The terms and conditions set forth in the Amended and Restated
Global Selling Agency Agreement dated April 7, 2017 (the “GSAA”) among Citigroup Global Markets Holdings Inc.,
Citigroup Inc. and the Agents listed on Schedule I thereto, including CGMI and UBS, govern the sale and purchase of the Notes.
CGMI is acting as lead agent for the offering of the Notes and UBS is acting as agent for the offering of the Notes, in each case
pursuant to the GSAA.
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, (i) $14,605,000 aggregate
stated principal amount of Notes (14,605 Notes) linked to the common stock of Cisco Systems, Inc. for $985 per Note. UBS, acting
as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of such Notes for $985 per Note. UBS proposes
to sell the Notes to the public for $1,000 per Note. UBS will receive an underwriting discount of $15 per Note for each Note it
sells. The underwriting discount will be received by UBS and its financial advisors collectively. If all of the Notes are not sold
at the initial offering price, CGMI may change the public offering price and other selling terms. For the avoidance of doubt, the
fees and selling concessions described in this pricing supplement will not be rebated if the Notes are automatically called prior
to maturity.
Secondary market sales of securities typically settle two business
days after the date on which the parties agree to the sale. Because the settlement date for the Notes is more than two business
days after the Trade Date, investors who wish to sell the Notes at any time prior to the second business day preceding the settlement
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.
In order to hedge its obligations under the Notes, Citigroup
Global Markets Holdings Inc. has agreed to enter into one or more swaps or other derivatives transactions with one or more of its
affiliates. You should refer to the section “Risk Factors Relating to the Notes—The Estimated Value of the Notes on
the Trade Date, Based on CGMI’s Proprietary Pricing Models and Our Internal Funding Rate, Is Less than the Issue Price”
in this pricing supplement and the section “Use of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of Citigroup Global Markets Holdings Inc.
Accordingly, the offering will conform to the requirements set forth in Rule 5121 of the Conduct Rules of the Financial Industry
Regulatory Authority, Inc. Client accounts over which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment
discretion are not permitted to purchase the Notes, either directly or indirectly, without the prior written consent of the client.
The Notes may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
Included on the following pages is a brief description of the
Underlying Issuer. This information has been obtained from publicly available sources, without independent verification. Also included
on the following pages is a table for the Underlying that sets forth the high, low and end-of-quarter Closing Prices of the Underlying
for each quarter in the period shown. The graph associated with such table shows the Closing Prices of the Underlying for each
day such prices were available in that same period. We obtained the information in the tables and graphs below from Bloomberg L.P.,
without independent verification. If certain corporate transactions occurred during the historical periods provided on the following
pages, including, but not limited to, spin-offs or mergers, then the closing prices of the Underlying for the period prior to the
occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any such transaction had occurred prior to the first
day in the periods provided on the following pages. These historical data on the Underlying are not indicative of the future performance
of the Underlying or what the value of the Notes may be. Any historical upward or downward trend in the value of the Underlying
during any period set forth below is not an indication that the price of the Underlying is more or less likely to increase or decrease
at any time during the term of the Notes, and no assurance can be given as to the Closing Price of the Underlying on any Observation
Date.
The Underlying is registered under the Securities Exchange Act
of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the Underlying Issuer with the
SEC can be reviewed electronically through a website maintained by the SEC at http://www.sec.gov. Information filed with the SEC
by the Underlying Issuer can be located by reference to its SEC file number provided below. In addition, information regarding
the Underlying Issuer may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents.
This pricing supplement relates only to the Notes offered hereby
and does not relate to the Underlying or other securities of the Underlying Issuer. We have derived all disclosures contained in
this pricing supplement regarding the Underlying Issuer from the publicly available documents described in the preceding paragraph.
In connection with the offering of the Notes, none of Citigroup Global Markets Holdings Inc., Citigroup Inc., CGMI or UBS has participated
in the preparation of such documents or made any due diligence inquiry with respect to the Underlying Issuer, such publicly available
documents or any other publicly available information regarding the Underlying Issuer.
The Notes represent obligations of Citigroup Global Markets Holdings
Inc. and Citigroup Inc. only. The Underlying Issuer is not involved in any way in this offering and has no obligation relating
to the Notes or to holders of the Notes.
None of Citigroup Global Markets Holdings Inc., Citigroup Inc.,
UBS or any of their respective subsidiaries makes any representation to you as to the performance of the Underlying.
According to its publicly available filings with the SEC, Cisco
Systems, Inc. designs, manufactures, and sells Internet Protocol (IP)-based networking and other products related to the communications
and information technology (IT) industry and provide services associated with these products and their use. The company provides
products for transporting data, voice, and video within buildings, across campuses, and globally. Information provided to
or filed with the SEC by Cisco Systems, Inc. pursuant to the Exchange Act can be located by reference to the SEC file number 001-18225.
The common stock of Cisco Systems, Inc., par value $0.001 per share (Bloomberg ticker: CSCO), is listed on the Nasdaq Global Select
Market.
The following table sets forth, for each of the quarterly periods
indicated, the high and low Closing Prices and dividends paid on one share of the common stock of Cisco Systems, Inc. from January
3, 2011 through February 24, 2021. The Closing Price of one share of the common stock of Cisco Systems, Inc. on February 24, 2021
was $45.74. The actual Initial Underlying Price will be the Closing Price of one share of the common stock of Cisco Systems, Inc.
