cash buffer of $200.00 per security
= 6.94203 underlying shares, with an aggregate cash value (based
on the final share price) of $300.00 + the cash buffer of $200.00 per security
Because the underlying shares depreciated from the initial share
price to the hypothetical final share price by more than the 20.00% buffer percentage, you would not be repaid the stated principal
amount of your securities at maturity and instead would receive a number of underlying shares (or, in our sole discretion, cash
based on the value thereof) and a cash buffer that together are worth less than the stated principal amount. In this example, the
underlying shares have depreciated by 70.00% from their initial share price to their final share price, and the value of what you
receive at maturity (based on the final share price) is worth 50.00% less than your initial investment.
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying shares. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal 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.
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You may lose up to 80.00% of your investment.
Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, the value of what you receive at maturity will depend on the performance of the underlying
shares. If the underlying shares depreciate by more than the buffer percentage, you will not receive the stated principal amount
of your securities at maturity and, instead, will receive underlying shares (or, in our sole discretion, cash based on the value
thereof) and a cash buffer that together will be worth less than your initial investment in the securities.
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We may elect, in our sole discretion,
to pay you cash at maturity in lieu of delivering any underlying shares. If we elect to pay you cash at maturity in lieu of delivering
any underlying shares, the amount of that cash may be less than the market value of the underlying shares on the maturity date
because the market value will likely fluctuate between the valuation date and the maturity date. Conversely, if we do not exercise
our cash election right and instead deliver underlying shares to you on the maturity date, the market value of such underlying
shares may be less than the cash amount you would have received if we had exercised our cash election right. We will have no obligation
to take your interests into account when deciding whether to exercise our cash election right.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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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.
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Your potential return on the securities is limited.
Your potential total return on the securities at maturity is limited
to the maximum return at maturity of 50.00%, which is equivalent to a maximum return at maturity of $500.00 per security. Taking
into account the upside participation rate, any increase in the final share price over the initial share price by more than approximately
45.45% will not increase your return on the securities and will progressively reduce the effective upside participation rate provided
by the securities.
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You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the underlying shares unless and until you receive underlying shares at maturity.
As of July 25, 2017, the trailing 12-month
dividend yield of the underlying shares was approximately 1.32%. While it is impossible to know the future dividend yield of the
underlying shares, if this trailing 12-month dividend yield were to remain constant for the term of the securities, you would be
forgoing an aggregate yield of approximately 6.60% (assuming no reinvestment of dividends) by investing in the securities instead
of investing directly in the underlying shares or in another investment linked to the underlying shares that provides for a pass-through
of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the
term of the securities. Furthermore, if any change to the underlying shares is proposed, such as an amendment to the underlying
share issuer’s organizational documents, you will not have the right to vote on such change, but you will be subject to such
change in the event you receive underlying shares at maturity. Any such change may adversely affect the market price of the underlying
shares.
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What you receive at maturity depends on the closing price of the underlying shares on a single day.
Because what you
receive at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the
risk that the closing price of the underlying shares on that day may be lower, and possibly significantly lower, than on one or
more other dates during the term of the securities. If you had invested directly in the underlying shares or in another instrument
linked to the underlying shares that you could sell for full value at a time selected by you, or if the payment at maturity were
based on an average of closing prices of the underlying shares, you might have achieved better returns.
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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.
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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.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below.
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, dividend
yields on the underlying shares and the stocks held by the ETF and interest rates. CGMI’s views on these inputs may differ
from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both
the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities.
Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value
that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not
invest in the
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Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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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.
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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.
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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.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors,
including the price and volatility of the securities held by the ETF, the dividend yields on the underlying shares and the securities
held by the ETF, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the price of the underlying shares may not result in a comparable change
in the value of your securities. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the issue price.
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▪
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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.
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The securities will be subject to risks associated with small capitalization stocks.
The stocks that constitute the
index underlying the ETF are issued by companies with relatively small market capitalization. The stock prices of smaller companies
may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than
large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade
and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their
stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market
conditions.
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Our offering of the securities does not constitute a recommendation of the underlying shares.
