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
|
$1,000,000
|
$100.70
|
|
(1)
|
Calculated in accordance
with Rule 457(r) of the Securities Act.
|
|
(2)
|
Pursuant to Rule 457(p)
under the Securities Act, the $20,397.29 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 $100.70 is offset against the registration fee due for this offering
and of which $20,296.59 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 20, 2016. No additional registration fee has been paid with respect to this offering.
|
Citigroup Global Markets Holdings Inc.
|
September
19, 2016
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2016-USNCH0176
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-192302 and 333-192302-06
|
Buffer Securities Based on a Basket of Two Underliers
Due March 22, 2018
Overview
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay
a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to
or less than the stated principal amount, depending on the performance of a basket (the “basket”) consisting of the
following two basket components (with the weightings indicated parenthetically): shares of the iShares
®
MSCI EAFE
ETF (70%) and shares of the iShares
®
MSCI Emerging Markets ETF (30%), from the initial basket level to the final
basket level.
|
|
▪
|
The securities offer leveraged exposure to a limited range of potential appreciation of the basket and a limited buffer against
the potential depreciation of the basket as described below. In exchange for those features, investors in the securities must be
willing to forgo (i) any appreciation of the basket in excess of the maximum return at maturity specified below and (ii) any dividends
that may be paid on the stocks held by the basket components over the term of the securities. In addition, investors in the securities
must be willing to accept downside exposure to any depreciation of the basket in excess of the 10.00% buffer amount.
If the
basket depreciates by more than the buffer amount from the pricing date to the valuation date, you will lose 1% of the stated principal
amount of your securities for every 1% by which that depreciation exceeds the buffer amount.
|
|
▪
|
In order to obtain the modified exposure to the basket 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.
|
Basket:
|
Basket Component
|
Weighting
|
Initial Component Value*
|
iShares
®
MSCI EAFE ETF (ticker symbol: “EFA”)
|
70.00%
|
$57.79
|
iShares
®
MSCI Emerging Markets ETF (ticker symbol: “EEM”)
|
30.00%
|
$36.80
|
* The initial component value for each basket component is the closing price of that basket component on the pricing date
|
Aggregate stated principal amount:
|
$1,000,000
|
Stated principal amount:
|
$1,000 per security
|
Pricing date:
|
September 19, 2016
|
Issue date:
|
September 22, 2016
|
Valuation date:
|
March 19, 2018, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur with respect to a basket component
|
Maturity date:
|
March 22, 2018
|
Payment at maturity:
|
For each $1,000 stated principal amount security you
hold at maturity:
▪
If
the final basket level is
greater than or equal to
the initial basket level:
$1,000 + the leveraged
return amount, subject to the maximum return at maturity
▪
If
the final basket level is
less than
the initial basket level by an amount
less than or equal to
the buffer amount:
$1,000
▪
If
the final basket level is
less than
the initial basket level by an amount
greater than
the buffer amount:
($1,000 × the basket performance factor) + $100.00
If the basket decreases from the
initial basket level to the final basket level by more than the buffer amount, your payment at maturity will be less, and possibly
significantly less, than the $1,000 stated principal amount per security. You should not invest in the securities unless you are
willing and able to bear the risk of losing a significant portion of your investment.
|
Initial basket level:
|
100
|
Final basket level:
|
100 × [1 +(component return of EFA × 70.00%) + (component return of EEM × 30.00%)]
|
Component return:
|
For each basket component: (final component value – initial component value) / initial component value
|
Final component value:
|
For each basket component, the closing price of that basket component on the valuation date
|
Basket performance factor:
|
The final basket level
divided by
the initial basket level
|
Basket percent increase:
|
The final basket level
minus
the initial basket level,
divided by
the initial basket level
|
Leveraged return amount:
|
$1,000 × the basket percent increase × the leverage factor
|
Leverage factor:
|
200.00%
|
Maximum return at maturity:
|
$170.00 per security (17.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,170.00 per security.
|
Buffer amount:
|
10.00%
|
Listing:
|
The securities will not be listed on any securities exchange
|
CUSIP / ISIN:
|
17324CB39 / US17324CB397
|
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price
(1)
|
Underwriting fee
(2)
|
Proceeds to issuer
|
Per security:
|
$1,000.00
|
—
|
$1,000.00
|
Total:
|
$1,000,000.00
|
—
|
$1,000,000.00
|
|
|
|
|
|
|
(1) On the date of this pricing
supplement, the estimated value of the securities is $989.70 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) For more information on the
distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. 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-5.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement and the accompanying product supplement, 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
Supplement and Prospectus 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.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
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, including market disruption events
and other events affecting the basket components, and their consequences are described in the accompanying product supplement in
the sections “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company
Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution and Reorganization
Adjustments” and “—Delisting, Liquidation or Termination of an Underlying ETF.” The accompanying underlying
supplement contains important disclosures regarding the basket components 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 the valuation date.
