300,000 Market-Linked Notes Based on a Basket
of Two Equity Indexes Due March 1, 2022
KEY TERMS
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Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
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All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
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Basket:
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Basket Component
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Weighting
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Initial Component Level*
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S&P 500
®
Index (ticker symbol: “SPX”)
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1/2
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2,367.34
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EURO STOXX 50
®
Index (ticker symbol: “SX5E”)
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1/2
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3,304.09
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* The initial component level for each basket component is the closing level of that basket component on the pricing date.
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Aggregate stated principal amount:
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$3,000,000
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Stated principal amount:
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$10 per note
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Pricing date:
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February 24, 2017
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Issue date:
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March 1, 2017. See “Supplemental Plan of Distribution” in this pricing supplement for more information.
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Valuation date:
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February 24, 2022, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur with respect to a basket component
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Maturity date:
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March 1, 2022
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Payment at maturity:
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For each note you hold at maturity, the $10 stated principal amount
plus
the note return amount, which will be either zero or positive
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Note return amount:
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§
If
the final basket level is
greater than
the initial basket level:
$10 × the basket return, subject
to the maximum return at maturity
§
If
the final basket level is
less than or equal to
the initial basket level:
$0
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Basket return:
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The final basket level
minus
the initial basket level,
divided by
the initial basket level
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Initial basket level:
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100
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Final basket level:
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100 × [1 + (component return of SPX × 1/2) + (component return of SX5E × 1/2)]
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Component return:
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For each basket component: (final component level – initial component level) / initial component level
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Final component level:
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For each basket component, its closing level on the valuation date.
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Maximum return at maturity:
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$10.00 per note (100.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $20.00 per note.
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Listing:
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The notes will not be listed on any securities exchange
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CUSIP / ISIN:
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17325E408 / US17325E4089
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price
(1)(2)
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Underwriting fee
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Proceeds to issuer
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Per note:
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$10.00
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$0.04
(2)
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$9.91
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$0.05
(3)
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Total:
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$3,000,000.00
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$27,000.00
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$2,973,000.00
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(1) On the date of this pricing supplement, the estimated value
of the notes is $9.833 per note, which is less than the issue price. The estimated value of the notes is based on CGMI’s
proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates,
nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the notes from you at any
time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the notes, is acting as principal and will receive an underwriting fee of $0.09 for each $10
note sold in this offering. Certain selected dealers, including Morgan Stanley Wealth Management, and their financial advisors
will collectively receive from CGMI a fixed selling concession of $0.04 for each $10 note they sell. Additionally, it is possible
that CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines.
See “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth
Management by CGMI of $0.05 for each note.
Investing in the notes involves risks not associated with
an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-4.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes or determined that this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or
complete. Any representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, each of which can
be accessed via the hyperlinks below:
Product
Supplement No. EA-03-05 dated October 14, 2016
Underlying
Supplement No. 5 dated October 14, 2016
Prospectus
Supplement and Prospectus each dated October 14, 2016
The notes are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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Additional
Information
General.
The terms of the notes 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 Notes—Certain Additional Terms for Notes
Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and “—Discontinuance
or Material Modification of an Underlying Index,” and not in this pricing supplement. The accompanying underlying supplement
contains important disclosures regarding the basket components that are not repeated in this pricing supplement. It is important
that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this
pricing supplement in connection with your investment in the notes. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Postponement of
the valuation date.
If the valuation date is postponed for a reason that affects less than all of the basket components, the
final basket level will be calculated based on (i) for each unaffected basket component, its closing level on the originally scheduled
valuation date and (ii) for each affected basket component, its closing level on the valuation date as postponed (or, if earlier,
the first scheduled trading day for that basket component following the originally scheduled valuation date on which a market disruption
event did not occur with respect to that basket component). See
“Description of the
Notes—Certain Additional Terms for Notes Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement
of a Valuation Date” in the accompanying product supplement.
Investment Summary
The notes offer the potential for 100% participation
in any positive performance of the basket, subject to the maximum return at maturity. The notes provide investors:
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an opportunity to gain exposure to the basket;
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▪
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the repayment of principal at maturity;
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▪
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100% participation in any appreciation of the basket over the term of the notes, subject to the maximum return at maturity;
and
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▪
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no exposure to any decline of the basket if the notes are held to maturity.