The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the underlying shares or the securities held by the ETF over the term of the securities or in instruments related
to the underlying shares over the term of the securities and may publish research or express opinions, that in each case are inconsistent
with an investment linked to the underlying shares. These and other activities of our affiliates may affect the price of the underlying
shares in a way that has a negative impact on your interests as a holder of the securities.
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▪
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The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the underlying shares or the stocks held by the ETF and other financial instruments related to the underlying shares and may
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Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
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adjust such positions during the
term of the securities. Our affiliates also trade the underlying shares or the securities held by the ETF and other financial instruments
related to the underlying shares on a regular basis (taking long or short positions or both), for their accounts, for other accounts
under their management or to facilitate transactions on behalf of customers. These activities could affect the price of the underlying
shares in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our
affiliates while the value of the securities declines.
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▪
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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 ETF or the issuers of the securities
held by the ETF, including extending loans to, making equity investments in or providing advisory services to such issuers. In
the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests.
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Even if the 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 the underlying shares unless the amount
of the dividend per underlying share, together with any other dividends paid in the same fiscal quarter, exceeds the dividend paid
per underlying share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the underlying
shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount
of the dividend per underlying share. If the 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 “Additional Terms of the Securities—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in this pricing supplement.
|
|
▪
|
The securities will not be adjusted for all events that could affect the price of the underlying shares.
For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above.
Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in
the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would
not.
|
|
▪
|
The securities may become linked to shares of an issuer other than the original ETF upon the occurrence of a reorganization
event or upon the delisting of the underlying shares.
For example, if the ETF enters into a merger agreement that provides
for holders of the underlying shares to receive shares of another entity, the shares of such other entity will become the underlying
shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares are delisted
or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another ETF to be the underlying
shares. See “Additional Terms of the Securities” in this pricing supplement.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, events with respect to the underlying share issuer that may require
a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
|
The price and performance of the underlying shares may not completely track the performance of the index underlying the
ETF or the net asset value per share of the ETF.
The 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 underlying shares
will reflect additional transaction costs and fees of the ETF that are not included in the calculation of the index underlying
the ETF. In addition, the ETF may not hold all of the shares included in, and may hold securities and derivative instruments that
are not included in, the index underlying the ETF. All of these factors may lead to a lack of correlation between the performance
of the underlying shares and the ETF’s underlying index. In addition, corporate actions with respect to the equity securities
constituting the ETF’s underlying index or held by the ETF (such as mergers and spin-offs) may impact the variance between
the performances of the underlying shares and the ETF’s underlying index. Finally, because the underlying shares are traded
on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of the underlying shares may differ from
the net asset value per share of the ETF.
During periods of market volatility, securities underlying the ETF may be unavailable in the secondary market, market participants
may be unable to calculate accurately the net asset value per share of the ETF and the liquidity of the underlying shares may be
adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares
of the ETF. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are
willing to buy and sell the underlying shares. As a result, under these circumstances, the market value of the underlying shares
may vary substantially from the net asset value per share of the ETF. For all of the foregoing reasons, the performance of the
underlying shares may not correlate with the performance of the ETF’s underlying index and/or the net asset value per share
of the ETF,
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
which could materially and adversely
affect the value of the securities in the secondary market and/or reduce your payment at maturity.
|
▪
|
Changes made by the investment advisor to the ETF or by the sponsor of the index underlying the ETF may adversely affect
the underlying shares
. We are not affiliated with the investment advisor to the underlying share issuer or with the sponsor
of the index underlying the ETF. Accordingly, we have no control over any changes such investment advisor or sponsor may make to
the underlying share issuer or the index underlying the ETF. Such changes could be made at any time and could adversely affect
the performance of the underlying shares.
|
|
▪
|
The U.S. federal tax consequences of an investment
in the securities are unclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects
of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences
of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities
as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with
potentially adverse consequences described below under “United States Federal Tax Considerations.” In addition, in
2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S.
persons should be subject to withholding tax, possibly with retroactive effect.
|
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. 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
Shares
The iShares
®
Russell 2000 ETF is an exchange-traded
fund that seeks to track the performance of the Russell 2000
®
Index. The Russell 2000
®
Index is designed
to track the performance of the small capitalization segment of the U.S. equity market. The iShares
®
Russell 2000
ETF was developed by iShares
®
Trust. We have derived all information contained in this pricing supplement regarding
the underlying shares from publicly available information. We have not independently verified such information. Such information
reflects the policies of, and is subject to change by, iShares
®
Trust.
