CALCULATION
OF REGISTRATION FEE
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Title of each class of securities to be registered
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Maximum aggregate offering price
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Amount of registration fee
(1) (2)
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Medium-Term Senior Notes, Series N
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$3,000,000
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$302.10
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(1)
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Calculated in accordance with Rule 457(r) of the Securities Act.
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(2)
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Pursuant to Rule 457(p) under the Securities Act, the $91,082.82 remaining of the registration fees previously paid with respect
to unsold securities registered on Post-Effective Amendment No. 1 to Registration Statement File No. 333-157386, filed on February
11, 2011 by Citigroup Funding Inc., a wholly owned subsidiary of Citigroup Inc., and Registration Statement File No. 333-172554,
filed on March 2, 2011 by Citigroup Funding Inc., is being carried forward, of which $302.10 is offset against the registration
fee due for this offering and of which $90,780.72 remains available for future registration fee offset. The most recent filing
utilizing a portion of the registration fees previously paid with respect to unsold securities registered on these registration
statements was filed on May 18, 2016. No additional registration fee has been paid with respect to this offering.
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Citigroup Global Markets Holdings Inc.
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May 18, 2016
Medium-Term Senior Notes,
Series N
Pricing Supplement No.
2016–USNCH0017
Filed Pursuant to Rule
424(b)(2)
Registration Statement Nos. 333-192302 and 333-192302-06
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Fixed to Floating
Rate CMS Spread Notes Due May 23, 2021
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§
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The notes offered by this pricing supplement are unsecured senior debt
securities issued by Citigroup Global Markets Holdings Inc. and are guaranteed by Citigroup Inc. The notes will bear interest at
a fixed rate for one year and, thereafter, will bear interest at a floating rate based on the CMS spread, subject to the minimum
interest rate specified below. The CMS spread is the 30-year constant maturity swap rate (“CMS30”)
minus
the
2-year constant maturity swap rate (“CMS2”) and will be reset quarterly. The notes offer an above-market fixed interest
rate in the first year. Thereafter, however, interest payments on the notes will vary based on fluctuations in the CMS spread and
may be as low as 1.20% pper annum.
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§
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Investors in the notes must be willing to accept (i) an investment
that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the notes if we and Citigroup Inc.
default on our obligations.
All payments on the notes 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 notes are fully and unconditionally guaranteed by Citigroup Inc.
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Aggregate stated principal amount:
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$3,000,000
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Stated principal amount:
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$1,000 per note
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Pricing date:
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May 18, 2016
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Issue date:
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May 23, 2016
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Maturity date:
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May 23, 2021
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Payment at maturity:
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At maturity you will receive for each note you then hold an amount in cash equal to $1,000
plus
any accrued and unpaid interest
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Interest:
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§
During
each interest period from and including the issue date to but excluding May 23, 2017, the notes will bear interest at
a fixed rate of 4.25% per annum
§
During
each interest period commencing on or after May 23, 2017, the notes will bear interest at a floating rate equal to the
CMS spread, as determined on the interest determination date for that interest period, subject to a minimum interest rate
of 1.20% per annum
After the first year
of the term of the notes, interest payments will vary based on fluctuations in the CMS spread. After the first year, the
notes may pay interest at a below-market rate for an extended period of time, or even throughout the entire remaining
term.
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CMS spread:
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On any interest determination date, CMS30
minus
CMS2, each as determined on that interest determination date
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Interest determination date:
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For any interest period commencing on or after May 23, 2017, the second U.S. government securities business day prior to the first day of that interest period
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Interest period:
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Each three-month period from and including an interest payment date (or the issue date, in the case of the first interest period) to but excluding the next interest payment date
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Interest payment dates:
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The 23rd day of each February, May, August and November, beginning on August 23, 2016 and ending on the maturity date
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Listing:
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The notes will not be listed on any securities exchange
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CUSIP / ISIN:
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17324C2J4 / US17324C2J41
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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)
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Underwriting fee
(2)
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Proceeds to issuer
(2)
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Per note:
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$1,000
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$10
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$990
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Total:
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$3,000,000
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$30,000
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$2,970,000
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(1) On the date of this pricing supplement,
the estimated value of the notes is $973.00 per note, which is less than the issue price. The estimated value of the notes 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 notes from you at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $10 for each $1,000 note sold in this offering. The per note proceeds to issuer above represents the minimum per note
proceeds to issuer, assuming the maximum per note underwriting fee. The total underwriting fee and proceeds to Citigroup Global
Markets Holdings Inc. shown above give effect to the actual amount of this variable underwriting fee. For more information on the
distribution of the notes, 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 notes declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the notes 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 nor any state securities commission has approved or disapproved of the notes 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.
