Pricing Supplement No. 2017-USNCH0418 to Product Supplement
No. EA-02-05 dated October 14, 2016,
Underlying Supplement No. 5 dated October 14, 2016, Prospectus
Supplement and Prospectus each dated October 14, 2016
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-214120 and 333-214120-03
Dated March 28, 2017
Citigroup Global Markets Holdings Inc. $2,359,200 Capped GEARS
Linked to Shares of the Financial Select Sector SPDR
®
Fund Due May 31, 2018
All payments due on the securities are fully and unconditionally
guaranteed by Citigroup Inc.
The Capped GEARS offered by this pricing supplement (the “
securities
”)
are unsecured, unsubordinated debt obligations of Citigroup Global Markets Holdings Inc. (the “
issuer
”), guaranteed
by Citigroup Inc. (the “
guarantor
”), with a return at maturity linked to the performance of shares of the Financial
Select Sector SPDR
®
Fund (the “
underlying
”) from the initial underlying price to the final underlying
price. If the underlying return is positive, the issuer will repay the stated principal amount of the securities at maturity and
pay a return equal to the underlying return multiplied by the upside gearing of 3.00, but no more than the maximum gain of 15.85%.
However, if the underlying return is negative, you will be fully exposed to the negative underlying return and the issuer will
pay you less than the stated principal amount at maturity, resulting in a loss on the stated principal amount to investors that
is proportionate to the percentage decline in the price of the underlying. In this case, you will have full downside exposure
to the underlying from the initial underlying price to the final underlying price, and could lose all of your initial investment.
Investing in the securities involves significant risks. You will not receive coupon payments during the 14-month term of the
securities. You may lose a substantial portion or all of your initial investment. You will not receive dividends or other distributions
paid on the underlying or the stocks held by the ETF. Any payment on the securities, including any repayment of the stated principal
amount provided at maturity, is subject to the creditworthiness of the issuer and the guarantor. If the issuer and the guarantor
were to default on their obligations, you might not receive any amounts owed to you under the securities and you could lose your
entire investment.
Features
|
q
Enhanced Growth Potential Subject to Maximum Gain —
If the underlying return is positive, the issuer will
repay the stated principal amount of the securities at maturity and pay a return equal to the underlying return multiplied by
the upside gearing, but no more than the maximum gain. The upside gearing feature will provide leveraged exposure to a limited
range of positive performance of the underlying.
q
Full Downside Exposure —
If the underlying return is negative, your investment will be fully exposed to the
negative underlying return and the issuer will pay less than the stated principal amount of the securities at maturity, resulting
in a loss on the stated principal amount to investors that is proportionate to the percentage decline in the price of the underlying.
You might lose some or all of your initial investment. Any payment on the securities is subject to the creditworthiness of
the issuer and the guarantor. If the issuer and the guarantor were to default on their obligations, you might not receive any
amounts owed to you under the securities and you could lose your entire investment.
|
Key Dates
|
Trade date
Settlement date
Final valuation date
1
Maturity date
|
March 28, 2017
March 31, 2017
May 25, 2018
May 31, 2018
|
|
|
1
See page PS-3 for additional details.
|
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER
THAN CONVENTIONAL DEBT SECURITIES. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY YOUR INITIAL INVESTMENT IN THE SECURITIES AT
MATURITY, AND THE SECURITIES HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT
RISK INHERENT IN PURCHASING AN OBLIGATION OF CITIGROUP GLOBAL MARKETS HOLDINGS INC. THAT IS GUARANTEED BY CITIGROUP INC. YOU SHOULD
NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN
THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE AND, ACCORDINGLY, MAY HAVE LIMITED OR NO LIQUIDITY.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “SUMMARY
RISK FACTORS” BEGINNING ON PAGE PS-4 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS RELATING TO THE SECURITIES”
BEGINNING ON PAGE EA-6 OF THE ACCOMPANYING PRODUCT SUPPLEMENT IN CONNECTION WITH YOUR PURCHASE OF THE SECURITIES. EVENTS RELATING
TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
We are offering Capped GEARS Linked to Shares of the Financial
Select Sector SPDR
®
Fund. Any return at maturity will be determined by the performance of the underlying. The securities
are our unsecured, unsubordinated debt obligations, guaranteed by Citigroup Inc., and are offered for a minimum investment of
100 securities at the issue price described below.
Underlying
|
Initial Underlying Price
|
Upside Gearing
|
Maximum Gain
|
CUSIP/ ISIN
|
Shares of the Financial Select Sector SPDR
®
Fund (Ticker: XLF) (the “ETF”)
|
$23.77
|
3.00
|
15.85%
|
17325E812 / US17325E8122
|
See “Additional Terms Specific to the Securities”
in this pricing supplement. The securities will have the terms specified in the accompanying product supplement, prospectus supplement
and prospectus, as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “
SEC
”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy
of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense. The securities are not bank deposits and are not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other governmental agency.
|
Issue Price
(1)
|
Underwriting Discount
(2)
|
Proceeds to Issuer
|
Per security
|
$10.00
|
$0.20
|
$9.80
|
Total
|
$2,359,200.00
|
$47,184.00
|
$2,312,016.00
|
(1)
On the date of this pricing supplement, the estimated
value of the securities is $9.600 per security, which is less than the issue price. The estimated value of the securities is based
on proprietary pricing models of Citigroup Global Markets Inc. (“
CGMI
”) and our internal funding rate. It is
not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which
CGMI or any other person may be willing to buy the securities from you at any time after issuance. See “Valuation of the
Securities” in this pricing supplement.
(2)
The underwriting discount is $0.20 per security.
CGMI, acting as principal, has agreed to purchase from Citigroup Global Markets Holdings Inc., and Citigroup Global Markets Holdings
Inc. has agreed to sell to CGMI, the aggregate stated principal amount of the securities set forth above for $9.80 per security.
