Citigroup Global Markets Holdings Inc.
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October
16, 2017
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2017-USNCH0752
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-216372 and 333-216372-01
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Autocallable Contingent Coupon Equity
Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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▪
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The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. The securities offer the potential for quarterly coupon payments at an annualized rate that,
if all are paid, would produce a yield that is generally higher than the yield on our conventional debt securities of the same
maturity. In exchange for this higher potential yield, you must be willing to accept the risks that (i) your actual yield may be
lower than the yield on our conventional debt securities of the same maturity because you may not receive one or more, or any,
contingent coupon payments; (ii) your actual yield may be negative because, at maturity, what you receive may be worth significantly
less than the stated principal amount of your securities and possibly worth nothing; and (iii) the securities may be automatically
redeemed prior to maturity beginning approximately three months after the issue date. Each of these risks will depend on the performance
of the shares of common stock of NVIDIA Corporation (the “underlying shares”), as described below. Although you will
be exposed to downside risk with respect to the underlying shares, you will not participate in any appreciation of the underlying
shares or receive any dividends paid on the underlying shares.
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Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any payments due under the securities if we and Citigroup Inc. default on our obligations.
All payments
on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying shares:
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Shares of common stock of NVIDIA Corporation (NASDAQ symbol: “NVDA”) (the “underlying share issuer”)
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Aggregate stated principal amount:
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$3,481,000
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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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October 16, 2017
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Issue date:
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October 19, 2017. See “Supplemental Plan of Distribution” in this pricing supplement.
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Valuation dates:
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January 16, 2018, April 16, 2018, July 16, 2018 and October 16, 2018 (the “final valuation date”), each 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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Unless earlier redeemed, October 19, 2018
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Contingent coupon payment dates:
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For each valuation date, the fifth business day after such valuation date, except that the contingent coupon payment date for the final valuation date will be the maturity date
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Contingent coupon:
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On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 2.50% (approximately 10.00% per annum) of the stated principal amount of the securities
if and only if
the closing price of the underlying shares on the related valuation date is greater than or equal to the coupon barrier price.
If the closing price of the underlying shares on any quarterly valuation date is less than the coupon barrier price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
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Automatic early redemption:
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If, on any potential redemption date, the closing price of the underlying shares is greater than or equal to the initial share price, each security you then hold will be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000
plus
the related contingent coupon payment.
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Potential redemption dates:
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Each quarterly valuation date beginning in January 2018 and ending in July 2018
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Payment at maturity:
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If the securities are not automatically redeemed prior
to maturity, you will be entitled to receive at maturity, for each security you then hold:
▪
If
the final share price is
greater than or equal to
the final barrier price: $1,000
plus
the contingent coupon payment
due at maturity
▪
If
the final share price is
less than
the final barrier price: a fixed number of underlying shares equal to the equity ratio
(or, if we exercise our cash election right, the cash value of those shares based on the closing price of the underlying shares
on the final valuation date)
If the final share price is less than the final barrier
price, you will receive underlying shares (or, in our sole discretion, cash) worth less than 70.00% of the stated principal amount
of your securities, and possibly nothing, at maturity, and you will not receive any contingent coupon payment at maturity.
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Initial share price:
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$197.93, 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 final valuation date
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Coupon barrier price:
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$138.551, 70.00% of the initial share price
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Final barrier price:
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$138.551, 70.00% of the initial share price
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Equity ratio:
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5.05229, the stated principal amount
divided by
the initial share price, subject to anti-dilution adjustments for certain corporate events
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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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17324XDK3 / US17324XDK37
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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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$12.50
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$987.50
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Total:
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$3,481,000.00
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$43,512.50
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$3,437,487.50
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(1) On the date of this pricing
supplement, the estimated value of the securities is $962.80 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 $987.50 per security, assuming no custodial fee is charged by
a selected dealer, and up to $992.50 per security, assuming the maximum custodial fee is charged by a selected dealer. See “Supplemental
Plan of Distribution” in this pricing supplement.
(3) For more information
on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition
to the underwriting fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value
of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-3.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement and the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, prospectus supplement and prospectus, each of which can be accessed via the
hyperlinks below:
Product Supplement No. EA-04-06 dated April 7, 2017
Prospectus Supplement and Prospectus each dated April 7, 2017
The securities are not bank deposits
and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they
obligations of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect whether you receive a contingent coupon payment on a contingent coupon
payment date as well as your payment at maturity or, in the case of a delisting of the underlying shares, could give us the right
to call the securities prior to maturity for an amount that may be less than the stated principal amount. These events, including
market disruption events and other events affecting the underlying shares, and their consequences are described in the accompanying
product supplement in the sections “Description of the Securities—Certain Additional Terms for Securities Linked to
Company Shares or ETF Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution
and Reorganization Adjustments” and “—Delisting of Company Shares,” and not in this pricing supplement.