The ETF is an investment portfolio managed by iShares
®
Inc. BlackRock Fund Advisors is the investment advisor to the ETF. iShares
®
, Inc. is a registered investment company
that consists of numerous separate investment portfolios, including the 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 333-92935 and 811-09729, 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
®
Russell 2000 ETF trades on the NYSE Arca under the ticker symbol
“IWM.”
You may receive the underlying shares at maturity. Therefore,
in making your decision to invest in the securities, you should review the prospectus related to the ETF dated August 1, 2016 filed
by the ETF and available at
https://www.sec.gov/Archives/edgar/data/1100663/000119312516658588/d157416d485bpos.htm
.
This pricing supplement relates only to the securities offered
hereby and does not relate to the underlying shares or other securities of the ETF. We have derived all disclosures contained in
this pricing supplement regarding the underlying shares and the ETF from the publicly available documents described above. In connection
with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in
the preparation of such documents or made any due diligence inquiry with respect to the ETF or the underlying shares.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The ETF is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlying shares.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
Historical Information
The graph below shows the closing prices of the underlying shares
for each day such price was available from January 3, 2012 to July 25, 2017. The table that follows shows the high and low closing
prices of, and dividends paid on, the underlying shares for each quarter in that same period. We obtained the closing prices and
other information below from Bloomberg L.P., without independent verification.
You should not take the historical prices of
the underlying shares as an indication of future performance.
iShares
®
Russell 2000 ETF – Historical Closing Prices
January 3, 2012 to July 25, 2017
|
|
iShares
®
Russell 2000 ETF
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$84.41
|
$74.56
|
$0.25135
|
Second Quarter
|
$83.79
|
$73.64
|
$0.00000
|
Third Quarter
|
$86.40
|
$76.68
|
$0.70880
|
Fourth Quarter
|
$84.69
|
$76.88
|
$0.72661
|
2013
|
|
|
|
First Quarter
|
$94.80
|
$86.65
|
$0.00000
|
Second Quarter
|
$99.51
|
$89.58
|
$0.26400
|
Third Quarter
|
$107.10
|
$98.08
|
$0.71354
|
Fourth Quarter
|
$115.31
|
$103.67
|
$0.43673
|
2014
|
|
|
|
First Quarter
|
$119.83
|
$108.64
|
$0.30209
|
Second Quarter
|
$118.81
|
$108.88
|
$0.00000
|
Third Quarter
|
$120.02
|
$109.35
|
$0.76389
|
Fourth Quarter
|
$121.08
|
$104.30
|
$0.44501
|
2015
|
|
|
|
First Quarter
|
$126.03
|
$114.69
|
$0.38318
|
Second Quarter
|
$129.01
|
$120.85
|
$0.00000
|
Third Quarter
|
$126.31
|
$107.53
|
$0.52917
|
Fourth Quarter
|
$119.85
|
$109.01
|
$0.82006
|
2016
|
|
|
|
First Quarter
|
$110.62
|
$94.80
|
$0.32664
|
Second Quarter
|
$118.43
|
$108.69
|
$0.00000
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
Third Quarter
|
$125.70
|
$113.69
|
$0.96480
|
Fourth Quarter
|
$138.31
|
$115.00
|
$0.56296
|
2017
|
|
|
|
First Quarter
|
$140.36
|
$133.75
|
$0.38677
|
Second Quarter
|
$142.10
|
$133.72
|
$0.00000
|
Third Quarter (through July 25, 2017)
|
$144.05
|
$139.14
|
$0.60911
|
The closing price of the underlying shares on July 25, 2017 was
$144.05.
We make no representation as to the amount of dividends, if any,
that may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled
to receive dividends, if any, that may be payable on the underlying shares.
Additional
Terms of the Securities
Fractional Shares
In lieu of any fractional share that you
would otherwise receive in respect of the securities, at maturity you will receive an amount in cash equal to the value of such
fractional share (based on the final share price).
Dilution and Reorganization Adjustments
The following provisions supersede 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.