If the valuation date
is postponed for a reason that affects only one of the basket components, the final basket level will be calculated based on (i)
for the unaffected basket component, its closing price on the originally scheduled valuation date and (ii) for the affected basket
component, its closing price on the valuation date as postponed (or, if earlier, the first scheduled trading day for that basket
component following the originally scheduled valuation date on which a market disruption event did not occur with respect to that
basket component). See “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares
or Company Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
in
the accompanying product supplement.
Dilution and reorganization adjustments.
The initial component
value of each basket component is a “Relevant Price” for purposes of the section “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in
the accompanying product supplement. Accordingly, the initial component value of each basket component is subject to adjustment
upon the occurrence of any of the events described in that section.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial basket level to the final basket level.
Investors in the securities will not receive any dividends
paid on the stocks held by the basket components. 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 basket components” below.
Buffer Securities
Payment at Maturity Diagram
|
|
n
The Securities
|
n
The Basket
|
Your actual payment at maturity per security will depend on the
actual final basket level, which will depend on the actual closing price of each basket component on the valuation date. The examples
below are intended to illustrate how your payment at maturity will depend on whether the final basket level is greater than or
less than the initial basket level and by how much.
Hypothetical values
in the examples have been rounded for ease of analysis.
Example 1—Upside Scenario A.
The hypothetical final
basket level is 105.00 (an approximately 5.00% increase from the initial basket level), which is
greater than
the initial
basket level.
Basket Component
|
Initial Component Value
|
Hypothetical Final Component Value
|
Hypothetical Component Return
|
iShares
®
MSCI EAFE ETF
|
$57.79
|
$63.57
|
10.00%
|
iShares
®
MSCI Emerging Markets ETF
|
$36.80
|
$34.35
|
-6.67%
|
Hypothetical Final Basket Level:
|
100.00 × [1 + (10.00% × 70.00%) + (-6.67% × 30.00%) ] = 105.00
|
Payment at maturity per security = $1,000 + the leveraged return
amount, subject to the maximum return at maturity of $170.00
= $1,000 + ($1,000 × the basket percent increase ×
the leverage factor), subject to the maximum return at maturity of $170.00
= $1,000 + ($1,000 × 5.00% × 200.00%), subject to
the maximum return at maturity of $170.00
= $1,000 + $100.00, subject to the maximum return at maturity
of $170.00
= $1,100.00
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
Because the basket appreciated from the initial basket level
to the hypothetical final basket level and the leveraged return amount of $100.00 per security results in a total return at maturity
of 10.00%, which is less than the maximum return at maturity of 17.00%, your payment at maturity in this scenario would be equal
to the $1,000 stated principal amount per security
plus
the leveraged return amount, or $1,100.00 per security.
Example 2—Upside Scenario B.
The hypothetical final
basket level is 125.00 (an approximately 25.00% increase from the initial basket level), which is
greater than
the initial
basket level.
Basket Component
|
Initial Component Value
|
Hypothetical Final Component Value
|
Hypothetical Component Return
|
iShares
®
MSCI EAFE ETF
|
$57.79
|
$80.91
|
40.00%
|
iShares
®
MSCI Emerging Markets ETF
|
$36.80
|
$33.12
|
-10.00%
|
Hypothetical Final Basket Level:
|
100.00 × [1 + (40.00% × 70.00%) + (-10.00% × 30.00%) ] = 125.00
|
Payment at maturity per security = $1,000 + the leveraged return
amount, subject to the maximum return at maturity of $170.00
= $1,000 + ($1,000 × the basket percent increase ×
the leverage factor), subject to the maximum return at maturity of $170.00
= $1,000 + ($1,000 × 25.00% × 200.00%), subject
to the maximum return at maturity of $170.00
= $1,000 + $500.00, subject to the maximum return at maturity
of $170.00
= $1,170.00
Because the basket appreciated from the initial basket level
to the hypothetical final basket level and the leveraged return amount of $500.00 per security results in a total return at maturity
of 50.00%, which is greater than the maximum return at maturity of 17.00%, your payment at maturity in this scenario would equal
the maximum payment at maturity of $1,170.00 per security. In this scenario, an investment in the securities would underperform
a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the basket without a maximum return.