Y
ou
should read this pricing supplement together with the accompanying product supplement,
prospectus
supplement and prospectus
,
which can be accessed via the following hyperlinks:
Product
Supplement IE-07-02 dated March 8, 2016
Prospectus
Supplement and Prospectus each dated March 7, 2016
T
he
notes 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.
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Citigroup Global Markets Holdings Inc.
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Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
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Additional Information
General
. The terms of the notes 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, for complete information about the manner in which interest payments on the notes will be calculated and paid, you
should read the section “Description of the Notes” in the accompanying product supplement together with the information
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 notes. Certain terms used but not defined in this
pricing supplement are defined in the accompanying product supplement.
No Survivor’s Option.
For the avoidance of doubt,
the notes offered hereby are not survivor’s option notes and the provisions related to survivor’s option notes in the
accompanying product supplement are not applicable.
Business Day Convention.
Notwithstanding what is otherwise
provided in the accompanying product supplement, if an interest payment date falls on a day that is not a business day (as defined
in the accompanying product supplement), the interest payment to be made on that interest payment date will be made on the next
succeeding business day. Such payment will have the same force and effect as if made on that interest payment date, and no interest
will accrue as a result of delayed payment.
Hypothetical Examples
The table below presents examples of hypothetical quarterly interest
payments after the first year of the term of the notes based on various hypothetical CMS spread values.
As illustrated below, if the CMS spread is less than or equal
to 1.20% on the applicable interest determination date, the floating interest rate will be the minimum interest rate of 1.20% per
annum for the related interest period.
The examples are for purposes of illustration only and have been
rounded for ease of analysis. The actual interest payments after the first year of the term of the notes will depend on the actual
value of the CMS spread on each interest determination date. The applicable interest rate for each interest period will be determined
on a per annum basis but will apply only to that interest period.
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Hypothetical CMS Spread
(1)
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Hypothetical Interest Rate per Annum
(2)
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Hypothetical Quarterly Interest Payment per Note
(3)
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-1.000%
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1.200%
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$3.00
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-0.800%
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1.200%
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$3.00
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-0.600%
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1.200%
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$3.00
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-0.400%
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1.200%
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$3.00
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-0.200%
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1.200%
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$3.00
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0.000%
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1.200%
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$3.00
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0.200%
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1.200%
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$3.00
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0.400%
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1.200%
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$3.00
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0.600%
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1.200%
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$3.00
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0.800%
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1.200%
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$3.00
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1.000%
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1.200%
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$3.00
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1.200%
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1.200%
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$3.00
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1.400%
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1.400%
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$3.50
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1.600%
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1.600%
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$4.00
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1.800%
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1.800%
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$4.50
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2.000%
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2.000%
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$5.00
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2.200%
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2.200%
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$5.50
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2.400%
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2.400%
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$6.00
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2.600%
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2.600%
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$6.50
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2.800%
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2.800%
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$7.00
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3.000%
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3.000%
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$7.50
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3.200%
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3.200%
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$8.00
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_______________________________
(1) Hypothetical CMS spread = (CMS30 – CMS2),
where
CMS30 and CMS2 are each determined on the second U.S. government securities business day prior to the beginning of the applicable
interest period.
(2) Hypothetical interest rate per annum for the interest period
= the greater of (i) CMS Spread and (ii) 1.20%.
(3) Hypothetical quarterly interest payment per note = (i) the
stated principal amount of $1,000
multiplied by
the applicable interest rate per annum
divided by
(ii) 4.
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Citigroup Global Markets Holdings Inc.
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Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
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Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes 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
notes, and are also subject to risks associated with fluctuations in the CMS spread. Accordingly, the notes are suitable only for
investors who are capable of understanding the complexities and risks of the notes. You should consult your own financial, tax
and legal advisers as to the risks of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the
notes contained in the section “Risk Factors Relating to the Notes” beginning on page IE-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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After the first year, the notes will pay interest at a floating
rate that may be as low as 1.20% on one or more interest payment dates.
