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
|
$8,083,680
|
$814.03
|
|
(1)
|
Calculated
in accordance with Rule 457(r) of the Securities Act.
|
|
(2)
|
Pursuant
to Rule 457(p) under the Securities Act, the $16,917.40 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 $814.03 is offset against the registration fee due for this offering
and of which $16,103.37 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 29, 2016. No additional registration fee has been paid with respect to
this offering.
|
Pricing Supplement No. 2016—USNCH0159 to 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
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-192302 and 333-192302-06
Dated September 27, 2016
Citigroup
Global Markets Holdings Inc. $8,083,680 Trigger GEARS
|
Linked to the S&P 500
®
Index Due September
30, 2021
All payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc.
The Trigger GEARS offered by this pricing supplement (the “
securities
”)
are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “
issuer
”), guaranteed
by Citigroup Inc. (the “
guarantor
”), with a return at maturity linked to the performance of the S&P 500
®
Index (the “
underlying
”) from the initial underlying level to the final underlying level. If the underlying
return is positive, the issuer will repay the stated principal amount of the securities at maturity and pay a return equal to the
underlying return multiplied by the upside gearing of 1.47. If the underlying return is zero or negative and the final underlying
level is greater than or equal to the downside threshold, the issuer will repay the stated principal amount of the securities at
maturity. However, if the underlying return is negative and the final underlying level is less than the downside threshold, you
will be fully exposed to the negative underlying return and the issuer will pay you less than the stated principal amount at maturity,
resulting in a loss on the stated principal amount to investors that is proportionate to the percentage decline in the level of
the underlying. In this case, you will have full downside exposure to the underlying from the initial underlying level to the final
underlying level, and could lose all of your initial investment.
Investing in the securities involves significant risks. You
will not receive coupon payments during the 5-year term of the securities. You may lose a substantial portion or all of your initial
investment. You will not receive dividends or other distributions paid on any stocks included in the underlying. The contingent
repayment of the stated principal amount applies only if you hold the securities to maturity. Any payment on the securities, including
any repayment of the stated principal amount provided at maturity, is subject to the creditworthiness of the issuer and the guarantor.
If the issuer and the guarantor were to default on their obligations, you might not receive any amounts owed to you under the securities
and you could lose your entire investment.
Features1
|
|
q
Enhanced Growth Potential —
If the underlying return is positive, the issuer will repay the stated principal
amount of the securities at maturity and pay a return equal to the underlying return multiplied by the upside
gearing. The upside gearing feature will provide leveraged exposure to any positive performance of the
underlying.
q
Downside Exposure with Contingent Repayment of Principal at Maturity —
If the underlying return is zero or
negative and the final underlying level is greater than or equal to the downside threshold, the issuer will repay the
stated principal amount of the securities at maturity. However, if the underlying return is negative and the final
underlying level is less than the downside threshold, the issuer will pay less than the stated principal amount of
the securities at maturity, resulting in a loss on the stated principal amount to investors that is proportionate to
the percentage decline in the level of the underlying.
The contingent repayment of the stated principal amount
applies only if you hold the securities to maturity. You might lose some or all of your initial investment. Any
payment on the securities is subject to the creditworthiness of the issuer and the guarantor. If the issuer and the
guarantor were to default on their obligations, you might not receive any amounts owed to you under the securities and you
could lose your entire investment.
|
|
|
Key Dates
|
Trade date
Settlement date
Final valuation date
1
Maturity date
|
September 27, 2016
September 30, 2016
September 27, 2021
September 30, 2021
|
1
See page PS-3 for additional details.
