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Citigroup Global Markets Holdings Inc.
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March
24, 2017
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2017-USNCH0423
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-214120 and 333-214120-03
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Autocallable Securities Based Upon the Worst Performing
of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31,
2021
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▪
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The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets Holdings
Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest, do not guarantee
the repayment of principal at maturity and are subject to potential automatic early redemption on an annual basis on the terms
described below. Your return on the securities will depend on the
worst performing
of the Russell 2000
®
Index
and the shares of the iShares
®
MSCI Emerging Markets ETF (each, an “underlying asset”).
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▪
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The securities provide for the repayment of principal
plus
an upside premium following the first valuation date on which
the closing value of the worst performing underlying asset is greater than or equal to its starting value. If the closing value
of the worst performing underlying asset is not greater than or equal to its starting value on any of the valuation dates, the
securities will not be repaid at the upside premium and, instead, you will receive a payment at maturity that will depend on the
closing value of the worst performing underlying asset on the final valuation date. If the closing value of the worst performing
underlying asset on the final valuation date is less than its starting value but greater than or equal to its trigger value, you
will be repaid your stated principal amount and will receive the contingent downside premium specified below.
However, if the
closing value of the worst performing underlying asset on the final valuation date is less than 60% of its starting value, you
will lose at least 40%, and possibly significantly more, of your investment in the securities.
Your return on the securities
will depend solely on the performance of the worst performing underlying asset, and you will not benefit in any way from the performance
of the better performing underlying asset.
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▪
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If we and Citigroup Inc. default on our obligations, you may not receive any amount owed to you under the securities.
All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
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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 securities are fully and unconditionally guaranteed by Citigroup Inc.
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Underlying assets:
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The Russell 2000
®
Index (ticker symbol: “RTY”) and the shares of the iShares
®
MSCI Emerging Markets ETF (ticker symbol: “EEM”)
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Aggregate stated principal amount:
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$1,826,000
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Stated principal amount:
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$1,000 per security
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Pricing date:
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March 24, 2017
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Issue date:
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March 31, 2017. See “Supplemental Plan of Distribution” in this pricing supplement.
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Valuation dates:
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March 26, 2018, March 25, 2019, March 24, 2020 and March 24, 2021 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or certain market disruption events occur with respect to either underlying asset
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Automatic early redemption:
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If, on any of the first three valuation dates, the closing value of the worst performing underlying asset is greater than or equal to its starting value, the securities will be automatically redeemed on the fifth business day following that valuation date for an amount in cash per security equal to $1,000
plus
the upside premium applicable to that valuation date. If the securities are automatically redeemed following any of the first three valuation dates, they will cease to be outstanding and you will not be entitled to receive the upside premium applicable to any later valuation date.
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Upside premium:
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The upside premium applicable to each valuation date will be the
value indicated below for each valuation date.
The upside premium may be significantly less than the appreciation of either
underlying asset from the pricing date to the applicable valuation date.
·
March
26, 2018: 10.25% of the stated principal amount
·
March
25, 2019: 20.50% of the stated principal amount
·
March
24, 2020: 30.75% of the stated principal amount
·
March
24, 2021: 41.00% of the stated principal amount
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Maturity date:
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March 31, 2021
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Payment at maturity:
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If the securities have not previously been automatically redeemed,
you will receive at maturity, for each $1,000 stated principal amount security you then hold, an amount in cash equal to:
§
If
the closing value of the worst performing underlying asset on the final valuation date is
greater than or equal to
its starting
value:
$1,000 + the upside premium applicable to the final valuation date
§
If
the closing value of the worst performing underlying asset on the final valuation date is
less than
its starting value but
greater than or equal to
its trigger value: $1,000 + the contingent downside premium
§
If
the closing value of the worst performing underlying asset on the final valuation date is
less than
its trigger value:
$1,000 × the underlying asset performance factor of the worst performing underlying asset on the final valuation date
If the securities are not automatically redeemed prior to
maturity and the closing value of the worst performing underlying asset on the final valuation date is less than its trigger value,
your payment at maturity will be less, and possibly significantly less, than $600 per security. You should not invest in the securities
unless you are willing and able to bear the risk of losing a significant portion of your investment.
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Contingent downside premium:
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10.00% of the stated principal amount. The contingent downside premium only applies if the securities are not automatically redeemed prior to maturity and the closing value of the worst performing underlying asset on the final valuation date is
less than
its starting value but
greater than or equal to
its trigger value.
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Starting value:
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·
Russell 2000
®
Index: 1,354.642 (its closing value on the pricing date)
·
Shares of the iShares
®
MSCI Emerging Markets ETF: $39.81 (their closing value on the
pricing date)
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Closing value:
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For each underlying asset and any date of determination, its closing level or closing price, as applicable, on that date
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Underlying asset performance factor:
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For each underlying asset and any valuation date, the closing value of that underlying asset on that valuation date
divided by
its starting value
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Trigger value:
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·
Russell 2000
®
Index: 812.785 (60% of its starting value)
·
Shares of the iShares
®
MSCI Emerging Markets ETF: $23.886 (60% of their starting
value)
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Worst performing underlying asset:
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On any valuation date, the underlying asset with the lowest underlying asset performance factor determined on that valuation date
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Listing:
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The securities will not be listed on any securities exchange, may have limited or no liquidity and are designed to be held to maturity
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CUSIP / ISIN:
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17324CFV3 / US17324CFV37
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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)
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Underwriting fee
(2)
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Proceeds to issuer
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Per security:
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$1,000.00
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$21.50
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$978.50
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Total:
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$1,826,000.00
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$39,259.00
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$1,768,741.00
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(1) On the date of this pricing
supplement, the estimated value of the securities is $957.64 per security, which is less than the issue price. The estimated
value of the securities 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 securities from you at any time after issuance. See “Valuation of the Securities”
in this pricing supplement.