It is important that you read the accompanying product supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments.
The initial share
price, the coupon barrier price and the final barrier price are each a “Relevant Price” for purposes of the section
“Description of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution
and Reorganization Adjustments” in the accompanying product supplement. Accordingly, the initial share price, the coupon
barrier price and the final barrier price, as well as the equity ratio, are each subject to adjustment upon the occurrence of any
of the events described in that section.
Hypothetical
Examples
The table below illustrates hypothetical total returns you might
receive on the securities for a range of hypothetical final share prices and a varying number of contingent coupon payments hypothetically
received over the term of the securities, assuming the securities are not automatically redeemed prior to maturity. You should
understand that the term of the securities, and your opportunity to receive the contingent coupon payments on the securities, may
be limited to as short as approximately three months by the automatic call feature of the securities, which is not reflected in
the table below. The hypothetical total return figures in the table below represent a total return on your investment if the securities
are held to maturity. The outcomes illustrated in the table below are not exhaustive, and your actual total return on the securities
may differ from any example illustrated below. For ease of analysis, figures in the table below have been rounded.
The table below is based on the following values in order to
illustrate how the securities work:
Initial share price:
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$197.93
(the closing price of the underlying shares on the pricing date)
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Final barrier price:
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$138.551
(70.00% of the initial share price)
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Contingent coupon:
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10.00%
of the stated principal amount per annum, paid quarterly
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The table below assumes that the closing price of the underlying
shares on the final valuation date is the same as the closing price of the underlying shares on the maturity date.
Hypothetical final share price
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Hypothetical percentage change from initial share price to final share price
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Hypothetical value of the underlying shares or cash amount you receive at maturity
1
per security
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Hypothetical total return on the securities
2
if the closing price of the underlying shares is greater than or equal to the coupon barrier price on:
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All valuation dates
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3 valuation dates
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2 valuation dates
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1 valuation date
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No valuation dates
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$227.62
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15.00%
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$1,000.00
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10.00%
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7.50%
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5.00%
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2.50%
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N/A
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$197.93
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0.00%
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$1,000.00
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10.00%
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7.50%
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5.00%
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2.50%
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N/A
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$168.24
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-15.00%
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$1,000.00
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10.00%
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7.50%
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5.00%
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2.50%
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N/A
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$138.551
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-30.00%
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$1,000.00
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10.00%
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7.50%
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5.00%
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2.50%
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N/A
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$138.55
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-30.001%
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$699.99
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N/A
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-22.501%
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-25.001%
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-27.501%
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-30.001%
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$98.97
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-50.00%
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$500.00
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N/A
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-42.50%
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-45.00%
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-47.50%
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-50.00%
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$49.48
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-75.00%
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$250.00
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N/A
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-67.50%
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-70.00%
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-72.50%
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-75.00%
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$0.00
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-100.00%
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$0.00
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N/A
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-92.50%
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-95.00%
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-97.50%
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-100.00%
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(1) Excluding
the final contingent coupon payment, if any. Based on the closing price of the underlying shares on the final valuation date.
If we elect to deliver any underlying shares as payment at maturity, you will receive such underlying shares on the maturity date.
(2)
The hypothetical total return on the securities is calculated as (a) (i) the value of the underlying shares or cash amount received
at maturity (excluding the final contingent coupon payment, if any) per security
plus
the aggregate contingent coupon payments
per security received over the term of the securities
minus
(ii) the $1,000 stated principal amount per security
divided
by
(b) the $1,000 stated principal amount per security.
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with 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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▪
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You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for
the repayment of the stated principal amount at maturity in all circumstances. If the securities are not automatically redeemed
prior to maturity and the final share price is less than the final barrier price, 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) that will be worth less than 70.00% of the stated principal amount and may be worth nothing.
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▪
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You will not receive any contingent coupon payment for any quarter in which the closing price of the underlying shares is
less than the coupon barrier price on the related valuation date.