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At maturity, if the basket has depreciated
or has not appreciated at all, you will receive the stated principal amount of $10 per note, without any positive return on your
investment. All payments on the notes, including the repayment of principal at maturity, are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc. Investors in the notes will not receive any dividends paid on the stocks that make
up the basket components over the term of the notes.
Maturity:
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5 years
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Participation rate:
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100%
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Maximum return at maturity:
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$10.00 (100.00% of the stated principal amount)
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Minimum payment at maturity:
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$10.00
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Interest:
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None
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Key Investment Rationale
The notes offer investors exposure to the performance of a basket
of equally-weighted equity indices and provide for the repayment of principal at maturity. They are for investors who are concerned
about principal risk but seek an equity basket-based return, and who are willing to forgo dividends and any return in excess of
the maximum return at maturity in exchange for the repayment of principal at maturity if the basket depreciates.
Repayment of Principal:
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The notes offer investors 1-to-1 upside exposure to any appreciation of the basket up to the maximum return at maturity, while providing for the repayment of principal in full at maturity.
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Upside Scenario:
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If the final basket level is
greater than
the initial basket level, the payment at maturity for each note will be equal to the $10 stated principal amount
plus
the basket return, subject to the maximum return at maturity of $10.00 per note (100.00% of the stated principal amount). For example, if the final basket level is 3% greater than the initial basket level, the notes will provide a total return of 3% at maturity.
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Par Scenario:
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If the final basket level is
less than or equal to
the initial basket level, the notes will pay only the stated principal amount of $10 at maturity.
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Citigroup Global Markets Holdings Inc.
|
300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial basket level to the final basket level.
Investors in the notes will not receive any dividends that
may be paid on the stocks that are included in any basket component. The diagram and examples below do not show any effect of lost
dividend yield over the term of the notes.
See “Summary Risk Factors—Investing in the notes is not equivalent to
investing in the basket components” below.
Market-Linked Notes Payment at Maturity Diagram
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Your actual payment at maturity per note will depend on the actual
final basket level. The examples below are intended to illustrate how your payment at maturity will depend on whether the final
basket level is greater than or less than the initial basket level and by how much.
Example 1—Upside Scenario A.
The hypothetical final
basket level is 110.00 (a 10.00% increase from the initial basket level), which is
greater than
the initial basket level.
Basket Component
|
Initial Component Level
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Hypothetical Final Component Level
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Hypothetical Component Return
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S&P 500
®
Index
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2,367.34
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2,485.71
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5%
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EURO STOXX 50
®
Index
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3,304.09
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3,799.70
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15%
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Hypothetical Final Basket Level:
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100.00 × [1 + (5% × 1/2) + (15% × 1/2)] = 110.00
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Payment at maturity per note
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= $10 + the note return amount
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= $10 + ($10 × basket return), subject to the maximum return at maturity of $10.00
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= $10 + ($10 × 10.00%), subject to the maximum return at maturity of $10.00
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= $10 + $1.00, subject to the maximum return at maturity of $10.00
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= $11.00
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Because the basket appreciated by 10.00% from the initial basket
level to the hypothetical final basket level and the note return amount of $1.00 results in a total return at maturity of 10.00%,
which is less than the maximum return at maturity of 100.00%, your total return at maturity in this scenario would be 10.00%.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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Example 2—Upside Scenario B.
The hypothetical final
basket level is 280.00 (a 180.00% increase from the initial basket level), which is
greater than
the initial basket level.
Basket Component
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Initial Component Level
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Hypothetical Final Component Level
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Hypothetical Component Return
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S&P 500
®
Index
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2,367.34
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6,865.29
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190%
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EURO STOXX 50
®
Index
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3,304.09
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8,921.04
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170%
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Hypothetical Final Basket Level:
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100.00 × [1 + (190% × 1/2) + (170% × 1/2)] = 280.00
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Payment at maturity per note
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= $10 + the note return amount
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= $10 + ($10 × basket return), subject to the maximum return at maturity of $10.00
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= $10 + ($10 × 180.00%), subject to the maximum return at maturity of $10.00
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= $10 + $18.00, subject to the maximum return at maturity of $10.00
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= $20.00
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Because the basket appreciated by 180.00% from the initial basket
index level to the hypothetical final basket level and the note return amount of $18.00 results in a total return at maturity of
180.00%, which is greater than the maximum return at maturity of 100.00%, your total return at maturity in this scenario would
equal the maximum return at maturity of 100.00%. In this scenario, an investment in the notes would underperform a hypothetical
alternative investment providing 1-to-1 exposure to the appreciation of the basket without a maximum return at maturity.