Example 3—Par Scenario.
The hypothetical final basket
level is 95.00 (an approximately 5.00% decrease from the initial basket level), which is
less than
the initial basket level
by amount that is
less than
the buffer amount of 10.00%.
Basket Component
|
Initial Component Value
|
Hypothetical Final Component Value
|
Hypothetical Component Return
|
iShares
®
MSCI EAFE ETF
|
$57.79
|
$53.17
|
-8.00%
|
iShares
®
MSCI Emerging Markets ETF
|
$36.80
|
$37.54
|
2.00%
|
Hypothetical Final Basket Level:
|
100.00 × [1 + (-8.00% × 70.00%) + (2.00% × 30.00%)] = 95.00
|
Payment at maturity per security = $1,000
Because the basket did not depreciate from the initial basket
level to the hypothetical final basket level by more than the 10.00% buffer amount, your payment at maturity in this scenario would
be equal to the $1,000 stated principal amount per security.
Example 4—Downside Scenario.
The hypothetical final
basket level is 30.00 (an approximately 70.00% decrease from the initial basket level), which is
less than
the initial basket
level by an amount that is
more than
the buffer amount of 10.00%.
Basket Component
|
Initial Component Value
|
Hypothetical Final Component Value
|
Hypothetical Component Return
|
iShares
®
MSCI EAFE ETF
|
$57.79
|
$20.80
|
-64.00%
|
iShares
®
MSCI Emerging Markets ETF
|
$36.80
|
$5.89
|
-84.00%
|
Hypothetical Final Basket Level:
|
100.00 × [1 + (-64.00% × 70.00%) + (-84.00% × 30.00%)] = 30.00
|
Payment at maturity per security = ($1,000 × the basket
performance factor) + $100.00
= ($1,000 × 30.00%) + $100.00
= $300.00 + $100.00
= $400.00
Because the basket depreciated from the initial basket level
to the hypothetical final basket level by more than the 10.00% buffer amount, your payment at maturity would reflect 1-to-1 exposure
to the negative performance of the basket beyond the 10.00% buffer amount.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
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 basket components. 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 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 up to 90.00% 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 basket. If the basket
depreciates by more than the buffer amount, you will lose 1% of the stated principal amount of the securities for every 1% by which
that depreciation exceeds the buffer amount.
|
|
▪
|
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.
Your potential total return on the securities at maturity is limited
to the maximum return at maturity of 17.00%, which is equivalent to a maximum return at maturity of $170.00 per security. Taking
into account the leverage factor, any increase in the final basket level over the initial basket level by more than 8.50% will
not increase your return on the securities and will progressively reduce the effective amount of leverage provided by the securities.
|
|
▪
|
Investing in the securities is not equivalent to investing in the basket components.
You will not have voting rights,
rights to receive any dividends or distributions or any other rights with respect to the basket components. The payment scenarios
described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
|
▪
|
Your payment at maturity depends on the closing prices of the basket components on a single day.
Because your payment
at maturity depends solely on the closing prices of the basket components on the valuation date, you are subject to the risk that
the closing prices on that day may be lower, and possibly significantly lower, than on one or more other dates during the term
of the securities. If you had invested directly in the basket components, or if the payment at maturity were based on an average
of the closing prices of the basket components throughout the term of the securities, you might have achieved better returns.
|
|
▪
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything
owed to you under the securities.
|
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the securities that are included in the issue price. These costs include (i) hedging and other costs incurred by us
and our affiliates in connection with the offering of the securities and (ii) the expected profit (which may be more or less than
actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs
adversely affect the economic terms of the securities because, if they were lower, the economic terms of the securities would be
more favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal
funding rate, rather than our secondary market rate, to price the securities. See “The estimated value of the securities
would be lower if it were calculated based on our secondary market rate” below.