|
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER
THAN CONVENTIONAL DEBT SECURITIES. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY YOUR INITIAL INVESTMENT IN THE SECURITIES AT
MATURITY, AND THE SECURITIES CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT
RISK INHERENT IN PURCHASING AN OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS GUARANTEED BY CITIGROUP INC. YOU SHOULD
NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN
THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND, ACCORDINGLY, MAY HAVE LIMITED OR NO LIQUIDITY.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “SUMMARY
RISK FACTORS” BEGINNING ON PAGE PS-4 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS RELATING TO THE SECURITIES”
BEGINNING ON PAGE EA-6 OF THE ACCOMPANYING PRODUCT SUPPLEMENT IN CONNECTION WITH YOUR PURCHASE OF THE SECURITIES. EVENTS RELATING
TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
We are offering Trigger GEARS Linked to the S&P 500
®
Index. Any return at maturity will be determined by the performance of the underlying. The securities are our unsecured, unsubordinated
debt obligations, guaranteed by Citigroup Inc., and are offered for a minimum investment of 100 securities at the issue price described
below.
Underlying
|
Initial Underlying Level
|
Upside Gearing
|
Downside Threshold
|
CUSIP/ ISIN
|
S&P 500
®
Index
(Ticker: SPX)
|
2,159.93
|
1.47
|
1,619.95, 75.00% of the initial underlying level
|
17324P867 / US17324P8674
|
See “Additional Terms Specific to the Securities”
in this pricing supplement. The securities will have the terms specified in the accompanying product supplement, prospectus supplement
and prospectus, as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “
SEC
”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any
representation to the contrary is a criminal offense. The securities are not bank deposits and are not insured or guaranteed by
the Federal Deposit Insurance Corporation or any other governmental agency.
|
Issue Price
(1)
|
Underwriting Discount
(2)
|
Proceeds to Issuer
|
Per security
|
$10.00
|
$0.35
|
$9.65
|
Total
|
$8,083,680.00
|
$282,928.80
|
$7,800,751.20
|
|
(1)
|
On the date of this pricing supplement, the estimated value of the securities is $9.570 per security, which is less than the
issue price. The estimated value of the securities is based on proprietary pricing models of Citigroup Global Markets Inc. (“
CGMI
”)
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 underwriting discount is $0.35 per security. CGMI, acting as principal, has agreed to purchase from Citigroup Global Markets
Holdings Inc., and Citigroup Global Markets Holdings Inc. has agreed to sell to CGMI, the aggregate stated principal amount of
the securities set forth above for $9.65 per security. UBS Financial Services Inc. (“
UBS
”), acting as principal,
has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the securities for $9.65 per security. UBS will receive
an underwriting discount of $0.35 per security for each security it sells. UBS proposes to offer the securities to the public at
a price of $10.00 per security. For additional information on the distribution of the securities, see “Supplemental Plan
of Distribution” in this pricing supplement. In addition to the underwriting discount, 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.
|
Citigroup Global Markets
Inc.
|
UBS
Financial Services Inc.
|
Additional Terms Specific to the Securities
|
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. The accompanying underlying supplement contains important disclosures regarding the underlying 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.
You may access the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or
if such address has changed, by reviewing our filings for March 7, 2016 and March 8, 2016 on the SEC website):
References to “Citigroup Global
Markets Holdings Inc.,” “we,” “our” and “us” refer to Citigroup Global Markets Holdings
Inc. and not to any of its subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to any of
its subsidiaries. In this pricing supplement, “securities” refers to the Trigger GEARS Linked to the S&P 500
®
Index that are offered hereby, unless the context otherwise requires.
This pricing supplement, together
with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. The description in this pricing supplement
of the particular terms of the securities supplements, and, to the extent inconsistent with, replaces, the descriptions of the
general terms and provisions of the debt securities set forth in the accompanying product supplement, prospectus supplement and
prospectus. You should carefully consider, among other things, the matters set forth in “Summary Risk Factors” in
this pricing supplement and “Risk Factors Relating to the Securities” in the accompanying product supplement, as the
securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisers in connection with your decision to invest in the securities.