The initial share price, the equity ratio
and the property we may deliver to you at maturity of the securities will be subject to adjustment from time to time if certain
events occur that affect the underlying shares. Any of these adjustments could have an impact on the value of what you receive
at maturity. CGMI, as calculation agent, will be responsible for the calculation of any adjustment described herein and will furnish
the trustee with notice of any adjustment. An adjustment will be made for events with an adjustment date (as defined below) from
but excluding the pricing date to and including the valuation date, except that, if we deliver underlying shares at maturity, the
equity ratio will be subject to adjustment for events with an adjustment date up to and including the maturity date.
No adjustments will be required other than
those specified below. The required adjustments specified in this section do not cover all events that could have a dilutive or
adverse effect on the underlying shares during the term of the securities. See “Summary Risk Factors—The securities
will not be adjusted for all events that could affect the price of the underlying shares.”
The calculation agent may elect not to make
any of the adjustments described below or may modify any of the adjustments described below if it determines, in its sole discretion,
that such adjustment would not be made in any relevant market for options or futures contracts relating to the underlying shares
or that any adjustment made in such market would materially differ from the relevant adjustment described below.
Stock Dividends, Stock Splits and Reverse
Stock Splits
If the underlying share issuer:
|
(1)
|
declares a record date in respect of, or pays or makes, a dividend or distribution, in each case
of underlying shares with respect to the underlying shares (excluding any share dividend or distribution for which the number of
shares paid or distributed is based on a fixed cash equivalent value (“excluded share dividends”)),
|
|
(2)
|
subdivides or splits the outstanding underlying shares
into a greater number of shares, or
|
|
(3)
|
combines the outstanding underlying shares into a
smaller number of shares,
|
then, in each of these cases, the equity
ratio will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of underlying
shares outstanding immediately after giving effect to such event and (ii) the denominator of which will be the number of underlying
shares outstanding immediately prior to the open of business on the applicable adjustment date. An adjustment will also be made
to the initial share price by dividing the initial share price by that dilution adjustment.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
Issuance of Certain Rights or Warrants
If the underlying share issuer issues, or
declares a record date in respect of an issuance of, rights or warrants, in each case to all holders of the underlying shares entitling
them to subscribe for or purchase the underlying shares at a price per share less than the then-current market price of the underlying
shares, other than excluded rights (as defined below), then, in each case, the equity ratio will be multiplied by a dilution adjustment
equal to a fraction, (i) the numerator of which will be the number of underlying shares outstanding immediately prior to the open
of business on the applicable adjustment date,
plus
the number of additional underlying shares offered for subscription
or purchase pursuant to the rights or warrants, and (ii) the denominator of which will be the number of underlying shares outstanding
immediately prior to the open of business on the applicable adjustment date,
plus
the number of additional underlying shares
which the aggregate offering price of the total number of underlying shares offered for subscription or purchase pursuant to the
rights or warrants would purchase at the then-current market price of the underlying shares, which will be determined by multiplying
the total number of underlying shares so offered for subscription or purchase by the exercise price of the rights or warrants and
dividing the product obtained by the then-current market price. An adjustment will also be made to the initial share price by dividing
the initial share price by that dilution adjustment. To the extent that, prior to the maturity date, after the expiration of the
rights or warrants, the underlying share issuer publicly announces the number of underlying shares with respect to which such rights
or warrants have been exercised and such number is less than the aggregate number offered, the equity ratio will be further adjusted
to equal the equity ratio which would have been in effect had the adjustment for the issuance of the rights or warrants been made
upon the basis of delivery of only the number of underlying shares for which such rights or warrants were actually exercised, and
a corresponding adjustment will be made to the initial share price.
“Excluded rights” means (i)
rights to purchase underlying shares pursuant to a plan for the reinvestment of dividends or interest and (ii) rights that are
not immediately exercisable, trade as a unit or automatically with the underlying shares and may be redeemed by the underlying
share issuer.
The “then-current market price”
of the underlying shares, for the purpose of applying any dilution adjustment, means the average closing price of the underlying
shares for the ten scheduled trading days ending on the scheduled trading day immediately preceding the related adjustment date.