Example 3—Par Scenario.
The hypothetical final basket
level is 90.00 (a 10.00% decrease from the initial basket level), which is
less than
the initial basket level.
Basket Component
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Initial Component Level
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Hypothetical Final Component Level
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Hypothetical Component Return
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S&P 500
®
Index
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2,367.34
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2,840.81
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20%
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EURO STOXX 50
®
Index
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3,304.09
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1,982.45
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-40%
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Hypothetical Final Basket Level:
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100.00 × [1 + (20% × 1/2) + (-40% × 1/2)] = 90.00
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Payment at maturity per note
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= $10 + the note return amount
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= $10 + $0
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= $10
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Because the basket depreciated from the initial basket level
to the hypothetical final basket level, the payment at maturity per note would equal the $10 stated principal amount per note.
In this scenario, even though the S&P 500
®
Index appreciated, the appreciation is more than offset by the depreciation
of the EURO STOXX 50
®
Index.
Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt
securities that are guaranteed by Citigroup Inc., including the risk that we and Citigroup Inc. may default on our obligations
under the notes, and are also subject to risks associated with the basket components. Accordingly, the notes are suitable only
for investors who are capable of understanding the complexities and risks of the notes. You should consult your own financial,
tax and legal advisers as to the risks of an investment in the notes and the suitability of the notes in light of your particular
circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the
notes contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 in the accompanying product
supplement and the description of risks relating to the basket components contained in the section “Risk Factors” beginning
on page 1 in the accompanying underlying 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.
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▪
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You may not receive any return on your investment in the notes.
You will receive a positive return on your investment
in the notes only if the basket appreciates from the initial basket level to the final basket level. If the final basket level
is equal to or less than the initial basket level, you will receive only the stated principal amount of $10 for each note you hold
at maturity. As the notes do not pay any interest, even if the basket appreciates from the initial basket level to the final basket
level, there is no assurance that your total return at maturity on the notes will be as great as could have been achieved on conventional
debt securities of ours of comparable maturity.
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Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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▪
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The notes do not pay interest.
Unlike conventional debt securities, the notes do not pay interest or any other amounts
prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.
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▪
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Your potential return on the notes is limited.
Your potential total return on the notes at maturity is limited to the
maximum return at maturity of 100.00%, which is equivalent to a maximum return at maturity of $10.00 per note. Any increase in
the final basket level over the initial basket level by more than 100.00% will not increase your return on the notes.
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▪
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Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in real value terms if the basket declines or does not appreciate sufficiently from the initial basket level
to the final basket level.
This is because inflation may cause the real value of the stated principal amount to be less at
maturity than it is at the time you invest, and because an investment in the notes represents a forgone opportunity to invest in
an alternative asset that does generate a positive real return. This potential loss in real value terms is significant given the
5-year term of the notes. You should carefully consider whether an investment that may not provide for any return on your investment,
or may provide a return that is lower than the return on alternative investments, is appropriate for you.
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Investing in the notes is not equivalent to investing in the basket components.
You will not have voting rights, rights
to receive dividends or other distributions or any other rights with respect to the basket components or the securities included
in the basket components. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield,
which could be substantial, over the term of the notes.
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▪
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Your payment at maturity depends on the closing levels of the basket components on a single day.
Because your payment
at maturity depends on the closing levels of the basket components solely on the valuation date, you are subject to the risk that
the closing levels on that day may be lower, and possibly significantly lower, than on one or more other dates during the term
of the notes. If you had invested in another instrument linked to the basket components that you could sell for full value at a
time selected by you, or if the payment at maturity were based on an average of closing levels of the basket components, you might
have achieved better returns.
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▪
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The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
If we default
on our obligations under the notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed
to you under the notes.
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▪
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The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The
notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a
daily basis. Any indicative bid price for the notes 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 notes 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
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
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Sale of the notes prior to maturity may result in a loss of principal.
You will be entitled to receive at least the
full stated principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are
able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
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▪
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The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price.
The difference is attributable to certain costs associated with selling, structuring
and hedging the notes that are included in the issue price. These costs include (i) the selling concessions and structuring fees
paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the notes 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 notes. These costs adversely affect the economic terms of the
notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary market rate”
below.