(2) CGMI will receive an underwriting
fee of up to $21.50 for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial
advisors will collectively receive from CGMI a selling concession of up to $16.50 for each $1,000 security they sell. Selected
dealers through whom we distribute securities may enter into arrangements with other institutions with respect to the distribution
of the securities, and those institutions may share in the commissions, discounts or other compensation received by our selected
dealers, may be compensated separately and may also receive commissions from purchasers for whom they may act as agents. The total
underwriting fees and proceeds to issuer in the table above give effect to the actual total underwriting fee. We may also engage
other firms to provide marketing or promotional services in connection with the distribution of the securities. CGMI will also
pay certain service providers a fee of up to $5.00 per security in consideration for providing marketing, education, structuring
or referral services with respect to financial advisors or selected dealers. For more information on the distribution of the securities,
see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting fee, CGMI and
its affiliates may profit from hedging activity related to this offering, even if the value of the securities declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
Investing in the securities
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 nor any state
securities commission has approved or disapproved of the securities 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.
Y
ou 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-02-05 dated October 14, 2016
Underlying Supplement No. 5 dated October 14, 2016
Prospectus Supplement and Prospectus each dated October 14, 2016
The securities 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.
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Citigroup Global Markets Holdings Inc.
|
|
Autocallable
Securities Based Upon the Worst Performing of the Russell 2000
®
Index
and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31,
2021
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Additional Information
General.
The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The
accompanying product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this
pricing supplement. For example, certain events may occur that could affect your payment at maturity. These events,
including market disruption events and other events affecting underlying assets, and their consequences are described in the accompanying
product supplement in the section “Description of the Securities” and not in this pricing supplement. The accompanying
underlying supplement contains important disclosures regarding each underlying asset that are not repeated in this pricing supplement.
It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus
together with this pricing supplement in connection with your investment in the securities. Certain terms used but not defined
in this pricing supplement are defined in the accompanying product supplement.
Relevant price.
With respect to the iShares
®
MSCI Emerging Markets ETF, its starting value and its trigger value are each a “Relevant Price” for purposes of 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. Accordingly, the starting value and the trigger value
with respect to the iShares
®
MSCI Emerging Markets ETF are both subject to adjustment upon the occurrence of any
of the events described in that section.
Postponement of a valuation date.
If any valuation date
is not a scheduled trading day for either of the underlying assets or if a market disruption event occurs with respect to either
of the underlying assets on any valuation date, that valuation date will be subject to postponement as described in the accompanying
product supplement in the section “Description of the Securities”. If any valuation date is postponed, the closing
value of each of the underlying assets in respect of that valuation date will be determined based on (i) for any underlying asset
for which the originally scheduled valuation date is a scheduled trading day and as to which a market disruption event does not
occur on the originally scheduled valuation date, the closing value of such underlying asset on the originally scheduled valuation
date and (ii) for any other underlying asset, the closing value of such underlying asset on the valuation date as postponed (or,
if earlier, the first scheduled trading day for such underlying asset following the originally scheduled valuation date on which
a market disruption event did not occur with respect to such underlying asset).
Hypothetical Examples
The diagram below illustrates the payment you may receive upon
automatic early redemption, if applicable, or at maturity of the securities, for a range of hypothetical percentage changes in
the closing value of the worst performing underlying asset from the pricing date to the applicable valuation date. Your payment
upon automatic early redemption, if applicable, or at maturity will be determined solely based on the performance of the worst
performing underlying asset, regardless of the performance of the other underlying asset, as measured on the applicable valuation
date.
Investors in the securities will not receive any dividends
that may be paid on the stocks that are included in or held by the underlying assets. The diagram and examples below do not show
any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—Investing in the securities
is not equivalent to investing in either underlying asset or the stocks included in or held by either underlying asset” below.
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Citigroup Global Markets Holdings Inc.
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Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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Payment Upon Automatic Early Redemption, if Applicable, or at Maturity
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The following table illustrates how the amount payable per security
will be calculated if the closing value of the worst performing underlying asset is greater than or equal to its starting value
on one of the four valuation dates. Figures below have been rounded for ease of analysis.
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If the first valuation date on which the closing value of the worst performing underlying asset is greater than or equal to its starting value is . . .
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. . . then you will receive the following payment per security upon automatic early redemption or at maturity, as applicable:
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March 26, 2018
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$1,000 + applicable upside premium = $1,000 + $102.50 = $1,102.50
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March 25, 2019
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$1,000 + applicable upside premium = $1,000 + $205.00 = $1,205.00
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March 24, 2020
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$1,000 + applicable upside premium = $1,000 + $307.50 = $1,307.50
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March 24, 2021
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$1,000 + applicable upside premium = $1,000 + $410.00 = $1,410.00
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If, on any valuation date, the closing value of one underlying
asset is greater than or equal to its starting value but the closing value of the other underlying asset is less than its starting
value, you will not receive the upside premium indicated above following that valuation date. In order to receive the upside premium
indicated above, the closing value of
each
underlying asset must be greater than or equal to its starting value on the applicable
valuation date.
The examples below illustrate how the payment at maturity will
be calculated if the closing value of the worst performing underlying asset is
not
greater than or equal to its starting
value on any of the valuation dates. The examples are based on (i) with reference to the Russell 2000
®
Index, a
starting value of 1,354.642 and a trigger value of 812.785 and (ii) with reference to the shares of the iShares
®
MSCI Emerging Markets ETF, a starting value of $39.81 and a trigger value of $23.886, and in each case the hypothetical closing
values on the final valuation date indicated below. If the securities are not automatically redeemed prior to maturity, your actual
payment at maturity will depend on the actual closing value of the worst performing underlying asset on the final valuation date.
