An investment in the notes is significantly
riskier than an investment in conventional debt securities. The notes are subject to all of the risks associated with an investment
in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on
our obligations under the notes, and are also subject to risks associated with the underlying. Accordingly, the notes are suitable
only for investors who are capable of understanding the complexities and risks of the notes. You should consult your own financial,
tax and legal advisers as to the risks of an investment in the notes and the suitability of the notes in light of your particular
circumstances.
In addition to the risk factors below, you
should carefully read the risk factors included in the accompanying prospectus supplement and in the documents incorporated by
reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report on Form 10-K and any subsequent
Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.
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¨
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You may not receive any return on your investment in the notes —
The return on the notes, if any, at maturity
is linked to the performance of the underlying and depends on whether a barrier event occurs during the observation period. If
a barrier event occurs during the observation period, you will receive a payment at maturity equal to the stated principal amount
of your notes
plus
an amount equal to the conditional return of 1.5% of the stated principal amount. If a barrier event
does not occur, the return on your investment in the notes may be zero and, therefore, less than the amount that would be paid
on conventional debt securities of ours of comparable maturity. Moreover, if you receive the absolute value of the underlying return
on the notes, the overall return on the notes (the effective yield to maturity) may still be less than the amount that would be
paid on conventional debt securities of ours of comparable maturity. The notes have been designed for investors who are willing
to forgo market interest rates in exchange for a return, if any, based on the performance of the underlying.
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¨
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The appreciation potential is limited —
The appreciation potential of the notes is limited by the upper barrier
and lower barrier. If a barrier event occurs during the observation period, you will receive a payment at maturity equal to the
stated principal amount of your notes
plus
an amount equal to the conditional return of 1.5% of the stated principal amount.
Therefore, you will not benefit from any positive underlying return above the upper barrier or negative underlying return below
the lower barrier.
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¨
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If a barrier event occurs, you will receive the stated principal amount of your notes
plus
an amount equal to the
conditional return of 1.5% of the stated principal amount, even if the final underlying price is between the upper barrier and
the lower barrier
— If a barrier event occurs on any trading day during the observation period, you will receive the
stated principal amount of your notes
plus
an amount equal to the conditional return of 1.5% of the stated principal amount,
even if the final underlying price is between the upper barrier and the lower barrier. Therefore, if a barrier event occurs at
any point during the observation period, you will not benefit from the absolute value of the underlying return.
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¨
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You may receive less than the conditional return and potentially no return on your investment in the notes
— If
a barrier event does not occur during the observation period and the underlying appreciates or depreciates by less than 1.5% from
the trade date to the final valuation date, you will receive a return on the notes that is less than the conditional return, and
if the underlying does not appreciate or depreciate at all, you will not receive any positive return on your investment in the
notes. As the notes do not pay any interest, there is no assurance that your total return at maturity on the notes will be as great
as could have been achieved on conventional debt securities of ours of comparable maturity.
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¨
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The probability that a barrier event will occur 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 increase or decrease over the term of the notes
and a barrier event will occur on any trading day during the observation period. The underlying has historically experienced significant
volatility. As a result, there is a significant risk that a barrier event will occur during the observation period and that you
will only receive a return equal to the conditional return. The terms of the notes are set, in part, based on expectations about
the volatility of the underlying as of the trade date. If expectations about the volatility of the underlying change over the term
of the notes, the value of the notes may be adversely affected, and if the actual volatility of the underlying proves to be greater
than initially expected, the notes may prove to be riskier than expected on the trade date.
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¨
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The notes do not pay interest —
Unlike conventional debt securities, the notes do not pay interest or any other
amounts prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.
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¨
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Sale of the notes prior to maturity may result in a loss of principal —
You will be entitled to receive at least
the full stated principal amount of your notes, subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are
able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
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¨
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Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in real value terms if a barrier event occurs or if the underlying does not appreciate or depreciate sufficiently
from the initial underlying price to the final underlying price —
This is because inflation may cause the real value
of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes
represents a forgone opportunity to invest in an alternative asset that does generate a positive real return at a market rate.
This potential loss in real value terms is significant given the approximately 2-year term of the notes. You should carefully consider
whether an investment that may not provide for any return on your investment, or may provide a return that is lower than the return
on alternative investments, is appropriate for you.
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¨
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The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. —
Any payment
on the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore is subject
to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the
notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that become due under the notes.
As a result, the value of the notes prior to maturity will be affected by changes in the market’s view of our and Citigroup
Inc.’s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings or
increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or Citigroup Inc.’s
credit risk is likely to adversely affect the value of the notes.
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¨
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The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity —
The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a
daily basis. Any indicative bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking
into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the notes can
be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice,
at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
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¨
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The estimated value of the notes on the trade date, based on CGMI’s proprietary pricing models and our internal funding
rate, will be less than the issue price
— The difference is attributable to certain costs associated with selling, structuring
and hedging the notes that are included in the issue price. These costs include (i) the underwriting discount paid in connection
with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering
of the notes and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in
connection with hedging our obligations under the notes. These costs adversely affect the economic terms of the notes because,
if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are also likely
to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the notes. See
“The estimated value of the notes would be lower if it were calculated based on our secondary market rate” below.