UBS Financial Services Inc. (“UBS”), acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to
sell to UBS, all of the securities for $9.80 per security. UBS will receive an underwriting discount of $0.20 per security for
each security it sells. UBS proposes to offer the securities to the public at a price of $10.00 per security. For additional information
on the distribution of the securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition
to the underwriting discount, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value
of the securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
Citigroup Global Markets Inc.
|
UBS Financial Services Inc.
|
Additional Terms Specific to the
Securities
|
The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product
supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement of a Valuation
Date,” “—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation or Termination
of an ETF,” and not in this pricing supplement. The accompanying underlying supplement contains important disclosures regarding
the underlying that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment
in the securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement.
You may access the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed,
by reviewing our filings for October 14, 2016 on the SEC website):
|
¨
|
Product Supplement No. EA-02-05 dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010316017113/dp69492_424b2-par.htm
|
¨
|
Underlying Supplement No. 5 dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010316017120/dp69493_424b2-us5.htm
|
¨
|
Prospectus Supplement and Prospectus each dated October 14, 2016:
|
https://www.sec.gov/Archives/edgar/data/200245/000119312516738765/d271357d424b2.htm
References to “Citigroup Global Markets Holdings Inc.,”
“we,” “our” and “us” refer to Citigroup Global Markets Holdings Inc. and not to any of its
subsidiaries. References to “Citigroup Inc.” refer to Citigroup Inc. and not to any of its subsidiaries. In this pricing
supplement, “securities” refers to the Capped GEARS Linked to Shares of the Financial Select Sector SPDR
®
Fund that are offered hereby, unless the context otherwise requires.
This pricing supplement, together with the documents listed
above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. The description in this pricing supplement of the particular
terms of the securities supplements, and, to the extent inconsistent with, replaces, the descriptions of the general terms and
provisions of the debt securities set forth in the accompanying product supplement, prospectus supplement and prospectus. You
should carefully consider, among other things, the matters set forth in “Summary Risk Factors” in this pricing supplement
and “Risk Factors Relating to the Securities” in the accompanying product supplement, as the securities involve risks
not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers
in connection with your decision to invest in the securities.
The suitability considerations identified below are not exhaustive.
Whether or not the securities are a suitable investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the suitability of an investment in the securities in light of your particular circumstances. You should also review “Summary
Risk Factors” beginning on page PS-4 of this pricing supplement, “The Financial Select Sector SPDR
®
Fund” beginning on page PS-9 of this pricing supplement, “Risk Factors Relating to the Securities” beginning
on page EA-6 of the accompanying product supplement and “Fund Descriptions—The Select Sector SPDR
®
Funds”
beginning on page 141 of the accompanying underlying supplement.
The securities may be suitable for you if, among other considerations:
|
|
The securities may
not
be suitable for you if, among other considerations:
|
¨
You fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire initial
investment.
¨
You can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment
that has the full downside market risk of an investment in the underlying.
¨
You believe that the price of the underlying will increase over the term of the securities and are willing to give up any
appreciation in excess of the maximum gain.
¨
You understand and accept that your potential return is limited by the maximum gain and you are willing to invest in the
securities based on the maximum gain indicated on the cover page hereof.
¨
You can tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the price of the underlying.
¨
You do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on
the underlying for the term of the securities.
¨
You understand and accept the risks associated with the underlying.
¨
You are willing and able to hold the securities to maturity, and accept that there may be little or no secondary market
for the securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase
the securities.
¨
You are willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments
under the securities, and understand that if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations
you might not receive any amounts due to you, including any repayment of the stated principal amount.
|
|
¨
You do not fully understand the risks inherent in an investment in the securities, including the risk of loss of your entire
initial investment.
¨
You require an investment designed to guarantee a full return of the stated principal amount at maturity.
¨
You cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make
an investment that has the full downside market risk of an investment in the underlying.
¨
You believe that the price of the underlying will decline during the term of the securities and the final underlying price
is likely to close below the initial underlying price on the final valuation date, or you believe the underlying will appreciate
over the term of the securities by more than the maximum gain.
¨
You seek an investment that participates in the full appreciation in the price of the underlying or that has unlimited return
potential, or you are unwilling to invest in the securities based on the maximum gain indicated on the cover page hereof.
¨
You cannot tolerate fluctuations in the value of the securities prior to maturity that may be similar to or exceed the downside
fluctuations in the price of the underlying.
¨
You seek current income from this investment or prefer to receive the dividends and any other distributions paid on the
underlying for the term of the securities.
¨
You do not understand or accept the risks associated with the underlying.
¨
You are unwilling or unable to hold the securities to maturity, or you seek an investment for which there will be an active
secondary market.
¨
You are not willing to assume the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. for all payments
under the securities, including any repayment of the stated principal amount.
|
|
|
|
Final Terms
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
Guarantee
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Issue price
|
100% of the stated principal amount per security
|
Stated principal amount
|
$10.00 per security
|
Term
|
Approximately 14 months
|
Trade date
|
March 28, 2017
|
Settlement date
|
March 31, 2017
|
Final valuation date
1
|
May 25, 2018
|
Maturity date
|
May 31, 2018
|
Underlying
|
Shares of the Financial Select Sector SPDR
®
Fund (Ticker: XLF) (the “ETF”)
|
Maximum gain
|
15.85%
|
Upside gearing
|
3.00
|
Payment at maturity (per $10.00 stated principal amount of securities)
|
If the underlying return is zero or positive,
Citigroup
Global Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal amount of securities that provides you with
the stated principal amount of $10.00 plus a return equal to the underlying return multiplied by 3.00, but no more than the maximum
gain, calculated as follows:
$10.00 × (1 + the
lesser of
(i)underlying
return × upside gearing and (ii) maximum gain)
If the underlying return is negative,
Citigroup Global
Markets Holdings Inc. will pay you a cash payment at maturity less than the stated principal amount of $10.00 per security, resulting
in a loss on the stated principal amount that is proportionate to the percentage decline in the price of the underlying, calculated
as follows:
$10.00 × (1 + underlying return)
In this scenario, you will be exposed to the full
negative underlying return, and you will lose a substantial portion or all of the stated principal amount in an amount proportionate
to the percentage decline in the underlying.
|
Underlying return
|
final underlying price – initial underlying price
initial underlying price
|
Initial underlying price
|
$23.77, the closing price of the underlying on the trade date
|
Final underlying price
|
The closing price of the underlying on the final valuation date
|
INVESTING
IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT
ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE STATED PRINCIPAL AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS
OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS,
YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Investment Timeline
|
|
Trade date:
|
|
The closing price of the underlying (initial underlying price) is observed and the maximum gain is set.
|
|
|
|
|
|
Maturity date:
|
|
The final underlying price is determined on the final valuation
date and the underlying return is calculated.
