Pricing Supplement No. 2017-USNCH0357 to Product Supplement
No. EA-02-05 dated October 14, 2016,
Underlying Supplement No. 5 dated October 14, 2016, Prospectus
Supplement and Prospectus each dated October 14, 2016
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-214120 and 333-214120-03
Dated February 23, 2017
Citigroup Global Markets Holdings Inc. $4,947,730 Capped Trigger
GEARS
Linked to Shares of the iShares
®
MSCI Emerging
Markets ETF Due February 28, 2020
All payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc.
The Capped 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 shares of the iShares
®
MSCI Emerging Markets ETF (the “
underlying
”)
from the initial underlying price to the final underlying price. 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 2.00, but no more than the maximum gain of 42.00%. If the underlying return is zero or negative and the final underlying
price 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 price 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 price of the underlying. In this case, you will have full downside exposure to the underlying from the initial underlying
price to the final underlying price, and could lose all of your initial investment.
Investing in the securities involves significant
risks. You will not receive coupon payments during the 3-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 the underlying or the stocks held by
the ETF. 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.
Features
|
q
Enhanced
Growth Potential Subject to Maximum Gain —
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, but no
more than the maximum gain. The upside gearing feature will provide leveraged exposure to a limited range of 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 price 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 price 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 price 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
|
February 23, 2017
|
Settlement date
|
February 28, 2017
|
Final valuation date
1
|
February 25, 2020
|
Maturity date
|
February 28, 2020
|
|
|
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 Capped Trigger GEARS Linked to Shares of the
iShares
®
MSCI Emerging Markets ETF. 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 of100 securities at the issue price described below.
Underlying
|
Initial Underlying Price
|
Upside Gearing
|
Maximum Gain
|
Downside Threshold
|
CUSIP/ ISIN
|
Shares of the iShares
®
MSCI Emerging Markets ETF (Ticker: EEM) (the “ETF”)
|
$38.94
|
2.00
|
42.00%
|
$29.205, 75.00% of the initial underlying price
|
17325E382 / US17325E3826
|
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
|
$0.25
|
$9.75
|
Total
|
$4,947,730.00
|
$123,693.25
|
$4,824,036.75
|
(1)
On the date of this pricing supplement, the estimated
value of the securities is $9.768 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 $0.25 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 $9.75 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 $9.75 per security. UBS will receive an underwriting discount of $0.25 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 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 ETF,” 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 October 14, 2016 on the SEC website):
|
¨
|
Product Supplement No. EA-02-05 dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010316017113/dp69492_424b2-par.htm
|
¨
|
Underlying Supplement No. 5 dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010316017120/dp69493_424b2-us5.htm
|
¨
|
Prospectus Supplement and Prospectus each dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000119312516738765/d271357d424b2.htm
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 Capped Trigger GEARS Linked to Shares of the iShares
®
MSCI Emerging
Markets ETF 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 advisors
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 iShares
®
MSCI Emerging Markets
ETF” beginning on page PS-10 of this pricing supplement, “Risk Factors Relating to the Securities” beginning
on page EA-6 of the accompanying product supplement and “Fund Descriptions—The iShares
®
ETFs”
beginning on page 134 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.
¨
You
believe that the price of the underlying will increase over the term of the securities and are willing to give up any appreciation
in excess of the maximum gain.
¨
You
understand and accept that your potential return is limited by the maximum gain and you are willing to invest in the securities
based on the maximum gain 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 price 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 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.
¨
You
believe that the price of the underlying will decline during the term of the securities and the final underlying price is likely
to close below the downside threshold on the final valuation date, or you believe the underlying will appreciate over the term
of the securities by more than the maximum gain.
¨
You
seek an investment that participates in the full appreciation in the price of the underlying or that has unlimited return potential,
or you are unwilling to invest in the securities based on the maximum gain 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 price of the underlying.