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 common stock of Cisco Systems,
Inc. has experienced significant fluctuations. The historical performance of the common stock of Cisco Systems, Inc. should not
be taken as an indication of future performance, and no assurance can be given as to the Closing Prices of one share of the common
stock of Cisco Systems, Inc. during the term of the Notes. We cannot give you assurance that the performance of the common stock
of Cisco Systems, Inc. will result in the return of any of your initial investment. We make no representation as to the amount
of dividends, if any, that Cisco Systems, Inc. will pay in the future. In any event, as an investor in the Notes, you will not
be entitled to receive dividends, if any, that may be payable on the common stock of Cisco Systems, Inc.
10/01/19
|
12/31/19
|
$48.83
|
$43.52
|
$0.35000
|
01/02/20
|
03/31/20
|
$49.93
|
$33.20
|
$0.35000
|
04/01/20
|
06/30/20
|
$48.13
|
$38.33
|
$0.36000
|
07/01/20
|
09/30/20
|
$48.10
|
$37.85
|
$0.36000
|
10/01/20
|
12/31/20
|
$45.44
|
$35.69
|
$0.36000
|
01/04/21
|
02/24/21*
|
$48.94
|
$43.96
|
$0.36000**
|
*
|
As of the date of this pricing supplement, available information for the first calendar quarter of 2021 includes data for the period from January 1, 2021 through February 24, 2021. Accordingly, the “Quarterly High,” “Quarterly Low” and “Dividends” data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2021.
|
**
|
On February 9, 2021, Cisco Systems, Inc. declared a cash dividend of $0.37000 per share of common stock payable on April 28, 2021.
|
The graph below illustrates the daily performance of the common
stock of Cisco Systems, Inc. from January 3, 2011 through February 24, 2021, based on information from Bloomberg, L.P., without
independent verification. The dotted line represents the Conversion Price, equal to 90% of the Closing Price on February 24, 2021.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
Common Stock of Cisco Systems, Inc. Closing
Prices
January 3, 2011 to February 24, 2021
Additional
Terms of the Notes
Payment at Maturity
The Notes will mature
on February 28, 2022 (the “Maturity Date”), subject to automatic early call. If the Maturity Date falls on a
day that is not a Business Day, the payment to be made on the Maturity Date will be made on the next succeeding Business Day with
the same force and effect as if made on the Maturity Date, and no additional interest will accrue as a result of such delayed payment.
If the Notes have not
been automatically called and the Final Underlying Price of the Underlying is below the Conversion Price, we will deliver to you
a number of shares of the Underlying equal to the Share Delivery Amount for each Note you then hold. In lieu of any fractional
share of Underlying that you would otherwise receive in respect of any Notes you hold, at maturity you will receive an amount in
cash equal to the value of such fractional share (based on the Closing Price of the Underlying on the Final Valuation Date). The
number of full shares of the Underlying and any cash in lieu of a fractional share that you receive at maturity will be calculated
based on the aggregate number of Notes you then hold.
Certain Important Definitions
A “Business
Day” means any day (i) that is not a Saturday, a Sunday or a day on which the securities exchanges or banking institutions
or trust companies in the City of New York are authorized or obligated by law or executive order to close and (ii) on which DTC
settles payments and/or deliveries of shares.
The
monthly “Coupon Payment Dates” are the dates set forth under “Coupon
Payment Dates” on PS-5 of this pricing supplement. Each Coupon Payment Date (other than the Maturity Date) is subject to
postponement as provided under “Coupon Payments Dates” above.
The
“Calculation Agent” means CGMI, an affiliate of Citigroup, or any successor
appointed by Citigroup.
The
“Closing Price” of the Underlying (or any other security in the circumstances
described under “—Dilution and Reorganization Adjustments” below) on any date of determination will be:
(1)
if the applicable security is listed or admitted to trading on a U.S. national securities exchange on that date of determination,
the last reported sale price, regular way (or, in the case of The Nasdaq Stock Market, the official closing price), of the principal
trading session on such date of the Exchange for such security or, if such price is not available on the Exchange for such security,
on any other U.S. national securities exchange on which such security is listed or admitted to trading, or
(2)
if such security is not listed or admitted to trading on a U.S. national securities exchange on that date of determination and
such security is issued by a non-U.S. issuer, the last reported sale price, regular way, of the principal trading session on such
date of the Exchange for such security (converted into U.S. dollars as provided under “—Dilution and Reorganization
Adjustments” below),
in each
case as determined by the Calculation Agent. If no such price is available pursuant to clauses (1) or (2) above, the Closing Price
of such security on the applicable date of determination will be the arithmetic mean, as determined by the Calculation Agent, of
the bid prices of the security obtained from as many dealers in such security (which may include CGMI or any of our other affiliates
or subsidiaries), but not exceeding three such dealers, as will make such bid prices available to the Calculation Agent. If no
bid prices are provided from any third party dealers, the Closing Price will be determined by the Calculation Agent in its sole
and absolute discretion (acting in good faith) taking into account any information that it deems relevant. If a Market Disruption
Event occurs with respect to the applicable security on the applicable date of determination, the Calculation Agent may, in its
sole discretion, determine the Closing Price of such security on such date either (x) pursuant to the two immediately preceding
sentences or (y) if available, pursuant to clauses (1) or (2) above.
The “Final
Underlying Price” of the Underlying will equal the Closing Price of the Underlying on the Final Valuation Date.
The “Conversion
Price” for the Underlying equals the Conversion Price as set forth on the cover page of this pricing supplement. The
Conversion Price will be subject to adjustment as described below under “—Dilution and Reorganization Adjustments.”
For purposes of the Notes, the Conversion Price has been rounded to the nearest cent.
