All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc
The suitability considerations identified below are not exhaustive.
Whether or not the notes 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 notes in light of your particular circumstances. You should also review “Summary Risk
Factors” beginning on page PS-6 of this pricing supplement, “The SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF” beginning on page PS-12 of this pricing supplement, “Risk Factors Relating to
the Securities” beginning on page EA-6 of the accompanying product supplement and “Fund Descriptions—The SPDR
®
S&P
®
Industry ETFs” beginning on page 146 of the accompanying underlying supplement.
|
Final Terms
|
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
|
Guarantee
|
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
|
Issue price
|
100% of the stated principal amount per note
|
|
Stated principal amount per note
|
$10.00 per note
|
|
Term
|
Approximately three years, unless called earlier
|
|
Trade date
|
March 17, 2017
|
|
Settlement date
|
March 22, 2017
|
|
Final valuation date
1
|
March 17, 2020
|
|
Maturity date
|
March 20, 2020
|
|
Underlying
1
|
The shares of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (Ticker: XOP)
|
|
Automatic call feature
|
The notes will be automatically called if the closing price of
the underlying is greater than or equal to the initial underlying price on the first or second valuation date or greater than or
equal to the downside threshold on the final valuation date.
If the notes are automatically called, we will pay you
on the applicable call settlement date a cash payment per $10.00 stated principal amount of each note equal to the call price
for the applicable valuation date.
|
|
Valuation dates
1
|
March 19, 2018
March 18, 2019
March 17, 2020 (the “
final valuation date
”).
|
|
Call settlement dates
|
Three (3) business days following the applicable valuation date, except that the call settlement date for the final valuation date is the maturity date.
|
|
Call price
|
The call price will be calculated based on the following formula:
$10.00 + applicable call return
|
|
Call return/call return rate
|
The call return increases the longer the notes are outstanding
and will be based on a fixed call return rate of 8.65% per annum.
See “Call Returns/Call Prices for the Offering
of the Notes” on page PS-5.
|
|
Payment at maturity (per $10.00 stated principal amount of notes)
|
If the notes are not called, the final underlying price will
therefore necessarily be less than the downside threshold on the final valuation date,
and we will pay you a cash payment on
the maturity date that is less than your stated principal amount and may be zero, resulting in a loss that is proportionate to
the negative underlying return, equal to:
$10.00
× (1 + underlying return)
Accordingly, you may lose all or a substantial
portion of your stated principal amount at maturity, depending on how significantly the underlying declines.
|
|
Underlying return
|
final underlying price – initial underlying price
initial underlying price
|
|
Downside threshold
2
|
23.686, 65.00% of the initial underlying price
|
|
Initial underlying price
2
|
The closing price of the underlying on the trade date, as specified on the cover page of this pricing supplement.
|
|
Final underlying price
|
The closing price of the underlying on the final valuation date.
|
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE NOTES 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 NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
|
Investment Timeline
|
|
|
|
|
|
|
|
Trade date
|
|
The closing price of the underlying (the initial underlying price) is observed, the downside threshold is set and the call return rate is determined.
|
|
|
|
|
|
|
|
Annually, beginning March 19, 2018 (if not previously called)
|
|
The notes will be automatically called if the closing price of
the underlying is greater than or equal to the initial underlying price on the first or second valuation date or greater than or
equal to the downside threshold on the final valuation date.
If the notes are automatically called, we will pay the call price
for the applicable valuation date, equal to the stated principal amount plus the applicable call return.
After the notes are automatically called, no further payments
will be made on the notes.
|
|
|
|
|
|
|
|
Maturity date (if not previously called)
|
|
The final underlying price is observed on the final valuation
date.
If the notes have not been automatically called, the final underlying
price will therefore necessarily be less than the downside threshold, and we will pay you an amount in cash per note that is less
than the stated principal amount, and possibly zero, at maturity, resulting in a loss proportionate to the decline of the underlying,
equal to:
$10.00
+ ($10.00 × underlying return)
|
___________________
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.