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¨
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The estimated value of the notes was determined for us by our affiliate using proprietary pricing models —
CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying and interest
rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering,
CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore
not an accurate reflection of the value of the notes. Moreover, the estimated value of the notes set forth on the cover page of
this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other purposes, including
for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you should be
willing to hold the notes to maturity irrespective of the initial estimated value.
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¨
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The estimated value of the notes would be lower if it were calculated based on our secondary market rate —
The
estimated value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the
rate at which we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases
of the notes from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary
market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors
such as the costs associated with the notes, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the
notes, which do not bear interest.
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Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is
not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior
to maturity.
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¨
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The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market —
Any such secondary market price will fluctuate over the term of the
notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in
this pricing supplement, any value of the notes determined for purposes of a secondary market transaction will be based on our
secondary market rate, which will likely result in a lower value for the notes than if our internal funding rate were used. In
addition, any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate
stated principal amount of the notes to be purchased in the secondary market transaction, and the expected cost of unwinding related
hedging transactions. As a result, it is likely that any secondary market price for the notes will be less than the issue price.
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¨
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The value of the notes prior to maturity will fluctuate based on many unpredictable factors —
As described under
“Valuation of the Notes” below, the payout on the notes could be replicated by a hypothetical package of financial
instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that influence the
values of fixed-income bonds and derivative instruments will also influence the terms of the notes at issuance and the value of
the notes prior to maturity. Accordingly, the value of your notes prior to maturity will fluctuate based on the underlying price
and volatility of the underlying and a number of other factors, including those described below. Some of these factors are interrelated
in complex ways. As a result, the effect of any one factor
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may be offset or magnified by the effect of one or more other factors.
The paragraphs below describe what we expect to be the impact on the value of the notes of a change in a specific factor, assuming
all other conditions remain constant. You should understand that the value of your notes at any time prior to maturity may be significantly
less than the issue price. The stated payout from the issuer only applies if you hold the notes to maturity.
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o
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Commodity price of the underlying.
We expect that the value of the notes at any time prior to maturity will depend substantially
on the commodity price of the underlying at that time. If the commodity price of the underlying fails to move sufficiently from
the initial underlying price, or if it moves too much from the initial underlying price such that a barrier event occurs or becomes
more likely, the value of the notes will be adversely affected.
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o
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Volatility of the commodity price of the underlying.
Volatility refers to the magnitude and frequency of changes in
the commodity price of the underlying over any given period. Any change in the expected volatility of the commodity price of the
underlying may adversely affect the value of the notes.
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o
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Interest rates
. We expect that the value of the notes will be affected by changes in U.S. interest rates. In general,
an increase in U.S. interest rates is likely to adversely affect the value of the notes.
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|
o
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Time remaining to maturity.
At any given time, a portion of the value of the notes may be attributable to time value,
which is based on the amount of time then remaining to maturity. You should understand that the value of the notes may be adversely
affected solely as a result of the passage of time.
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o
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Creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
The notes are subject to the credit risk
of Citigroup Global Markets Holdings Inc. and Citigroup Inc. Therefore, actual or anticipated adverse changes in the creditworthiness
of Citigroup Global Markets Holdings Inc. and Citigroup Inc. may adversely affect the value of the notes.
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It is important for you to understand
that the impact of one of the factors discussed above may offset, or magnify, some or all of any change in the value of the notes
attributable to one or more of the other factors.
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¨
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment —
The
amount of this temporary upward adjustment will decline to zero over the temporary adjustment period. See “Valuation of the
Notes” in this pricing supplement.
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¨
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The market price of gold will affect the value of the notes —
We expect that generally the value of the notes
will depend in substantial part on the price of gold. The price of gold is primarily affected by the global demand for and supply
of gold, but is also influenced significantly from time to time by speculative actions. The market for gold bullion is global,
and gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including
macroeconomic factors such as the structure of and confidence in the global monetary system, expectations regarding the future
rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is usually
quoted), interest rates, gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial
or other events. Gold prices may be affected by industry factors such as industrial and jewelry demand as well as lending, sales
and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions
which hold gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes
in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories of gold may also
influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors. The price
of gold has recently been, and may continue to be, extremely volatile.
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If a commodity hedging disruption event occurs during the term of the notes, we may redeem the notes early —
See
“Additional Terms of the Notes—Commodity Hedging Disruption Event” in this pricing supplement for information
about the events that may constitute a commodity hedging disruption event. If a commodity hedging disruption event occurs, we may
redeem the notes prior to the maturity date for an amount equal to the early redemption amount determined as of the early redemption
notice date. If we redeem the notes early, the early redemption amount may result in a less favorable return than you would have
received had we not redeemed the notes.