If the underlying return is zero or positive,
Citigroup
Global Markets Holdings Inc. will pay you a cash payment per $10.00 stated principal amount of securities that provides you with
the stated principal amount of $10.00 plus a return equal to the underlying return multiplied by 3.00, but no more than the maximum
gain, calculated as follows:
$10.00 × (1 + the
lesser of
(i)underlying
return × upside gearing and (ii) maximum gain)
If the underlying return is negative,
Citigroup Global
Markets Holdings Inc. will pay you a cash payment at maturity less than the stated principal amount of $10.00 per security, resulting
in a loss on the stated principal amount that is proportionate to the percentage decline in the price of the underlying, calculated
as follows:
$10.00 × (1 + underlying return)
In this scenario, you will be exposed to the full
negative underlying return, and you will lose a substantial portion or all of the stated principal amount in an amount proportionate
to the percentage decline in the underlying.
|
|
1
|
Subject to postponement as described under “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
in the accompanying product supplement.
|
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our
obligations under the securities, and are also subject to risks associated with the underlying. Accordingly, the securities are
suitable only for investors who are capable of understanding the complexities and risks of the securities. You should consult your
own financial, tax and legal advisers as to the risks of an investment in the securities and the suitability of the securities
in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
|
¨
|
You may lose some or all of your investment —
The securities differ from ordinary debt securities in that we will
not necessarily repay the full stated principal amount of your securities at maturity. Instead, your return on the securities is
linked to the performance of the underlying and will depend on whether the final underlying price is greater than or less than
the initial underlying price. If the final underlying price is less than the initial underlying price, you will lose 1% of the
stated principal amount of the securities for every 1% by which the final underlying price is less than the initial underlying
price. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment in the securities.
|
|
¨
|
The securities do not pay interest —
Unlike conventional debt securities, the securities do not pay interest or
any other amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the
securities.
|
|
¨
|
The appreciation potential of the securities is limited by the maximum gain —
Your potential total return on the
securities at maturity is limited by the maximum gain. As a result, the return on an investment in the securities may be less than
the return on a hypothetical direct investment in the underlying. In addition, the maximum gain reduces the effect of the upside
gearing for all final underlying prices exceeding the final underlying price at which, by multiplying the corresponding underlying
return by the upside gearing, the maximum gain is reached.
|
|
¨
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the underlying —
As of March 28, 2017, the trailing 12-month dividend yield of the underlying was approximately 1.81%
per year. While it is impossible to know the future dividend yield of the underlying, if this trailing 12-month dividend yield
were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 2.11% (assuming
no reinvestment of dividends) by investing in the securities instead of investing directly in the underlying or in another investment
linked to the underlying that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement
do not show any effect of lost dividend yield over the term of the securities.
|
|
¨
|
Your payment at maturity depends on the closing price of the underlying on a single day —
Because your payment
at maturity depends on the closing price of the underlying solely on the final valuation date, you are subject to the risk that
the closing price of the underlying on that day may be lower, and possibly significantly lower, than on one or more other dates
during the term of the securities. If you had invested directly in the underlying or in another instrument linked to the underlying
that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing
prices of the underlying, you might have achieved better returns.
|
|
¨
|
The probability that the underlying will fall below the initial underlying price on the final valuation date will depend
in part on the volatility of the underlying —
“Volatility” refers to the frequency and magnitude of changes
in the price of the underlying. In general, the greater the volatility of the underlying, the greater the probability that the
underlying will experience a large decline over the term of the securities and fall below the initial underlying price on the final
valuation date. The underlying has historically experienced significant volatility. As a result, there is a significant risk that
the underlying will fall below the initial underlying price on the final valuation date and that you will incur a significant loss
on your investment in the securities. The terms of the securities are set, in part, based on expectations about the volatility
of the underlying as of the trade date. If expectations about the volatility of the underlying change over the term of the securities,
the value of the securities may be adversely affected, and if the actual volatility of the underlying proves to be greater than
initially expected, the securities may prove to be riskier than expected on the trade date.
|
|
¨
|
The securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any
payment on the securities will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore
is subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations
under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that become due
under the securities. As a result, the value of the securities prior to maturity will be affected by changes in the market’s
view of our and Citigroup Inc.’s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.’s
credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or Citigroup
Inc.’s credit risk is likely to adversely affect the value of the securities.
|
|
¨
|
The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity —
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the
securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole
discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI
that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative
bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary
market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities
prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
|
¨
|
The estimated value of the securities on the trade date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price —
The difference is attributable to certain costs associated with selling,
structuring and
|
hedging the securities that are included
in the issue price. These costs include (i) the underwriting discount paid in connection with the offering of the securities, (ii)
hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the expected
profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations
under the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic
terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected
by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated
value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
¨
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models —
CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In
doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying, the
dividend yield on the underlying and interest rates. CGMI’s views on these inputs may differ from your or others’ views,
and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models
may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of
the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the
estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial
estimated value.
|
|
¨
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate —
The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which
is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally
lower than our secondary market rate, which is the rate that CGMI will use in determining the value of the securities for purposes
of any purchases of the securities from you in the secondary market. If the estimated value included in this pricing supplement
were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal
funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated
with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that
we will pay to investors in the securities, which do not bear interest.