2
Subject to adjustment
upon the occurrence of any of the events described in the section “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in the accompanying
product supplement.
Call
Returns/Call Prices for the Offering of the Notes
|
Valuation Date
|
Call
Return
(Per
$10 stated principal amount. Based on a call return rate of 8.65% per annum.)
|
Call Price
(Per $10 stated principal amount)
|
|
March 19, 2018
|
8.65% of the stated principal amount
|
$10.865
|
|
March 18, 2019
|
17.30% of the stated principal amount
|
$11.730
|
|
March 17, 2020 (the “
final valuation date
”)
|
25.95% of the stated principal
amount
|
$12.595
|
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 (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 underlying. 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 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 notes differ from ordinary debt securities in that we will not
necessarily repay the full stated principal amount of your notes at maturity. Instead, your return on the notes is linked to the
performance of the underlying and, if the notes are not automatically called, will depend on the extent to which the final underlying
price is less than the downside threshold. If the notes are not automatically called on any of the valuation dates, which necessarily
means that the final underlying price is less than the downside threshold, you will lose 1% of the stated principal amount of the
notes 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 notes, and you may lose up to all of your investment in the notes.
|
|
|
¨
|
The appreciation potential of the notes is limited
— Your potential total return on the notes at maturity or upon
earlier automatic call is limited to the call return, which will only be received if the notes are called. Because the call return
increases the longer the notes have been outstanding and because the notes could be called as early as one year after the settlement
date, you may not receive the call return associated with a later valuation date. You will not participate in any potential appreciation
of the underlying even though you may be subject to its full downside performance. As a result, the return on an investment in
the notes may be significantly less than the return on a hypothetical direct investment in the underlying.
|
|
|
¨
|
The repayment of principal plus a call return 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 notes are not automatically called on one
of the first two valuation dates and, on the final valuation date, the closing price of the underlying is less than the initial
underlying price but greater than the downside threshold, you will receive your stated principal amount plus the call return at
maturity notwithstanding that the underlying price has declined from the initial underlying price. However, if the final underlying
price is below the downside threshold, the contingent repayment of principal plus a call return will not apply, and you will lose
1% of the stated principal amount of the notes for every 1% by which the final underlying price is less than the initial underlying
price. The notes 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 notes. Further, this contingent repayment of principal plus
a call return applies only if you hold the notes to maturity.
If you are able to sell the notes prior to maturity, you may have to sell them for a loss even if the price of the underlying is
greater than the downside threshold at that time. See “The value of the notes prior to maturity will fluctuate based on many
unpredictable factors” below.
|
|
|
¨
|
The notes do not pay interest
— Unlike conventional debt securities, the notes do not pay interest or any other
amounts prior to maturity or earlier automatic call. You should not invest in the notes if you seek current income during the term
of the notes.
|
|
|
¨
|
Investing in the notes is not equivalent to investing in the underlying —
You will not have voting rights, rights
to receive any dividends or other distributions or any other rights with respect to the underlying. Moreover, unlike a direct investment
in the underlying, the appreciation potential of the notes is limited, as described above.
|
|
|
¨
|
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 notes 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 notes. The terms of the notes 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 notes, the value of the notes may be adversely
affected, and if the actual volatility of the underlying proves to be greater than initially expected, the notes may prove to be
riskier than expected on the trade date.
|
|
|
¨
|
The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any payment
on the notes 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
notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that become due under the notes.
As a result, the value of the notes 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 notes.
|
|
|
¨
|
The performance of the notes will depend on the closing price of the underlying solely on the valuation dates
—
The performance of the notes (including whether the notes are automatically called and, if they are not called, the amount of your
payment at maturity) will depend on the closing price of the underlying only on the valuation dates. You will not receive the stated
principal amount of your notes at maturity if the closing price of the underlying on the final valuation date is less than the
downside threshold, even if the closing price of the underlying is greater than the downside threshold on other days during the
term of the notes. Moreover, your notes will be automatically called prior to maturity if the closing price of the underlying is
greater than or equal to the initial underlying price on any valuation date prior to the final valuation date, even if the closing
price of the underlying is less than the initial underlying price on other days during the term of the notes. Because the performance
of the notes depends on the closing price of the underlying on a small number of dates, the performance of the notes will be particularly
sensitive to volatility in the closing price of the underlying, particularly around the valuation dates. You should understand
that the price of the underlying has historically been highly volatile. See “The SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF” in this pricing supplement.