The suitability considerations identified
below are not exhaustive. Whether or not the securities are a suitable investment for you will depend on your individual circumstances,
and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have
carefully considered the suitability of an investment in the securities in light of your particular circumstances. You should
also review “Summary Risk Factors” beginning on page PS-4 of this pricing supplement, “The S&P 500
®
Index” beginning on page PS-9 of this pricing supplement, “Risk Factors Relating to the Securities” beginning
on page EA-6 of the accompanying product supplement and “Equity Index Descriptions—S&P 500
®
Index”
beginning on page 116 of the accompanying underlying supplement.
The securities may be suitable for you if, among other considerations:
|
|
The securities may
not
be suitable for you if, among other considerations:
|
|
|
|
¨
You
fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire initial
investment.
¨
You
can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that
may have the full downside market risk of an investment in the underlying or in the stocks included in the underlying.
¨
You
believe that the level of the underlying will increase over the term of the securities.
¨
You
are willing to invest in the securities based on the upside gearing indicated on the cover page hereof.
¨
You
can tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the underlying.
¨
You
do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on
the stocks included in the underlying for the term of the securities.
¨
You
understand and accept the risks associated with the underlying.
¨
You
are willing and able to hold the securities to maturity, and accept that there may be little or no secondary market for
the securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing
to purchase the securities.
¨
You
are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments under
the securities, and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations
you might not receive any amounts due to you, including any repayment of the stated principal amount.
|
|
¨
You
do not fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire
initial investment.
¨
You
require an investment designed to guarantee a full return of the stated principal amount at maturity.
¨
You
cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an
investment that may have the full downside market risk of an investment in the underlying or in the stocks included in
the underlying.
¨
You
believe that the level of the underlying will decline during the term of the securities and the final underlying level
is likely to close below the downside threshold on the final valuation date.
¨
You
are not willing to invest in the securities based on the upside gearing indicated on the cover page hereof.
¨
You
cannot tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the underlying.
¨
You
seek current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks
included in the underlying for the term of the securities.
¨
You
do not understand or accept the risks associated with the underlying.
¨
You
are unwilling or unable to hold the securities to maturity, or you seek an investment for which there will be an active
secondary market.
¨
You
are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments
under the securities, including any repayment of the stated principal amount.
|
Final Terms
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
Guarantee
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Issue price
|
100% of the stated principal amount per security
|
Stated principal amount
|
$10.00 per security
|
Term
|
Approximately 5 years
|
Trade date
|
September 27, 2016
|
Settlement date
|
September 30, 2016
|
Final valuation date
1
|
September 27, 2021
|
Maturity date
|
September 30, 2021
|
Underlying
|
S&P 500
®
Index (Ticker: SPX)
|
Downside threshold
|
1,619.95, 75.00% of the initial underlying level
|
Upside gearing
|
1.47
|
Payment at maturity (per $10.00 stated principal amount of securities)
|
If the underlying return is positive,
Citigroup Global
Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal amount of securities that provides you with the stated
principal amount of $10.00 plus a return equal to the underlying return multiplied by the upside gearing, calculated as follows:
$10.00 × (1 + (underlying return ×
upside gearing))
If the underlying return is zero or negative and the final
underlying level is greater than or equal to the downside threshold on the final valuation date,
Citigroup Global Markets Holdings
Inc. will pay you a cash payment of $10.00 per $10.00 stated principal amount of securities.
If the underlying return is negative and the final underlying
level is less than the downside threshold on the final valuation date,
Citigroup Global Markets Holdings Inc. will pay you
a cash payment at maturity less than the stated principal amount of $10.00 per security, resulting in a loss on the stated principal
amount that is proportionate to the percentage decline in the level of the underlying, calculated as follows:
$10.00 × (1 + underlying return)
In this scenario, you will be exposed to the full negative
underlying return, and you will lose a substantial portion or all of the stated principal amount in an amount proportionate to
the percentage decline in the underlying.
|
Underlying return
|
final
underlying level – initial underlying level
initial underlying level
|
Initial underlying level
|
2,159.93, the closing level of the underlying on the trade date
|
Final underlying level
|
The closing level of the underlying on the final valuation date
|
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU
MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE
STATED PRINCIPAL AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS
HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE
SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Trade date:
|
|
The closing level of the underlying (initial underlying level) is observed, the upside gearing is set and downside threshold is determined.
|
|
|
|
|
|
Maturity date:
|
|
The final underlying level is determined on the final valuation
date and the underlying return is calculated.