The “Initial
Underlying Price” for the Underlying equals the Closing Price of the Underlying on the Trade Date,
as set forth on the cover page of this pricing supplement. The Initial Underlying Price will be subject to adjustment as
described below under “—Dilution and Reorganization Adjustments.”
The “Trade
Date” is February 24, 2021.
The “Settlement
Date” means February 26, 2021. See “Plan of Distribution; Conflicts of Interest” in this pricing supplement
for additional information.
The “Share
Delivery Amount” for the Underlying initially equals the $1,000 stated principal amount per Note divided by the
Conversion Price as set forth under “Final Terms” on PS-4 of this pricing supplement.
The Share Delivery Amount will be subject to adjustment as described below under “—Dilution and Reorganization Adjustments.”
The quarterly “Observation Dates” are May
24, 2021 , August 24, 2021, November 24, 2021 and February 24, 2022 (the “Final Valuation Date”). Each scheduled
Observation Date will be subject to postponement for non-Scheduled Trading Days for the Underlying
and Market Disruption Events with respect to the Underlying as
provided under “—Consequences of a Market Disruption Event; Postponement of an Observation Date” below.
For any Observation
Date, if applicable, the “Call Settlement Date” will be the Coupon Payment Date immediately following that Observation
Date.
The “Underlying
Issuer” means Cisco Systems, Inc.
The “Exchange”
for the Underlying or any other security means the principal U.S. national securities exchange on which trading in the Underlying
or security occurs (or, if the Underlying is not listed or admitted to trading on a U.S. national securities exchange, are issued
by a non-U.S. issuer and are listed or admitted to trading on a non-U.S. exchange or market, the principal non-U.S. exchange or
market on which the Underlying is listed or admitted to trading), as determined by the Calculation Agent.
Consequences of a Market Disruption Event;
Postponement of an Observation Date
If a Market Disruption
Event occurs with respect to the Underlying on any scheduled Observation Date, the Calculation Agent may, but is not required to,
postpone the Observation Date to the next succeeding Scheduled Trading Day for the Underlying on which a Market Disruption Event
does not occur with respect to the Underlying; provided that the Observation Date may not be postponed for more than five
consecutive Scheduled Trading Days for the Underlying or, in any event, past the second Scheduled Trading Day for the Underlying
immediately preceding the Maturity Date. In addition, if any scheduled Observation Date is not a Scheduled Trading Day for the
Underlying, the Observation Date will be postponed to the earlier of (i) the next succeeding day that is a Scheduled Trading Day
for the Underlying and (ii) the second Business Day immediately preceding the Maturity Date.
If a Market Disruption
Event occurs with respect to the Underlying on any Observation Date and the Calculation Agent does not postpone the Observation
Date, or if any Observation Date is postponed for any reason to the last date to which it may be postponed, in each case as described
above, then any Closing Price to be determined on such date will be determined as set forth in the definition of “Closing
Price.”
Under the terms of
the Notes, the Calculation Agent will be required to exercise discretion in determining (i) whether a Market Disruption Event has
occurred with respect to the Underlying; (ii) if a Market Disruption Event occurs with respect to the Underlying, whether to postpone
an Observation Date as a result of such Market Disruption Event; and (iii) if a Market Disruption Event occurs with respect to
the Underlying on a date on which the Closing Price of the Underlying is determined and the Closing Price of the Underlying is
available pursuant to clauses (1) or (2) of the definition of “Closing Price,” whether to determine such Closing Price
by reference to such clauses (1) or (2) or by reference to the alternative procedure described in the definition of “Closing
Price.” In exercising this discretion, the Calculation Agent will be required to act in good faith and using its reasonable
judgment, but it may take into account any factors it deems relevant, including, without limitation, whether the applicable event
materially interfered with our ability or the ability of our hedging counterparty, which may be an affiliate of ours, to adjust
or unwind all or a material portion of any hedge with respect to the Notes.
Certain Definitions
The “Closing
Time” with respect to the Underlying or other security, on any day, means the Scheduled Closing Time (as defined below)
of the Exchange for the Underlying or other security on such day or, if earlier, the actual closing time of such Exchange on such
day.
An “Exchange
Business Day” for the Underlying or other security means any day on which the Exchange and each Related Exchange for
the Underlying or other security are open for trading during their respective regular trading sessions, notwithstanding any such
Exchange or Related Exchange closing prior to its Scheduled Closing Time.
A “Market
Disruption Event” means, with respect to the Underlying (or any other security for which a Closing Price must be determined),
as determined by the Calculation Agent,
(1) the
occurrence or existence of any suspension of or limitation imposed on trading by the Exchange for such security or otherwise (whether
by reason of movements in price exceeding limits permitted by the Exchange or otherwise) relating to such security on such Exchange,
which the Calculation Agent determines is material, at any time during the one-hour period that ends at the Closing Time;
(2) the
occurrence or existence of any suspension of or limitation imposed on trading by any Related Exchange for such security or otherwise
(whether by reason of movements in price exceeding limits permitted by the Related Exchange or otherwise) in futures or options
contracts relating to such security, which the Calculation Agent determines is material, at any time during the one-hour period
that ends at the Closing Time;
(3) the
occurrence or existence of any event (other than an Early Closure (as defined below)) that disrupts or impairs (as determined by
the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for, such
security on the Exchange for such security, which the Calculation Agent determines is material, at any time during the one-hour
period that ends at the Closing Time;
(4) the
occurrence or existence of any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent)
the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts
relating to such security on any Related Exchange for such security, which the Calculation Agent determines is material, at any
time during the one-hour period that ends at the Closing Time;
(5) the
closure on any Exchange Business Day of the Exchange or any Related Exchange for such security prior to its Scheduled Closing Time
unless such earlier closing time is announced by such Exchange or Related Exchange at least one hour prior to the earlier of (i)
the actual closing time for the regular trading session on such Exchange or Related Exchange on such Exchange Business Day and
(ii) the submission deadline for orders to be entered into the Exchange or Related Exchange system for execution at the Closing
Time on such Exchange Business Day (an “Early Closure”); or
(6) the
failure of the Exchange or any Related Exchange for such security to open for trading during its regular trading session.