The floating interest payments on the notes will vary
based on fluctuations in the CMS spread. If the CMS spread does not widen significantly from its current level, interest payments
on the notes will be paid at the minimum interest rate of 1.20% per annum. The CMS spread is influenced by many complex economic
factors and is impossible to predict. After the first year, it is possible that the notes will pay interest at a below-market rate
for an extended period of time, or even throughout the entire remaining term of the notes. Although the notes provide for the repayment
of the stated principal amount at maturity, you may nevertheless suffer a loss on your investment in the notes, in real value terms,
if you receive below-market interest payments after the first year of the term of the notes.
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§
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The CMS spread may be reduced if short-term interest rates rise
or if the market expects short-term interest rates to rise.
Although there is no single factor that determines the spread
between CMS rates of different maturities, CMS spreads have historically tended to fall when short-term interest rates rise or
when the market expects short-term interest rates to rise. Short-term interest rates have historically been highly sensitive to
the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the notes is that the
Federal Reserve Board may pursue (or continue to pursue) a policy of raising short-term interest rates, or that the market may
anticipate such a policy. In that event, if historical patterns hold, the CMS spread is unlikely to rise from its current level
and may decline, resulting in interest payments on the notes at the minimum interest rate of 1.20% per annum. It is important to
understand, however, that short-term interest rates are affected by many factors and may increase even in the absence of a Federal
Reserve Board policy to increase short-term interest rates. Furthermore, it is important to understand that the CMS spread is influenced
by many complex factors and that it may decrease even in the absence of an increase in short-term interest rates and that it may
fail to widen even if short-term interest rates fall. See “About Constant Maturity Swap Rates” in the accompanying
product supplement.
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§
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The floating interest rate on the notes may be lower than other
market interest rates.
The floating interest rate on the notes will not necessarily move in line with general U.S. market interest
rates or even CMS rates and, in fact, may move inversely with general U.S. market interest rates, as described in the preceding
risk factor. For example, if there is a general increase in CMS rates but shorter-term rates rise more than longer-term rates,
the CMS spread will decrease. Accordingly, the notes are not appropriate for investors who seek floating interest payments based
on general market interest rates.
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§
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The notes are subject to the credit risk of Citigroup Global Markets
Holdings Inc. and Citigroup Inc.
If we default on our obligations under the notes and Citigroup Inc. defaults on its guarantee
obligations, your investment would be at risk and you could lose some or all of your investment.
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§
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Secondary market sales of the notes may result in a loss of principal.
You will be entitled to receive at least the full stated principal amount of your notes, subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., only if you hold the notes to maturity. The value of the notes may fluctuate,
and if you sell your notes in the secondary market prior to maturity you may receive less than your initial investment.
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§
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The notes will not be listed on a securities exchange and you may
not be able to sell them prior to maturity.
The notes will not be listed on any securities exchange. Therefore, there may be
little or no secondary market for the notes. CGMI currently intends to make a secondary market in relation to the notes and to
provide an indicative bid price for the notes on a daily basis. Any indicative bid price for the notes 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 notes 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 notes because it is likely that CGMI will be the only broker-dealer that is willing
to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.
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§
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The difference between CMS30 and CMS2 may not be as great as the
difference between CMS30 and a CMS rate with a shorter maturity.
The floating interest payments on the notes may be less than
they would be if the notes were linked to the spread between CMS30 and a CMS rate with a shorter maturity than 2 years.
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Citigroup Global Markets Holdings Inc.
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|
Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
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§
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The estimated value of the notes 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 notes that are included in the issue price. These costs include (i)
the selling concessions paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our
affiliates in connection with the offering of the notes 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 notes. These costs adversely affect the
economic terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic
terms of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the notes. See “The estimated value of the notes 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 notes 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 CMS spread and interest rates. CGMI’s views on these inputs and assumptions 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 notes. Moreover, the estimated value
of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated
value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value.
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§
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The estimated value of the notes would be lower if it were calculated
based on our secondary market rate.
The estimated value of the notes 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 notes. 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 notes for purposes of any purchases of the notes 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 notes, 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 interest that is payable on the notes.
|
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 notes, 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 notes prior
to maturity.
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§
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The estimated value of the notes is not an indication of the price,
if any, at which CGMI or any other person may be willing to buy the notes from you in the secondary market.
Any such secondary
market price will fluctuate over the term of the notes 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 notes 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 notes than if
our internal funding rate were used. In addition, any secondary market price for the notes will be reduced by a bid-ask spread,
which may vary depending on the aggregate stated principal amount of the notes 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 notes will be less than the issue price.