If the underlying return is positive,
Citigroup Global
Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal amount of securities that provides you with the stated
principal amount of $10.00 plus a return equal to the underlying return multiplied by the upside gearing, calculated as follows:
$10.00 × (1 + (underlying return ×
upside gearing))
If the underlying return is zero or negative and the final
underlying level is greater than or equal to the downside threshold on the final valuation date,
Citigroup Global Markets Holdings
Inc. will pay you a cash payment of $10.00 per $10.00 stated principal amount of securities.
If the underlying return is negative and the final underlying
level is less than the downside threshold on the final valuation date,
Citigroup Global Markets Holdings Inc. will pay you
a cash payment at maturity less than the stated principal amount of $10.00 per security, resulting in a loss on the stated principal
amount that is proportionate to the percentage decline in the level of the underlying, calculated as follows:
$10.00 × (1 + underlying return)
In this scenario, you will be exposed to the full
negative underlying return, and you will lose a substantial portion or all of the stated principal amount in an amount proportionate
to the percentage decline in the underlying.
|
|
1
|
Subject to postponement as described under “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” in the accompanying
product supplement.
|
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. 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 some or all of your investment —
The securities differ from ordinary debt securities in that we will
not necessarily repay the full stated principal amount of your securities at maturity. Instead, your return on the securities is
linked to the performance of the underlying and will depend on whether, and the extent to which, the underlying return is positive
or negative. If the final underlying level is less than the downside threshold, you will lose 1% of the stated principal amount
of the securities for every 1% by which the final underlying level is less than the initial underlying level. There is no minimum
payment at maturity on the securities, and you may lose up to all of your investment in the securities.
|
|
¨
|
The reduced market risk offered by the securities is contingent, and you will have full downside exposure to the underlying
if the final underlying level is less than the downside threshold —
If the final underlying level is below the downside
threshold, the contingent reduced market risk with respect to a limited range of potential depreciation of the underlying offered
by the securities will not apply and you will lose 1% of the stated principal amount of the securities for every 1% by which the
final underlying level is less than the initial underlying level. The securities will have full downside exposure to the decline
of the underlying if the final underlying level is below the downside threshold. As a result, you may lose your entire investment
in the securities. Further, this contingent reduced market risk applies only if you hold the securities to maturity. If you are
able to sell the securities prior to maturity you may have to sell them for a loss even if the underlying has not declined below
the downside threshold.
|
|
¨
|
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.
|
|
¨
|
Investing in the securities is not equivalent to investing in the underlying or the stocks that constitute the underlying
—
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying. As of September 27, 2016, the average dividend yield of the underlying was approximately
2.13% per year. While it is impossible to know the future dividend yield of the underlying, if this average dividend yield were
to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 10.65% (assuming no
reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute the underlying
or in another investment linked to the underlying 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. You should understand
that the underlying is not a total return index, which means that it does not reflect dividends paid on the stocks included in
the underlying. Therefore, the return on your securities will not reflect any reinvestment of dividends.
|
|
¨
|
Your payment at maturity depends on the closing level of the underlying on a single day —
Because your payment
at maturity depends on the closing level of the underlying solely on the final valuation date, you are subject to the risk that
the closing level of the underlying 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 in another instrument linked to the underlying that you could sell for full
value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the underlying, you
might have achieved better returns.
|
|
¨
|
The probability that the underlying will fall below the downside threshold on the final valuation date will depend in part
on the volatility of the underlying
— “Volatility” refers to the frequency and magnitude of changes in the
level of the underlying. In general, the greater the volatility of the underlying, the greater the probability that the underlying
will experience a large decline over the term of the securities and fall below the downside threshold on the final valuation date.