|
Because there is not an active market for traded instruments
referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market price of traded instruments
referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments due on the securities,
but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is not a market-determined
measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s creditworthiness
as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities prior to maturity.
|
¨
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market —
Any such secondary market price will fluctuate over
the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction
will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the issue price.
|
|
¨
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors —
As described
under “Valuation of the Securities” below, the payout on the securities could be replicated by a hypothetical package
of financial instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that
influence the values of fixed-income bonds and derivative instruments will also influence the terms of the securities at issuance
and the value of the securities prior to maturity. Accordingly, the value of your securities prior to maturity will fluctuate based
on the price and volatility of the underlying, the dividend yield on the underlying, interest rates generally, the time remaining
to maturity and our and Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate. You should understand
that the value of your securities at any time prior to maturity may be significantly less than the issue price. The stated payout
from the issuer, including the potential application of the upside gearing, only applies if you hold the securities to maturity.
|
|
¨
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment
— The
amount of this temporary upward adjustment will decline to zero over the temporary adjustment period. See “Valuation of the
Securities” in this pricing supplement.
|
|
¨
|
The index tracked by the ETF underwent a significant change on September 16, 2016 and, as a result, the index tracked by
the ETF will differ in important ways from the index tracked by the ETF in the past
— The ETF seeks to track the S&P
Financial Select Sector Index.
S&P Dow Jones Indices LLC
announced that, on September 16, 2016 (the “rebalance date”), the S&P Financial Select Sector Index would be reconstituted
by eliminating the stocks of real estate management and development companies and real estate investment trusts (“REITs”)
(other than mortgage REITs) (“real estate stocks”).
In connection with this change, the ETF contributed all of its real estate stocks to the Real Estate Select Sector SPDR Fund (“XLRE”)
in exchange for shares of XLRE and, on September 19, 2016, the ETF made an in-kind distribution of the XLRE shares to its shareholders.
As a result of this distribution, the ETF no longer holds real estate stocks and tracks the performance of only those financial
services company stocks (which exclude real estate stocks) that remain in the S&P Financial Select Sector Index.
|
As of September 16, 2016, according
to information published by the ETF, the XLRE shares held by the ETF represented approximately 18.8% of its total assets.
Accordingly, prior to the rebalance date, real estate stocks accounted for a significant percentage of the ETF’s holdings
and, therefore, after the rebalance date, the ETF tracks a portfolio of stocks that differs meaningfully from the portfolio that
it tracked prior to the rebalance date.
When evaluating the
historical performance of the underlying contained in this pricing supplement, you should bear in mind that the index tracked by
the ETF included a different composition of stocks during the historical period shown
than it will include going forward.
The historical performance of the underlying might have been meaningfully different had the index included during the historical
period the same composition of stocks as it includes after the rebalance date.
The changes to the ETF described
above represent a significant change in the nature of the ETF and the underlying.
We cannot predict what effect these changes may have on the performance of the underlying.
It is possible that these changes could adversely affect the performance of the underlying and, in turn, your return on the securities.
|
¨
|
The securities are subject to risks associated with the financial services sector
— All or substantially all of
the stocks held by the ETF are issued by companies whose primary line of business is directly associated with the financial services
sector, including companies from the following sub-industries: banks, thrifts and mortgage finance, diversified financial services,
consumer finance, capital markets, mortgage REITs and insurance. Because the value of the securities is linked to the performance
of the ETF, an investment in the securities will be subject to concentrated risks relating to the financial services sector. Financial
services companies are subject to extensive government regulation, which may limit both the amounts and types of loans and other
financial commitments they can make, and the interest rates and fees they can charge. Profitability is largely dependent on the
availability and cost of capital funds, and can fluctuate significantly when interest rates change or due to increased competition.
Credit losses resulting from financial difficulties of borrowers and financial losses associated with investment activities can
have, and in recent years have had, a negative impact on the sector. Insurance companies may be subject to severe price competition.
Because the securities are subject to the concentrated risks affecting financial services companies, the value of the securities
may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting
the financial services sector than a more diversified investment.
|
|
¨
|
Citigroup Inc. is an issuer of equity securities held by the ETF
— Citigroup Inc. is currently an issuer of equity
securities held by Financial Select Sector SPDR Fund, but, to our knowledge, neither we nor Citigroup are not currently affiliated
with any other company the equity securities of which are held by the ETF. Neither we nor Citigroup Inc. have any ability to control
the actions of the other issuers of such equity securities. None of the proceeds of this offering will go to the issuer of the
underlying or the other issuers of equity securities held by the ETF, and none of those issuers are involved in the offering of
the securities in any way. Neither those issuers nor Citigroup Inc. have any obligation to consider your interests as a holder
of the securities in taking any corporate actions that might affect the value of your securities.
|
|
¨
|
Our offering of the securities is not a recommendation of the underlying —
The fact that we are offering the securities
does not mean that we believe that investing in an instrument linked to the underlying is likely to achieve favorable returns.
In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the
underlying or the stocks held by the ETF or in instruments related to the underlying or such stocks, and may publish research or
express opinions, that in each case are inconsistent with an investment linked to the underlying. These and other activities of
our affiliates may affect the price of the underlying in a way that has a negative impact on your interests as a holder of the
securities.
|
|
¨
|
Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the securities —
Any such research, opinions or recommendations could affect the closing
price of the underlying and the value of the securities. Our affiliates, and UBS and its affiliates, publish research from time
to time on financial markets and other matters that may influence the value of the securities, or express opinions or provide recommendations
that may be inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by our
affiliates or by UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice.