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
|
▪
|
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 basket components, the
correlation among the basket components, dividend yields on the basket components 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 prices of the basket components and a number of other factors, including
the volatility of the basket components, the correlation among the basket components, the dividend yields on the basket components,
changes in currency exchange rates, interest rates generally, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. Changes in the prices of the basket components may not result in a
comparable change in the value of your securities. You should understand that the value of your securities at any time prior to
maturity may be significantly less than the issue price.
|
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement.
|
|
▪
|
The basket components may offset each other.
The performance of one basket component may not correlate with the performance
of the other basket component. If one of the basket components appreciates, the other basket component may not appreciate as much
or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly offset or more
than offset by lesser appreciation or by depreciation in the price of the other basket component.
|
|
▪
|
The basket components are subject to risks associated with non-U.S. markets.
Investments in securities linked to the
value of non-U.S. stocks involve risks associated with the securities markets in those countries, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there
is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that
are subject to the reporting requirements of the SEC. Further, non-U.S. companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S.
reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social
factors in
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
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.
|
▪
|
Fluctuations
in exchange rates will affect the prices of the
basket
components
.
Because the basket components invest in stocks that are traded in non-U.S. currencies,
while their net asset values are based on the U.S. dollar value of those stocks, holders
of the securities will be exposed to currency exchange rate risk with respect to each
of the currencies in which those stocks trade. If the U.S. dollar generally strengthens
against the currencies in which those stocks trade, the prices of the basket components
will be adversely affected for that reason alone and the payment at maturity on the securities
may be reduced.
|
Exchange
rate movements for a particular currency are volatile and are the result of numerous factors specific to the relevant country,
including the supply of, and the demand for, those currencies, as well as government policy, intervention or actions, but are
also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative
actions related to each applicable region. An investor’s net exposure will depend on the extent to which the currencies
of the applicable countries strengthen or weaken against the U.S. dollar and the relative weight of each currency. Of particular
importance to potential currency exchange risk are: existing and expected rates of inflation; existing and expected interest rate
levels; the balance of payments; and the extent of governmental surpluses or deficits in the applicable countries and the United
States. All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the
applicable countries and the United States and other countries important to international trade and finance.
|
▪
|
The iShares
®
MSCI Emerging Markets ETF is subject to risks associated with investments in securities
linked to the value of emerging markets equity securities.
Share prices of companies
located in emerging markets, or whose principal operations are located in emerging markets,
are subject to political, economic, financial and social factors that affect emerging
markets. These factors, which could negatively affect the value of the securities, include
the possibility of changes in local or national economic and fiscal policies, the possible
imposition of, or changes in, currency exchange laws or other laws or restrictions applicable
to such companies or to investments in equity securities of companies located, or whose
principal operations are located, in emerging markets. Specifically, political and/or
legal developments in emerging markets could include forced divestiture of assets; restrictions
on production, imports and exports; war or other international conflicts; civil unrest
and local security concerns that threaten the safe operation of company facilities; price
controls; tax increases and other retroactive tax claims; expropriation of property;
cancellation of contract rights; and environmental regulations. Moreover, the economies
of emerging nations may differ unfavorably from the U.S. economy in such respects as
growth of gross national product, rate of inflation, capital investment, resources and
self-sufficiency.
|
|
▪
|
Even if a basket component
pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the securities for that dividend unless it meets the criteria specified
in the accompanying product supplement.
In general, an adjustment will not be made
under the terms of the securities for any cash dividend paid on a basket component unless
the amount of the dividend per share, together with any other dividends paid in the same
quarter, exceeds the dividend paid per share in the most recent quarter by an amount
equal to at least 10% of the closing price of the basket component on the date of declaration
of the dividend. Any dividend will reduce the closing price of a basket component by
the amount of the dividend per share. If a basket component pays any dividend for which
an adjustment is not made under the terms of the securities, holders of the securities
will be adversely affected. See “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization
Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product
supplement.
|
|
▪
|
An adjustment will not be
made for all events that may have a dilutive effect on or otherwise adversely affect
the market price of the basket components.
For example, we will not make any adjustment
for ordinary dividends or extraordinary dividends that do not meet the criteria described
above. Moreover, the adjustments we do make may not fully offset the dilutive or adverse
effect of the particular event. Investors in the securities may be adversely affected
by such an event in a circumstance in which a direct holder of the basket components
would not.
|
|
▪
|
The securities may become
linked to shares of issuers other than the issuer of the basket components upon the occurrence
of a reorganization event or upon the delisting of the basket components.