The underlying has historically experienced significant volatility. As a result, there is a significant risk that the underlying
will fall below the downside threshold on the final valuation date and that you will incur a significant loss on your investment
in the securities. The terms of the securities are set, in part, based on expectations about the volatility of the underlying
as of the trade date. If expectations about the volatility of the underlying change over the term of the securities, the
value of the securities may be adversely affected, and if the actual volatility of the underlying proves to be greater than initially
expected, the securities may prove to be riskier than expected on the trade date.
|
|
¨
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any
payment on the securities will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore
is subject to the credit risk of both 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 any payments that become due
under the securities. As a result, the value of the securities prior to maturity will be affected by changes in the market’s
view of our and Citigroup Inc.’s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.’s
credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or Citigroup
Inc.’s credit risk is likely to adversely affect the value of 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 trade 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 underwriting discount
paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other
of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms
of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic
terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary
market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based
on our secondary market rate” below.
|
|
¨
|
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, dividend
yields on the stocks that constitute the underlying 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.
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¨
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market —
Any such secondary market price will fluctuate over
the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction
will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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¨
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors —
As described
under “Valuation of the Securities” below, the payout on the securities could be replicated by a hypothetical package
of financial instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that
influence the values of fixed-income bonds and derivative instruments will also influence the terms of the securities at issuance
and the value of the securities prior to maturity. Accordingly, the value of your securities prior to maturity will fluctuate based
on the level and volatility of the underlying, dividend yields on the stocks that constitute the underlying, interest rates generally,
the time remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate.
You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue
price. The stated payout from the issuer, including the potential application of the upside gearing and the downside threshold,
only applies if you hold the securities to maturity.
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¨
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment —
The
amount of this temporary upward adjustment will decline to zero over the temporary adjustment period. See “Valuation of the
Securities” in this pricing supplement.
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¨
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Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the securities —
Any such research, opinions or recommendations could affect the level of
the underlying and the value of the securities. Our affiliates, and UBS and its affiliates, publish research from time to time
on financial markets and other matters that may influence the value of the securities, or express opinions or provide recommendations
that may be inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by our
affiliates or by UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice.
These and other activities of our affiliates or UBS or its affiliates may adversely affect the level of the underlying and may
have a negative impact on your interests as a holder of the securities. Investors should make their own independent investigation
of the merits of investing in the securities and the underlying to which the securities are linked.
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¨
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Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the securities —
We have hedged our exposure under the securities through CGMI or other of our
affiliates, who have entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded
instruments, relating to the underlying or the stocks included in the underlying and may adjust such positions during the term
of the securities. It is possible that our affiliates could receive substantial returns from these hedging activities while the
value of the securities declines. Our affiliates and UBS and its affiliates may also engage in trading in instruments linked to
the underlying on a regular basis as part of their respective general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may affect the level of the underlying and reduce the return on your investment in the securities. Our affiliates
or UBS or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked
or related to the underlying. By introducing competing products into the marketplace in this manner, our affiliates or UBS or its
affiliates could adversely affect the value of the securities. Any of the foregoing activities described in this paragraph may
reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment strategies
relating to the securities.
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¨
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Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities —
Our affiliates or UBS or its affiliates may currently or from time to time engage in business with
the issuers of the stocks that constitute the underlying, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public
information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates
is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without
regard to your interests.
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¨
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities
—
If certain events occur, such as market disruption events or the discontinuance of the underlying, CGMI, as calculation
agent, will be required to make discretionary judgments that could significantly affect what you receive at maturity. Such judgments
could include, among other things, any level required to be determined under the securities. In addition, if certain events occur,
CGMI will be required to make certain discretionary judgments that could significantly affect your payment at maturity. Such judgments
could include, among other things:
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¨
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determining whether a market disruption event has occurred;
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¨
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if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;
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¨
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determining the level of the underlying if the level of the underlying is not otherwise available or a market disruption event
has occurred; and
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¨
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selecting a successor underlying or performing an alternative calculation of the level of the underlying if the underlying
is discontinued or materially modified (see “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product
supplement).