¨
You
seek current income from this investment or prefer to receive the dividends and any other distributions paid on 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 3 years
|
Trade date
|
February 23, 2017
|
Settlement date
|
February 28, 2017
|
Final valuation date
1
|
February 25, 2020
|
Maturity date
|
February 28, 2020
|
Underlying
|
Shares of the iShares
®
MSCI Emerging Markets ETF (Ticker: EEM) (the “ETF”)
|
Maximum gain
|
42.00%
|
Downside threshold
|
$29.205, 75.00% of the initial underlying price
|
Upside gearing
|
2.00
|
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, but no more than the
maximum gain, calculated as follows:
$10.00 × (1 + the
lesser of
(i) underlying
return × upside gearing and (ii) maximum gain)
If the underlying return is zero or negative and the final
underlying price 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
price 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 price 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 price – initial underlying
price
initial underlying price
|
Initial underlying price
|
$38.94, the closing price of the underlying on the trade date
|
Final underlying price
|
The closing price 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.
|
Investment Timeline
|
|
|
|
|
|
Trade date:
|
|
The closing price of the underlying (initial underlying price) is observed, the maximum gain is set and downside threshold is determined.
|
|
|
|
|
|
Maturity date:
|
|
The final underlying price 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, but no more than the
maximum gain, calculated as follows:
$10.00 × (1 + the
lesser of
(i) underlying
return × upside gearing and (ii) maximum gain)
If the underlying return is zero or negative and the final
underlying price 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
price 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 price 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 ETF Shares or Company Shares—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 advisors 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 price 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 price is less than the initial underlying price. 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 price is less than the downside threshold —
If the final underlying price 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 price is less than the initial underlying price. The securities will have full downside exposure to the decline
of the underlying if the final underlying price 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.
|
|
¨
|
The appreciation potential of the securities is limited by the maximum gain —
Your potential total return on the
securities at maturity is limited by the maximum gain. As a result, the return on an investment in the securities may be less than
the return on a direct investment in the underlying. In addition, the maximum gain reduces the effect of the upside gearing for
all final underlying prices exceeding the final underlying price at which, by multiplying the corresponding underlying return by
the upside gearing, the maximum gain is reached.
|
|
¨
|
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to
the underlying —
As of February 23, 2017, the trailing 12-month dividend yield of the underlying was approximately 1.70%
per year. While it is impossible to know the future dividend yield of the underlying, if this trailing 12-month dividend yield
were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 5.10% (assuming
no reinvestment of dividends) by investing in the securities instead of investing directly in 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.
|
|
¨
|
Your payment at maturity depends on the closing price of the underlying on a single day —
Because your payment
at maturity depends on the closing price of the underlying solely on the final valuation date, you are subject to the risk that
the closing price 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 directly in the underlying or 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
prices 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
price 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, the
dividend yield on 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.
|
¨
|
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 —
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 price and volatility of the underlying, the dividend yield on the underlying, interest rates generally, changes in the exchange
rate between the U.S. dollar and each of the currencies in which the stocks that are held by the iShares
®
MSCI Emerging
Markets ETF trade, 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.
|
|
¨
|
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.
|
|
¨
|
Our offering of the securities is not a recommendation of the underlying —
The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlying 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
underlying or the stocks held by the ETF or in instruments related to the underlying or such stocks, and may publish research or
express opinions, that in each case are inconsistent with an investment linked to the underlying. These and other activities of
our affiliates may affect the price of the underlying in a way that has a negative impact on your interests as a holder of the
securities.
|
|
¨
|
Fluctuations in exchange rates will affect the price of the underlying —
Because the ETF invests in non-U.S. companies
and the net asset value of the ETF is based on the U.S. dollar value of the stocks held by the ETF, holders of the securities will
be exposed to currency exchange rate risk with respect to each of the currencies in which such stocks trade. 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. If, taking into account such weighting, the dollar strengthens
against the currencies of the stocks held by the ETF, the price of the underlying will be adversely affected for that reason alone
and the payment at maturity on the securities may be reduced. 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 various component countries and the United States and
other countries important to international trade and finance.