For example,
if the issuer of the basket components enters into a merger agreement that provides for
holders of a basket component to receive shares of another entity, the shares of such
other entity will become the applicable basket component for all purposes of the securities
upon consummation of the merger. Additionally, if a basket component is delisted, or
a basket component is otherwise terminated, the calculation agent may, in its sole discretion,
select shares of another ETF to be the applicable basket component. See “Description
of the Securities—Certain Additional Terms for Securities Linked to ETF Shares
or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an Underlying ETF” in the accompanying product supplement.
|
|
▪
|
The price and performance
of the basket components may not completely track the performance of the ETFs’
underlying indexes or the net asset value per share of the ETFs.
The
basket
components do
not fully replicate the underlying indexes that they seek to track
and may hold securities different from those included in their underlying indexes. In
addition, the performance of the
basket
components
will reflect additional transaction costs and fees that are not included
in the calculation of their underlying
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
indexes. All of these factors may lead to a lack
of correlation between the performance of the basket components and their underlying
indexes. In addition, corporate actions with respect to the equity securities constituting
the ETFs’ underlying indexes or held by the ETFs (such as mergers and spin-offs)
may impact the variance between the performances of the basket components and the ETFs’
underlying indexes. Finally, because the basket components are traded on NYSE Arca, Inc.
and are subject to market supply and investor demand, the market value of the basket
components may differ from the net asset value per share of the ETFs.
During periods of market volatility,
securities underlying the ETFs may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the ETFs and the liquidity of the basket components may be
adversely
affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the
ETFs. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing
to buy and sell the basket components. As a result, under these circumstances, the market value of the basket components may vary
substantially from the net asset value per share of the ETFs. For all of the foregoing reasons, the performance of the basket components
might not correlate with the performance of the ETFs’ underlying indexes and/or the net asset value per share of the ETFs,
which could materially and adversely affect the value of the securities in the secondary market and/or reduce your payment at maturity.
|
▪
|
An investment in the securities is not a diversified investment.
The fact that the securities are linked to a basket
does not mean that the securities represent a diversified investment. First, although the basket components differ in important
respects, they each track the performance of equity markets, and each may perform poorly if there is a global downturn in equity
markets. Second, the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. No
amount of diversification that may be represented by the basket components will offset the risk that we and Citigroup Inc. may
default on our obligations.
|
|
▪
|
Our offering of the securities is not a recommendation of the basket or the basket components.
The fact that we are
offering the securities does not mean that we believe that investing in an instrument linked to the basket or either of the basket
components is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may
have positions (including short positions) in the stocks held by the basket components or in instruments related to the basket
components or such stocks over the term of the securities, and may publish research or express opinions, that in each case are
inconsistent with an investment linked to the basket components. These and other activities of our affiliates may affect the values
of the basket components in a way that has a negative impact on your interests as a holder of the securities.
|
|
▪
|
The value of a basket component 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 included in or held by the basket components and other financial instruments related to the basket components or
the stocks included in or held by the basket components and may adjust such positions during the term of the securities. Our affiliates
also trade the stocks included in or held by the basket components and other related financial instruments 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 values of the basket components in a way that negatively affects the value
of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
|
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with the companies included in the basket
components, including extending loans to, making equity investments in or providing advisory services to such companies. In the
course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover, if
any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that are
available to them without regard to your interests.
|
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur that may require a dilution adjustment or the delisting of the basket components, 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.
|
|
▪
|
Changes that affect the basket components may affect the value of your securities.
We are not affiliated with the investment
advisers to the basket components. The investment advisers to an exchange-traded fund may change the manner in which the fund operates
or its investment objectives at any time. We are not affiliated with any such investment advisor and, accordingly, we have no control
over any changes any such investment adviser may make. Such changes could be made at any time and could adversely affect the performance
of the basket components and the value of and your payment at maturity on the securities.
|
|
▪
|
The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security
may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under
“United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive
effect. 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.
Hypothetical Historical Information About the
Basket
Because the basket exists solely for purposes of these securities,
historical information on the performance of the basket does not exist for dates prior to the pricing date for these securities.
The graph below sets forth the hypothetical historical daily levels of the basket for the period from January 2, 2008 to September
19, 2016, assuming that the basket was created on January 2, 2008 with the same basket components and corresponding weights in
the basket and with a level of 100 on that date. The hypothetical performance of the basket is based on the actual closing prices
of the basket components on the applicable dates. We obtained these closing prices from Bloomberg L.P., without independent verification.