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The estimated value of the notes was determined for us by our affiliate using proprietary pricing models.
CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it
may have made discretionary judgments about the inputs to its models, such as the volatility of the basket components, the correlation
among those basket components, dividend yields on the stocks included in the basket components and interest rates. CGMI’s
views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests
may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection
of the value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may
differ from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes.
You
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Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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should not invest in the notes because
of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated
value.
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The estimated value of the notes would be lower if it were calculated based on our secondary market rate.
The estimated
value of the notes 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 notes. 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 notes for purposes of any purchases of the notes
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 notes, 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
notes, which do not bear interest.
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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 notes, 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 notes prior
to maturity.
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▪
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The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market.
Any such secondary market price will fluctuate over the term of the notes
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 notes 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 notes than if our internal funding rate were used. In addition,
any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated
principal amount of the notes 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 notes will be less than the issue price.
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The value of the notes prior to maturity will fluctuate based on many unpredictable factors.
The value of your notes
prior to maturity will fluctuate based on the levels of the basket components and a number of other factors, including the volatility
of the basket components, the correlation among the basket components, the dividend yields on the stocks included in the basket
components, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the EURO STOXX 50
®
Index, the time remaining to maturity and our and/or
Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. Changes in the level of the basket may not
result in a comparable change in the value of your notes. You should understand that the value of your notes at any time prior
to maturity may be significantly less than the issue price.
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▪
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Notes” in this pricing supplement.
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The basket components may offset each other.
The performance of one basket component may not correlate with the performance
of the other basket component. If one of the basket components appreciates, the other basket component may not appreciate as much
or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly offset or more
than offset by lesser appreciation or by depreciation in the value of the other basket component.
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The basket components may be highly correlated in decline.
The performances of the basket components may become highly
correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or
on the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one
basket component will not be offset by the performance of the other basket component and, in fact, each basket component may contribute
to an overall decline from the initial basket level to the final basket level.
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The
EURO STOXX 50
®
Index is
subject
to risks associated with non-U.S. markets.
Investments in securities linked to the value of non-U.S. stocks involve risks associated
with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those
markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the
SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules that are different from those applicable to U.S. reporting companies. The prices of securities in
foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws.
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Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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Moreover, the economies in such
countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national
product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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The performance of the EURO STOXX 50
®
Index will not be adjusted for changes in the exchange rate between the euro and the U.S. dollar.
The EURO STOXX 50
®
Index is composed of stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative to the U.S.
dollar. However, the performance of the
EURO STOXX 50
®
Index
and
the value of your notes will not be adjusted for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar
over the term of the notes, your return on the notes will underperform an alternative investment that offers exposure to that appreciation
in addition to the change in the level of the
EURO STOXX 50
®
Index.
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Changes made by the sponsor of a basket component may affect the basket component.
We are not affiliated with the sponsors
of the S&P 500
®
Index or the EURO STOXX 50
®
Index. Changes that affect the basket components
may affect the value of your notes. The sponsor of a basket component may add, delete or substitute the securities that constitute
the basket component or make other methodological changes that could affect the level of the basket component. We are not affiliated
with any such sponsor and, accordingly, we have no control over any changes any such sponsor may make. Such changes could be made
at any time and could adversely affect the performance of the basket components and the value of and your payment at maturity on
the notes.
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▪
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Our offering of the notes is not a recommendation of the basket or the basket components.
The fact that we are offering
the notes does not mean that we believe that investing in an instrument linked to the basket or any of the basket components is
likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions
(including short positions) in the stocks included in the basket components or in instruments related to the basket components
or such stocks, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the
basket components. These and other activities of our affiliates may affect the levels of the basket components in a way that has
a negative impact on your interests as a holder of the notes.
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▪
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The level of a basket component may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the notes through CGMI or other of our affiliates, who have taken positions directly in the
stocks included in the basket components and other financial instruments related to the basket components or such stocks and may
adjust such positions during the term of the notes. Our affiliates also trade the stocks included in the basket components and
other financial instruments related to the basket components or such stocks on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These
activities could affect the levels of the basket components in a way that negatively affects the value of the notes. They could
also result in substantial returns for us or our affiliates while the value of the notes declines.