|
|
¨
|
The underlying is subject to risks associated with investments in securities linked to the value of emerging markets equity
securities
— The stocks composing the ETF and that are generally tracked by the underlying have been issued by companies
in various emerging markets. Investments in securities linked to the value of foreign equity securities 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 foreign companies than about U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies
are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S.
reporting companies. The prices of securities in foreign markets may be affected by political, economic, financial and social factors
in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
Countries with emerging markets may have relatively unstable governments, present the risks of nationalization of businesses, have
restrictions on foreign ownership and prohibitions on the repatriation of assets and have less protection of property rights than
more developed countries. The economies of countries with emerging markets may be based on only a few industries, be highly vulnerable
to changes in local or global trade conditions and suffer from extreme and volatile debt burdens or inflation rates. Local securities
markets may trade a small number of securities and be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.
|
|
¨
|
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 closing
price 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 price 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.
|
|
¨
|
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 held by the ETF and other financial instruments related to the underlying
or such stocks 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 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.
|
|
¨
|
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 ETF or the issuers of the stocks held by the ETF, 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.
|
|
¨
|
Even if the ETF 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 the underlying 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 underlying on the date of declaration of the
dividend. Any dividend will reduce the closing price of the underlying by the amount of the dividend per share. If the ETF 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.
|
|
¨
|
The securities may become linked to an asset other than the original underlying upon the occurrence of a reorganization
event or upon the delisting of the underlying —
For example, if the ETF enters into a merger agreement that provides
for holders of the underlying to receive shares of another entity, the shares of such other entity will become the underlying for
all purposes of the securities upon consummation of the merger. Additionally, if the underlying is delisted or the ETF is otherwise
terminated, the
|
calculation agent may, in its sole
discretion, select shares of another ETF to be the underlying. 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 ETF” in the accompanying product supplement.
|
¨
|
An adjustment is not required to be made for all events that may have a dilutive effect on or otherwise adversely affect
the market price of the underlying —
For example, an adjustment will not be made for ordinary dividends or extraordinary
dividends that do not meet the criteria described above. Moreover, the adjustments that are made 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 underlying would not.
|
|
¨
|
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, events with respect to the ETF that may require a dilution
adjustment or the delisting 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 price 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:
|
|
¨
|
determining whether a market disruption event has occurred;
|
|
¨
|
if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;
|
|
¨
|
determining the price of the underlying if the price of the underlying is not otherwise available or a market disruption event
has occurred;
|
|
¨
|
determining the appropriate adjustments to be made to the initial underlying price or the downside threshold upon the occurrence
of an event described under “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; and
|
|
¨
|
selecting a successor ETF or performing an alternative calculation of the price of the underlying if the underlying is delisted
or the ETF is liquidated or otherwise terminated (see “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying
product supplement).
|
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.
|
¨
|
The price and performance of the underlying may not completely track the performance of the index underlying the ETF or
the net asset value per share of the ETF
— The ETF does not fully replicate the underlying index that it seeks to track
and may hold securities different from those included in its underlying index. In addition, the performance of the underlying will
reflect transaction costs and fees of the ETF that are not included in the calculation of the index underlying the ETF. In addition,
the ETF may not hold all of the shares included in, and may hold securities and derivative instruments that are not included in,
the index underlying the ETF. All of 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.
|
¨
|
Changes made by the investment advisor to the ETF or by the sponsor of the index underlying the ETF may adversely affect
the underlying
— We are not affiliated with the investment advisor to the ETF or with the sponsor of the index underlying
the ETF. Accordingly, we have no control over any changes such investment advisor or sponsor may make to the ETF or the index underlying
the ETF. Such changes could be made at any time and could adversely affect the performance of the underlying.
|
|
¨
|
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. 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.
|
Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
the securities should not be subject to withholding under Section 871(m). However, the IRS could challenge this conclusion. If
withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
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 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 the maximum gain of 42.00%.
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 $37.00, a downside threshold of $27.75 (75.00% of the initial
underlying price) and a maximum gain of 42.00%. The actual initial underlying price, downside threshold and maximum gain 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 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 and do not reflect the actual terms of the securities, which are provided on the cover page of this pricing supplement.