These and other activities of our affiliates or UBS or its affiliates may adversely affect the price of the underlying and may
have a negative impact on your interests as a holder of the securities. Investors should make their own independent investigation
of the merits of investing in the securities and the underlying to which the securities are linked.
|
|
¨
|
Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the securities —
We have hedged our exposure under the securities through CGMI or other of our
affiliates, who have entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded
instruments, relating to the underlying or the stocks held by the ETF and other financial instruments related to the underlying
or such stocks and may adjust such positions during the term of the securities. It is possible that our affiliates could receive
substantial returns from these hedging activities while the value of the securities declines. Our affiliates and UBS and its affiliates
may also engage in trading in instruments linked to the underlying on a regular basis as part of their respective general broker-dealer
and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers,
including block transactions. Such trading and hedging activities may affect the closing price of the underlying and reduce the
return on your investment in the securities. Our affiliates or UBS or its affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the underlying. By introducing competing products into
the marketplace in this manner, our affiliates or UBS or its affiliates could adversely affect the value of the securities. Any
of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition
to, investors’ trading and investment strategies relating to the securities.
|
|
¨
|
Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities —
Our affiliates or UBS or its affiliates may currently or from time to time engage in business with
the ETF or the issuers of the stocks held by the ETF, including extending loans to, making equity investments in or providing advisory
services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public information
about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates is
or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without
regard to your interests.
|
|
¨
|
Even if the ETF pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the
securities for that dividend unless it meets the criteria specified in the accompanying product supplement —
In general,
an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying unless the amount
of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the
most recent quarter by an amount equal to at least 10% of the closing price of the underlying on the date of declaration of the
dividend. Any dividend will reduce the closing price of the underlying by the amount of the dividend per share. If the ETF pays
any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely
affected. See “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company
Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product
supplement.
|
|
¨
|
The securities may become linked to an asset other than the original underlying upon the occurrence of a reorganization
event or upon the delisting of the underlying —
For example, if the ETF enters into a merger agreement that provides
for holders of the underlying to receive shares of another entity, the shares of such other entity will become the underlying for
all purposes of the securities upon consummation of the merger. Additionally, if the underlying is delisted or the ETF is otherwise
terminated, the calculation agent may, in its sole discretion, select shares of another ETF to be the underlying. See “Description
of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization
Adjustments” and “—Delisting, Liquidation or Termination of an ETF” in the accompanying product supplement.
|
|
¨
|
An adjustment is not required to be made for all events that may have a dilutive effect on or otherwise adversely affect
the market price of the underlying —
For example, an adjustment will not be made for ordinary dividends or extraordinary
dividends that do not meet the criteria described above. Moreover, the adjustments that are made may not fully offset the dilutive
or adverse effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance
in which a direct holder of the underlying would not.
|
|
¨
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities
—
If certain events occur, such as market disruption events, events with respect to the ETF that may require a dilution
adjustment or the delisting of the underlying, CGMI, as calculation agent, will be required to make discretionary judgments that
could significantly affect what you receive at maturity. Such judgments could include, among other things, any price required to
be determined under the securities. In addition, if certain events occur, CGMI will be required to make certain discretionary judgments
that could significantly affect your payment at maturity. Such judgments could include, among other things:
|
|
¨
|
determining whether a market disruption event has occurred;
|
|
¨
|
if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;
|
|
¨
|
determining the price of the underlying if the price of the underlying is not otherwise available or a market disruption event
has occurred;
|
|
¨
|
determining the appropriate adjustments to be made to the initial underlying price upon the occurrence of an event described
under “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution
and Reorganization Adjustments” in the accompanying product supplement; and
|
|
¨
|
selecting a successor ETF or performing an alternative calculation of the price of the underlying if the underlying is delisted
or the ETF is liquidated or otherwise terminated (see “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying
product supplement).
|
In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
¨
|
The price and performance of the underlying may not completely track the performance of the index underlying the ETF or
the net asset value per share of the ETF
— The ETF does not fully replicate the underlying index that it seeks to track
and may hold securities different from those included in its underlying index. In addition, the performance of the underlying will
reflect transaction costs and fees of the ETF that are not included in the calculation of the index underlying the ETF. In addition,
the ETF may not hold all of the shares included in, and may hold securities and derivative instruments that are not included in,
the index underlying the ETF. All of these factors may lead to a lack of correlation between the performance of the underlying
and the ETF’s underlying index. In addition, corporate actions with respect to the equity securities constituting the ETF’s
underlying index or held by the ETF (such as mergers and spin-offs) may impact the variance between the performances of the underlying
and the ETF’s underlying index. Finally, because the underlying is traded on NYSE Arca, Inc. and is subject to market supply
and investor demand, the market value of the underlying may differ from the net asset value per share of the underlying.
|
During periods of market volatility, securities underlying
the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value
per share of the underlying and the liquidity of the underlying may be adversely affected. This kind of market volatility may also
disrupt the ability of market participants to create and redeem shares of the ETF. Further, market volatility may adversely affect,
sometimes materially, the prices at which market participants are willing to buy and sell the underlying. As a result, under these
circumstances, the market value of the underlying may vary substantially from the net asset value per share of the underlying.
For all of the foregoing reasons, the performance of the underlying may not correlate with the performance of the ETF’s underlying
index and/or the net asset value per share of the underlying, which could materially and adversely affect the value of the securities
in the secondary market and/or reduce your payment at maturity.
|
¨
|
Changes made by the investment adviser to the ETF or by the sponsor of the index underlying the ETF may adversely affect
the underlying
— We are not affiliated with the investment adviser to the ETF or with the sponsor of the index underlying
the ETF. Accordingly, we have no control over any changes such investment adviser or sponsor may make to the ETF or the index underlying
the ETF. Such changes could be made at any time and could adversely affect the performance of the underlying.
|
|
¨
|
The U.S. federal tax consequences of an investment in the securities are unclear
— There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security
may be treated as a “constructive ownership transaction,” with potentially adverse consequences described below under
“United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released
a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive
effect.
|
Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption
for financial instruments issued in 2017 that do not have a “delta” of one, the securities should not be subject to
withholding under Section 871(m). However, the IRS could challenge this conclusion. If withholding applies to the securities, we
will not be required to pay any additional amounts with respect to amounts withheld.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The diagram below illustrates your hypothetical payment at maturity
for a range of hypothetical percentage changes from the initial underlying price to the final underlying price. The diagram below
is based on the maximum gain of 15.85%.