A contingent coupon payment will be made on a contingent
coupon payment date if and only if the closing price of the underlying shares on the related valuation date is greater than or
equal to the coupon barrier price. If the closing price of the underlying shares is less than the coupon barrier price on any quarterly
valuation date, you will not receive any contingent coupon payment on the related contingent coupon payment date, and if the closing
price of the underlying shares is below the coupon barrier price on each valuation date, you will not receive any contingent coupon
payments over the term of the securities.
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▪
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Higher contingent coupon rates are associated with greater risk.
The securities offer contingent coupon payments at
an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the pricing
date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any, contingent
coupon payment dates and the risk that what you receive at maturity may be worth significantly less than the stated principal amount
of your securities at maturity and may be worth nothing. The volatility of the underlying shares is an important factor affecting
this risk. Greater expected volatility of the underlying shares as of the pricing date may result in a higher contingent coupon
rate, but it also represents a greater expected likelihood as of the pricing date that the closing price of the underlying shares
will be less than the coupon barrier price on one or more valuation dates, such that you will not receive one or more, or any,
contingent coupon payments during the term of the securities and that the closing price of the underlying shares will be less than
the final barrier price on the final valuation date, such that you will not be repaid the stated principal amount of your securities
at maturity.
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▪
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You may not be adequately compensated for assuming the downside risk of the underlying shares.
The potential contingent
coupon payments on the securities are the compensation you receive for assuming the downside risk of the underlying shares, as
well as all the other risks of the securities. That compensation is effectively “at risk” and may, therefore, be less
than you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because
the coupon is “contingent” and you may not receive a contingent coupon payment on one or more, or any, of the contingent
coupon payment dates. Second, the contingent coupon payments are the compensation you receive not only for the downside risk of
the underlying shares, but also for all of the other risks of the securities, including the risk that the securities may be automatically
redeemed beginning approximately three months after the issue date, interest rate risk and our credit risk. If those other risks
increase or are otherwise greater than you currently anticipate, the contingent coupon payments may turn out to be inadequate to
compensate you for all the risks of the securities, including the downside risk of the underlying shares.
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▪
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The securities may be automatically called prior to maturity, limiting your opportunity to receive contingent coupon payments.
On any valuation date beginning approximately three months after issuance and prior to the final valuation date, the securities
will be automatically called if the closing price of the underlying shares on that valuation date is greater than or equal to the
initial share price. Thus, the term of the securities may be limited to as short as approximately three months. If the securities
are called prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to
reinvest your funds in another investment that provides a similar yield with a similar level of risk.
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▪
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The securities offer downside exposure to the underlying shares, but no upside exposure to the underlying shares.
You
will not participate in any appreciation in the price of the underlying shares over the term of the securities. Consequently, your
return on the securities will be limited to the contingent coupon payments you receive, if any, and may be significantly less than
the
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Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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return on the underlying shares over the term of the securities. In addition, you will not receive any dividends or other distributions
or any other rights with respect to the underlying shares over the term of the securities.
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▪
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The performance of the securities will depend on the closing price of the underlying shares solely on the relevant valuation
dates, which makes the securities particularly sensitive to the volatility of the underlying shares.
Whether the contingent
coupon will be paid for any given quarter and whether the securities will be automatically redeemed prior to maturity will depend
on the closing price of the underlying shares solely on the applicable quarterly valuation dates, regardless of the closing price
of the underlying shares on other days during the term of the securities. If the securities are not automatically redeemed, what
you receive at maturity will depend solely on the closing price of the underlying shares on the final valuation date, and not on
any other day during the term of the securities. Because the performance of the securities depends on the closing price of the
underlying shares on a limited number of dates, the securities will be particularly sensitive to volatility in the closing price
of the underlying shares. You should understand that the underlying shares have historically been highly volatile.
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▪
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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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▪
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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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▪
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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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▪
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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, the
dividend yield on the underlying shares and interest rates. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to
the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated
value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates
may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities
because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective
of the initial estimated value.
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▪
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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 the same as the coupon
that is payable on the securities.
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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
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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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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▪
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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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▪
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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 dividend yields on the underlying shares, interest rates generally, the time remaining to maturity and our and Citigroup
Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the 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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▪
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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 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 and other financial instruments related to the underlying shares and may adjust such positions during
the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the underlying
shares on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management
or to facilitate transactions on behalf of customers. These activities could affect the 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 underlying share issuer, including
extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of
this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies
against the underlying share issuer that are available to them without regard to your interests.
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▪
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You will have no rights and will not receive dividends with respect to the underlying shares unless and until you receive
underlying shares at maturity.