Final Underlying Price
|
Underlying Return
|
Payment at Maturity
|
Total Return on Securities at Maturity
(1)
|
$74.00
|
100.00%
|
$14.20
|
42.00%
|
$70.30
|
90.00%
|
$14.20
|
42.00%
|
$66.60
|
80.00%
|
$14.20
|
42.00%
|
$62.90
|
70.00%
|
$14.20
|
42.00%
|
$59.20
|
60.00%
|
$14.20
|
42.00%
|
$55.50
|
50.00%
|
$14.20
|
42.00%
|
$51.80
|
40.00%
|
$14.20
|
42.00%
|
$48.10
|
30.00%
|
$14.20
|
42.00%
|
$44.77
|
21.00%
|
$14.20
|
42.00%
|
$44.40
|
20.00%
|
$14.00
|
40.00%
|
$40.70
|
10.00%
|
$12.00
|
20.00%
|
$37.00
|
0.00%
|
$10.00
|
0.00%
|
$33.30
|
-10.00%
|
$10.00
|
0.00%
|
$29.60
|
-20.00%
|
$10.00
|
0.00%
|
$27.75
|
-25.00%
|
$10.00
|
0.00%
|
$27.74
|
-25.03%
|
$7.497
|
-25.03%
|
$22.20
|
-40.00%
|
$6.00
|
-40.00%
|
$18.50
|
-50.00%
|
$5.00
|
-50.00%
|
$14.80
|
-60.00%
|
$4.00
|
-60.00%
|
$11.10
|
-70.00%
|
$3.00
|
-70.00%
|
$7.40
|
-80.00%
|
$2.00
|
-80.00%
|
$3.70
|
-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 price of $59.20 is
greater than the initial underlying price of $37.00, 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 42.00%, Citigroup Global Markets Holdings
Inc. would pay you the stated principal amount plus a return equal to the maximum gain of 42.00%, resulting in a payment at maturity
of $14.20 per $10.00 stated principal amount of securities (a total return at maturity of 42.00%*), 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) 42.00%)
$10.00 × (1 + 42.00%) = $14.20
In this example, an investment in the securities would underperform
a direct investment in the underlying.
Example 2 — The final underlying price of $40.70 is
greater than the initial underlying price of $37.00, 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 42.00%, 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) 42.00%)
$10.00 × (1 + 20.00%) = $12.00
Example 3 — The final underlying price of $33.30 is
less than the initial underlying price of $37.00 (resulting in an underlying return of -10.00%) but greater than the downside threshold
of $27.75.
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 $11.10 is
less than the initial underlying price of $37.00 (resulting in an underlying return of -70.00%) and less than the downside threshold
of $27.75.
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 price 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 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 advisor 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— The iShares
®
ETFs” 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.
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.
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 February 23,
2017. The closing price of the underlying on February 23, 2017 was $38.94. 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.