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§
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The value of the notes prior to maturity will fluctuate based on
many unpredictable factors.
The value of your notes prior to maturity will fluctuate based on the level and volatility of the
CMS spread and a number of other factors, including expectations of future levels of CMS30 and CMS2, the level of general market
interest rates, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary
market rate. You should understand that the value of your notes 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 Notes” in this pricing supplement.
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§
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Our offering of the notes does not constitute a recommendation to
invest in an instrument linked to the CMS spread.
You should not take our offering of the notes as an expression of our views
about how the CMS spread will perform in the future or as a recommendation to invest in any instrument linked to the CMS spread,
including the notes. As we are part of a global financial institution, our affiliates may, and often do, have positions (including
short positions), and may publish research or express opinions, that in each case conflict with an investment in the notes. You
should undertake an independent determination of whether an investment in the notes is suitable for you in light of your specific
investment objectives, risk tolerance and financial resources.
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§
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The manner in which CMS rates are calculated may change in the future.
The method by which CMS30 and CMS2 are calculated may change in the future, as a result of governmental actions, actions by
the publisher of CMS30 and CMS2 or otherwise. We cannot predict whether the method by which CMS30 or CMS2 is calculated will change
or what the impact of any
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Citigroup Global Markets Holdings Inc.
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|
Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
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such change might be. Any such change
could affect the level of the CMS spread in a way that has a significant adverse effect on the notes.
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§
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Hedging and other trading activities by our affiliates may affect
the determination of the CMS spread.
CMS rates are determined based on tradable quotes for U.S. dollar fixed-for-floating interest
rate swaps of the relevant maturities sourced from electronic trading venues. Our affiliates may engage in trading activities on
these electronic trading venues, in order to hedge our obligations under the notes, as part of their general business activities
or otherwise. These trading activities could affect the level of the CMS spread in a way that has a negative effect on the interest
rate payable under the notes. They could also result in substantial returns for our affiliates while the value of the notes declines.
In engaging in these trading activities, our affiliates will have no obligation to consider your interests as an investor in the
notes.
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§
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The calculation agent, which is our affiliate, will make important
determinations with respect to the notes.
If certain events occur, Citibank, N.A., as calculation agent, will be required to
make certain discretionary judgments that could significantly affect one or more payments owed to you under the notes. Such judgments
could include, among other things, determining the level of CMS30 or CMS2 if it is not otherwise available on an interest determination
date and selecting a successor rate if either CMS30 or CMS2 is discontinued. Any of these determinations made by Citibank, N.A.
in its capacity as calculation agent may adversely affect any floating interest payment owed to you under the notes.
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Information About the CMS Spread
The notes are CMS spread notes, which means that they pay interest
(after the first year) based on the difference, or spread, between two constant maturity swap (“
CMS
”) rates
of different maturities—CMS30 and CMS2. A CMS rate of a given maturity is, at any time, a market rate for the fixed leg of
a conventional fixed-for-floating U.S. dollar interest rate swap entered into at that time with that maturity, as more fully described
in the section “About Constant Maturity Swap Rates” in the accompanying product supplement. The relationship between
CMS rates of different maturities may be depicted by a curve on a graph that plots maturities on the x-axis and the applicable
CMS rate on the y-axis. See “About Constant Maturity Swap Rates” in the accompanying product supplement for examples
of CMS rate curves. Interest payments on the notes will depend on changes in the steepness of this CMS rate curve. If the CMS rate
curve steepens, such that the difference between CMS30 and CMS2 becomes greater and exceeds 1.20%, the floating interest payments
on the notes will increase. Conversely, if the CMS rate curve fails to steepen, or if it flattens or becomes inverted, such that
the difference between CMS30 and CMS2 fails to widen or becomes smaller or negative, the floating interest payments on the notes
will be paid at the minimum interest rate of 1.20% per annum.
Many complex economic factors may influence CMS rates and the
spread between CMS rates of different maturities. Accordingly, it is not possible to predict the future performance of any CMS
rate or the spread between CMS rates of different maturities. You should not purchase the notes unless you understand and are willing
to accept the significant risks associated with exposure to future changes in the CMS spread.
For information about how CMS30 and CMS2 will be determined on
each interest determination date, see “Description of the Notes—Terms Related to the Specified CMS Rate(s)—Determining
a Specified CMS Rate” in the accompanying product supplement.