A “Related
Exchange” for the Underlying or any other security means any exchange where trading has a material effect (as determined
by the Calculation Agent) on the overall market for futures or options contracts relating to the Underlying or other security.
The “Scheduled
Closing Time” on any day for any Exchange or Related Exchange is the scheduled weekday closing time of such Exchange
or Related Exchange on such day, without regard to after hours or any other trading outside of the regular trading session hours.
A “Scheduled
Trading Day” for the Underlying means a day, as determined by the Calculation Agent, on which the Exchange, if any, and
each Related Exchange, if any, for the Underlying are scheduled to be open for trading for their respective regular trading sessions.
If on any relevant date the Underlying has neither an Exchange nor a Related Exchange, then, a Scheduled Trading Day shall mean
a Business Day. Notwithstanding the foregoing, the Calculation Agent may, in its sole discretion, deem any day on which a Related
Exchange for the Underlying is not scheduled to be open for trading for its regular trading session, but on which the Exchange
for the Underlying is scheduled to be open for trading for its regular trading session, to be a Scheduled Trading Day.
Dilution and Reorganization Adjustments
The Share Delivery
Amount, the Initial Underlying Price, the Conversion Price, the Closing Price of the Underlying and the property we may deliver
to you at maturity of the Notes will be subject to adjustment from time to time if certain events occur that affect the Underlying.
Any of these adjustments could have an impact on the number of shares of the Underlying (or other securities) you will receive
at maturity or whether the Notes are automatically called prior to maturity. CGMI, as Calculation Agent, will be responsible for
the calculation of any adjustment described herein and will furnish the trustee with notice of any adjustment. An adjustment will
be made for events with an Adjustment Date (as defined below) from but excluding the Trade Date to and including the Final Valuation
Date or the applicable Observation Date on which the Closing Price of the Underlying is greater than or equal to the Initial Underlying
Price and as a result the Notes are automatically called. If we deliver shares of the Underlying at maturity, the Share Delivery
Amount will be subject to adjustment for events with an Adjustment Date up to and including the Maturity Date.
No adjustments will
be required other than those specified below. The required adjustments specified in this section do not cover all events that could
have a dilutive or adverse effect on the Underlying during the term of the Notes. See “Risk Factors Relating to the Notes—The
Notes Will Not Be Adjusted for All Events that Could Affect the Price of the Underlying.”
The Calculation Agent
may elect not to make any of the adjustments described below or may modify any of the adjustments described below if it determines,
in its sole discretion, that such adjustment would not be made in any relevant market for options or futures contracts relating
to the Underlying or that any adjustment made in such market would materially differ from the relevant adjustment described below.
Stock Dividends,
Stock Splits and Reverse Stock Splits
If the Underlying Issuer:
(1) declares a record
date in respect of, or pays or makes, a dividend or distribution, in each case of shares of the Underlying with respect to the
Underlying (excluding any share dividend or distribution for which the number of shares paid or distributed is based on a fixed
cash equivalent value (“Excluded Share Dividends”)),
(2) subdivides or splits
the outstanding shares of the Underlying into a greater number of shares or
(3) combines its outstanding
shares of the Underlying into a smaller number of shares,
then, in each of these cases, the Share
Delivery Amount will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number
of shares of the Underlying outstanding immediately after giving effect to such event and (ii) the denominator of which will be
the number of shares of the Underlying outstanding immediately prior to the open of business on the applicable Adjustment Date.
An adjustment will also be made to the Initial Underlying Price and the Conversion Price by dividing the Initial Underlying Price
and the Conversion Price by that dilution adjustment.
Issuance of Certain
Rights or Warrants
If the Underlying Issuer
issues, or declares a record date in respect of an issuance of, rights or warrants, in each case to all holders of shares of the
Underlying entitling them to subscribe for or purchase shares of the Underlying at a price per share less than the Then-Current
Market Price of the Underlying, other than Excluded Rights (as defined below), then, in each case, the Share Delivery Amount will
be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of the shares of the
Underlying outstanding immediately prior to the open of business on the applicable Adjustment Date, plus the number of additional
shares of the Underlying offered for subscription or purchase pursuant to the rights or warrants, and (ii) the denominator of which
will be the number of shares of the Underlying outstanding immediately prior to the open of business on the applicable Adjustment
Date, plus the number of additional shares of
the Underlying which the aggregate offering price of the total number of shares of the Underlying offered for
subscription
or purchase pursuant to the rights or warrants would purchase at the Then-Current Market Price of the Underlying, which will be
determined by multiplying the total number of shares of the Underlying so offered for subscription or purchase by the exercise
price of the rights or warrants and dividing the product obtained by the Then-Current Market Price. An adjustment will also be
made to the Initial Underlying Price and the Conversion Price by dividing the Initial Underlying Price and the Conversion Price
by that dilution adjustment. To the extent that, prior to the Maturity Date or automatic early call of the Notes, after the expiration
of the rights or warrants, the Underlying Issuer publicly announces the number of shares of the Underlying with respect to which
such rights or warrants have been exercised and such number is less than the aggregate number offered, the Share Delivery Amount
will be further adjusted to equal the Share Delivery Amount which would have been in effect had the adjustment for the issuance
of the rights or warrants been made upon the basis of delivery of only the number of shares of the Underlying for which such rights
or warrants were actually exercised, and a corresponding adjustment will be made to the Initial Underlying Price and the Conversion
Price.