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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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¨
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Adjustments to the underlying may affect the value of your securities —
S&P Dow Jones Indices LLC (the “underlying
publisher”) may add, delete or substitute the stocks that constitute the underlying or make other methodological changes
that could affect the level of the underlying. The underlying publisher may discontinue or suspend calculation or publication of
the underlying at any time without regard to your interests as holders of the securities.
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¨
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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 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.
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The diagram below illustrates your hypothetical payment at maturity
for a range of hypothetical percentage changes from the initial underlying level to the final underlying level. The diagram below
is based on a hypothetical upside gearing of 1.40 and does not reflect the actual terms of the securities.
Investors in the securities will not receive any dividends on
the stocks that constitute the underlying. 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 or the stocks that constitute the underlying” above.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 stated principal amount of securities for a hypothetical range of performances for the underlying
from -100.00% to +100.00% and assume an initial underlying level of 2,100.00 , a downside threshold of 1,575.00 (75.00% of the
initial underlying level) and an upside gearing of 1.40. The actual initial underlying level, downside threshold and upside gearing
are listed on the cover page of this pricing supplement. The hypothetical payment at maturity examples set forth below are for
illustrative purposes only and are not the actual returns applicable to a purchaser of the securities. The actual payment at maturity
will be determined based on the final underlying level on the final valuation date. You should consider carefully whether the securities
are suitable to your investment goals. The numbers appearing in the table and in the examples below have been rounded for ease
of analysis and do not reflect the actual terms of the securities, which are provided on the cover page of this pricing supplement.
Final
Underlying Level
|
Underlying
Return
|
Payment
at Maturity
|
Total
Return on Securities at Maturity
(1)
|
4,200.00
|
100.00%
|
$24.00
|
140.00%
|
3,990.00
|
90.00%
|
$22.60
|
126.00%
|
3,780.00
|
80.00%
|
$21.20
|
112.00%
|
3,570.00
|
70.00%
|
$19.80
|
98.00%
|
3,360.00
|
60.00%
|
$18.40
|
84.00%
|
3,150.00
|
50.00%
|
$17.00
|
70.00%
|
2,940.00
|
40.00%
|
$15.60
|
56.00%
|
2,730.00
|
30.00%
|
$14.20
|
42.00%
|
2,520.00
|
20.00%
|
$12.80
|
28.00%
|
2,310.00
|
10.00%
|
$11.40
|
14.00%
|
2,100.00
|
0.00%
|
$10.00
|
0.00%
|
1,890.00
|
-10.00%
|
$10.00
|
0.00%
|
1,680.00
|
-20.00%
|
$10.00
|
0.00%
|
1,575.00
|
-25.00%
|
$10.00
|
0.00%
|
1,574.99
|
-25.01%
|
$7.50
|
-25.01%
|
1,470.00
|
-30.00%
|
$7.00
|
-30.00%
|
1,260.00
|
-40.00%
|
$6.00
|
-40.00%
|
1,050.00
|
-50.00%
|
$5.00
|
-50.00%
|
840.00
|
-60.00%
|
$4.00
|
-60.00%
|
630.00
|
-70.00%
|
$3.00
|
-70.00%
|
420.00
|
-80.00%
|
$2.00
|
-80.00%
|
210.00
|
-90.00%
|
$1.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
1
The “Total
Return on Securities at Maturity” is calculated as (a) the payment at maturity per security minus the $10.00 issue price
per security
divided by
(b) the $10.00 issue price per security.
Example 1 — The final underlying level of 2,310.00 is
greater than the initial underlying level of 2,100.00, resulting in an underlying return of 10.00%.