For purposes of determining the then-current market price, if a market disruption event occurs with respect to the underlying shares
on any such scheduled trading day, the calculation agent may disregard the closing price on such scheduled trading day for purposes
of calculating such average;
provided
that the calculation agent may not disregard more than five scheduled trading days
in such ten–scheduled trading day period.
Spin-offs and Certain Other Non-Cash
Distributions
If the underlying share issuer (a) declares
a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of underlying shares, of
any class of its capital stock, the capital stock of one or more of its subsidiaries (excluding any capital stock of a subsidiary
in the form of marketable securities (as defined below)), evidences of its indebtedness or other non-cash assets or (b) issues
to all holders of underlying shares, or declares a record date in respect of an issuance to all holders of underlying shares of,
rights or warrants to subscribe for or purchase any of its or one or more of its subsidiaries’ securities, in each case excluding
any share dividends or distributions referred to above, excluded share dividends, any rights or warrants referred to above, excluded
rights and any reclassification referred to below, then, in each of these cases, the equity ratio will be multiplied by a dilution
adjustment equal to a fraction, (i) the numerator of which will be the then-current market price of one underlying share and (ii)
the denominator of which will be the then-current market price of one underlying share less the fair market value as of open of
business on the adjustment date of the portion of the capital shares, assets, evidences of indebtedness, rights or warrants so
distributed or issued applicable to one underlying share. An adjustment will also be made to the initial share price by dividing
the initial share price by that dilution adjustment. If any capital stock declared or paid as a dividend or otherwise distributed
or issued to all holders of underlying shares consists, in whole or in part, of marketable securities (other than marketable securities
of a subsidiary of the underlying share issuer), then the fair market value of such marketable securities will be determined by
the calculation agent by reference to the closing price of such capital stock. The fair market value of any other distribution
or issuance referred to in this paragraph will be determined by a nationally recognized independent investment banking firm retained
for this purpose by Citigroup Global Markets Holdings Inc., whose determination will be final.
Notwithstanding the foregoing, in the event
that, with respect to any dividend, distribution or issuance to which the immediately preceding paragraph would otherwise apply,
the denominator in the fraction referred to in such paragraph is less than $1.00 or is a negative number, then Citigroup Global
Markets Holdings Inc. may, at its option, elect to have the adjustment to the equity ratio provided by such paragraph not be made
and, in lieu of this adjustment, the closing price of the underlying shares on any date of determination thereafter will be deemed
to be equal to the sum of (i) the closing price of the underlying shares on such date and (ii) the fair market value of the capital
stock, evidences of indebtedness, assets, rights or warrants (determined, as of open of business on the adjustment date, by a nationally
recognized independent investment banking firm retained for this purpose by Citigroup Global Markets Holdings Inc., whose determination
will be final) so distributed or issued applicable to one underlying share. If the closing price of the underlying shares as so
determined on the valuation date is less than the initial share price by more than the buffer percentage, each holder of the securities
will receive per security at maturity (x) a number of underlying shares equal to the equity ratio (with cash in lieu of any fractional
share based on the closing price of such shares on the valuation date) (or, in our sole discretion, cash based on the
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
value thereof), (y) cash in an amount per
security equal to the equity ratio as of the adjustment date for such dividend, distribution or issuance
multiplied by
the
fair market value determined pursuant to clause (ii) of the immediately preceding sentence and (z) the cash buffer.
If the underlying share issuer declares
a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of underlying shares of
the capital stock of one or more of its subsidiaries in the form of marketable securities, the closing price of the underlying
shares on any date of determination from and after open of business on the adjustment date will in each case equal the closing
price of the underlying shares
plus
the product of (i) the closing price of such shares of subsidiary capital stock on such
date and (ii) the number of shares of such subsidiary capital stock distributed per underlying share. If the closing price of the
underlying shares as so determined on the valuation date is less than the initial share price by more than the buffer percentage,
then in each of these cases, each holder of the securities will receive at maturity per security a combination of (x) a number
of underlying shares equal to the equity ratio (or, in our sole discretion, cash based on the value thereof), (y) a number of shares
of such subsidiary capital stock equal to the equity ratio
multiplied by
the number of shares of such subsidiary capital
stock distributed per underlying share (in each case with cash in lieu of any fractional share based on the closing price of such
shares on the valuation date) (or, in our sole discretion, cash based on the value thereof) and (z) the cash buffer. In the event
an adjustment pursuant to this paragraph occurs, following such adjustment, the adjustments described in this section “—Dilution
and Reorganization Adjustments” will also apply to such subsidiary capital stock if any of the events described in this section
“—Dilution and Reorganization Adjustments” occurs with respect to such capital stock.