“Excluded
Rights” means (i) rights to purchase shares of the Underlying pursuant to a plan for the reinvestment of dividends or
interest and (ii) rights that are not immediately exercisable, trade as a unit or automatically with shares of the Underlying and
may be redeemed by the Underlying Issuer.
The “Then-Current
Market Price” of the Underlying, for the purpose of applying any dilution adjustment, means the average Closing Price
of the Underlying for the ten Scheduled Trading Days ending on the Scheduled Trading Day immediately preceding the related Adjustment
Date. For purposes of determining the Then-Current Market Price, if a Market Disruption Event occurs with respect to the Underlying
on any such Scheduled Trading Day, the Calculation Agent may disregard the Closing Price on such Scheduled Trading Day for purposes
of calculating such average; provided that the Calculation Agent may not disregard more than five Scheduled Trading Days
in such ten–Scheduled Trading Day period.
Spin-offs and Certain
Other Non-Cash Distributions
If the Underlying Issuer
(a) declares a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of shares of
the Underlying, of any class of its capital stock, the capital stock of one or more of its subsidiaries (excluding any capital
stock of a subsidiary in the form of Marketable Securities (as defined below)), evidences of its indebtedness or other non-cash
assets or (b) issues to all holders of shares of the Underlying, or declares a record date in respect of an issuance to all holders
of shares of the Underlying of, rights or warrants to subscribe for or purchase any of its or one or more of its subsidiaries’
securities, in each case excluding any share dividends or distributions referred to above, Excluded Share Dividends, any rights
or warrants referred to above, Excluded Rights and any reclassification referred to below, then, in each of these cases, the Share
Delivery Amount will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the Then-Current
Market Price of one share of the Underlying and (ii) the denominator of which will be the Then-Current Market Price of one share
of the Underlying less the fair market value as of open of business on the Adjustment Date of the portion of the capital shares,
assets, evidences of indebtedness, rights or warrants so distributed or issued applicable to one share of the Underlying. An adjustment
will also be made to the Initial Underlying Price and the Conversion Price by dividing the Initial Underlying Price and the Conversion
Price by that dilution adjustment. If any capital stock declared or paid as a dividend or otherwise distributed or issued to all
holders of shares of the Underlying consists, in whole or in part, of Marketable Securities (other than Marketable Securities of
a subsidiary of the Underlying Issuer), then the fair market value of such Marketable Securities will be determined by the Calculation
Agent by reference to the Closing Price of such capital stock. The fair market value of any other distribution or issuance referred
to in this paragraph will be determined by a nationally recognized independent investment banking firm retained for this purpose
by Citigroup, whose determination will be final.
Notwithstanding the
foregoing, in the event that, with respect to any dividend, distribution or issuance to which the immediately preceding paragraph
would otherwise apply, the denominator in the fraction referred to in such paragraph is less than $1.00 or is a negative number,
then Citigroup may, at its option, elect to have the adjustment to the Share Delivery Amount provided by such paragraph not be
made and, in lieu of this adjustment, the Closing Price of the Underlying on any date of determination thereafter will be deemed
to be equal to the sum of (i) the Closing Price of the Underlying on such date and (ii) the fair market value of the capital stock,
evidences of indebtedness, assets, rights or warrants (determined, as of open of business on the Adjustment Date, by a nationally
recognized independent investment banking firm retained for this purpose by Citigroup, whose determination will be final) so distributed
or issued applicable to one share of the Underlying. If the Notes are not automatically called prior to maturity and the Closing
Price of the Underlying as so determined on the Final Valuation Date is less than the Conversion Price, each holder of the Notes
will receive per Note at maturity (x) a number of shares of the Underlying equal to the Share Delivery Amount and (y) cash in an
amount per Note equal to the Share Delivery Amount as of the Adjustment Date for such dividend, distribution or issuance multiplied
by the fair market value determined pursuant to clause (ii) of the immediately preceding sentence.
If the Underlying Issuer
declares a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of shares of the
Underlying of the capital stock of one or more of its subsidiaries in the form of Marketable Securities, the Closing Price of the
Underlying on any date of determination from and after open of business on the Adjustment Date will in each case equal the Closing
Price of the Underlying plus the product of (i) the Closing Price of such shares of subsidiary capital stock on such date
and (ii) the number of shares of such subsidiary capital stock distributed per share of the Underlying. If the Notes are not automatically
called prior to maturity and the Closing Price of the Underlying as so determined on the Final Valuation Date is less than the
Conversion Price, then in each of these cases, each holder of the Notes will receive at maturity per Note a combination of (x)
a number of shares of the Underlying equal to the Share Delivery Amount and (y) a number of shares of such subsidiary capital stock
equal to the Share Delivery Amount multiplied by the number of shares of such subsidiary capital stock distributed per share
of the Underlying. In the event an adjustment pursuant to this paragraph occurs, following such adjustment, the adjustments described
in this section “—Dilution and Reorganization Adjustments” will also apply to such subsidiary capital stock if
any of the events described in this section “—Dilution and Reorganization Adjustments” occurs with respect to
such capital stock.