Because the underlying
return is 10.00%, Citigroup Global Markets Holdings Inc. would pay you a payment at maturity of $11.40 per $10.00 stated principal
amount of securities (a total return at maturity of 14.00%*), calculated as follows:
$10.00 × (1 + (underlying return ×
upside gearing))
$10.00 × (1+ (10.00% × 1.40))
= $11.40
Example 2 — The final underlying level of 1,890.00 is
less than the initial underlying level of 2,100.00 (resulting in an underlying return of -10.00%) but greater than the downside
threshold of 1,575.00.
Because the underlying return is negative and the final underlying level is greater than the downside
threshold, Citigroup Global Markets Holdings Inc. would pay you a payment at maturity of $10.00 per $10.00 stated principal amount
of securities (a total return at maturity of 0.00%*).
Example 3 — The final underlying level of 630.00 is less
than the initial underlying level of 2,100.00 (resulting in an underlying return of -70.00%) and less than the downside threshold
of 1,575.00.
Because the underlying return is negative and the final underlying level is less than the downside threshold,
Citigroup Global Markets Holdings Inc. would pay you a payment at maturity of $3.00 per $10.00 stated principal amount of securities
(a total return at maturity of -70.00%*), calculated as follows:
$10.00 × (1 + underlying return)
$10.00 × (1+ -70.00%) = $3.00
If the final underlying level is less than the downside
threshold, you will be fully exposed to the negative underlying return, resulting in a loss on the stated principal amount that
is proportionate to the percentage decline in the level of the underlying. Under these circumstances, you will lose a significant
portion or all of the stated principal amount at maturity. Any payment on the securities, including any repayment of the stated
principal amount at maturity, is subject to the creditworthiness of the issuer and the guarantor, and if the issuer and the guarantor
were to default on their obligations, you could lose your entire investment.
* The total return at maturity is calculated as (a) the payment
at maturity per security minus the $10.00 issue price per security
divided by
(b) the $10.00 issue price per security.
The S&P 500
®
Index consists of 500 common stocks
selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated and
maintained by S&P Dow Jones Indices LLC. The S&P 500
®
Index is reported by Bloomberg L.P. under the ticker
symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500
®
” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—S&P
500
®
Index—License Agreement” in the accompanying underlying supplement.
Please refer to the sections “Risk Factors” and “Equity
Index Descriptions—S&P 500
®
Index” in the accompanying underlying supplement for important disclosures
regarding the underlying, including information concerning its composition and calculation and certain risks that are associated
with an investment linked to the underlying.
The graph below illustrates the performance of the underlying
from January 2, 2008 to September 27, 2016. The closing level of the underlying on September 27, 2016 was 2,159.93. We obtained
the closing levels of the underlying from Bloomberg, and we have not participated in the preparation of or verified such information.
The historical levels of the underlying should not be taken as an indication of future performance and no assurance can be given
as to the final underlying level or any future closing level of the underlying. We cannot give you assurance that the performance
of the underlying will result in a positive return on your initial investment and you could lose a significant portion or all of
the stated principal amount at maturity.
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:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
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.
|
S
ubject
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 lead agent for the sale of the securities, will receive an underwriting discount of $0.35 for each security sold in this offering.
UBS, as agent for sales of the securities, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the securities
sold in this offering for $9.65 per security. UBS proposes to offer the securities to the public at a price of $10.00 per security.
UBS will receive an underwriting discount of $0.35 per security for each security it sells to the public. The underwriting discount
will be received by UBS and its financial advisors collectively. If all of the securities are not sold at the initial offering
price, CGMI may change the public offering price and other selling terms.
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. It is expected that CGMI or such other 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 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.
During a temporary adjustment period immediately 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 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 over
the temporary adjustment period. CGMI currently expects that the temporary adjustment period will be approximately 11.5 months,
but the actual length of the temporary adjustment period may be shortened due to various factors, such as the volume of secondary
market purchases of the securities and other factors that cannot be predicted. 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, 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.
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