Certain Extraordinary Cash Dividends
If the underlying share issuer declares
a record date in respect of a distribution of cash, by dividend or otherwise, to all holders of underlying shares, other than (a)
any permitted dividends described below, (b) any cash distributed in consideration of fractional underlying shares and (c) any
cash distributed in a reorganization event referred to below, then in each case the equity ratio will be multiplied by a dilution
adjustment equal to a fraction, (i) the numerator of which will be the then-current market price of the underlying shares, and
(ii) the denominator of which will be the then-current market price of the underlying shares less the amount of the distribution
applicable to one underlying share which would not be a permitted dividend (such amount, the “Extraordinary Portion”).
An adjustment will also be made to the initial share price by dividing the initial share price by that dilution adjustment. In
the case of an issuer that is organized outside the United States, in order to determine the Extraordinary Portion, the amount
of the distribution will be reduced by any applicable foreign withholding taxes that would apply to dividends or other distributions
paid to a U.S. person that claims any reduction in such taxes to which a U.S. person would generally be entitled under an applicable
U.S. income tax treaty, if available.
A “permitted dividend” is (1)
any distribution of cash, by dividend or otherwise, to all holders of underlying shares other than to the extent that such distribution,
together with all other such distributions in the same quarterly fiscal period of the underlying share issuer with respect to which
an adjustment to the equity ratio under this “—Certain Extraordinary Cash Dividends” section has not previously
been made, per underlying share exceeds the sum of (a) the immediately preceding cash dividend(s) or other cash distribution(s)
paid in the immediately preceding quarterly fiscal period, if any, per underlying share and (b) 10% of the closing price of the
underlying shares on the date of declaration of such distribution, and (2) any cash dividend or distribution made in the form of
a fixed cash equivalent value for which the holders of underlying shares have the option to receive either a number of underlying
shares or a fixed amount of cash. If the underlying share issuer pays a dividend on an annual basis rather than a quarterly basis,
the calculation agent will make such adjustments to this provision as it deems appropriate.
Notwithstanding the foregoing, in the event
that, with respect to any dividend or distribution to which the first paragraph under “—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” would otherwise apply, the denominator in the fraction referred to
in the formula in that paragraph is less than $1.00 or is a negative number, then Citigroup Global Markets Holdings Inc. may, at
its option, elect to have the adjustment provided by such paragraph not be made and, in lieu of this adjustment, the closing price
of the underlying shares on any date of determination from and after open of business on the adjustment date will be deemed to
be equal to the sum of (i) the closing price of the underlying shares on such date and (ii) the amount of cash so distributed applicable
to one underlying share. If the closing price of the underlying shares as so determined on the valuation date is less than the
initial share price by more than the buffer percentage, each holder of the securities will receive per security at maturity (x)
a number of underlying shares equal to the equity ratio (with cash in lieu of any fractional share based on the closing price of
such shares on the valuation date) (or, in our sole discretion, cash based on the value thereof), (y) cash in an amount per security
equal to the equity ratio as of the adjustment date for such distribution
multiplied by
the amount of cash determined pursuant
to clause (ii) of the immediately preceding sentence and (z) the cash buffer.