Investors in the securities will not receive any dividends paid
on the underlying. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors— You will not have voting rights, rights to receive any dividends or other distributions
or any other rights with respect to the underlying” above.
The following table and hypothetical examples below illustrate
the payment at maturity per $10.00 stated principal amount of securities for a hypothetical range of performances for the underlying
from -100.00% to +100.00% and assume an initial underlying price of $25.00 and a maximum gain of 15.85%. The actual initial underlying
price and the maximum gain are listed on the cover page of this pricing supplement. The hypothetical payment at maturity examples
set forth below are for illustrative purposes only and are not the actual returns applicable to a purchaser of the securities.
The actual payment at maturity will be determined based on the final underlying price on the final valuation date. You should consider
carefully whether the securities are suitable to your investment goals. The numbers appearing in the table and in the examples
below have been rounded for ease of analysis and do not reflect the actual terms of the securities, which are provided on the cover
page of this pricing supplement.
Final Underlying Price
|
Underlying Return
|
Payment at Maturity
|
Total Return on Securities at Maturity
(1)
|
$50.00
|
100.00%
|
$11.585
|
15.85%
|
$47.50
|
90.00%
|
$11.585
|
15.85%
|
$45.00
|
80.00%
|
$11.585
|
15.85%
|
$42.50
|
70.00%
|
$11.585
|
15.85%
|
$40.00
|
60.00%
|
$11.585
|
15.85%
|
$37.50
|
50.00%
|
$11.585
|
15.85%
|
$35.00
|
40.00%
|
$11.585
|
15.85%
|
$32.50
|
30.00%
|
$11.585
|
15.85%
|
$30.00
|
20.00%
|
$11.585
|
15.85%
|
$27.50
|
10.00%
|
$11.585
|
15.85%
|
$26.33
|
5.28%
|
$11.585
|
15.85%
|
$25.75
|
3.00%
|
$10.900
|
9.00%
|
$25.00
|
0.00%
|
$10.000
|
0.00%
|
$22.50
|
-10.00%
|
$9.000
|
-10.00%
|
$20.00
|
-20.00%
|
$8.000
|
-20.00%
|
$17.50
|
-30.00%
|
$7.000
|
-30.00%
|
$15.00
|
-40.00%
|
$6.000
|
-40.00%
|
$12.50
|
-50.00%
|
$5.000
|
-50.00%
|
$10.00
|
-60.00%
|
$4.000
|
-60.00%
|
$7.50
|
-70.00%
|
$3.000
|
-70.00%
|
$5.00
|
-80.00%
|
$2.000
|
-80.00%
|
$2.50
|
-90.00%
|
$1.000
|
-90.00%
|
$0.00
|
-100.00%
|
$0.000
|
-100.00%
|
|
1
|
The “Total Return on Securities at Maturity”
is calculated as (a) the payment at maturity per security minus the $10.00 issue price per security divided by (b) the $10.00
issue price per security.
|
Example 1 — The final underlying price of $25.75 is
greater than the initial underlying price of $25.00, resulting in an underlying return of 3.00%.
Because the underlying return
of 3.00% multiplied by the upside gearing of 3.00 is less than the maximum gain of 15.85%, Citigroup Global Markets Holdings Inc.
would pay you the stated principal amount plus a return equal to 9.00%, resulting in a payment at maturity of $10.90 per $10.00
stated principal amount of securities (a total return at maturity of 9.00%*), calculated as follows:
$10.00 × (1 + the
lesser of
(i) underlying return × upside gearing and (ii) maximum gain)
$10.00 × (1 + the
lesser of
(i) 3.00% × 3.00 and (ii) 15.85%)
$10.00 × (1 + (3.00% × 3.00))
= $10.90
Example 2 — The final underlying price of $37.50 is
greater than the initial underlying price of $25.00, resulting in an underlying return of 50.00%.
Because the underlying return
of 50.00% multiplied by the upside gearing of 3.00 is greater than the maximum gain of 15.85%, Citigroup Global Markets Holdings
Inc. would pay you the stated principal amount plus a return equal to the maximum gain of 15.85%, resulting in a payment at maturity
of $11.585 per $10.00 stated principal amount of securities (a total return at maturity of 15.85%*), calculated as follows:
$10.00 × (1 + the
lesser of
(i) underlying return × upside gearing and (ii) maximum gain)
$10.00 × (1 + the
lesser of
(i) 50.00% × 3.00 and (ii) 15.85%)
$10.00 × (1 + 15.85%) = $11.585
In this example, an investment in the securities would underperform
a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying.
Example 3 — The final underlying price of $7.50 is less
than the initial underlying price of $25.00, (resulting in an underlying return of -70.00%).
Because the underlying return
is negative, Citigroup Global Markets Holdings Inc. would pay you a payment at maturity of $3.00 per $10.00 stated principal amount
of securities (a total return at maturity of -70.00%*), calculated as follows:
$10.00 × (1 + underlying return)
$10.00 × (1+ -70.00%) = $3.00
If the final underlying price is less than the initial
underlying price, you will be fully exposed to the negative underlying return, resulting in a loss on the stated principal amount
that is proportionate to the percentage decline in the price of the underlying. Under these circumstances, you will lose a significant
portion or all of the stated principal amount at maturity. Any payment on the securities, including any repayment of the stated
principal amount at maturity, is subject to the creditworthiness of the issuer and the guarantor, and if the issuer and the guarantor
were to default on their obligations, you could lose your entire investment.
* The total return at maturity is calculated as (a) the payment
at maturity per security minus the $10.00 issue price per security divided by (b) the $10.00 issue price per security.
The Financial Select Sector SPDR
®
Fund
|
The Financial Select Sector SPDR
®
Fund (the “ETF”)
is an exchange-traded fund that seeks to provide investment results that, before expenses, correspond generally to the performance
of publicly traded equity securities of companies in the S&P Financial Select Sector Index. The S&P Financial Select Sector
Index is intended to provide an indication of the pattern of common stock price movements of companies that are components of the
S&P 500
®
Index and whose primary line of business is directly associated with the financial sector, including
companies from the following sub-industries: banks, thrifts and mortgage finance, diversified financial services, consumer finance,
capital markets, mortgage REITs and insurance.