Historical Information
The graph below shows the daily values of the CMS spread for
each day such value was available from January 2, 2006 through May 18, 2016 using historical data obtained from Bloomberg. The
historical values of the CMS spread should not be taken as an indication of the future values of the CMS spread during the term
of the notes.
The CMS spread at 11:00 a.m. (New York time) on May 18, 2016
was 1.185%.
|
Citigroup Global Markets Holdings Inc.
|
|
Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
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Historical CMS Spread (%)
January 2, 2006 to May 18, 2016
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United States Federal Tax Considerations
In the opinion of our tax counsel, Davis Polk & Wardwell
LLP, based on current market conditions, the notes should be treated as “contingent payment debt instruments” for U.S.
federal income tax purposes, as described in the section of the accompanying prospectus supplement called “United States
Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,”
and the remaining discussion assumes this treatment is respected.
If you are a U.S. Holder, you will be required to recognize interest
income at the “comparable yield,” which generally is the yield at which we could issue a fixed-rate debt instrument
with terms similar to those of the notes, including the level of subordination, term, timing of payments and general market conditions,
but excluding any adjustments for the riskiness of the contingencies or the liquidity of the notes. We are required to construct
a “projected payment schedule” in respect of the notes representing a payment or a series of payments the amount and
timing of which would produce a yield to maturity on the notes equal to the comparable yield. The amount of interest you include
in income in each taxable year based on the comparable yield will be adjusted upward or downward to reflect the difference, if
any, between the actual and projected payments on the notes as determined under the projected payment schedule.
We have determined that the comparable yield for a note is a
rate of 2.508%, compounded quarterly, and that the projected payment schedule with respect to a note consists of the following
payments:
|
August 23, 2016
|
$10.625
|
|
May 23, 2018
|
$5.541
|
|
February 23, 2020
|
$4.865
|
|
November 23, 2016
|
$10.625
|
|
August 23, 2018
|
$5.441
|
|
May 23, 2020
|
$4.746
|
|
February 23, 2017
|
$10.625
|
|
November 23, 2018
|
$5.358
|
|
August 23, 2020
|
$4.645
|
|
May 23, 2017
|
$10.625
|
|
February 23, 2019
|
$5.273
|
|
November 23, 2020
|
$4.524
|
|
August 23, 2017
|
$5.852
|
|
May 23, 2019
|
$5.182
|
|
February 23, 2021
|
$4.399
|
|
November 23, 2017
|
$5.748
|
|
August 23, 2019
|
$5.090
|
|
May 23, 2021
|
$1,004.280
|
|
February 23, 2018
|
$5.638
|
|
November 23, 2019
|
$4.983
|
|
|
|
|
Citigroup Global Markets Holdings Inc.
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Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
|
|
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Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amounts that we will pay on the notes.
Upon the sale or exchange of the notes (including retirement
at maturity), you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted
tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes increased by interest income previously
included on the notes (without regard to the adjustments described above) and decreased by prior payments according to the projected
payment schedule. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss
to the extent of prior net interest inclusions on the note and as capital loss thereafter.
Subject to the discussion below, if you are a Non-U.S. Holder
of notes, you generally will not be subject to U.S. federal withholding or income tax in respect of payments on or amounts received
on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes 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.
See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying prospectus
supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying prospectus 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 notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes 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 notes, is acting as principal and will receive an underwriting fee of up to $10 for each
$1,000 note sold in this offering. The actual underwriting fee will be equal to the selling concession paid to selected dealers.
CGMI will pay selected dealers not affiliated with CGMI a variable selling concession of up to $10 for each $1,000 note they sell.
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 notes, 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 notes will
be used to hedge our obligations under the notes. We have hedged our obligations under the notes 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 notes declines. For additional
information on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
Valuation of the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (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 notes 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 notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes 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 notes. 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 notes from investors at any time.
See “Summary Risk Factors—The notes will not be listed on a securities exchange and you may not be able to sell them
prior to maturity.”
|
Citigroup Global Markets Holdings Inc.
|
|
Fixed to Floating Rate CMS Spread Notes Due May 23, 2021
|
|
|
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes 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 notes 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 notes.
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 March 8, 2016, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on March 9, 2016, 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 notes nor the issuance and delivery of the notes and the related guarantee, nor the compliance by Citigroup Global Markets
Holdings Inc. and Citigroup Inc. with the terms of the notes 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 notes 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 notes 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 notes 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 notes 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.
©
2016 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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