CALCULATION
OF REGISTRATION FEE
Title of each class
of securities to be registered
|
Maximum aggregate
offering price
|
Amount of registration
fee
(1) (2)
|
Medium-Term Senior Notes, Series N
|
$9,735,000
|
$980.31
|
|
(1)
|
Calculated in accordance
with Rule 457(r) of the Securities Act.
|
|
(2)
|
Pursuant to Rule 457(p)
under the Securities Act, the $21,491.04 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 $980.31 is offset against the registration fee due for this offering
and of which $20,510.73 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 September 19, 2016. No additional registration fee has been paid with respect to this offering.
|
Citigroup Global Markets Holdings Inc.
|
September
16, 2016
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2016—USNCH0173
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-192302 and 333-192302-06
|
Dual Directional Barrier Securities Based on
the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to
or less than the stated principal amount, depending on the performance of the EURO STOXX 50
®
Index (the “underlying
index”) from the initial index level to the final index level.
|
|
▪
|
The securities offer the potential for a positive return at maturity based on the absolute value of the percentage change,
within a limited range, in the underlying index from the initial index level to the final index level. If the underlying index
appreciates, the securities offer 1-to-1 participation in that appreciation, subject to the maximum upside return specified below.
If the underlying index depreciates, the securities offer 1-to-1 positive participation in the absolute value of that depreciation,
but only if the final index level is greater than or equal to the barrier level specified below, which is equal to 78.65% of the
initial index level.
If the underlying index depreciates and the final index level is less than the barrier level, you will
have full negative downside exposure to that depreciation and will lose 1% of the stated principal amount of your securities for
every 1% by which the final index level is less than the initial index level.
In exchange for the potential for a positive
return at maturity even if the underlying index depreciates, investors in the securities must be willing to forgo (i) interest
on the securities and dividends on the stocks included in the underlying index, (ii) participation in any appreciation of the underlying
index in excess of the maximum upside return and (iii) participation in the absolute value of any depreciation of the underlying
index if the final index level is less than the barrier level.
|
|
▪
|
In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to
accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities
if we and Citigroup Inc. default on our obligations.
All payments on the securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
|
KEY TERMS
|
|
Issuer:
|
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
|
Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Underlying index:
|
The EURO STOXX 50
®
Index (ticker symbol: “SX5E”)
|
Aggregate stated principal amount:
|
$9,735,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
September 16, 2016
|
Issue date:
|
September 21, 2016
|
Final valuation dates:
|
September 25, 26, 27, 28 and 29, 2017, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
October 4, 2017, subject to postponement as described under “Additional Information” below
|
Payment at maturity:
|
At maturity, for each $1,000 security you then hold, you will receive
an amount in U.S. dollars determined as follows:
▪
If
the final index level is
greater than or equal to
the initial index level:
$1,000 + ($1,000 × absolute index return), subject to the maximum
upside return
▪
If
the final index level is
less than
the initial index level, but
greater than or equal to
the barrier level:
$1,000 + ($1,000 × absolute index return)
▪
If
the final index level is
less than
the barrier level:
$1,000 × index performance factor
If the final index level is less than the barrier level, your
payment at maturity will be less, and possibly significantly less, than $786.50 per security. You may lose a significant portion,
and up to all, of your investment.
|
Initial index level:
|
2,935.25 the closing level of the underlying index on the pricing date
|
Final index level:
|
The arithmetic average of the closing level of the underlying index on each of the final valuation dates
|
Maximum upside return:
|
$80.00 per security (8.00% of the stated principal amount).
|
Barrier level:
|
2,308.574, which is 78.65% of the initial index level
|
Absolute index return:
|
The absolute value of the index percent change
|
Index percent change:
|
(i) Final index level
minus
initial index level
divided by
(ii) initial index level
|
Index performance factor:
|
Final index level
divided by
initial index level
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CAZ9 / US17324CAZ95
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)(2)
|
Underwriting fee
(3)
|
Proceeds to issuer
(3)
|
Per security:
|
$1,000.00
|
$10.00
|
$990.00
|
Total:
|
$9,735,000.00
|
$97,350.00
|
$9,637,650.00
|
(1) On the date of this pricing
supplement, the estimated value of the securities is $982.80 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 fiduciary accounts is $990.00 per security.