|
|
|
¨
|
The notes may be automatically called prior to maturity
— Beginning one year after issuance, on any valuation
date occurring annually during the term of the notes, the notes will be automatically called if the closing price of the underlying
on that valuation date is greater than or equal to the initial underlying price. Thus, the term of the notes may be limited to
as short as one year. The earlier the notes are automatically called, the lower the amount of the call return you will receive.
If the notes are automatically called prior to maturity, you may not be able to reinvest your funds in another investment that
provides a similar yield with a similar level of risk.
|
|
|
¨
|
The notes will not be listed on a 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.
|
|
|
¨
|
The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) the underwriting discount 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.
|
|
|
¨
|
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 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 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 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.
|
|
|
¨
|
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.
|
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.
|
|
¨
|
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.
|
|
¨
|
The value of the notes prior to maturity will fluctuate based on many unpredictable factors
— As described under
“Valuation of the Notes” below, the payout on the notes 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 notes at issuance and the value of
the notes prior to maturity. Accordingly, the value of your notes prior to maturity will fluctuate based on the price and volatility
of the underlying, the dividend yield on the underlying and the stocks held by the underlying, interest rates generally, the time
remaining to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. You should
understand that the value of your notes at any time prior to maturity may be significantly less than the issue price. The stated
payout from the issuer, including the call return, only applies if you hold the notes to maturity or earlier automatic call, as
applicable.
|
|
|
¨
|
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
Notes” in this pricing supplement.
|
|
|
¨
|
Investing in the notes exposes investors to risks associated with investments in securities with a concentration in the
oil and gas exploration and production industry
. The stocks included in the index underlying the ETF and that are generally
tracked by the ETF are stocks of companies whose primary business is associated with the exploration and production of oil and
gas. As a result, the value of the notes may be subject to greater volatility and may be more adversely affected by a single economic,
political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified
group of issuers or issuers in a less volatile industry. The oil and gas industry is significantly affected by a number of factors
that influence worldwide economic conditions and oil prices, such as natural disasters, supply disruptions, geopolitical events
and other factors that may offset or magnify each other, including:
|
|
|
¨
|
employment levels and job growth;
|
|
|
¨
|
worldwide and domestic supplies of, and demand for, oil and gas;
|
|
|
¨
|
the cost of exploring for, developing, producing, refining and marketing oil and gas;
|
|
|
¨
|
changes in weather patterns and climatic changes;
|
|
|
¨
|
the ability of the members of Organization of Petroleum Exporting Countries and other oil and gas producing nations to agree
to and maintain production levels;
|
|
|
¨
|
the price and availability of alternative and competing fuels;
|
|
|
¨
|
domestic and foreign governmental regulations and taxes;
|
|
|
¨
|
the worldwide military and political environment, uncertainty or instability resulting from an escalation or additional outbreak
of armed hostilities or further acts of terrorism in the United States, or elsewhere; and
|
|
|
¨
|
general economic conditions worldwide.
|
These or other factors or the absence
of such factors could cause a downturn in the oil and natural gas industries generally or regionally and could cause the value
of the underlying to decline during the term of the notes.
|
|
¨
|
Our offering of the notes is not a recommendation of the underlying —
The fact that we are offering the notes
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
notes.