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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Example 1.
On the final valuation date, the hypothetical
closing value of the Russell 2000
®
Index is 1,151.446 (a 15% decrease from its starting value) and the hypothetical
closing value of the iShares
®
MSCI Emerging Markets ETF is $43.79 (a 10% increase from its starting value). The
worst performing underlying asset is the underlying asset with the lowest underlying asset performance factor, which is calculated
for each underlying asset as follows:
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Underlying asset performance factor of the Russell 2000
®
Index
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=
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closing value on final valuation date / starting value
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=
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1,151.446 / 1,354.642
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=
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0.85
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Underlying asset performance factor of shares of the iShares
®
MSCI Emerging Markets ETF = closing value on final valuation date / starting value
Because the underlying asset performance factor of the Russell
2000
®
Index is lower than the underlying asset performance factor of shares of the iShares
®
MSCI
Emerging Markets ETF in this example, the Russell 2000
®
Index would be the worst performing underlying asset. In
this scenario, because the closing value of the worst performing underlying asset on the final valuation date is less than its
starting value but greater than its trigger value, you would be paid the stated principal amount of $1,000
plus
the contingent
downside premium at maturity, for a total payment at maturity of $1,100 per security.
Example 2.
On the final valuation date, the hypothetical
closing value of the Russell 2000
®
Index is 1,422.374 (a 5% increase from its starting value) and the hypothetical
closing value of the iShares
®
MSCI Emerging Markets ETF is $19.91 (a 50% decrease from its starting value). The
worst performing underlying asset is the underlying asset with the lowest underlying asset performance factor, which is calculated
for each underlying asset as follows:
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Underlying asset performance factor of the Russell 2000
®
Index
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=
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closing value on final valuation date / starting value
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=
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1,422.374 / 1,354.642
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=
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1.05
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Underlying asset performance factor of shares of the iShares
®
MSCI Emerging Markets ETF =closing value on final valuation date / starting value
Because the underlying asset performance factor of shares of
the iShares
®
MSCI Emerging Markets ETF is lower than the underlying asset performance factor of the Russell 2000
®
Index in this example, the shares of the iShares
®
MSCI Emerging Markets ETF would be the worst performing underlying
asset. In this scenario, because the closing value of the worst performing underlying asset on the final valuation date is less
than the applicable trigger value, the payment at maturity per security would be calculated as follows:
Payment at maturity per security =
$1,000 × the underlying asset performance factor of the worst performing underlying asset on the final valuation date
In this scenario, the worst performing underlying asset has depreciated
by more than 40% from its starting value to its closing value on the final valuation date, which is less than the applicable trigger
value. Accordingly, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to the depreciation of the
worst performing underlying asset from its starting value to its closing value on the final valuation date, and you would incur
a significant loss on your investment.
Summary Risk Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with both of the underlying assets. Accordingly, the
securities are suitable only for investors who are capable of understanding the complexities and risks of the securities. You should
consult your own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the
securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included
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Citigroup Global Markets Holdings Inc.
|
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Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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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 lose some or all of your investment.
Unlike conventional debt securities, the securities do not guarantee repayment
of the stated principal amount at maturity. If the securities are not automatically redeemed prior to maturity, your payment at
maturity will depend on the closing value of the worst performing underlying asset on the final valuation date. If the closing
value of the worst performing underlying asset on the final valuation date is less than its trigger value, you will lose 1% of
the stated principal amount of the securities for every 1% by which the worst performing underlying asset has declined from its
starting value, regardless of the performance of the other underlying asset. There is no minimum payment at maturity on the securities,
and you may lose your entire investment in the securities.
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§
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The trigger feature of the securities exposes you to particular risks.
If the closing value of the worst performing
underlying asset on the final valuation date is less than its trigger value, you will lose 1% of the stated principal amount of
the securities for every 1% by which the worst performing underlying asset has declined from its starting value. Although you will
be repaid your stated principal amount and will receive the contingent downside premium at maturity if the worst performing underlying
asset depreciates by 40% or less from its starting value, you will have full downside exposure to the worst performing underlying
asset if it depreciates by more than 40%. As a result, you may lose your entire investment in the securities.
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§
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The securities do not pay interest.
You should not invest in the securities if you seek current income during the term
of the securities.
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§
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Your potential return on the securities is limited.
Your potential return on the securities is limited to the upside
premium payable upon automatic early redemption or at maturity, as described on the cover page of this pricing supplement, or in
certain circumstances the contingent downside premium. If the closing value of the worst performing underlying asset is greater
than or equal to its starting value on one of the valuation dates, you will be repaid the stated principal amount of your securities
and will receive the fixed upside premium applicable to that valuation date, regardless of how significantly the closing value
of the worst performing underlying asset on that valuation date may exceed its starting value. Accordingly, the upside premium
may result in a return on the securities that is significantly less than the return you could have achieved on a direct investment
in either or both of the underlying assets. In addition, the upside premium you receive upon any early redemption of the securities
may be significantly less than the return you could have achieved if the securities had not been automatically redeemed and you
had been able to receive the payment at maturity.
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§
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The securities are subject to the risks of both underlying assets and will be negatively affected if either performs poorly,
even if the other performs well.
You are subject to risks associated with both underlying assets. If either underlying asset
performs poorly, you will be negatively affected, even if the other underlying asset performs well. The securities are not linked
to a basket composed of the underlying assets, where the better performance of one could ameliorate the poor performance of the
other. Instead, you are subject to the full risks of whichever of the underlying assets is the worst performing underlying asset.
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§
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You will not benefit in any way from the performance of the better performing underlying asset.