Reorganization Events
In the event of any of the following “reorganization
events” with respect to the underlying share issuer:
|
•
|
the underlying share issuer reclassifies the underlying shares, including, without limitation,
in connection with the issuance of tracking stock,
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on Shares of the iShares
®
Russell 2000 ETF Due July 28, 2022
|
|
|
•
|
any consolidation or merger of the underlying share issuer, or any surviving entity or subsequent
surviving entity of the underlying share issuer, with or into another entity, other than a merger or consolidation in which the
underlying share issuer is the continuing company and in which the underlying shares outstanding immediately before the merger
or consolidation are not exchanged for cash, securities or other property of the underlying share issuer or another issuer,
|
|
•
|
any sale, transfer, lease or conveyance to another company of the property of the underlying share
issuer or any successor as an entirety or substantially as an entirety,
|
|
•
|
any statutory exchange of the underlying shares with securities of another issuer, other than in
connection with a merger or acquisition,
|
|
•
|
another entity completes a tender or exchange offer for all the outstanding underlying shares or
|
|
•
|
any liquidation, dissolution or winding up of the underlying share issuer or any successor of the
underlying share issuer,
|
the closing price of the underlying shares
on any date of determination from and after the open of business on the adjustment date will, in each case, be deemed to be equal
to the transaction value on such date of determination. The calculation agent will determine in its sole discretion whether a transaction
constitutes a reorganization event as defined above, including whether a transaction constitutes a sale, transfer, lease or conveyance
to another company of the property of the underlying share issuer or any successor “as an entirety or substantially as an
entirety.” The calculation agent will have significant discretion in determining what “substantially as an entirety”
means and may exercise that discretion in a manner that may be adverse to the interests of holders of the securities.
The “transaction value” will
equal the sum of (1), (2) and (3) below:
|
(1)
|
for any cash received in a reorganization event, the amount of cash received per underlying share,
|
|
(2)
|
for any property other than cash or marketable securities received in a reorganization event, an
amount equal to the fair market value on the effective date of the reorganization event of that property received per underlying
share, as determined by a nationally recognized independent investment banking firm retained for this purpose by Citigroup Global
Markets Holdings Inc., whose determination will be final, and
|
(3) for
any marketable securities received in a reorganization event, an amount equal to the closing price per unit of these marketable
securities on the applicable date of determination
multiplied by
the number of these marketable securities received per
underlying share,
plus
, in each case, if underlying
shares continue to be outstanding following the reorganization event, the closing price of the underlying shares.
“Marketable securities” are
any perpetual equity securities or debt securities with a stated maturity after the maturity date, in each case that are listed
on a U.S. national securities exchange. The number of shares of any equity securities constituting marketable securities included
in the calculation of transaction value pursuant to clause (3) above will be adjusted if any event occurs with respect to the marketable
securities or the issuer of the marketable securities between the time of the reorganization event and maturity of the securities
that would have required an adjustment as described above, had it occurred with respect to the underlying shares or the underlying
share issuer. Adjustment for these subsequent events will be as nearly equivalent as practicable to the adjustments described above,
as determined by the calculation agent.
If the closing price of the underlying shares
as determined based on the transaction value on the valuation date is less than the initial share price by more than the buffer
percentage, each holder of the securities will receive per security at maturity (i) cash in an amount equal to the equity ratio
immediately preceding the reorganization event
multiplied by
the sum of clauses (1) and (2) in the definition of “Transaction
Value” above, (ii) if the underlying shares continue to be outstanding following the effective date of the reorganization
event, a number of such underlying shares equal to the equity ratio (or, in our sole discretion, the cash value thereof based on
the closing price of the underlying shares on the valuation date), (iii) the number of marketable securities received per underlying
share in the reorganization event
multiplied by
the equity ratio immediately prior to the adjustment date for the reorganization
event (or, in our sole discretion, the cash value thereof based on the closing price of the marketable securities on the valuation
date) and (iv) the cash buffer.
Certain General Provisions
The adjustments described in this section
will be effected at the open of business on the applicable date specified below (such date, the “adjustment date”):
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•
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in the case of any dividend, distribution or issuance,
on the applicable ex-date (as defined below),
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•
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in the case of any subdivision, split, combination
or reclassification, on the effective date thereof, and
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•
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in the case of any reorganization event, on the effective
date of the reorganization event.