The ETF is managed by the Select Sector SPDR
®
Trust, a registered investment company. The Select Sector SPDR
®
Trust consists of nine separate investment portfolios,
including the ETF. Information provided to or filed with the SEC by The Select Sector SPDR
®
Trust pursuant to the
Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file
numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information
may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. The Financial Select Sector SPDR
®
Fund trades on the NYSE Arca under the ticker symbol “XLF.”
Please refer to the sections “Risk Factors” and “Fund
Descriptions—The Select Sector SPDR
®
Funds” in the accompanying underlying supplement for important
disclosures regarding the underlying, including certain risks that are associated with an investment linked to the underlying.
This pricing supplement relates only to the securities offered
hereby and does not relate to the shares of the ETF. We have derived all disclosures contained in this pricing supplement regarding
the ETF from the publicly available documents described above. In connection with the offering of the securities, none of Citigroup
Global Markets Holdings Inc., Citigroup Inc. or CGMI has participated in the preparation of such documents or made any due diligence
inquiry with respect to the ETF or the S&P Financial Select Sector Index.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guranteed by Citigroup Inc.) only. The ETF is not involved in any way in this offering and has no obligation relating
to the securities or to holders of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying.
The following table sets forth, for each of the quarterly periods
indicated, the high and low closing prices of, and dividends paid, on the underlying from January 2, 2008 through March 28, 2017.
The closing price of the underlying on March 28, 2017 was $23.77. The actual initial underlying price will be the closing price
of the underlying on the trade date. We obtained the closing prices and other information below from Bloomberg, L.P., without independent
verification. The closing prices and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock
splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. Since its inception, the price of the
underlying has experienced significant fluctuations. The historical performance of the underlying should not be taken as an indication
of future performance, and no assurance can be given as to the closing prices of the underlying during the term of the securities.
We cannot give you assurance that the performance of the underlying will result in the return of any of your initial investment.
We make no representation as to the amount of dividends, if any, that the underlying will pay in the future. In any event, as an
investor in the securities, you will not be entitled to receive dividends, if any, that may be payable on the underlying.
When evaluating the historical performance of the underlying
contained below, you should bear in mind that the index tracked by the ETF included a different composition of stocks during the
historical period shown than it will include going forward, as described under “Summary Risk Factors—The index tracked
by the ETF underwent a significant change on September 16, 2016 and, as a result, the index tracked by the ETF will differ in important
ways from the index tracked by the ETF in the past.”
The historical performance of the underlying might have been meaningfully different had the index included during the historical
period the same composition of stocks as it includes after the rebalance date.
Quarter
Begin
|
Quarter
End
|
Quarterly
High
|
Quarterly
Low
|
Dividends
|
1/2/2008
|
3/31/2008
|
$29.50
|
$23.40
|
$0.261
|
4/1/2008
|
6/30/2008
|
$27.67
|
$20.20
|
$0.198
|
7/1/2008
|
9/30/2008
|
$22.64
|
$17.18
|
$0.200
|
10/1/2008
|
12/31/2008
|
$20.58
|
$9.39
|
$0.372
|
1/2/2009
|
3/31/2009
|
$12.69
|
$6.20
|
$0.000
|
4/1/2009
|
6/30/2009
|
$13.02
|
$9.06
|
$0.086
|
7/1/2009
|
9/30/2009
|
$15.34
|
$11.10
|
$0.108
|
10/1/2009
|
12/31/2009
|
$15.71
|
$14.02
|
$0.052
|
1/4/2010
|
3/31/2010
|
$16.02
|
$13.66
|
$0.036
|
4/1/2010
|
6/30/2010
|
$17.05
|
$13.81
|
$0.031
|
7/1/2010
|
9/30/2010
|
$15.08
|
$13.44
|
$0.033
|
10/1/2010
|
12/31/2010
|
$16.01
|
$14.34
|
$0.056
|
1/3/2011
|
3/31/2011
|
$17.20
|
$15.91
|
$0.042
|
4/1/2011
|
6/30/2011
|
$16.70
|
$14.71
|
$0.053
|
7/1/2011
|
9/30/2011
|
$15.65
|
$11.53
|
$0.050
|
10/3/2011
|
12/30/2011
|
$14.05
|
$11.28
|
$0.080
|
1/3/2012
|
3/30/2012
|
$15.97
|
$13.30
|
$0.050
|
4/2/2012
|
6/29/2012
|
$15.91
|
$13.37
|
$0.068
|
7/2/2012
|
9/28/2012
|
$16.28
|
$14.22
|
$0.000
|
10/1/2012
|
12/31/2012
|
$16.69
|
$15.16
|
$0.066
|
1/2/2013
|
3/28/2013
|
$18.47
|
$16.85
|
$0.166
|
4/1/2013
|
6/28/2013
|
$20.17
|
$17.83
|
$0.000
|
7/1/2013
|
9/30/2013
|
$20.87
|
$19.41
|
$0.158
|
10/1/2013
|
12/31/2013
|
$21.86
|
$19.57
|
$0.101
|
1/2/2014
|
3/31/2014
|
$22.48
|
$20.53
|
$0.083
|
4/1/2014
|
6/30/2014
|
$22.90
|
$21.28
|
$0.090
|
7/1/2014
|
9/30/2014
|
$23.81
|
$22.16
|
$0.098
|
10/1/2014
|
12/31/2014
|
$25.04
|
$22.04
|
$0.126
|
1/2/2015
|
3/31/2015
|
$24.73
|
$23.01
|
$0.091
|
4/1/2015
|
6/30/2015
|
$25.27
|
$24.09
|
$0.110
|
7/1/2015
|
9/30/2015
|
$25.58
|
$22.28
|
$0.113
|
10/1/2015
|
12/31/2015
|
$24.83
|
$22.67
|
$0.150
|
1/4/2016
|
3/31/2016
|
$23.46
|
$19.69
|
$0.123
|
4/1/2016
|
6/30/2016
|
$23.84
|
$21.45
|
$0.121
|
7/1/2016
|
9/30/2016*
|
$24.57
|
$19.04
|
$0.114
|
10/3/2016
|
12/30/2016
|
$23.75
|
$19.21
|
$0.107
|
1/3/2017
|
3/28/2017**
|
$25.24
|
$22.95
|
$0.088
|
* The ETF announced that, on September 19, 2016, it made an in-kind
distribution of shares of the Real Estate Select Sector SPDR
®
Fund to holders of the underlying. As of September
16, 2016, according to information published by the ETF, the Real Estate Select Sector SPDR
®
Fund shares held by
the ETF represented approximately 18.80% of its total assets. Because these shares represented a significant portion of the ETF’s
assets, the trading price of the underlying dropped significantly in connection with this distribution.