The return on the securities
depends solely on the performance of the worst performing underlying asset, and you will not benefit in any way from the performance
of the better performing underlying asset. The securities may underperform a similar investment in both of the underlying assets
or a similar alternative investment linked to a basket composed of the underlying assets, since in either such case the performance
of the better performing underlying asset would be blended with the performance of the worst performing underlying asset, resulting
in a better return than the return of the worst performing underlying asset.
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§
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The term of the securities may be as short as one year.
If the closing value of the worst performing underlying asset
on any valuation date, including the valuation date expected to occur one year after the pricing date, is greater than or equal
to its starting value, the securities will be automatically redeemed. The earlier the automatic redemption, the lower the upside
premium you will receive.
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§
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You will be subject to risks relating to the relationship between the underlying assets.
It is preferable from your
perspective for the underlying assets to be correlated with each other, in the sense that they tend to increase or decrease at
similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlying assets will not
exhibit this relationship. The less correlated the underlying assets, the more likely it is that one or the other of the underlying
assets will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one
of the underlying assets to perform poorly; the performance of the underlying asset that is not the worst performing underlying
asset is not relevant to your return on the securities at maturity or on an earlier automatic redemption date. It is impossible
to predict what the relationship between the underlying assets will be over the term of the securities.
One underlying asset
represents small capitalization stocks in the United States and the other represents international emerging markets. Accordingly,
the underlying assets represent markets that differ in significant ways and, therefore, may not be correlated with each other.
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§
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Investing in the securities is not equivalent to investing in either underlying asset or the stocks included in or held
by either underlying asset.
You will not have voting rights, rights to receive dividends or other distributions or any other
rights with respect to the stocks included in or held by either underlying asset. As of March 24, 2017, the average dividend yield
of the Russell 2000
®
Index was 1.47% per year, which, if this dividend yield remained constant for the term of the
securities, would be equivalent to approximately 5.88% (assuming no reinvestment of dividends) over the term of the securities
(assuming they are not
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|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
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automatically redeemed prior to
maturity). As of March 24, 2017, the average dividend yield of the iShares
®
MSCI Emerging Markets ETF was 1.66%
per year, which, if this dividend yield remained constant for the term of the securities, would be equivalent to approximately
6.64% (assuming no reinvestment of dividends) over the term of the securities (assuming they are not automatically redeemed prior
to maturity). However, it is impossible to predict whether the dividend yield over the term of the securities will be higher, lower
or the same as the dividend yield or the average dividend yield over any period.
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§
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Your return on the securities depends on the closing values of the underlying assets on only four days.
Because your
payment upon automatic early redemption, if applicable, or at maturity depends on the closing values of the underlying assets solely
on one of the four valuation dates, you are subject to the risk that the closing values of the underlying assets on those days
may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested
in another instrument linked to the underlying assets that you could sell for full value at a time selected by you, or if the return
on the securities was based on an average of closing values of the underlying assets, you might have achieved better returns.
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§
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The securities are subject to the credit risk of Citigroup
Global Markets Holdings Inc. and Citigroup Inc.
If we default on our obligations under the securities and Citigroup Inc. defaults
on its guarantee obligations, you may not receive any amounts owed to you under the securities.
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§
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The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
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§
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The estimated value of the securities 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 securities that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market
rate” below.
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§
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The estimated value of the securities was determined for us by our affiliate using proprietary pricing models.
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation between
the underlying assets, dividend yields on the stocks included in or held by, as applicable, the underlying assets and interest
rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore
not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover
page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other
purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities.
Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
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§
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The estimated value of the securities would be lower if it were calculated based on
our secondary market rate.
The estimated value of the securities included in this pricing supplement is calculated based on
our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our
internal funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determining the
value of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated value
included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely
be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are generally
higher than the costs associated with conventional debt securities, and our liquidity needs and preferences.
Our internal
funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
|
Because
there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary
market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company
and the guarantor of all payments due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As
a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather reflects
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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the
market’s perception of our parent company’s creditworthiness as adjusted for discretionary factors such as CGMI’s
preferences with respect to purchasing the securities prior to maturity.
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§
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market.
Any such secondary market price will fluctuate over the term
of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value
included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
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§
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your
securities prior to maturity will fluctuate based on the value and volatility of the underlying assets and a number of other factors,
including the price and volatility of the stocks included in or held by, as applicable, the underlying assets, the correlation
between the underlying assets, dividend yields on the stocks included in or held by, as applicable, the underlying assets, interest
rates generally, changes in the exchange rate between the U.S. dollar and each of the currencies in which the stocks that are held
by the iShares
®
MSCI Emerging Markets ETF trade, the time remaining to maturity and our and Citigroup Inc.’s
creditworthiness, as reflected in our secondary market rate. You should understand that the value of your securities at any time
prior to maturity may be significantly less than the issue price.
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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 Securities” in this pricing supplement.
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§
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The securities are linked to the Russell 2000
®
Index and will be subject to risks associated with small capitalization
stocks.
The stocks that constitute the Russell 2000
®
Index are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies.
These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
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§
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Investing in the securities exposes investors to risks associated with emerging markets equity securities.
The stocks
composing the iShares
®
MSCI Emerging Markets ETF and that are generally tracked by the iShares
®
MSCI
Emerging Markets ETF have been issued by companies in various emerging markets. Investments in securities linked to the value of
foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility
in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there
is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements
different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political,
economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal
policies and currency exchange laws. Countries with emerging markets may have relatively unstable governments, present the risks
of nationalization of businesses, have restrictions on foreign ownership and prohibitions on the repatriation of assets and have
less protection of property rights than more developed countries. The economies of countries with emerging markets may be based
on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer from extreme and volatile
debt burdens or inflation rates. Local securities markets may trade a small number of securities and be unable to respond effectively
to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the
economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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§
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Fluctuations in exchange rates will affect the price of the iShares
®
MSCI Emerging Markets ETF.