|
|
|
¨
|
Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes
— Any such research, opinions or recommendations could affect the closing price
of the underlying and the value of the notes. 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 notes, or express opinions or provide recommendations that
may be inconsistent with purchasing or holding the notes. 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 notes. Investors should make their own independent investigation of the merits of investing
in the notes and the underlying to which the notes 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 notes
— We have hedged our exposure under the notes 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 notes. It is possible that our affiliates could receive substantial returns
from these hedging activities while the value of the notes declines. Our affiliates and UBS and its affiliates may also engage
in trading in the underlying or 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 notes. Our affiliates or UBS or its affiliates may also issue or underwrite other notes 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 notes. 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 notes.
|
|
|
¨
|
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.
|
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¨
|
Even if the ETF pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
notes 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 notes 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 notes, holders of the notes 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 notes 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 notes 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 Underlying 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 notes 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 notes —
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 notes. 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 any valuation date, determining whether to postpone the 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 notes.
|
|
¨
|
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 notes
in the secondary market and/or reduce your payment at maturity.
|
|
¨
|
Changes made by the investment adviser 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 adviser to the ETF or with the sponsor of the index underlying
the ETF. Accordingly, we have no control over any changes such investment adviser 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 notes are unclear
— There is no direct legal authority
regarding the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS
or a court might not agree with the treatment of the notes as prepaid forward contracts. If the IRS were successful in asserting
an alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes might be materially and
adversely affected. Even if the treatment of the notes as prepaid forward contracts is respected, a note 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 notes, 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 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 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 notes, 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 examples below illustrate the hypothetical payment upon automatic
call or at maturity for a $10.00 stated principal amount note with the following assumptions and do not reflect the actual terms
of the notes*:
|
Stated principal amount:
|
$10.00
|
|
Term:
|
Approximately 3 years (unless earlier called)
|
|
Hypothetical initial underlying price:
|
$40.00
|
|
Hypothetical downside threshold:
|
$26.00 (which is 65% of the hypothetical initial underlying price)
|
|
Hypothetical call return rate:
|
8.15% per annum
|
|
Valuation dates:
|
Valuation dates will occur annually as set forth on page PS-5 in this pricing supplement.
|
*
(i) The hypothetical call return rate per annum does not
represent the actual call return rate per annum and (ii) the hypothetical initial underlying price and downside threshold do not
represent the actual initial underlying price and downside threshold, respectively, applicable to the notes. The actual call
return rate, initial underlying price and downside threshold for the notes are listed on the cover page of this pricing supplement.
Example 1 — Notes are Called on the First Valuation
Date
|
Closing price on first valuation date:
|
$50.00 (greater than or equal to initial underlying price, notes are called)
|
|
Call price (per $10.00 stated principal amount):
|
$10.815
|
Because the notes are called on the first valuation date, we
would pay you on the applicable call settlement date a total call price of $10.815 per $10.00 stated principal amount (an 8.15%
total return on the notes).
Example 2 — Notes are Called on the Final Valuation
Date; the Final Underlying Price is Greater Than the Downside Threshold
|
Closing price on first valuation date:
|
$30.00 (less than initial underlying price, notes NOT called)
|
|
Closing price on second valuation date:
|
$35.00 (less than initial underlying price, notes NOT called)
|
|
Closing price on final valuation date:
|
$37.00 (greater than the downside threshold, notes called)
|
|
Payment at maturity (per $10.00 stated principal amount):
|
$10.00 + call return
$10.00 + $2.445
$12.445
|
Because the final underlying price is greater than the downside
threshold on the final valuation date, the notes are called and we would pay you at maturity a total of $12.445 (the $10.00 stated
principal amount
plus
the call return of 24.45%).
Example 3 — Notes are NOT Called and the Final Underlying
Price is Less Than the Downside Threshold on the Final Valuation Date
|
Closing price on first valuation date:
|
$25.00 (less than initial underlying price, notes NOT called)
|
|
Closing price on second valuation date:
|
$25.00 (less than initial underlying price, notes NOT called)
|
|
Closing price on final valuation date:
|
$12.00 (less than initial underlying price and downside threshold, notes NOT called)
|
|
Payment at maturity (per $10.00 stated principal amount):
|
$10.00 + ($10.00 × underlying return)
$10.00 + (–$7.00)
$3.00
|
Because the notes are not called and the final underlying price
is less than the downside threshold on the final valuation date, we would pay you at maturity a total of $3.00 per $10.00 stated
principal amount (a 70.00% loss on the notes).