Quarter
Begin
|
Quarter
End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
1/2/2008
|
3/31/2008
|
$50.37
|
$42.17
|
$0.648931
|
4/1/2008
|
6/30/2008
|
$51.70
|
$44.43
|
$0.517255
|
7/1/2008
|
9/30/2008
|
$44.43
|
$31.33
|
$0.000000
|
10/1/2008
|
12/31/2008
|
$33.90
|
$18.22
|
$0.340423
|
1/2/2009
|
3/31/2009
|
$27.09
|
$19.94
|
$0.000000
|
4/1/2009
|
6/30/2009
|
$34.64
|
$25.65
|
$0.247284
|
7/1/2009
|
9/30/2009
|
$39.29
|
$30.75
|
$0.000000
|
10/1/2009
|
12/31/2009
|
$42.07
|
$37.56
|
$0.322891
|
1/4/2010
|
3/31/2010
|
$43.22
|
$36.83
|
$0.012012
|
4/1/2010
|
6/30/2010
|
$43.98
|
$36.16
|
$0.261603
|
7/1/2010
|
9/30/2010
|
$44.77
|
$37.59
|
$0.000000
|
10/1/2010
|
12/31/2010
|
$48.58
|
$44.77
|
$0.359415
|
1/3/2011
|
3/31/2011
|
$48.69
|
$44.63
|
$0.025122
|
4/1/2011
|
6/30/2011
|
$50.21
|
$45.50
|
$0.460916
|
7/1/2011
|
9/30/2011
|
$48.46
|
$34.95
|
$0.000000
|
10/3/2011
|
12/30/2011
|
$42.80
|
$34.36
|
$0.346963
|
1/3/2012
|
3/30/2012
|
$44.76
|
$38.23
|
$0.000000
|
4/2/2012
|
6/29/2012
|
$43.54
|
$36.68
|
$0.468357
|
7/2/2012
|
9/28/2012
|
$42.37
|
$37.42
|
$0.000000
|
10/1/2012
|
12/31/2012
|
$44.35
|
$40.14
|
$0.262327
|
1/2/2013
|
3/28/2013
|
$45.20
|
$41.80
|
$0.014234
|
4/1/2013
|
6/28/2013
|
$44.23
|
$36.63
|
$0.000000
|
7/1/2013
|
9/30/2013
|
$43.29
|
$37.34
|
$0.492599
|
10/1/2013
|
12/31/2013
|
$43.66
|
$40.44
|
$0.365778
|
1/2/2014
|
3/31/2014
|
$40.99
|
$37.09
|
$0.000000
|
4/1/2014
|
6/30/2014
|
$43.95
|
$40.82
|
$0.000000
|
7/1/2014
|
9/30/2014
|
$45.85
|
$41.56
|
$0.340630
|
10/1/2014
|
12/31/2014
|
$42.44
|
$37.73
|
$0.535021
|
1/2/2015
|
3/31/2015
|
$41.07
|
$37.92
|
$0.000000
|
4/1/2015
|
6/30/2015
|
$44.09
|
$39.04
|
$0.000000
|
7/1/2015
|
9/30/2015
|
$39.78
|
$31.32
|
$0.301252
|
10/1/2015
|
12/31/2015
|
$36.29
|
$31.55
|
$0.500839
|
1/4/2016
|
3/31/2016
|
$34.28
|
$28.25
|
$0.000000
|
4/1/2016
|
6/30/2016
|
$35.26
|
$31.87
|
$0.265983
|
7/1/2016
|
9/30/2016
|
$38.20
|
$33.77
|
$0.000000
|
10/3/2016
|
12/30/2016
|
$38.10
|
$34.08
|
$0.396208
|
1/3/2017
|
2/23/2017
*
|
$38.94
|
$35.43
|
$0.000000
|
* As of the date of this pricing supplement, available information
for the first calendar quarter of 2017 includes data for the period from January 3, 2017 through February 23, 2017. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period
only and do not reflect complete data for the first calendar quarter of 2017.
The graph below illustrates the performance of the underlying
from January 1, 2008 to February 23, 2017. The closing price of the underlying on February 23, 2017 was $38.94. We obtained the
closing prices of the underlying from Bloomberg, and we have not participated in the preparation of or verified such information.
The historical closing prices of the underlying should not be taken as an indication of future performance and no assurance can
be given as to the final underlying price or any future closing price 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 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 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.
|
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 underlying. 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 an amount of the underlying with a value equal to the amount you paid to acquire your securities and subsequently sold
that amount for its 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 underlying over the term of the securities). Alternatively,
the “net underlying long-term capital gain” could be calculated using an amount of the underlying 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 discussions below under “Possible Withholding
Under Section 871(m) of the Code” and 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.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
the regulations exempt financial instruments issued in 2017 that do not have a “delta” of one. Based on the terms of
the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to the underlier, you could
be subject to withholding tax or income tax liability under Section 871(m) even if the securities are not Specified Securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
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 $0.25 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 $9.75 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 $0.25 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 price 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 8.0 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 October 14, 2016, which has
been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on October 14, 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.
© 2017 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.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024