Because
the iShares
®
MSCI Emerging Markets ETF invests in stocks that are traded in non-U.S. currencies, while the net asset
value of the iShares
®
MSCI Emerging Markets ETF is based on the U.S. dollar value of those stocks, holders of the
securities will be exposed to currency exchange rate risk with respect to each of the currencies in which those stocks trade. If
the U.S. dollar generally strengthens against the currencies in which those stocks trade, the price of shares of the iShares
®
MSCI Emerging Markets ETF will be adversely affected for that reason alone and the payment at maturity on the securities may be
reduced.
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Exchange rate movements for a particular currency
are volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the demand for,
those currencies, as well as government policy, intervention or actions, but are also influenced significantly from time to time
by political or economic developments, and by macroeconomic factors and speculative actions related to each applicable region.
An investor’s net exposure will depend on the extent to which the currencies of the applicable countries strengthen or weaken
against the U.S. dollar and the relative weight of each currency. Of particular
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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importance to potential currency exchange risk are:
existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and the exte
nt
of governmental surpluses or deficits in the applicable countries and the United States. All of these factors are in turn sensitive
to the monetary, fiscal and trade policies pursued by the governments of the applicable countries and the United States and other
countries important to international trade and finance.
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§
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Changes
that affect the underlying assets may affect the value of your securities.
The sponsor
of the Russell 2000
®
Index or of the index underlying the iShares
®
MSCI Emerging Markets ETF may add, delete or substitute the stocks that constitute
those indexes or make other methodological changes that could affect the levels of those
indexes. In addition, the investment adviser to the iShares
®
MSCI Emerging
Markets ETF may change the manner in which the iShares
®
MSCI Emerging
Markets ETF operates or its investment objectives at any time. We are not affiliated
with any such index sponsor or investment advisor and, accordingly, we have no control
over any changes any such index sponsor or investment adviser may make. Such changes
could be made at any time and could adversely affect the performance of the underlying
assets and the value of and your payment at maturity on the securities.
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§
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Even
if the issuer of the iShares
®
MSCI Emerging Markets ETF pays a dividend
that it identifies as special or extraordinary, no adjustment will be required under
the securities for that dividend unless it meets the criteria specified in the accompanying
product supplement.
In general, an adjustment will not be made under the terms of
the securities for any cash dividend paid on shares of the
iShares
®
MSCI Emerging Markets ETF
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 shares of the
iShares
®
MSCI Emerging Markets ETF
on
the date of declaration of the dividend. Any dividend will reduce the closing price of
the shares of the
iShares
®
MSCI Emerging Markets ETF
by
the amount of the dividend per share. If the issuer of the
iShares
®
MSCI Emerging Markets ETF
pays
any dividend for which an adjustment is not made under the terms of the securities, holders
of the securities will be adversely affected. See “Description of the Securities—Certain
Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the
accompanying product supplement.
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§
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An
adjustment will not be made for all events that may have a dilutive effect on or otherwise
adversely affect the market price of the iShares
®
MSCI Emerging Markets
ETF.
For example, we will not make any adjustment for ordinary dividends or extraordinary
dividends that do not meet the criteria described above. Moreover, the adjustments we
do make may not fully offset the dilutive or adverse effect of the particular event.
Investors in the securities may be adversely affected by such an event in a circumstance
in which a direct holder of shares of the
iShares
®
MSCI Emerging Markets ETF
would
not.
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§
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The
securities may become linked to shares of an issuer other than the original issuer of
the iShares
®
MSCI Emerging Markets ETF upon the occurrence of a reorganization
event or upon the delisting of the shares of the iShares
®
MSCI Emerging
Markets ETF.
For example, if the
iShares
®
MSCI Emerging Markets ETF
enters
into a merger agreement that provides for holders of the shares of the
iShares
®
MSCI Emerging Markets ETF
to
receive shares of another entity, the shares of such other entity will become the applicable
underlying asset for all purposes of the securities upon consummation of the merger.
Additionally, if the shares of the
iShares
®
MSCI Emerging Markets
ETF
are delisted, or the
iShares
®
MSCI Emerging Markets ETF
is
otherwise terminated, the calculation agent may, in its sole discretion, select shares
of another ETF to be the applicable underlying asset. 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.
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§
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The price and performance
of the
iShares
®
MSCI Emerging Markets ETF
may not
completely track the performance of its underlying index or its net asset value per share.
The iShares
®
MSCI
Emerging Markets 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 iShares
®
MSCI Emerging Markets ETF
reflect additional transaction costs and fees that are not included in the calculation of its underlying index. All of these factors
may lead to a lack of correlation between the performance of the iShares
®
MSCI Emerging Markets ETF and its underlying
index. In addition, corporate actions with respect to the equity securities constituting the iShares
®
MSCI Emerging
Markets ETF’s underlying index or held by the iShares
®
MSCI Emerging Markets ETF (such as mergers and spin-offs)
may impact the variance between the performance of the iShares
®
MSCI
Emerging Markets ETF and its underlying
index. Finally, because shares of the iShares
®
MSCI Emerging Markets ETF are traded on NYSE Arca, Inc. and are
subject to market supply and investor demand, the market value of the iShares
®
MSCI Emerging Markets ETF may differ
from its net asset value per share.
|
During periods of market volatility,
securities underlying the iShares
®
MSCI Emerging Markets ETF may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per share of the iShares
®
MSCI Emerging Markets
ETF and the liquidity of the iShares
®
MSCI Emerging Markets ETF may be adversely affected. This kind of market volatility
may also disrupt the ability of market participants to create and redeem shares of the iShares
®
MSCI Emerging Markets
ETF. Further, market volatility may adversely affect, sometimes materially, the price at which market participants are willing
to buy and sell the iShares
®
MSCI Emerging Markets ETF. As a result, under these circumstances, the market value
of the iShares
®
MSCI Emerging Markets ETF may vary substantially from its net asset value per share. For all of
the foregoing reasons, the performance of the iShares
®
MSCI Emerging Markets ETF might not correlate with the performance
of its underlying index and/or its net asset value per share, which could materially and adversely affect the value of the securities
in the secondary market and/or reduce your payment at maturity.