** As of the date of this pricing supplement, available information
for the first calendar quarter of 2017 includes data for the period from January 3, 2017 through March 28, 2017. Accordingly, the
“Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period
only and do not reflect complete data for the first calendar quarter of 2017.
The graph below illustrates the performance of the underlying
from January 2, 2008 to March 28, 2017. The closing prices below have not been adjusted to reflect the in-kind distribution of
shares of the Real Estate Select Sector SPDR
®
Fund to holders of the underlying. The closing price of the underlying
on March 28, 2017 was $23.77. We obtained the closing prices of the underlying from Bloomberg, and we have not participated in
the preparation of or verified such information. The historical closing prices of the underlying should not be taken as an indication
of future performance and no assurance can be given as to the final underlying price or any future closing price of the underlying.
We cannot give you assurance that the performance of the underlying will result in a positive return on your initial investment
and you could lose a significant portion or all of the stated principal amount at maturity.
United States Federal Tax Considerations
|
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Code, any gain or loss recognized upon a sale, exchange
or retirement of a security should be long-term capital gain or loss if you held the security for more than one year.
|
Even if the treatment of the securities as prepaid forward contracts
is respected, your purchase of a security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the underlying. In that case, all or a portion of any long-term capital
gain you would otherwise recognize in respect of your securities would be recharacterized as ordinary income to the extent such
gain exceeded the “net underlying long-term capital gain.” Although the matter is unclear, the “net underlying
long-term capital gain” may equal the amount of long-term capital gain you would have realized if on the issue date you had
purchased an amount of the underlying with a value equal to the amount you paid to acquire your securities and subsequently sold
that amount for its fair market value at the time your securities are sold, exchanged or retired (which would reflect the percentage
increase, without regard to the upside participation rate, in the value of the underlying over the term of the securities). Alternatively,
the “net underlying long-term capital gain” could be calculated using an amount of the underlying that reflects the
upside participation rate used to calculate the payment that you will receive on your securities. Any long-term capital gain recharacterized
as ordinary income under Section 1260 would be treated as accruing at a constant rate over the period you held your securities,
and you would be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior
tax years. Due to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section
1260 applies to the securities. You should read the section entitled “United States Federal Tax Considerations—Tax
Consequences to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying product supplement
for additional information and consult your tax adviser regarding the potential application of the “constructive ownership”
rule.
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
States, and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime described above. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
the regulations exempt financial instruments issued in 2017 that do not have a “delta” of one. Based on the terms of
the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to the underlier, you could
be subject to withholding tax or income tax liability under Section 871(m) even if the securities are not Specified Securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
If withholding tax applies to the securities, we will not be
required to pay any additional amounts with respect to amounts so withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
|
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the lead agent for the sale of the securities, will receive an underwriting discount of $0.20 for each security sold in this
offering. UBS, as agent for sales of the securities, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all
of the securities sold in this offering for $9.80 per security. UBS proposes to offer the securities to the public at a price of
$10.00 per security. UBS will receive an underwriting discount of $0.20 per security for each security it sells to the public.
The underwriting discount will be received by UBS and its financial advisors collectively. If all of the securities are not sold
at the initial offering price, CGMI may change the public offering price and other selling terms.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities through CGMI or
other of our affiliates. It is expected that CGMI or such other affiliates may profit from this hedging activity even if the value
of the securities declines. This hedging activity could affect the closing price of the underlying and, therefore, the value of
and your return on the securities. For additional information on the ways in which our counterparties may hedge our obligations
under the securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of the Securities
|
CGMI calculated the estimated value of the securities set forth
on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (the “derivative component”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the securities prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement,
but not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
During a temporary adjustment period immediately following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities on any account statements prepared by CGMI or its affiliates (which value CGMI may also publish
through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would
otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by
CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment will decline to zero over
the temporary adjustment period. CGMI currently expects that the temporary adjustment period will be approximately 6.5 months,
but the actual length of the temporary adjustment period may be shortened due to various factors, such as the volume of secondary
market purchases of the securities and other factors that cannot be predicted. However, CGMI is not obligated to buy the securities
from investors at any time. See “Summary Risk Factors—The securities will not be listed on a securities exchange and
you may not be able to sell them prior to maturity.”
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:
|
·
|
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.
Validity of the Securities
|
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the securities offered by this pricing supplement have been executed and
issued by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against
payment therefor, such securities and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup
Global Markets Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to
applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited
to the laws of the State of New York, except that such counsel
expresses no opinion as to the application of state securities or Blue Sky laws to the securities.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated October 14, 2016, which has
been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on October 14, 2016, that the indenture has been
duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of
the terms of the securities nor the issuance and delivery of the securities and the related guarantee, nor the compliance by Citigroup
Global Markets Holdings Inc. and Citigroup Inc. with the terms of the securities and the related guarantee respectively, will result
in a violation of any provision of any instrument or agreement then binding upon Citigroup Global Markets Holdings Inc. or Citigroup
Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the securities offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such securities and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the securities offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such securities by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc.
is validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized,
executed and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup
Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws
or other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General
Corporation Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
© 2017 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Feb 2024 to Mar 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Mar 2023 to Mar 2024