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All adjustments will be rounded upward or
downward to the nearest 1/10,000th or, if there is not a nearest 1/10,000th, to the next lower 1/10,000th. No adjustment in the
equity ratio will be required unless the adjustment would require an increase or decrease of at least one percent therein,
provided
,
however
, that any adjustments which by reason of this sentence are not required to be made will be carried forward (on a
percentage basis) and taken into account in any subsequent adjustment. If any announcement or declaration of a record date in respect
of a dividend, distribution or issuance requiring an adjustment as described herein is subsequently canceled by the underlying
share issuer, or this dividend, distribution or issuance fails to receive requisite approvals or fails to occur for any other reason,
in each case prior to the maturity date, then, upon the cancellation, failure of approval or failure to occur, the equity ratio,
the initial share price will be further adjusted to the equity ratio and the initial share price, respectively, which would then
have been in effect had adjustment for the event not been made. All adjustments to the equity ratio shall be cumulative, such that
if more than one adjustment is required to the equity ratio, each subsequent adjustment will be made to the equity ratio as previously
adjusted.
The “ex-date” relating to any
dividend, distribution or issuance is the first date on which the underlying shares trade in the regular way on their principal
market without the right to receive such dividend, distribution or issuance from the underlying share issuer or, if applicable,
from the seller on such market (in the form of due bills or otherwise).
For the purpose of adjustments described
herein, each non-U.S. dollar value (whether a value of cash, property, securities or otherwise) shall be expressed in U.S. dollars
as converted from the relevant currency using the 12:00 noon buying rate in New York certified by the New York Federal Reserve
Bank for customs purposes on the date of valuation, or if this rate is unavailable, such rate as the calculation agent may determine.
Delisting, Liquidation or Termination of the ETF
If a termination event occurs with respect to the underlying
shares as described in the section “Description of the Securities—Certain Additional Terms for Securities Linked to
ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying product
supplement and the calculation agent selects successor ETF shares, the calculation agent will make such adjustments to the initial
share price and the equity ratio as are appropriate in the circumstances. If a termination event occurs and the calculation agent
has not selected successor ETF shares that are available as of the valuation date, the calculation agent will calculate the closing
price of the underlying shares on such date in the manner described in the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying
ETF” in the accompanying product supplement and, if the final share price as so determined is less than the initial share
price by more than the buffer percentage, we will not deliver underlying shares at maturity but, in lieu of any such underlying
shares, will pay you cash in an amount per security equal to the final share price as so determined
multiplied by
the equity
ratio.
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. This discussion does not
address the U.S. federal tax consequences of the ownership or
disposition of the underlying shares that you may receive at maturity.
You should consult your tax adviser regarding the U.S. federal
tax consequences of the ownership and disposition of the underlying shares.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
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·
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If you receive both cash and underlying shares at maturity, you should recognize loss with respect to the cash received in
an amount equal to the difference between the cash and the portion of your basis in the security that is allocated to the cash.
You
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Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on Shares of the iShares
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should not recognize any gain or loss with respect
to the underlying shares received, and your basis in the underlying shares should be equal to the portion of your basis in the
security that is allocated to the underlying shares. Although there is no direct authority governing the method by which
you should allocate your basis in the security between the cash and underlying shares received, it would be reasonable to allocate
them on the basis of their relative fair market values upon receipt.
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the underlying. In that case, all or a portion of any long-term capital
gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent such
gain exceeded the “net underlying long-term capital gain.” Any long-term capital gain recharacterized as ordinary income
under Section 1260 would be treated as accruing at a constant rate over the period you held your securities, and you would be subject
to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack
of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section 1260 applies to the securities.
You should read the section entitled “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential
Application of Section 1260 of the Code” in the accompanying product supplement for additional information and consult your
tax adviser regarding the potential application of the “constructive ownership” rule.
Subject to the 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 described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect.
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.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on Shares of the iShares
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Russell 2000 ETF Due July 28, 2022
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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 $30.00 for each
$1,000 security sold in this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). From this
underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $30.00 for each $1,000
security they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers not affiliated with CGMI,
which may include dealers acting as custodians, a variable selling concession of up to $5.00 for each $1,000 security they sell
to fee-based advisory accounts.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing price of the underlying shares and, therefore, the value of and your return
on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities,
see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the four-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors— The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or invitation
for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore
other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person
under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures
Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant
to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures Act. Where the securities
are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person which is:
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(a)
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a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
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where no consideration is or will be given for the transfer; or
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(iii)
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where the transfer is by operation of law; or
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
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as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
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Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of
the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
Citigroup Global Markets Holdings Inc.
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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.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2017 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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