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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§
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Our offering of the securities does not constitute a recommendation of either underlying asset.
The fact that we are
offering the securities does not mean that we believe that investing in an instrument linked to the underlying assets 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 or held by the underlying assets or in instruments related to the underlying assets
or the stocks included in or held by the underlying assets, and may publish research or express opinions, that in each case are
inconsistent with an investment linked to the underlying assets. These and other activities of our affiliates may affect the values
of the underlying assets in a way that has a negative impact on your interests as a holder of the securities.
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§
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The level or price of an underlying asset may be adversely
affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities
through CGMI or other of our affiliates, who have taken positions directly in the stocks included in the Russell 2000
®
Index and in the shares of the iShares
®
MSCI Emerging Markets ETF and other financial instruments related
to the underlying assets or the stocks included in or held by the underlying assets. Our affiliates also trade the stocks included
in the Russell 2000
®
Index and the shares of the iShares
®
MSCI Emerging Markets ETF and other related
financial instruments 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 level or price, as applicable,
of the underlying assets in a way that negatively affects the value of the securities. They could also result in substantial returns
for us or our affiliates while the value of the securities 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 companies included in or held by the underlying assets or with the iShares
®
MSCI Emerging Markets ETF, including extending loans to, making equity investments in or providing advisory services to such companies
or the iShares
®
MSCI Emerging Markets ETF. In the course of this business, we or our affiliates may acquire non-public
information which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such company,
they may exercise any remedies against such company that are available to them without regard to your interests.
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§
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, the discontinuance of the Russell 2000
®
Index or events
with respect to the iShares
®
MSCI Emerging Markets ETF that may require a dilution adjustment or the delisting of
the iShares
®
MSCI Emerging Markets ETF, 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 securities.
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§
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The U.S. federal tax consequences of an investment
in the securities are unclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities,
and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects
of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences
of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities
as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with
potentially adverse consequences described below under “United States Federal Tax Considerations.” In addition, in
2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S.
persons should be subject to withholding tax, possibly with retroactive effect.
|
Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
the securities should not be subject to withholding under Section 871(m). However, the IRS could challenge this conclusion. If
withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
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Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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Information About the Russell 2000
®
Index
The Russell 2000
®
Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000
®
Index are traded on a major U.S. exchange. It is calculated and maintained by Russell Investments, a subsidiary of Russell Investment
Group. The Russell 2000
®
Index is reported by Bloomberg L.P. under the ticker symbol “RTY.”
“Russell 2000
®
Index” is a trademark
of Russell Investment Group and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The Russell Indices—License Agreement” in the accompanying underlying supplement. Please refer
to the sections “Risk Factors” and “Equity Index Descriptions—The Russell Indices—The Russell 2000
®
Index” in the accompanying underlying supplement for important disclosures regarding the Russell 2000
®
Index,
including certain risks that are associated with an investment linked to the Russell 2000
®
Index.
Historical
Information
The closing level of
the Russell 2000
®
Index on March 24, 2017 was 1,354.642.
The graph below shows
the closing level of the Russell 2000
®
Index for each day such level was available from January 2, 2008 to March
24, 2017. We obtained the closing levels from Bloomberg L.P., without independent verification. You should not take the historical
levels of the Russell 2000
®
Index as an indication of future performance.
Russell 2000
®
Index – Historical Closing Levels
January 2, 2008 to March 24, 2017
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Citigroup Global Markets Holdings Inc.
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|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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Information About the iShares
®
MSCI Emerging Markets ETF
The iShares
®
MSCI Emerging Markets ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in emerging markets, as measured by the MSCI Emerging Markets Index. However, for purposes of the
securities, the performance of the iShares
®
MSCI Emerging Markets ETF will reflect only its price performance, as
any dividends paid on the shares of the iShares
®
MSCI Emerging Markets ETF will not be factored into a determination
of the closing price of the iShares
®
MSCI Emerging Markets ETF. The MSCI Emerging Markets Index was developed by
MSCI Inc. as an equity benchmark for international stock performance, and is designed to measure equity market performance in the
global emerging markets.
The iShares
®
MSCI Emerging Markets ETF is an investment
portfolio managed by iShares
®
Inc. BlackRock Fund Advisors is the investment adviser to the iShares
®
MSCI Emerging Markets ETF. iShares
®
, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares
®
MSCI Emerging Markets ETF. Information provided to or filed with the
SEC by iShares
®
, Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940,
as amended, can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website
at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. The iShares
®
MSCI Emerging Markets ETF trades on the
NYSE Arca, Inc. under the ticker symbol “EEM.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—iShares
®
MSCI Emerging Markets ETF” in the accompanying underlying supplement for important
disclosures regarding the iShares
®
MSCI Emerging Markets ETF, including certain risks that are associated with an
investment linked to shares of the iShares
®
MSCI Emerging Markets ETF.