Certain Extraordinary
Cash Dividends
If the Underlying Issuer
declares a record date in respect of a distribution of cash, by dividend or otherwise, to all holders of shares of the Underlying,
other than (a) any Permitted Dividends described below, (b) any cash distributed in consideration of fractional shares of the Underlying
and (c) any cash distributed in a Reorganization Event referred to below, then in each case the Share Delivery Amount will be multiplied
by a dilution adjustment equal to a fraction, (i) the numerator of which will be the Then-Current Market Price of the Underlying,
and (ii) the denominator of which will be the Then-Current Market Price of the Underlying less the amount of the distribution applicable
to one share of the Underlying which would not be a Permitted Dividend (such amount, the “Extraordinary Portion”).
An adjustment will also be made to the Initial Underlying Price and the Conversion Price by dividing the Initial Underlying Price
and the Conversion Price by that dilution adjustment. In the case of an issuer that is organized outside the United States, in
order to determine the Extraordinary Portion, the amount of the distribution will be reduced by any applicable foreign withholding
taxes that would apply to dividends or other distributions paid to a U.S. person that claims any reduction in such taxes to which
a U.S. person would generally be entitled under an applicable U.S. income tax treaty, if available.
A “Permitted
Dividend” is (1) any distribution of cash, by dividend or otherwise, to all holders of shares of the Underlying other
than to the extent that such distribution, together with all other such distributions in the same quarterly fiscal period of the
Underlying Issuer with respect to which an adjustment to the Share Delivery Amount under this “—Certain Extraordinary
Cash Dividends” section has not previously been made, per share of the Underlying exceeds the sum of (a) the immediately
preceding cash dividend(s) or other cash distribution(s) paid in the immediately preceding quarterly fiscal period, if any, per
share of the Underlying and (b) 10% of the Closing Price of the Underlying on the date of declaration of such distribution, and
(2) any cash dividend or distribution made in the form of a fixed cash equivalent value for which the holders of shares of the
Underlying have the option to receive either a number of shares of the Underlying or a fixed amount of cash. If the Underlying
Issuer pays a dividend on an annual basis rather than a quarterly basis, the Calculation Agent will make such adjustments to this
provision as it deems appropriate.
Notwithstanding the
foregoing, in the event that, with respect to any dividend or distribution to which the first paragraph under “—Dilution
and Reorganization Adjustments—Certain Extraordinary Cash Dividends” would otherwise apply, the denominator in the
fraction referred to in the formula in that paragraph is less than $1.00 or is a negative number, then Citigroup may, at its option,
elect to have the adjustment provided by such paragraph not be made and, in lieu of this adjustment, the Closing Price of the Underlying
on any date of determination from and after open of business on the Adjustment Date will be deemed to be equal to the sum of (i)
the Closing Price of the Underlying on such date and (ii) the amount of cash so distributed applicable to one share of the Underlying.
If the Notes are not automatically called prior to maturity and the Closing Price of the Underlying as so determined on the Final
Valuation Date is less than the Conversion Price, each holder of the Notes will receive per Note at maturity (x) a number of shares
of the Underlying equal to the Share Delivery Amount and (y) cash in an amount per Note equal to the Share Delivery Amount as of
the Adjustment Date for such distribution multiplied by the amount of cash determined pursuant to clause (ii) of the immediately
preceding sentence.
Reorganization Events
In the event of any
of the following “Reorganization Events” with respect to the Underlying Issuer:
• the Underlying
Issuer reclassifies the Underlying, including, without limitation, in connection with the issuance of tracking stock,
• any consolidation
or merger of the Underlying Issuer, or any surviving entity or subsequent surviving entity of the Underlying Issuer, with or into
another entity, other than a merger or consolidation in which the Underlying Issuer is the continuing company and in which the
shares of the Underlying of the Underlying Issuer outstanding immediately before the merger or consolidation are not exchanged
for cash, securities or other property of the Underlying Issuer or another issuer,
• any sale,
transfer, lease or conveyance to another company of the property of the Underlying Issuer or any successor as an entirety or substantially
as an entirety,
• any statutory
exchange of the Underlying with securities of another issuer, other than in connection with a merger or acquisition,
• another entity
completes a tender or exchange offer for all the outstanding shares of the Underlying or
• any liquidation,
dissolution or winding up of the Underlying Issuer or any successor of the Underlying Issuer,
the Closing Price of the Underlying on any
date of determination from and after the open of business on the Adjustment Date will, in each case, be deemed to be equal to the
Transaction Value on such date of determination. The Calculation Agent will determine in its sole discretion whether a transaction
constitutes a Reorganization Event as defined above, including whether a transaction constitutes a sale, transfer, lease or conveyance
to another company of the property of the Underlying Issuer or any successor “as an entirety or substantially as an entirety.”
The Calculation Agent will have significant discretion in determining what “substantially as an entirety” means and
may exercise that discretion in a manner that may be adverse to the interests of holders of the Notes.
The “Transaction
Value” will equal the sum of (1), (2) and (3) below:
(1) for any cash received
in a Reorganization Event, the amount of cash received per share of the Underlying,
(2) for any property
other than cash or Marketable Securities received in a Reorganization Event, an amount equal to the fair market value on the effective
date of the Reorganization Event of that property received per share of the Underlying, as determined by a nationally recognized
independent investment banking firm retained for this purpose by Citigroup, whose determination will be final, and
(3) for any Marketable
Securities received in a Reorganization Event, an amount equal to the Closing Price per unit of these Marketable Securities on
the applicable date of determination multiplied by the number of these Marketable Securities received per share of the Underlying,
plus, in each case, if shares of
the Underlying continue to be outstanding following the Reorganization Event, the Closing Price of the Underlying.
