C Citigroup Inc

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.

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.

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.

As of September 16, 2016, according to information published by the ETF, the XLRE shares held by the ETF represented approximately 18.8% of its total assets.   Accordingly, prior to the rebalance date, real estate stocks accounted for a significant percentage of the ETF’s holdings and, therefore, after the rebalance date, the ETF tracks a portfolio of stocks that differs meaningfully from the portfolio that it tracked prior to the rebalance date.   When evaluating the historical performance of the underlying contained in this pricing supplement, you should bear in mind that the index tracked by the ETF included a different composition of stocks during the historical period shown than it will include going forward.   The historical performance of the underlying might have been meaningfully different had the index included during the historical period the same composition of stocks as it includes after the rebalance date.

The changes to the ETF described above represent a significant change in the nature of the ETF and the underlying.   We cannot predict what effect these changes may have on the performance of the underlying.   It is possible that these changes could adversely affect the performance of the underlying and, in turn, your return on the securities.

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 closing price 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.

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.

these factors may lead to a lack of correlation between the performance of the underlying and the ETF’s underlying index. In addition, corporate actions with respect to the equity securities constituting the ETF’s underlying index or held by the ETF (such as mergers and spin-offs) may impact the variance between the performances of the underlying and the ETF’s underlying index. Finally, because the underlying is traded on NYSE Arca, Inc. and is subject to market supply and investor demand, the market value of the underlying may differ from the net asset value per share of the underlying.

During periods of market volatility, securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the ETF. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the underlying. As a result, under these circumstances, the market value of the underlying may vary substantially from the net asset value per share of the underlying. For all of the foregoing reasons, the performance of the underlying may not correlate with the performance of the ETF’s underlying index and/or the net asset value per share of the underlying, which could materially and adversely affect the value of the securities in the secondary market and/or reduce your payment at maturity.

Hypothetical terms only. Actual terms may vary. See the cover page for actual offering terms.

The diagram below illustrates your hypothetical payment at maturity for a range of hypothetical percentage changes from the initial underlying price to the final underlying price. The diagram below is based on a hypothetical maximum gain of 35.00%.

Investors in the securities will not receive any dividends paid on 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— You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to 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 price of $22.00, a downside threshold of $17.60 (80.00% of the initial underlying price) and a maximum gain of 35.00%. The actual initial underlying price, downside threshold and maximum gain will be determined on the trade date. The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns applicable to a purchaser of the securities. The actual payment at maturity will be determined based on the final underlying price 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.

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 price of $35.20 is greater than the initial underlying price of $22.00, resulting in an underlying return of 60.00%. Because the underlying return of 60.00% multiplied by the upside gearing of 2.00 is greater than the maximum gain of 35.00%, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount plus a return equal to the maximum gain of 35.00%, resulting in a payment at maturity of $13.50 per $10.00 stated principal amount of securities (a total return at maturity of 35.00%*), calculated as follows:

$10.00 × (1 + the lesser of (i) underlying return × upside gearing and (ii) maximum gain)

$10.00 × (1 + the lesser of (i) 60.00% × 2.00 and (ii) 35.00%)

$10.00 × (1 + 35.00%) = $13.50

In this example, an investment in the securities would underperform a direct investment in the underlying.

Example 2 — The final underlying price of $24.20 is greater than the initial underlying price of $22.00, resulting in an underlying return of 10.00%. Because the underlying return of 10.00% multiplied by the upside gearing of 2.00 is less than the maximum gain of 35.00%, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount plus a return equal to 20.00%, resulting in a payment at maturity of $12.00 per $10.00 stated principal amount of securities (a total return at maturity of 20.00%*), calculated as follows:

$10.00 × (1 + the lesser of (i) underlying return × upside gearing and (ii) maximum gain) 

$10.00 × (1 + the lesser of (i) 10.00% × 2.00 and (ii) 35.00%) 

$10.00 × (1 + 20.00%) = $12.00

Example 3 — The final underlying price of $19.80 is less than the initial underlying price of $22.00 (resulting in an underlying return of -10.00%) but greater than the downside threshold of $17.60. Because the underlying return is negative and the final underlying price 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 4 — The final underlying price of $6.60 is less than the initial underlying price of $22.00 (resulting in an underlying return of -70.00%) and less than the downside threshold of $17.60. Because the underlying return is negative and the final underlying price 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 price 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 Financial Select Sector SPDR ^® Fund (the “ETF”) is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance of publicly traded equity securities of companies in the S&P Financial Select Sector Index. The S&P Financial Select Sector Index is intended to provide an indication of the pattern of common stock price movements of companies that are components of the S&P 500 ^® Index and whose primary line of business is directly associated with the financial sector, including companies from the following sub-industries: banks, thrifts and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage REITs and insurance.

The ETF is managed by the Select Sector SPDR ^® Trust, a registered investment company. The Select Sector SPDR ^® Trust consists of nine separate investment portfolios, including the ETF. Information provided to or filed with the SEC by The Select Sector SPDR ^® Trust 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 333-57791 and 811-08837, 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 Financial Select Sector SPDR ^® Fund trades on the NYSE Arca under the ticker symbol “XLF.”

Please refer to the sections “Risk Factors” and “Fund Descriptions—The Select Sector SPDR ^® Funds” in the accompanying underlying supplement for important disclosures regarding the underlying, including certain risks that are associated with an investment linked to the underlying.

This pricing supplement relates only to the securities offered hereby and does not relate to the shares of the ETF. We have derived all disclosures contained in this pricing supplement regarding the ETF from the publicly available documents described above. In connection with the offering of the securities, none of Citigroup Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to the ETF or the S&P Financial Select Sector Index.

The securities represent obligations of Citigroup Global Markets Holdings Inc. (guranteed by Citigroup Inc.) only. The ETF is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.

Neither we nor any of our affiliates makes any representation to you as to the performance of the underlying.

The following table sets forth, for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid, on the underlying from January 2, 2008 through December 2, 2016. The closing price of the underlying on December 2, 2016 was $22.65. The actual initial underlying price will be the closing price of the underlying on the trade date. We obtained the closing prices and other information below from Bloomberg, L.P., without independent verification. The closing prices and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. Since its inception, the price of the underlying has experienced significant fluctuations. The historical performance of the underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the underlying during the term of the securities. We cannot give you assurance that the performance of the underlying will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that the underlying will pay in the future. In any event, as an investor in the securities, you will not be entitled to receive dividends, if any, that may be payable on the underlying.

When evaluating the historical performance of the underlying contained below, you should bear in mind that the index tracked by the ETF included a different composition of stocks during the historical period shown than it will include going forward, as described under “Summary Risk Factors— The index tracked by the ETF has undergone a significant change on September 16, 2016 and, as a result, the index tracked by the ETF will differ in important ways from the index tracked by the ETF in the past.”   The historical performance of the underlying might have been meaningfully different had the index included during the historical period the same composition of stocks as it includes after the rebalance date.