Any historical trend in the level of the basket during the period shown below is not an indication of the performance of the basket
during the term of the securities.
Hypothetical Historical Basket Performance
January 2, 2008 to September 19, 2016
|
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
Information
About the Basket Components
iShares
®
MSCI EAFE ETF
The iShares
®
MSCI EAFE ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in certain developed markets, excluding the United States and Canada, as measured by the MSCI EAFE
®
Index. However, for purposes of the securities, the performance of the iShares
®
MSCI EAFE ETF will reflect only
its price performance, as any dividends paid on the shares of the iShares
®
MSCI EAFE ETF will not be factored into
a determination of the closing price of the iShares
®
MSCI EAFE ETF. The MSCI EAFE
®
Index was developed
by MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance in
certain developed markets, excluding the United States and Canada.
The iShares
®
MSCI EAFE ETF is an investment portfolio
managed by iShares
®
Inc. BlackRock Fund Advisors is the investment adviser to the iShares
®
MSCI EAFE
ETF. iShares
®
, Inc. is a registered investment company that consists of numerous separate investment portfolios,
including the iShares
®
MSCI EAFE ETF. Information provided to or filed with the SEC by iShares
®
,
Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In
addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The iShares
®
MSCI EAFE ETF trades on the NYSE Arca under the ticker symbol
“EFA.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—iShares
®
MSCI EAFE ETF” in the accompanying underlying supplement for important disclosures
regarding the iShares
®
MSCI EAFE ETF, including certain risks that are associated with an investment linked to shares
of the iShares
®
MSCI EAFE ETF.
Historical Information
The graph below shows the closing prices of the iShares
®
MSCI EAFE ETF for each day such price was available from January 2, 2008 to September 19, 2016. The table that follows shows the
high and low closing prices of, and dividends paid on, the shares of the iShares
®
MSCI EAFE ETF for each quarter
in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent verification.
You should not take the historical prices of the iShares
®
MSCI EAFE ETF as an indication of future performance.
iShares
®
MSCI EAFE ETF – Historical Closing Prices
January 2, 2008 to September 19, 2016
|
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
iShares
®
MSCI EAFE ETF
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$78.35
|
$68.31
|
$2.00018
|
Second Quarter
|
$78.52
|
$68.10
|
$1.30832
|
Third Quarter
|
$68.04
|
$53.08
|
$0.00000
|
Fourth Quarter
|
$55.88
|
$35.71
|
$0.54112
|
2009
|
|
|
|
First Quarter
|
$45.44
|
$31.69
|
$0.00000
|
Second Quarter
|
$49.04
|
$38.57
|
$0.94519
|
Third Quarter
|
$55.81
|
$43.91
|
$0.00000
|
Fourth Quarter
|
$57.28
|
$52.66
|
$0.49574
|
2010
|
|
|
|
First Quarter
|
$57.96
|
$50.45
|
$0.00000
|
Second Quarter
|
$58.03
|
$46.29
|
$0.85863
|
Third Quarter
|
$55.42
|
$47.09
|
$0.00000
|
Fourth Quarter
|
$59.46
|
$54.25
|
$0.53819
|
2011
|
|
|
|
First Quarter
|
$61.91
|
$55.31
|
$0.00000
|
Second Quarter
|
$63.87
|
$57.10
|
$1.14099
|
Third Quarter
|
$60.80
|
$46.66
|
$0.00000
|
Fourth Quarter
|
$55.57
|
$46.45
|
$0.56923
|
2012
|
|
|
|
First Quarter
|
$55.80
|
$49.15
|
$0.00000
|
Second Quarter
|
$55.51
|
$46.55
|
$1.14909
|
Third Quarter
|
$55.15
|
$47.62
|
$0.00000
|
Fourth Quarter
|
$56.88
|
$51.96
|
$0.60952
|
2013
|
|
|
|
First Quarter
|
$59.89
|
$56.90
|
$0.00000
|
Second Quarter
|
$63.53
|
$57.03
|
$0.00000
|
Third Quarter
|
$65.05
|
$57.55
|
$1.15150
|
Fourth Quarter
|
$67.06
|
$62.71
|
$0.55171
|
2014
|
|
|
|
First Quarter
|
$68.03
|
$62.31
|
$0.00000
|
Second Quarter
|
$70.67
|
$66.26
|
$0.00000
|
Third Quarter
|
$69.25
|
$64.12
|
$1.67621
|
Fourth Quarter
|
$64.51
|
$59.53
|
$0.58518
|
2015
|
|
|
|
First Quarter
|
$65.99
|
$58.48
|
$0.00000
|
Second Quarter
|
$68.42
|
$63.49
|
$0.00000
|
Third Quarter
|
$65.46
|
$56.25
|
$1.11129
|
Fourth Quarter
|
$62.06
|
$57.50
|
$0.50836
|
2016
|
|
|
|
First Quarter
|
$57.80
|
$51.38
|
$0.00000
|
Second Quarter
|
$59.87
|
$52.64
|
$1.17482
|
Third Quarter (through September 19, 2016)
|
$59.86
|
$54.44
|
$0.00000
|
The closing price of the shares of the iShares
®
MSCI EAFE ETF on September 19, 2016 was $57.79.