(3) CGMI will receive an underwriting
fee of up to $10.00 for each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act
as placement agents for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $10.00 for each
security they sell in this offering to accounts other than fiduciary accounts. CGMI and the placement agents will forgo an underwriting
fee and placement fee for sales to fiduciary accounts. The total underwriting fees and proceeds to issuer in the table above give
effect to the actual total underwriting fee. For more information on the distribution of the securities, see “Supplemental
Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the securities declines. See “Use of Proceeds and Hedging”
in the accompanying prospectus.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-4.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can
be accessed via the following hyperlinks:
Product Supplement No. EA-02-04 dated March 8, 2016
Underlying Supplement No. 4 dated March 8, 2016
Prospectus and Prospectus Supplement each dated March 7, 2016
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.
|
Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
|
Additional
Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement (except
as set forth in the next paragraph). The accompanying underlying supplement contains important disclosures regarding the underlying
index that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the
securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
Postponement of a Final Valuation Date; Postponement of the
Maturity Date.
If any scheduled final valuation date is not a scheduled trading day, that final valuation date will be postponed
to the next succeeding scheduled trading day. In addition, if a market disruption event occurs on any scheduled final valuation
date, the calculation agent may, but is not required to, postpone that final valuation date to the next succeeding scheduled trading
day on which a market disruption event does not occur. If any final valuation date is postponed so that it coincides with a subsequent
scheduled final valuation date, each such subsequent final valuation date will be postponed to the next succeeding scheduled trading
day (subject to further postponement as provided above if a market disruption event occurs on such succeeding scheduled trading
day). However, in no event will any scheduled final valuation date be postponed more than five scheduled trading days after that
originally scheduled final valuation date as a result of a market disruption event occurring on that scheduled final valuation
date or on an earlier scheduled final valuation date (in each case, as any such scheduled final valuation date may be postponed).
If the last final valuation date is postponed so that it falls less than three business days prior to the scheduled maturity date,
the maturity date will be postponed to the third business day after the last final valuation date as postponed. The provisions
in this paragraph supersede the related provisions in the accompanying product supplement to the extent the provisions in this
paragraph are inconsistent with those provisions. The terms “scheduled trading day” and “market disruption event”
are defined in the accompanying product supplement.
Hypothetical
Examples
The diagram below illustrates the payment at maturity of
the securities for a range of hypothetical percentage changes from the initial index level to the final index level. Your
actual payment at maturity per security will depend on the actual final index level and may differ substantially from the
examples shown. It is impossible to predict whether you will realize a gain or loss on your investment in the securities.
Figures in the table and examples below have been rounded for ease of analysis.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities.
See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
|
Dual Directional Barrier Securities
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Underlying Index
|
Hypothetical Final Index Level
|
Hypothetical Index Percent Change
(1)
|
Hypothetical Payment at Maturity per Security
|
Hypothetical Total Return on Securities at Maturity
(2)
|
5,870.500
|
100.00%
|
$1,080.00
|
8.00%
|
5,136.688
|
75.00%
|
$1,080.00
|
8.00%
|
4,402.875
|
50.00%
|
$1,080.00
|
8.00%
|
4,109.350
|
40.00%
|
$1,080.00
|
8.00%
|
3,815.825
|
30.00%
|
$1,080.00
|
8.00%
|
3,522.300
|
20.00%
|
$1,080.00
|
8.00%
|
3,228.775
|
10.00%
|
$1,080.00
|
8.00%
|
3,170.070
|
8.00%
|
$1,080.00
|
8.00%
|
3,082.013
|
5.00%
|
$1,050.00
|
5.00%
|
2,935.250
|
0.00%
|
$1,000.00
|
0.00%
|
2,788.488
|
-5.00%
|
$1,050.00
|
5.00%
|
2,641.725
|
-10.00%
|
$1,100.00
|
10.00%
|
2,348.200
|
-20.00%
|
$1,200.00
|
20.00%
|
2,308.574
|
-21.35%
|
$1,213.50
|
21.35%
|
2,308.573
|
-21.36%
|
$786.40
|
-21.36%
|
2,054.675
|
-30.00%
|
$700.00
|
-30.00%
|
1,761.150
|
-40.00%
|
$600.00
|
-40.00%
|
1,467.625
|
-50.00%
|
$500.00
|
-50.00%
|
733.813
|
-75.00%
|
$250.00
|
-75.00%
|
0.000
|
-100.00%
|
$0.00
|
-100.00%
|
(1)
Hypothetical index percent change = hypothetical
final index level
minus
initial index level,
divided by
initial index level
(2)
Hypothetical total return on securities at maturity
= hypothetical payment at maturity per security
minus
$1,000 stated principal amount per security,
divided by
$1,000
stated principal amount per security
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
|
Example 1—Upside Scenario A.