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▪
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities.
Our affiliates may currently or from time to time engage in business with the issuers of the stocks included in
the basket components, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests.
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▪
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes.
If certain events occur, such as market disruption events or the discontinuance of a basket component, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
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▪
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Possible Withholding Under Section 871(m) of the Internal Revenue Code.
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 Internal
Revenue Service (“IRS”) regulations providing a general exemption for financial instruments issued in 2017 that do
not have a “delta” of one, the notes should not be subject to withholding under Section 871(m). However, the IRS could
challenge this conclusion. If withholding applies to the notes, 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 Notes” 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 notes, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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Hypothetical
Historical Information About the Basket
Because
the basket exists solely for purposes of the notes, historical information on the performance of the basket does not exist for
dates prior to the pricing date. The graph below sets forth the hypothetical historical daily closing levels of the basket for
the period from January 3, 2012 to February 24, 2017, assuming that the basket was created on January 3, 2012 with the same basket
components and corresponding weights and with a level of 100 on that date. The hypothetical performance of the basket is based
on the actual closing levels of the basket components on the applicable dates. We obtained these closing levels from Bloomberg
L.P., without independent verification. Any historical trend in the level of the basket during the period shown below is not an
indication of the performance of the basket during the term of the notes.
Hypothetical Historical Basket Performance
January 3, 2012 to February 24, 2017
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Information
About the Basket Components
S&P 500
®
Index
The S&P 500
®
Index consists of 500 common
stocks selected to provide a performance benchmark for the large capitalization segment of the U.S. equity markets. It is calculated
and maintained by S&P Dow Jones Indices LLC. The S&P 500
®
Index is reported by Bloomberg L.P. under the
ticker symbol “SPX.”
“Standard & Poor’s,” “S&P”
and “S&P 500
®
” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—The S&P
U.S. Indices—License Agreement” in the accompanying underlying supplement. Please refer to the section “Equity
Index Descriptions—The S&P U.S. Indices” in the accompanying underlying supplement for important disclosures regarding
the S&P 500
®
Index.
Historical
Information
The closing level of the S&P 500
®
Index on
February 24, 2017 was 2,367.34.
The graph below shows the closing levels of the S&P 500
®
Index for each day such level was available from January 3, 2012 to February 24, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500
®
Index as an
indication of future performance.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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S&P 500
®
Index – Historical Closing Levels
January 3, 2012 to February 24, 2017
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EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50
®
Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50
®
Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the notes. For more information, see “Equity Index Descriptions—EURO STOXX 50
®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—EURO
STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures regarding the EURO STOXX
50
®
Index.
Historical
Information
The closing level of the EURO STOXX 50
®
Index
on February 24, 2017 was 3,304.09.
The graph below shows the closing levels of the EURO STOXX 50
®
Index for each day such level was available from January 3, 2012 to February 24, 2017. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the EURO STOXX 50
®
Index as
an indication of future performance.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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EURO STOXX 50
®
Index – Historical Closing Levels
January 3, 2012 to February 24, 2017
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United States
Federal Tax Considerations
In the opinion of our tax counsel,
Davis Polk & Wardwell LLP, based on current market conditions, the notes should be treated as “contingent payment debt
instruments” for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called
“United States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment
Debt Instruments,” and the remaining discussion is based on this treatment. If you are a U.S. Holder, you will be required
to recognize interest income during the term of the notes at the “comparable yield,” which generally is the yield at
which we could issue a fixed-rate debt instrument with terms similar to those of the notes, including the level of subordination,
term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or
the liquidity of the notes. We are required to construct a “projected payment schedule” in respect of the notes representing
a payment the amount and timing of which would produce a yield to maturity on the notes equal to the comparable yield. Assuming
you hold the notes until their maturity, the amount of interest you include in income based on the comparable yield in the taxable
year in which the notes mature will be adjusted upward or downward to reflect the difference, if any, between the actual and projected
payment on the notes at maturity as determined under the projected payment schedule. However, special rules may apply if the payment
at maturity on the notes is treated as becoming fixed prior to maturity. See “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments” in the accompanying product supplement
for a more detailed discussion of the special rules.
Upon the sale, exchange or
retirement of the notes prior to maturity, you generally will recognize gain or loss equal to the difference between the proceeds
received and your adjusted tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes, increased
by interest previously included in income on the notes. Any gain generally will be treated as ordinary income, and any loss generally
will be treated as ordinary loss to the extent of prior interest inclusions on the note and as capital loss thereafter.