Historical Information
The graph below shows the closing prices of shares of the iShares
®
MSCI Emerging Markets ETF for each day such price was available from January 2, 2008 to March 24, 2017. The table that follows
shows the high and low closing prices of, and dividends paid on, the shares of the iShares
®
MSCI Emerging Markets
ETF for each quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without
independent verification. You should not take the historical prices of the iShares
®
MSCI Emerging Markets ETF as
an indication of future performance.
iShares
®
MSCI Emerging Markets ETF – Historical Closing Prices
January 2, 2008 to March 24, 2017
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|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
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iShares
®
MSCI Emerging Markets ETF
|
High
|
Low
|
Dividends
|
|
2008
|
|
|
|
|
First Quarter
|
$50.37
|
$42.17
|
$0.64893
|
|
Second Quarter
|
$51.70
|
$44.43
|
$0.51726
|
|
Third Quarter
|
$44.43
|
$31.33
|
$0.00000
|
|
Fourth Quarter
|
$33.90
|
$18.22
|
$0.34042
|
|
2009
|
|
|
|
|
First Quarter
|
$27.09
|
$19.94
|
$0.00000
|
|
Second Quarter
|
$34.64
|
$25.65
|
$0.24728
|
|
Third Quarter
|
$39.29
|
$30.75
|
$0.00000
|
|
Fourth Quarter
|
$42.07
|
$37.56
|
$0.32289
|
|
2010
|
|
|
|
|
First Quarter
|
$43.22
|
$36.83
|
$0.01201
|
|
Second Quarter
|
$43.98
|
$36.16
|
$0.26160
|
|
Third Quarter
|
$44.77
|
$37.59
|
$0.00000
|
|
Fourth Quarter
|
$48.58
|
$44.77
|
$0.35942
|
|
2011
|
|
|
|
|
First Quarter
|
$48.69
|
$44.63
|
$0.02512
|
|
Second Quarter
|
$50.21
|
$45.50
|
$0.46092
|
|
Third Quarter
|
$48.46
|
$34.95
|
$0.00000
|
|
Fourth Quarter
|
$42.80
|
$34.36
|
$0.34696
|
|
2012
|
|
|
|
|
First Quarter
|
$44.76
|
$38.23
|
$0.00000
|
|
Second Quarter
|
$43.54
|
$36.68
|
$0.46836
|
|
Third Quarter
|
$42.37
|
$37.42
|
$0.00000
|
|
Fourth Quarter
|
$44.35
|
$40.14
|
$0.26233
|
|
2013
|
|
|
|
|
First Quarter
|
$45.20
|
$41.80
|
$0.01423
|
|
Second Quarter
|
$44.23
|
$36.63
|
$0.00000
|
|
Third Quarter
|
$43.29
|
$37.34
|
$0.49260
|
|
Fourth Quarter
|
$43.66
|
$40.44
|
$0.36578
|
|
2014
|
|
|
|
|
First Quarter
|
$40.99
|
$37.09
|
$0.00000
|
|
Second Quarter
|
$43.95
|
$40.82
|
$0.00000
|
|
Third Quarter
|
$45.85
|
$41.56
|
$0.34063
|
|
Fourth Quarter
|
$42.44
|
$37.73
|
$0.53502
|
|
2015
|
|
|
|
|
First Quarter
|
$41.07
|
$37.92
|
$0.00000
|
|
Second Quarter
|
$44.09
|
$39.04
|
$0.00000
|
|
Third Quarter
|
$39.78
|
$31.32
|
$0.30125
|
|
Fourth Quarter
|
$36.29
|
$31.55
|
$0.50084
|
|
2016
|
|
|
|
|
First Quarter
|
$34.28
|
$28.25
|
$0.00000
|
|
Second Quarter
|
$35.26
|
$31.87
|
$0.26598
|
|
Third Quarter
|
$38.20
|
$33.77
|
$0.00000
|
|
Fourth Quarter
|
$38.10
|
$34.08
|
$0.39621
|
|
2017
|
|
|
|
|
First Quarter (through March 24, 2017)
|
$39.99
|
$35.43
|
$0.00000
|
The closing price of the shares of the iShares
®
MSCI Emerging Markets ETF on March 24, 2017 was $39.81.
We make no representation as to the amount of dividends, if any,
that may be paid on the shares of the iShares
®
MSCI Emerging Markets ETF in the future. In any event, as an investor
in the securities, you will not be entitled to receive dividends, if any, that may be payable on the shares of the iShares
®
MSCI Emerging Markets ETF.
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
|
|
United States Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
|
·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the ETF basket component. In that case, all or a portion of any long-term
capital gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent
such gain exceeded the “net underlying long-term capital gain.” Any long-term capital gain recharacterized as ordinary
income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities, and you would
be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due
to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section 1260 applies
to the securities. You should read the section entitled “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying product supplement for additional
information and consult your tax adviser regarding the potential application of the “constructive ownership” rule.
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m)
of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders”
in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S.
Underlying Equities. Section 871(m) generally applies to instruments that substantially replicate the economic performance of one
or more U.S. Underlying Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified
Security”). However, the regulations exempt financial instruments issued in 2017 that do not have a “delta” of
one. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities
should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect
to any U.S. Underlying Equity and, therefore, should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are
not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m)
is complex and its application may depend on your particular circumstances. For example, if you enter into other transactions relating
to an underlier, you could be subject to withholding tax or income tax liability under Section 871(m)
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
|
|
even if the securities are not Specified
Securities subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application
of Section 871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts so withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the underwriter of the sale of the securities, is acting as principal and will receive an underwriting fee of up to $21.50
for each $1,000 security sold in this offering. Selected dealers not affiliated with CGMI and their financial advisors will collectively
receive from CGMI a selling concession of up to $16.50 for each $1,000 security they sell. Selected dealers through whom we distribute
securities may enter into arrangements with other institutions with respect to the distribution of the securities, and those institutions
may share in the commissions, discounts or other compensation received by our selected dealers, may be compensated separately and
may also receive commissions from purchasers for whom they may act as agents. We may also engage other firms to provide marketing
or promotional services in connection with the distribution of the securities. CGMI will also pay certain service providers a fee
of up to $5.00 per security in consideration for providing marketing, education, structuring or referral services with respect
to financial advisors or selected dealers. For the avoidance of doubt, the fees and selling concessions described in this pricing
supplement will not be rebated if the securities are automatically redeemed prior to maturity.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
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 securities is more than three business
days after the pricing date, investors who wish to sell the securities 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 securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. CGMI or such other of our affiliates may profit from this hedging activity even if the value of the securities
declines. This hedging activity could affect the closing value of either underlying asset and, therefore, the value of and your
return on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the
securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of the Securities
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any 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 securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However,
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
|
|
CGMI is not obligated to buy the securities from investors at
any time. See “Summary Risk Factors—The securities will not be listed on any securities exchange and you may not be
able to sell them prior to maturity.”