“Marketable
Securities” are any perpetual equity securities or debt securities with a stated maturity after the Maturity Date, in
each case that are listed on a U.S. national securities exchange. The number of shares of any equity securities constituting Marketable
Securities included in the calculation of Transaction Value pursuant to clause (3) above will be adjusted if any event occurs with
respect to the Marketable Securities or the issuer of the Marketable Securities between the time of the Reorganization Event and
maturity of the Notes that would have required an adjustment as described above, had it occurred with respect to the Underlying
or the Underlying Issuer. Adjustment for these subsequent events will be as nearly equivalent as practicable to the adjustments
described above, as determined by the Calculation Agent.
If the Notes are not
automatically called prior to maturity, the Underlying has been subject to a Reorganization Event and the applicable Transaction
Value determined on the Final Valuation Date is less than the Conversion Price, each holder of the Notes will receive per Note
at maturity (i) cash in an amount equal to the Share Delivery Amount with respect to such Underlying as of the relevant Adjustment
Date multiplied by the sum of clauses (1) and (2) in the definition of “Transaction Value” above, (ii) if the
Underlying continues to be outstanding following the effective date of the Reorganization Event, a number of shares of such Underlying
equal to the Share Delivery Amount with respect to such Underlying and (iii) the number of Marketable Securities received per share
of such Underlying in the Reorganization Event multiplied by the Share Delivery Amount with respect to such Underlying as
of the relevant Adjustment Date.
Certain General
Provisions
The adjustments described
in this section will be effected at the open of business on the applicable date specified below (such date, the “Adjustment
Date”):
• in the case
of any dividend, distribution or issuance, on the applicable Ex-Date (as defined below),
• in the case
of any subdivision, split, combination or reclassification, on the effective date thereof and
• in the case
of any Reorganization Event, on the effective date of the Reorganization Event.
All adjustments will
be rounded upward or downward to the nearest 1/10,000th or, if there is not a nearest 1/10,000th, to the next lower 1/10,000th.
No adjustment in the Share Delivery Amount will be required unless the adjustment would require an increase or decrease of at least
one percent therein, provided, however, that any adjustments which by reason of this sentence are not required to
be made will be carried forward (on a percentage basis) and taken into account in any subsequent adjustment. If any announcement
or declaration of a record date in respect of a dividend, distribution or issuance requiring an adjustment as described herein
is subsequently canceled by the Underlying Issuer, or this dividend, distribution or issuance fails to receive requisite approvals
or fails to occur for any other reason, in each case prior to the Maturity Date or the earlier automatic call of the Notes, then,
upon the cancellation, failure of approval or failure to occur, the Share Delivery Amount, the Initial Underlying Price and the
Conversion Price will be further adjusted to the Share Delivery Amount, the Initial Underlying Price and the Conversion Price,
respectively, which would then have been in effect had adjustment for the event not been made. All adjustments to the Share Delivery
Amount shall be cumulative, such that if more than one adjustment is required to the Share Delivery Amount, each subsequent adjustment
will be made to the Share Delivery Amount as previously adjusted.
The “Ex-Date”
relating to any dividend, distribution or issuance is the first date on which shares of the Underlying trade in the regular way
on their principal market without the right to receive such dividend, distribution or issuance from the Underlying Issuer or, if
applicable, from the seller on such market (in the form of due bills or otherwise).
For the purpose of
adjustments described herein, each non-U.S. dollar value (whether a value of cash, property, securities or otherwise) shall be
expressed in U.S. dollars as converted from the relevant currency using the 12:00 noon buying rate in New York certified by the
New York Federal Reserve Bank for customs purposes on the date of valuation, or if this rate is unavailable, such rate as the Calculation
Agent may determine.
Delisting of the Underlying
If the Underlying is delisted from its Exchange
(other than in connection with a Reorganization Event) and not then or immediately thereafter listed on another U.S. national securities
exchange (a “Delisting Event”), we will have the right, but not the obligation, to call the Notes for redemption
on the third Business Day following the last Scheduled Trading Day for the Underlying on which it is scheduled to trade on such
Exchange; provided that, if public notice of such delisting is not provided at least five Business Days prior to such last
Scheduled Trading Day, we may in our reasonable judgment specify a date later than such third Business Day as the date of redemption.
If we elect to exercise such call right, we will provide to the trustee, and either we or the trustee (at our request) will provide
to holders of the Notes (which shall be DTC for so long as the Notes are held in book-entry form), at least five Business Days’
notice of our election. If we exercise this call right, we will redeem the Notes for an amount in cash equal to:
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(i)
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the amount you would be entitled to receive per Note at maturity (excluding the final coupon payment) if the Last Valid Trading
Day (as defined below) were the Final Valuation Date, plus
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(ii)
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accrued and unpaid coupon to but excluding the date of redemption, plus
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(iii)
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the present value of the remaining coupon payments on the Notes (excluding any portion accrued to but excluding the date of
redemption) discounted to the date of redemption based on the comparable yield that we would pay on a non-interest bearing, senior
unsecured debt obligation of comparable size having a maturity equal to the term of each such remaining scheduled payment, as determined
by the Calculation Agent in good faith.
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The “Last Valid Trading Day”
means the last Scheduled Trading Day for the Underlying on which it is scheduled to trade on its Exchange; provided that,
if the Closing Price of the Underlying is not available pursuant to clause (1) or (2) of the definition of “Closing Price”
or a Market Disruption Event occurs with respect to the Underlying on such last Scheduled Trading Day, the Calculation Agent may,
but is not required to, deem the Last Valid Trading Day with respect to the Underlying to be the first Scheduled Trading Day for
the Underlying preceding such last Scheduled Trading Day on which such Closing Price was available pursuant to clause (1) or (2)
of the definition of “Closing Price” and a Market Disruption Event did not occur with respect to the Underlying.