The hypothetical final
index level is 3,082.01 (an approximately 5.00% increase from the initial index level), which is
greater than
the initial
index level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return), subject to the maximum upside return of $80.00
= $1,000 + ($1,000 × 5.00%), subject to the maximum upside
return of $80.00
= $1,000 + $50.00, subject to the maximum upside return of $80.00
= $1,050.00
In this scenario, because the hypothetical final index level
is greater than the initial index level but not by more than the maximum upside return of 8.00%, your total return on the securities
at maturity would reflect 1-to-1 exposure to the positive performance of the underlying index.
Example 2—Upside Scenario B.
The hypothetical final
index level is 4,109.35 (an approximately 40.00% increase from the initial index level), which is
greater than
the initial
index level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return), subject to the maximum upside return of $80.00
= $1,000 + ($1,000 × 40.00%), subject to the maximum upside
return of $80.00
= $1,000 + $400.00, subject to the maximum upside return of $80.00
= $1,080.00
In this scenario, because the underlying index appreciated from
the initial index level to the hypothetical final index level by more than the maximum upside return of 8.00%, you would receive
a positive return at maturity equal to the maximum upside return. In this scenario, an investment in the securities would underperform
a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum upside
return.
Example 3—Upside Scenario C.
The hypothetical final
index level is 2,788.49 (an approximately 5.00% decrease from the initial index level), which is
less than
the initial index
level but
greater than
the barrier level.
Payment at maturity per security = $1,000 + ($1,000 × absolute
index return)
= $1,000 + ($1,000 × | -5.00% |)
= $1,000 + $50.00
= $1,050.00
In this scenario, because the underlying index depreciated from
the initial index level to the hypothetical final index level but not by more than 21.35%, your payment at maturity would reflect
1-to-1 positive exposure to the absolute value of the depreciation of the underlying index.
Example 4—Downside Scenario.
The hypothetical final
index level is 733.81 (an approximately 75.00% decrease from the initial index level), which is
less than
the barrier level.
Payment at maturity per security = $1,000 × index performance
factor
= $1,000 × (733.81 / 2,935.25)
= $1,000 × 25.00%
= $250.00
In this scenario, because the underlying index depreciated by
more than 21.35% from the initial index level to the hypothetical final index level, your payment at maturity would reflect a loss
equal to the full amount of the depreciation of the underlying index.
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying index. Accordingly, the securities
are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult
your own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
|
Securities” beginning on page EA-6 in the accompanying
product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the
documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report
on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc.
more generally.
|
▪
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index from
the initial index level to the final index level. If the final index level is less than the barrier level, you will lose 1% of
the stated principal amount of the securities for every 1% by which the final index level is less than the initial index level.
There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
|
▪
|
The securities do not pay interest.
Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
|
▪
|
Your potential return on the securities is limited.
If the final index level is greater than the initial index level,
your potential total return on the securities at maturity is limited to the maximum upside return set forth on the cover page of
this pricing supplement. The return on the underlying index from the initial index level to the final index level may significantly
exceed the maximum upside return. Therefore, your return on the securities may be significantly less than the return you could
have achieved on an alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum
upside return. In addition, your potential for positive participation in the absolute value of any depreciation of the underlying
index is limited. Because the barrier level is equal to 78.65% of the initial index level, the return potential of the securities
in the event that the underlying index depreciates is limited to 21.35%. Any depreciation of the underlying index in excess of
21.35% will result in a loss, rather than a positive return, on the securities.
|
|
▪
|
Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index.
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of September 16, 2016, the average dividend yield of the underlying index
was approximately 4.08% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
4.25% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends. The
payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
▪
|
The payment at maturity on the securities is based on the arithmetic average of the closing level of the underlying index
on the five final valuation dates.
As a result, you are subject to the risk that the closing level of the underlying index
on those five final valuation dates will result in a less favorable return than you would have received had the final index level
been based on the closing level on other days during the term of the securities. If you had invested in another instrument linked
to the underlying index that you could sell for full value at a time selected by you, you might have achieved better returns. In
addition, because the final index level is based on the average over the five final valuation dates, your return on the securities
may be less favorable than it would have been if it were based on the closing level of the underlying index on only one of those
five final valuation dates.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
▪
|
The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity.