If any change to the underlying shares is proposed, such as an amendment to 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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▪
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Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on 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 underlying share issuer pays any dividend for which an adjustment
is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of
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Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
|
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the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
▪
|
The securities will not be adjusted for all events that could affect the price of the underlying shares.
For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above,
partial tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do make may not fully
offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an
event in a circumstance in which a direct holder of the underlying shares would not.
|
|
▪
|
If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than
the stated principal amount.
If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to Company Shares or ETF Shares—Delisting of Company
Shares” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated
principal amount of the securities.
|
|
▪
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The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares.
For example, if the underlying share issuer enters
into a merger agreement that provides for holders of underlying shares to receive stock of another entity, the stock 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 and we do not exercise our call right, the calculation agent may, in its sole discretion, select
shares of another issuer to be the underlying shares. See “Description of the Securities—Certain Additional Terms for
Securities Linked to Company Shares or ETF Shares—Dilution and Reorganization Adjustments” and “—Delisting
of Company Shares” in the accompanying product supplement.
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|
▪
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, corporate events with respect to 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 what you receive at maturity. In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
|
▪
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The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as described in “United States Federal Tax Considerations”
below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the
securities might be materially and adversely affected. Moreover, as described in the accompanying product supplement under “United
States Federal Tax Considerations,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the
notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
recognized by U.S. investors, possibly with retroactive effect. You should read carefully the discussion under “United States
Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement
and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser
regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
|
Non-U.S. investors should note that persons having
withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S. investor, generally
at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend to so withhold.
In addition, Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
the securities should not be subject to withholding under Section 871(m). However, the IRS could challenge this conclusion.
We will not be required to pay any additional amounts
with respect to amounts withheld.
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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Information
About the Underlying Shares
NVIDIA Corporation designs, develops, and markets three dimensional
(3D) graphics processors and related software. The company’s products provide interactive 3D graphics to the mainstream personal
computer market. The underlying shares are registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by the underlying share issuer pursuant to the Exchange Act can be located
by reference to the SEC file number 000-23985 through the SEC’s website at http://www.sec.gov. In addition, information regarding
the underlying share issuer may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. The underlying shares trade on the NASDAQ Global Select Market under the ticker symbol
“NVDA.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the underlying shares or other securities of the underlying share issuer. We have derived all disclosures
contained in this pricing supplement regarding the underlying shares and the underlying share issuer 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 underlying
share issuer.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer 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.
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 October 16, 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. If certain corporate transactions occurred during
the historical period shown below, including, but not limited to, spin-offs or mergers, then the closing prices of the underlying
shares shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any
such transaction had occurred prior to the first day in the period shown below.
You should not take the historical prices of
the underlying shares as an indication of future performance.
Underlying Shares of NVIDIA Corporation – Historical Closing Prices
January 3, 2012 to October 16, 2017
|
|
* The red line indicates the coupon barrier price and final barrier
price of $138.551, equal to 70.00% of the closing price on October 16, 2017.
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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Common Stock
of NVIDIA Corporation
(CUSIP of
the Underlying Shares: 67066G104)
|
High
|
Low
|
Dividends
|
2012
|
|
|
|
First Quarter
|
$16.45
|
$13.52
|
$0.00000
|
Second Quarter
|
$15.33
|
$11.73
|
$0.00000
|
Third Quarter
|
$14.81
|
$12.37
|
$0.00000
|
Fourth Quarter
|
$13.62
|
$11.38
|
$0.07500
|
2013
|
|
|
|
First Quarter
|
$13.16
|
$11.98
|
$0.07500
|
Second Quarter
|
$14.92
|
$12.13
|
$0.07500
|
Third Quarter
|
$16.00
|
$14.09
|
$0.07500
|
Fourth Quarter
|
$16.22
|
$14.54
|
$0.08500
|
2014
|
|
|
|
First Quarter
|
$18.88
|
$15.36
|
$0.08500
|
Second Quarter
|
$19.61
|
$17.98
|
$0.08500
|
Third Quarter
|
$20.03
|
$17.46
|
$0.08500
|
Fourth Quarter
|
$21.14
|
$16.79
|
$0.08500
|
2015
|
|
|
|
First Quarter
|
$23.47
|
$19.14
|
$0.08500
|
Second Quarter
|
$22.76
|
$20.11
|
$0.09750
|
Third Quarter
|
$24.65
|
$19.31
|
$0.09750
|
Fourth Quarter
|
$33.75
|
$24.17
|
$0.11500
|
2016
|
|
|
|
First Quarter
|
$35.76
|
$25.22
|
$0.11500
|
Second Quarter
|
$48.49
|
$34.76
|
$0.11500
|
Third Quarter
|
$68.52
|
$46.66
|
$0.11500
|
Fourth Quarter
|
$117.32
|
$65.35
|
$0.14000
|
2017
|
|
|
|
First Quarter
|
$119.13
|
$97.67
|
$0.14000
|
Second Quarter
|
$159.94
|
$95.49
|
$0.14000
|
Third Quarter
|
$187.55
|
$139.33
|
$0.14000
|
Fourth Quarter (through October 16, 2017)
|
$197.93
|
$179.00
|
$0.00000
|
The closing price of the underlying shares on October 16, 2017
was $197.93.