We have determined that the
comparable yield for a note is a rate of 2.892%, compounded semi-annually, and that the projected payment schedule with respect
to a note consists of a single payment of $11.544 at maturity. The following table states the amount of interest (without taking
into account any adjustment to reflect the difference, if any, between the actual and the projected amount of the contingent payment
on a note) that will be deemed to have accrued with respect to a note for each accrual period (assuming a day count convention
of 30 days per month and 360 days per year), based upon the comparable yield set forth above:
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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ACCRUAL PERIOD
|
OID DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER NOTE)
|
TOTAL OID DEEMED TO HAVE ACCRUED FROM ISSUE DATE (PER NOTE) AS OF END OF ACCRUAL PERIOD
|
Issue date through June 30, 2017
|
$0.096
|
$0.096
|
July 1, 2017 through December 31, 2017
|
$0.146
|
$0.242
|
January 1, 2018 through June 30, 2018
|
$0.148
|
$0.390
|
July 1, 2018 through December 31, 2018
|
$0.150
|
$0.540
|
January 1, 2019 through June 30, 2019
|
$0.152
|
$0.692
|
July 1, 2019 through December 31, 2019
|
$0.155
|
$0.847
|
January 1, 2020 through June 30, 2020
|
$0.157
|
$1.004
|
July 1, 2020 through December 31, 2020
|
$0.159
|
$1.163
|
January 1, 2021 through June 30, 2021
|
$0.161
|
$1.324
|
July 1, 2021 through December 31, 2021
|
$0.164
|
$1.488
|
January 1, 2022 through maturity date
|
$0.056
|
$1.544
|
Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amount that we will pay on the notes.
Subject to the discussions
below under “Possible Withholding Under Section 871(m) of the Code” and in “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders” and “—FATCA” in the accompanying product supplement, if you are a Non-U.S.
Holder (as defined in the accompanying product supplement) of the notes, under current law you generally will not be subject to
U.S. federal withholding or income tax in respect of any payment on or any amount received on the sale, exchange or retirement
of the notes, provided that (i) income in respect of the notes 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. See “United States Federal Tax
Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement for a more detailed discussion
of the rules applicable to Non-U.S. Holders of the notes.
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 upon issuance, 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 notes and representations provided by us, our tax counsel is of the opinion that the notes 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 notes
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 an underlier, you could be subject to withholding tax or income tax liability under Section 871(m) even if the notes 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 notes.
If withholding tax applies
to the notes, 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 notes.
Citigroup Global Markets Holdings Inc.
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300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
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You should also consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the notes, is acting as principal and will receive an underwriting fee of $0.09 for each $10
note sold in this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan
Stanley Wealth Management and their financial advisers collectively, a fixed selling concession of $0.04 for each $10 note they
sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each note they sell.
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 notes, either directly or indirectly, without the prior written consent of the
client.
Secondary market sales of securities typically settle three business
days after the date on which the parties agree to the sale. Because the issue date for the notes is more than three business days
after the pricing date, investors who wish to sell the notes at any time prior to the third business day preceding the issue date
will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors
should consult their own investment advisors in this regard.
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 notes will
be used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the notes declines. This hedging
activity could affect the closing levels of the basket components and, therefore, the value of and your return on the notes. For
additional information on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds
and Hedging” in the accompanying prospectus.
Valuation of
the Notes
CGMI calculated the estimated value of the notes 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 notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (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 notes prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but not including
our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI
in its discretionary judgment.
For a period of approximately four months following issuance
of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through
one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise
be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its
affiliates over the term of the notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the four-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time. See
“Summary Risk Factors—The notes will not be listed on any securities exchange and you may not be able to sell them
prior to maturity.”
Validity of
the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes 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 notes 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 notes.
Citigroup Global Markets Holdings Inc.
|
300,000 Market-Linked Notes Based on a Basket of Two Equity Indexes Due March 1, 2022
|
|
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 notes nor the issuance and delivery of the notes and the related guarantee, nor the compliance by Citigroup Global
Markets Holdings Inc. and Citigroup Inc. with the terms of the notes 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 notes 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 notes 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 notes 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 notes by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is
validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of
its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or
other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation
Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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.
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