Certain Selling Restrictions
Hong Kong Special Administrative Region
The contents of this pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus have not been reviewed by any regulatory authority
in the Hong Kong Special Administrative Region of the People’s Republic of China (“Hong Kong”). Investors are
advised to exercise caution in relation to the offer. If investors are in any doubt about any of the contents of this pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, they should obtain independent
professional advice.
The securities have not been offered or sold and will not be
offered or sold in Hong Kong by means of any document, other than
|
|
(i)
|
to persons whose ordinary business is to buy or sell shares or debentures (whether as principal or agent); or
|
|
|
(ii)
|
to “professional investors” as defined in the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “Securities
and Futures Ordinance”) and any rules made under that Ordinance; or
|
|
|
(iii)
|
in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance
(Cap. 32) of Hong Kong or which do not constitute an offer to the public within the meaning of that Ordinance; and
|
There is no advertisement, invitation or document relating to
the securities which is directed at, or the contents of which are likely to be accessed or read by, the public of Hong Kong (except
if permitted to do so under the securities laws of Hong Kong) other than with respect to securities which are or are intended to
be disposed of only to persons outside Hong Kong or only to “professional investors” as defined in the Securities and
Futures Ordinance and any rules made under that Ordinance.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits and are not covered by the Hong Kong Deposit Protection Scheme.
Singapore
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus have not been registered as a prospectus with the Monetary Authority
of Singapore, and the securities will be offered pursuant to exemptions under the Securities and Futures Act, Chapter 289 of Singapore
(the “Securities and Futures Act”). Accordingly, the securities may not be offered or sold or made the subject of an
invitation for subscription or purchase nor may this pricing supplement or any other document or material in connection with the
offer or sale or invitation for subscription or purchase of any securities be circulated or distributed, whether directly or indirectly,
to any person in Singapore other than (a) to an institutional investor pursuant to Section 274 of the Securities and Futures Act,
(b) to a relevant person under Section 275(1) of the Securities and Futures Act or to any person pursuant to Section 275(1A) of
the Securities and Futures Act and in accordance with the conditions specified in Section 275 of the Securities and Futures Act,
or (c) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures
Act. Where the securities are subscribed or purchased under Section 275 of the Securities and Futures Act by a relevant person
which is:
|
|
(a)
|
a corporation (which is not an accredited investor (as defined in Section 4A of the Securities and Futures Act)) the sole business
of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited
investor; or
|
|
|
(b)
|
a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary is
an individual who is an accredited investor, securities (as defined in Section 239(1) of the Securities and Futures Act) of that
corporation or the beneficiaries’ rights and interests (howsoever described) in that trust shall not be transferable for
6 months after that corporation or that trust has acquired the relevant securities pursuant to an offer under Section 275 of the
Securities and Futures Act except:
|
|
|
(i)
|
to an institutional investor or to a relevant person defined in Section 275(2) of the Securities and Futures Act or to any
person arising from an offer referred to in Section 275(1A) or Section 276(4)(i)(B) of the Securities and Futures Act; or
|
|
|
(ii)
|
where no consideration is or will be given for the transfer; or
|
|
|
(iii)
|
where the transfer is by operation of law; or
|
|
|
(iv)
|
pursuant to Section 276(7) of the Securities and Futures Act; or
|
|
|
(v)
|
as specified in Regulation 32 of the Securities and Futures (Offers of Investments) (Shares and Debentures) Regulations 2005
of Singapore.
|
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
|
|
Any securities referred to herein may not be registered with
any regulator, regulatory body or similar organization or institution in any jurisdiction.
The securities are Specified Investment Products (as defined
in the Notice on Recommendations on Investment Products and Notice on the Sale of Investment Product issued by the Monetary Authority
of Singapore on 28 July 2011) that is neither listed nor quoted on a securities market or a futures market.
Non-insured Product: These securities are not insured by any
governmental agency. These securities are not bank deposits. These securities are not insured products subject to the provisions
of the Deposit Insurance and Policy Owners’ Protection Schemes Act 2011 of Singapore and are not eligible for deposit insurance
coverage under the Deposit Insurance Scheme.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated October 14, 2016, which has
been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on October 14, 2016, that the indenture has been
duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of
the terms of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup
Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result
in a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant
General Counsel—Capital Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of
Citigroup Inc. has duly authorized the guarantee of such securities by Citigroup Inc. and such authorization has not been modified
or rescinded; (ii) Citigroup Inc. is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and
the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the General Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys
with whom she has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction,
of such corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions
expressed above. In such examination, she or such persons has assumed the legal capacity of
|
Citigroup Global Markets Holdings Inc.
|
|
Autocallable Securities Based Upon the Worst Performing of the Russell 2000
®
Index and the Shares of the iShares
®
MSCI Emerging Markets ETF Due March 31, 2021
|
|
|
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 Securities
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
|
|
|
·
|
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
).
|
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.
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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