The
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
The SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF is an exchange-traded fund that seeks to provide investment results that, before fees and expenses,
correspond generally to the performance of publicly traded equity securities of companies included in the S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
(the “
ETF underlying Index
”).
The ETF is managed by SsgA Fund Management Inc. (“
SSgA FM
”), an investment advisor to the ETF, and the SPDR
®
Series Trust, a registered investment company. The Select Sector SPDR
®
Trust consists of numerous separate investment
portfolios, including the ETF. Information provided to or filed with the SEC by The SPDR
®
Series Trust pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC
file numbers 333-57793 and 811-08839, 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 SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF trades on the NYSE Arca
under the ticker symbol “XOP.”
We have derived all disclosures contained in this pricing supplement
regarding the underlying from the publicly available documents described above. We have not independently verified such information.
Such information reflects the policies of, and is subject to change by, SSgA FM. In connection with the offering of the notes,
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 underlying.
Please refer to the section “Fund Descriptions—The
SPDR
®
S&P
®
Industry ETFs” in the accompanying underlying supplement for important disclosures
regarding the SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF.
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 March 17, 2017.
The closing price of the underlying on March 17, 2017 was $36.44. The 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 notes. 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 notes, 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
|
$55.83
|
$44.79
|
$0.033
|
|
4/1/2008
|
6/30/2008
|
$71.31
|
$54.44
|
$0.030
|
|
7/1/2008
|
9/30/2008
|
$70.93
|
$42.68
|
$0.054
|
|
10/1/2008
|
12/31/2008
|
$43.38
|
$22.97
|
$0.063
|
|
1/2/2009
|
3/31/2009
|
$33.48
|
$23.41
|
$0.083
|
|
4/1/2009
|
6/30/2009
|
$38.25
|
$27.54
|
$0.059
|
|
7/1/2009
|
9/30/2009
|
$39.61
|
$28.51
|
$0.149
|
|
10/1/2009
|
12/31/2009
|
$43.36
|
$36.91
|
$0.075
|
|
1/4/2010
|
3/31/2010
|
$44.07
|
$39.22
|
$0.027
|
|
4/1/2010
|
6/30/2010
|
$45.82
|
$38.57
|
$0.055
|
|
7/1/2010
|
9/30/2010
|
$42.85
|
$38.05
|
$0.043
|
|
10/1/2010
|
12/31/2010
|
$52.71
|
$42.18
|
$0.073
|
|
1/3/2011
|
3/31/2011
|
$64.50
|
$52.75
|
$0.324
|
|
4/1/2011
|
6/30/2011
|
$64.97
|
$54.71
|
$0.037
|
|
7/1/2011
|
9/30/2011
|
$65.24
|
$42.80
|
$0.073
|
|
10/3/2011
|
12/30/2011
|
$57.56
|
$39.99
|
$0.155
|
|
1/3/2012
|
3/30/2012
|
$61.34
|
$52.67
|
$0.114
|
|
4/2/2012
|
6/29/2012
|
$57.85
|
$45.20
|
$0.107
|
|
7/2/2012
|
9/28/2012
|
$59.35
|
$48.73
|
$0.000
|
|
10/1/2012
|
12/31/2012
|
$57.38
|
$50.69
|
$0.113
|
|
1/2/2013
|
3/28/2013
|
$62.10
|
$55.10
|
$0.494
|
|
4/1/2013
|
6/28/2013
|
$62.61
|
$54.71
|
$0.000
|
|
7/1/2013
|
9/30/2013
|
$66.47
|
$58.62
|
$0.317
|
|
10/1/2013
|
12/31/2013
|
$72.74
|
$65.02
|
$0.084
|
|
1/2/2014
|
3/31/2014
|
$71.83
|
$64.04
|
$0.136
|
|
4/1/2014
|
6/30/2014
|
$83.45
|
$71.19
|
$0.162
|
|
7/1/2014
|
9/30/2014
|
$82.08
|
$68.83
|
$0.167
|
|
10/1/2014
|
12/31/2014
|
$66.84
|
$42.75
|
$0.208
|
|
1/2/2015
|
3/31/2015
|
$53.94
|
$42.55
|
$0.156
|
|
4/1/2015
|
6/30/2015
|
$55.63
|
$46.43
|
$0.185
|
|
7/1/2015
|
9/30/2015
|
$45.22
|
$31.71
|
$0.183
|
|
10/1/2015
|
12/31/2015
|
$40.53
|
$28.64
|
$0.143
|
|
1/4/2016
|
3/31/2016
|
$30.96
|
$23.60
|
$0.086
|
|
4/1/2016
|
6/30/2016
|
$37.50
|
$29.23
|
$0.073
|
|
7/1/2016
|
9/30/2016
|
$39.12
|
$32.75
|
$0.081
|
|
10/3/2016
|
12/31/2016
|
$43.42
|
$34.73
|
$0.075
|
|
1/3/2017
|
3/17/2017*
|
$42.21
|
$35.88
|
$0.000
|
|
*
|
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 March 17, 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 2, 2008 to March 17, 2017. The closing price of the underlying on March 17, 2017 was $36.44. 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 note should be treated as a prepaid forward contract for U.S. federal income tax
purposes. By purchasing a note, 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 notes 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 notes prior to maturity, other than pursuant to a sale or exchange.
|
|
|
·
|