If a Delisting Event occurs and we do not
exercise our right to call the Notes pursuant to the immediately preceding paragraph, then the Calculation Agent may, but is not
required to, select Successor Shares (as defined below) to be the Underlying in accordance with the following paragraphs prior
to open of business on the first Scheduled Trading Day for the Underlying on which it is no longer listed or admitted to trading
on its Exchange (the “Change Date”).
The “Successor Shares” with
respect to the Underlying will be shares of an Eligible Company (as defined below) selected by the Calculation Agent in its sole
discretion from among the shares of the Top Three Eligible Companies. The “Top Three Eligible Companies” are the three
(or fewer, if the Calculation Agent cannot identify three) Eligible Companies whose shares are, in the Calculation Agent’s
sole determination, the most comparable to the original Underlying, taking into account such factors as the Calculation Agent deems
relevant (including, without limitation, market capitalization, dividend history, trading characteristics, liquidity and share
price volatility), excluding (i) any shares that are subject to a trading restriction under the trading restriction policies of
Citigroup or any of its affiliates that would materially limit our ability or the ability of any of our affiliates to hedge the
Notes with respect to the shares and (ii) any other shares that the Calculation Agent determines, in its sole discretion, not to
select as Successor Shares based on legal or regulatory considerations. An “Eligible Company” is a company that (x)
is organized in, or the principal executive office of which is located in, the country in which the original Underlying Issuer
is organized or has its principal executive office, (y) has shares that are listed or admitted to trading on the New York Stock
Exchange or The Nasdaq Stock Market and (z) has the same Global Industry Classification Standard (“GICS”) sub-industry
code as the original Underlying Issuer; provided that, if the Calculation Agent determines that no shares of a company meeting
the criteria set forth in clauses (x), (y) and (z) are sufficiently comparable to the original Underlying to select as Successor
Shares, the Calculation Agent may treat as an Eligible Company any company that meets the criteria set forth in clauses (x) and
(y) and has the same GICS industry group code as the original Underlying Issuer; provided, further, that, if the Calculation
Agent determines that no shares of a company meeting the criteria set forth in the immediately preceding proviso are sufficiently
comparable to the original Underlying to select as Successor Shares, the Calculation Agent may treat as an Eligible Company any
company that meets the criteria set forth in clauses (y) and (z). If no GICS sub-industry or industry group code has been assigned
to any applicable company, the Calculation Agent may select a GICS sub-industry and industry group code, as applicable, for such
company in its sole discretion.
Upon the selection of any Successor Shares
by the Calculation Agent, on and after the Change Date, references in this pricing supplement to the Underlying will no longer
be deemed to refer to the original Underlying and will be deemed instead to refer to the Successor Shares for all purposes, and
references in this pricing supplement to the Underlying Issuer will be deemed to be to the issuer of such Successor Shares. Upon
the selection of any Successor Shares by the Calculation Agent, on and after the Change Date, (i) the Share Delivery Amount for
the Successor Shares will be equal to the Share Delivery Amount for the original Underlying immediately prior to the Change Date
multiplied by a factor determined by the Calculation Agent in good faith, taking into account, among other things, the Closing
Price of the original Underlying on the Last Valid Trading Day and (ii) the Initial Underlying Price and Conversion Price for the
Successor Shares will be equal to the Initial Underlying Price or Conversion Price, as applicable, for the original Underlying
immediately prior to the Change Date divided by such factor. The Share Delivery Amount, Initial Underlying Price and Conversion
Price for the Successor Shares as so determined will be subject to adjustment for certain corporate events related to the Successor
Shares occurring on or after the Change Date in accordance with “—Dilution and Reorganization Adjustments.”
The Calculation Agent
will cause notice of the selection of Successor Shares and the Share Delivery Amount, Initial Underlying Price and Conversion Price
for the Successor Shares to be furnished to us and the trustee.
No Redemption at the Option of the Holder;
Defeasance
The Notes will not
be subject to redemption at the option of any holder prior to maturity and will not be subject to the defeasance provisions described
in the accompanying prospectus under “Description of Debt Securities—Defeasance.”
Events of Default and Acceleration
In case an event of
default (as described in the accompanying prospectus) with respect to the Notes shall have occurred and be continuing, the amount
declared due and payable upon any acceleration of the Notes will be determined by the Calculation Agent and will equal the amount
to be received at maturity, calculated as though the date of acceleration were the Final Valuation Date. For purposes of the immediately
preceding sentence, the portion of such payment attributable to the final monthly coupon payment will be prorated from and including
the immediately preceding Coupon Payment Date to but excluding the date of acceleration.
In case of default
under the Notes, whether in the payment of any monthly coupon or any other payment or delivery due under the Notes, no interest
will accrue on such overdue payment or delivery either before or after the Maturity Date.
Paying Agent and Trustee
Citibank, N.A. will
serve as paying agent and registrar for the Notes and will also hold the global security representing the Notes as custodian for
DTC. The Bank of New York Mellon (as trustee under an indenture dated March 8, 2016) will serve as trustee for the Notes.
CUSIP / ISIN
The CUSIP for the Notes
linked to the common stock of Cisco Systems, Inc. is 17329B137. The ISIN for the Notes linked to the common stock of Cisco Systems,
Inc. is US17329B1373.
Calculation Agent
The Calculation Agent
for the Notes will be CGMI, an affiliate of Citigroup Global Markets Holdings Inc. All determinations made by the Calculation Agent
will be at the sole discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes
and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the Notes. The Calculation Agent is obligated
to carry out its duties and functions in good faith and using its reasonable judgment.