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of the iShares
®
MSCI EAFE ETF in the future. In any event, as an investor in the
securities, you will not be entitled to receive dividends, if any, that may be payable on the shares of the iShares
®
MSCI EAFE ETF.
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
iShares
®
MSCI Emerging Markets
ETF
The iShares
®
MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. However, for purposes of the
securities, the performance of the iShares
®
MSCI Emerging Markets ETF will reflect only its price performance, as
any dividends paid on the shares of the iShares
®
MSCI Emerging Markets ETF will not be factored into a determination
of the closing price of the iShares
®
MSCI Emerging Markets ETF. The MSCI Emerging Markets Index was developed by
MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance in the
global emerging markets.
The iShares
®
MSCI Emerging Markets ETF is an investment
portfolio managed by iShares
®
Inc. BlackRock Fund Advisors is the investment adviser to the iShares
®
MSCI Emerging Markets ETF. iShares
®
, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares
®
MSCI Emerging Markets ETF. Information provided to or filed with the
SEC by iShares
®
, Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940,
as amended, can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website
at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. The iShares
®
MSCI Emerging Markets ETF trades on the
NYSE Arca, Inc. under the ticker symbol “EEM.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—iShares
®
MSCI Emerging Markets ETF” in the accompanying underlying supplement for important
disclosures regarding the iShares
®
MSCI Emerging Markets ETF, including certain risks that are associated with an
investment linked to shares of the iShares
®
MSCI Emerging Markets ETF.
Historical Information
The graph below shows the closing prices of the iShares
®
MSCI Emerging Markets ETF for each day such price was available from January 2, 2008 to September 19, 2016. The table that follows
shows the high and low closing prices of, and dividends paid on, the shares of the iShares
®
MSCI Emerging Markets
ETF for each quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without
independent verification. You should not take the historical prices of the iShares
®
MSCI Emerging Markets ETF as
an indication of future performance.
iShares
®
MSCI Emerging Markets ETF – Historical Closing Prices
January 2, 2008 to September 19, 2016
|
|
Citigroup Global Markets Holdings Inc.
|
Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
|
|
iShares
®
MSCI Emerging Markets ETF
|
High
|
Low
|
Dividends
|
2008
|
|
|
|
First Quarter
|
$50.37
|
$42.17
|
$0.64893
|
Second Quarter
|
$51.70
|
$44.43
|
$0.51726
|
Third Quarter
|
$44.43
|
$31.33
|
$0.00000
|
Fourth Quarter
|
$33.90
|
$18.22
|
$0.34042
|
2009
|
|
|
|
First Quarter
|
$27.09
|
$19.94
|
$0.00000
|
Second Quarter
|
$34.64
|
$25.65
|
$0.24728
|
Third Quarter
|
$39.29
|
$30.75
|
$0.00000
|
Fourth Quarter
|
$42.07
|
$37.56
|
$0.32289
|
2010
|
|
|
|
First Quarter
|
$43.22
|
$36.83
|
$0.01201
|
Second Quarter
|
$43.98
|
$36.16
|
$0.26160
|
Third Quarter
|
$44.77
|
$37.59
|
$0.00000
|
Fourth Quarter
|
$48.58
|
$44.77
|
$0.35942
|
2011
|
|
|
|
First Quarter
|
$48.69
|
$44.63
|
$0.02512
|
Second Quarter
|
$50.21
|
$45.50
|
$0.46092
|
Third Quarter
|
$48.46
|
$34.95
|
$0.00000
|
Fourth Quarter
|
$42.80
|
$34.36
|
$0.34696
|
2012
|
|
|
|
First Quarter
|
$44.76
|
$38.23
|
$0.00000
|
Second Quarter
|
$43.54
|
$36.68
|
$0.46836
|
Third Quarter
|
$42.37
|
$37.42
|
$0.00000
|
Fourth Quarter
|
$44.35
|
$40.14
|
$0.26233
|
2013
|
|
|
|
First Quarter
|
$45.20
|
$41.80
|
$0.01423
|
Second Quarter
|
$44.23
|
$36.63
|
$0.00000
|
Third Quarter
|
$43.29
|
$37.34
|
$0.49260
|
Fourth Quarter
|
$43.66
|
$40.44
|
$0.36578
|
2014
|
|
|
|
First Quarter
|
$40.99
|
$37.09
|
$0.00000
|
Second Quarter
|
$43.95
|
$40.82
|
$0.00000
|
Third Quarter
|
$45.85
|
$41.56
|
$0.34063
|
Fourth Quarter
|
$42.44
|
$37.73
|
$0.53502
|
2015
|
|
|
|
First Quarter
|
$41.07
|
$37.92
|
$0.00000
|
Second Quarter
|
$44.09
|
$39.04
|
$0.00000
|
Third Quarter
|
$39.78
|
$31.32
|
$0.30125
|
Fourth Quarter
|
$36.29
|
$31.55
|
$0.50084
|
2016
|
|
|
|
First Quarter
|
$34.28
|
$28.25
|
$0.00000
|
Second Quarter
|
$35.26
|
$31.87
|
$0.26598
|
Third Quarter (through September 19, 2016)
|
$38.20
|
$33.77
|
$0.00000
|
The closing price of the shares of the iShares
®
MSCI Emerging Markets ETF on September 19, 2016 was $36.80.
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of the iShares
®
MSCI Emerging Markets ETF in the future. In any event, as an investor
in the securities, you will not be entitled to receive dividends, if any, that may be payable on the shares of the iShares
®
MSCI Emerging Markets ETF.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
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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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·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
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·
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Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”),