Upon a sale or exchange of a note (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the note. 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 note should be long-term capital gain or loss if you held the note for more than one year.
|
Even if the treatment of the notes as prepaid forward contracts
is respected, your purchase of a note 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 notes would be recharacterized as ordinary income to the extent such gain exceeded
the “net underlying long-term capital gain.” 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 notes, 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 notes. 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 notes, 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 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.
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 notes, 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 notes and representations provided by us, our 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
the 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.
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 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 lead agent for the sale of the notes, will receive an underwriting discount of $0.25 for each note sold in this offering.
UBS, as agent for sales of the notes, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the notes sold
in this offering for $9.75 per note. UBS proposes to offer the notes to the public at a price of $10.00 per note. UBS will receive
an underwriting discount of $0.25 per note for each note it sells to the public. The underwriting discount will be received by
UBS and its financial advisors collectively. If all of the notes 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 notes 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.
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 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.
It is expected that CGMI or such other affiliates may profit from this hedging activity even if the value of the notes declines.
This hedging activity could affect the closing price of the underlying 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.
During a temporary adjustment period immediately 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 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 over the temporary adjustment period.
CGMI currently expects that the temporary adjustment period will be approximately 8.5 months, but the actual length of the temporary
adjustment period may be shortened due to various factors, such as the volume of secondary market purchases of the notes and other
factors that cannot be predicted. 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 a notes exchange and you may not be able to sell them prior to maturity.”
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.
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.
Additional
Terms of the Notes
The section “Description of Debt Securities—Covenants—Limitations
on Mergers and Sales of Assets” in the accompanying prospectus shall be amended to read in its entirety as follows:
The indenture provides that neither Citigroup Global Markets
Holdings nor Citigroup will merge or consolidate with another entity or sell other than for cash or lease all or substantially
all its assets to another entity, except, in the case of Citigroup, if such lease or sale is to one or more of its Subsidiaries,
unless:
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either (1) the Citi entity is the continuing entity, or (2) the successor entity, if other than the Citi entity, is a U.S.
corporation, partnership or trust and expressly assumes by supplemental indenture the obligations of the Citi entity evidenced
by the securities issued pursuant to the indenture; and
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immediately after the transaction, there would not be any default in the performance of any covenant or condition of the indenture
(
Sections 5.05 and 16.05
).
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Other than the restrictions described above, the indenture does
not contain any covenants or provisions that would protect holders of the debt securities in the event of a highly leveraged transaction.
©
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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