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.
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our tax counsel, Davis Polk & Wardwell
LLP, which is based on current market conditions, this treatment of the securities is reasonable under current law; however, our
tax counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld,
and that alternative treatments are possible. This discussion does not address the U.S. federal tax consequences of the ownership
or disposition of the underlying shares that you may receive at maturity. You should consult your tax adviser regarding the particular
U.S. federal tax consequences of the ownership and disposition of the underlying shares.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
|
|
·
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Upon a sale or exchange of a security (including retirement at maturity for cash), you should recognize capital gain or loss
equal to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized
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Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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does
not include any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated
as a coupon payment. Such gain or loss should be short-term capital gain or loss. If, upon retirement of the securities, you receive
underlying shares, you should not recognize gain or loss with respect to the underlying shares received, other than any fractional
underlying share for which you receive cash. Your basis in any underlying shares received, including any fractional underlying
share deemed received, should be equal to your tax basis in the securities.
We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In addition, the U.S.
Treasury Department and the IRS have released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts.” While it is not clear whether the securities would be viewed as similar to the typical prepaid forward
contract described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss, possibly with retroactive effect. You should consult your tax adviser regarding possible alternative
tax treatments of the securities and potential consequences of the IRS notice.
Withholding Tax on Non-U.S. Holders.
Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with
certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility
of obtaining a refund of any amounts withheld and the certification requirement described above.
Moreover, as discussed under “United States Federal Tax
Considerations – Tax Consequences to Non-U.S. Holders – Possible Withholding Under Section 871(m) of the Code”
in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S.
Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one
or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified
Security”). However, the regulations exempt financial instruments issued in 2017 that do not have a “delta” of
one. Based on the terms of the securities and representations provided by us, our tax counsel is of the opinion that the securities
should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are
not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m)
is complex and its application may depend on your particular circumstances. For example, if you enter into other transactions relating
to 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.
We will not be required to pay any additional
amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of $12.50 for each
$1,000 security sold in this offering (or up to $5.00 per security in the case of sales to fee-based advisory accounts). From this
underwriting fee, CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of $12.50 for each $1,000
security they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers not affiliated with CGMI,
which may include dealers acting as custodians, a variable selling concession of up to $5.00 for each $1,000 security they sell
to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup
Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, will receive a fixed selling concession, and financial
advisers employed by such affiliated broker-dealers will receive a fixed selling concession, of $12.50 for each $1,000 security
they sell. CGMI will pay the registered representatives of CGMI a fixed selling concession of $12.50 for each $1,000 security they
sell directly to the public. For the avoidance of doubt, the fees and selling concessions described in this pricing supplement
will not be rebated if the securities are automatically redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
Citigroup Global Markets Holdings Inc.
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Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
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|
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the issue date for the securities is more than two business
days after the pricing date, investors who wish to sell the securities at any time prior to the second business day preceding the
issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisers in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing 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 three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority in the Hong Kong Special
Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are advised to exercise caution
in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement and the accompanying
product supplement, prospectus supplement and prospectus, they should obtain independent professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
|
|
Singapore
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority of Singapore, and the
securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore (the “Securities
and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an invitation for subscription
or purchase nor may this pricing supplement or any other document or material in connection with the offer or sale or invitation
for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly, to any person in Singapore
other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, (b) to a relevant person
under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of the Securities and Futures
Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act, or (c) otherwise pursuant
to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures Act. Where the securities
are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person which is:
|
(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of
the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated April 7, 2017, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on April 7, 2017, that the indenture has been duly
authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets
Citigroup Global Markets Holdings Inc.
|
Autocallable Contingent Coupon Equity Linked Securities Based on the Common Stock of NVIDIA Corporation Due October 19, 2018
|
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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.
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