any gain or loss recognized upon a sale, exchange or retirement of a security should be long-term capital gain or loss if you held
the security for more than one year.
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Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the basket components. In that case, all or a portion of any long-term
capital gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent
such gain exceeded the “net underlying long-term capital gain.” Although the matter is unclear, the “net underlying
long-term capital gain” may equal the amount of long-term capital gain you would have realized if on the issue date you had
purchased the basket components with a value equal to the amount you paid to acquire your securities and subsequently sold the
basket components for their fair market value at the time your securities are sold, exchanged or retired (which would reflect the
percentage increase, without regard to the upside participation rate, in the value of the basket components over the term of the
securities). Alternatively, the “net underlying long-term capital gain” could be calculated using an amount of the
basket components that reflects the upside participation rate used to calculate the payment that you will receive on your securities.
Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at a constant rate
over the period you held your securities, and you would be subject to an interest charge in respect of the deemed tax liability
on the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel is
not able to opine as to whether or how Section 1260 applies to the securities. You should read the section entitled “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Potential Application of Section 1260 of the Code”
in the accompanying product supplement for additional information and consult your tax adviser regarding the potential application
of the “constructive ownership” rule.
Subject to the 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 described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect. 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.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
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Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will not receive any underwriting fee. CGMI will
offer the securities to selected dealers not affiliated with CGMI at the issue price set forth on the cover page of this pricing
supplement.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing values of the basket components and, therefore, the value of and your
return on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the
securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also
publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value
that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be
realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange
and you may not be able to sell them prior to maturity.”
Certain Selling
Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
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(i)
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to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
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(ii)
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to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
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(iii)
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in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
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There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
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Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
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(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
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(b)
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a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
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(i)
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to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
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(ii)
|
where no consideration is or will be given for the transfer; or
|
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(iii)
|
where the transfer is by operation of law; or
|
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(iv)
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pursuant to Section 276(7) of the Securities and Futures Act; or
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(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of
the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated 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
Citigroup Global Markets Holdings Inc.
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Buffer Securities Based on a Basket of Two Underliers Due March 22, 2018
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trustee and that none of the terms
of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result in
a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc.
is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws
or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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