The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) the placement fees paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection
|
Citigroup Global Markets Holdings Inc.
|
Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
®
Index Due October 4, 2017
|
|
with hedging our obligations under
the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms
of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected
by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated
value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index and
interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore
not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover
page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other
purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated
value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate
at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes of any
purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement were based
on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding
rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with
conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we
will pay to investors in the securities, which do not bear interest.
Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent
company and the guarantor of all payments due on the securities, but subject to adjustments that CGMI makes in its sole discretion.
As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects the market’s
perception of our parent company’s creditworthiness as adjusted for discretionary factors such as CGMI’s preferences
with respect to purchasing the securities prior to maturity.
|
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors,
including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the underlying index, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the level of the underlying index may not result in a comparable
change in the value of your securities. You should understand that the value of your securities at any time prior to maturity may
be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
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The underlying index is subject to risks associated with non-U.S. markets.
Investments in securities linked to the value
of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility in those
markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally
less
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publicly available information about
companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC. Further,
non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities
trading rules that are different from those applicable to U.S. reporting companies. The prices of securities in foreign markets
may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in
government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.
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The underlying index performance will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar.
The underlying index is composed of stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative
to the U.S. dollar. However, the performance of the underlying index and the value of your securities will not be adjusted for
exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, your return on
the securities will underperform an alternative investment that offers exposure to that appreciation in addition to the change
in the level of the underlying index.
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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 or the discontinuance of the underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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Our offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates or
by the placement agents or their affiliates.
The fact that we are offering the securities does not mean that we believe, or
that the placement agents or their affiliates believe, that investing in an instrument linked to the underlying index is likely
to achieve favorable returns. In fact, as we and the placement agents are part of global financial institutions, our affiliates
and the placement agents and their affiliates may have positions (including short positions) in the stocks that constitute the
underlying index or in instruments related to the underlying index or such stocks and may publish research or express opinions,
that in each case are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates
or the placement agents or their affiliates may affect the level of the underlying index in a way that has a negative impact on
your interests as a holder of the securities.
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We and our affiliates or the placement agents or their affiliates may have economic interests that are adverse to yours
as a result of our affiliates’ or their business activities.
Our affiliates or the placement agents or their affiliates
may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates or the placement agents or their affiliates may acquire non-public information about such issuers, which we
and they will not disclose to you. Moreover, if any of our affiliates or the placement agents or their affiliates is or becomes
a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard to
your interests.
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The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates and the placement agents and their affiliates also
trade the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to
facilitate transactions on behalf of customers. These activities could affect the level of the underlying index in a way that negatively
affects the value of the securities. They could also result in substantial returns for us or our affiliates or the placement agents
or their affiliates while the value of the securities declines.
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Adjustments to the underlying index may affect the value of your securities.
STOXX Limited (the “underlying index
publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities.
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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 prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007,
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these
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issues could materially and adversely
affect the tax consequences of an investment in the securities, including the character and timing of income or loss and the degree,
if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You
should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating
to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this
pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the
securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Information
About the Underlying Index
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50
®
Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50
®
Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—EURO STOXX 50
®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—EURO
STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures regarding the underlying
index.
Historical Information
The closing level of the underlying index on September 16, 2016
was 2,935.25.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 3, 2011 to September 16, 2016. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
EURO STOXX 50
®
Index – Historical Closing Levels
January 3, 2011 to September 16, 2016
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* The red line indicates the barrier level of 2,308.574, equal
to 78.65% of the closing level on September 16, 2016.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
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Index Due October 4, 2017
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United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
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Subject to the discussion in “United States Federal Tax
Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product
supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any
amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected
with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $10.00
for each security sold in this offering. J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents
for the securities and, from the underwriting fee to CGMI, will receive a placement fee of $10.00 for each security they sell in
this offering to accounts other than fiduciary accounts. The amount of the underwriting fee to CGMI will be equal to the placement
fee paid to the placement agents. CGMI and the placement agents will forgo an underwriting fee and placement fee for sales to fiduciary
accounts. In addition to the underwriting fee, CGMI and its affiliates may profit from expected hedging activity related to this
offering, even if the value of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
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See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing level of the underlying index and, therefore, the value of and your return
on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities,
see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately six months following issuance of
the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors — The securities will not be listed on a securities exchange
and you may not be able to sell them prior to maturity.”
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. 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 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 securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder,
Citigroup Global Markets Holdings Inc.
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Dual Directional Barrier Securities Based on the Performance of the EURO STOXX 50
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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.
© 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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