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The calculation agent may make discretionary determinations in connection with a commodity hedging disruption event and
the early redemption amount that could adversely affect your return upon early redemption —
The calculation agent will
be required to exercise discretion in determining whether a commodity hedging disruption event has occurred. In addition, the calculation
agent has broad discretion to determine the early redemption amount, including the ability to make adjustments to proprietary pricing
models and inputs to those models in good faith and in a commercially reasonable manner. The fact that the calculation agent is
our affiliate may cause it to have interests that are adverse to yours as a holder of the notes. Under the terms of the notes,
the calculation agent has the authority to make determinations that may protect our economic interests while resulting in an adverse
outcome to you on your investment in the notes.
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Distortions or disruptions of market trading in the underlying could adversely affect the value of and return on the notes
—
The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the
lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These circumstances
could adversely affect the commodity price of the underlying and, therefore, the value of and return on the notes. In addition,
if the scheduled final valuation date is not a scheduled trading day or a market disruption event occurs on that day with respect
to the underlying, the final valuation date will be subject to postponement, as described under “Additional Terms of the
Notes” in this pricing supplement. If the final valuation date is not postponed in these circumstances, the calculation agent
will determine the commodity price of the underlying on the final valuation date in its discretion. The calculation agent’s
determination of the commodity price of the underlying in this circumstance may result in an unfavorable return on the notes.
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Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes —
Any such research, opinions or recommendations could affect the price of the
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underlying and the value of the notes. Our affiliates, and UBS and its affiliates, publish research from time to time on financial
markets and other matters that may influence the value of the notes, or express opinions or provide recommendations that may be
inconsistent with purchasing or holding the notes. Any research, opinions or recommendations expressed by our affiliates or by
UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice. These and other
activities of our affiliates or UBS or its affiliates may adversely affect the price of the underlying and may have a negative
impact on your interests as a holder of the notes. Investors should make their own independent investigation of the merits of investing
in the notes and the underlying to which the notes are linked.
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The commodity price of the underlying may be affected by our or our affiliates’ hedging and other trading activities
and UBS’s or its affiliates’ trading activities.
In anticipation of the sale of the notes, we expect to hedge our
obligations under the notes through CGMI or other of our affiliates, who may take positions in the underlying or in instruments
linked to the underlying and may adjust such positions during the term of the notes. We or our counterparties may also adjust this
hedge during the term of the notes and close out or unwind this hedge on or before the final valuation date, which may involve,
among other things, our counterparties purchasing or selling such underlying or other instruments. This hedging activity on or
prior to the trade date could potentially affect the commodity price of the underlying on the trade date and, accordingly, potentially
increase the initial underlying price, which may adversely affect your return on the notes. Additionally, this hedging activity
during the term of the notes, including on or near the final valuation date, could negatively affect the commodity price of the
underlying on that date and, therefore, adversely affect your return on the notes. This hedging activity may present a conflict
of interest between your interests as a holder of the notes and the interests we and/or our counterparties, which may be our affiliates,
the placement agents or their affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities
could also affect the price, if any, at which CGMI may be willing to purchase your notes in a secondary market transaction.
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Our affiliates, or UBS or its affiliates,
may also trade the underlying and/or instruments linked to the underlying on a regular basis (taking long or short positions or
both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. As with
our or our affiliates’ hedging activity, this trading activity could affect the commodity price of the underlying on the
final valuation date and, therefore, adversely affect the performance of the notes.
It is possible that these hedging
or trading activities could result in substantial returns for our affiliates, or UBS or its affiliates, while the value of the
notes declines.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes —
If certain events occur, such as market disruption events or the discontinuance of trading in the underlying, CGMI, as calculation
agent, will be required to make discretionary judgments that could significantly affect what you receive at maturity. Such judgments
could include, among other things, any price required to be determined under the notes. In addition, if certain events occur, CGMI
will be required to make certain discretionary judgments that could significantly affect your payment at maturity. Such judgments
could include, among other things:
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determining whether a market disruption event has occurred;
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¨
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if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;
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determining the price of the underlying if the price of the underlying is not otherwise available or a market disruption event
has occurred;
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if a commodity hedging disruption event occurs, determining the early redemption amount; and
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if the London gold market discontinues trading in, or physical delivery of, the underlying or if the commodity price of the
underlying is no longer made available by the LBMA or Bloomberg, selecting a successor market or successor price or, if none is
selected, determining the commodity price of the underlying.
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In making these judgments, the calculation
agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples and table below illustrate payments at maturity
for a hypothetical offering of the notes under various scenarios, with the assumptions set forth below (the actual terms for the
notes offering will be determined on the trade date). Numbers in the examples and table below have been rounded for ease of analysis.
You should not take these examples or the table below as an indication or assurance of the expected performance of the underlying.
You should consider carefully whether the notes are suitable to your investment goals. Any payment on the notes is subject to our
ability to pay our obligations as they become due and the ability of Citigroup Inc. to perform its obligations under the guarantee.
Stated principal amount:
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$1,000
|
Term:
|
2 years
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Conditional return:
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1.5%
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Upper barrier:
|
Initial underlying price
plus
18.00% of the initial underlying price
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Lower barrier:
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Initial underlying price
minus
18.00% of the initial underlying price
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EXAMPLES 1 THROUGH 3 ASSUME THAT A BARRIER
EVENT OCCURRED DURING THE OBSERVATION PERIOD
Example 1
—
The price of the
underlying
increases
by 50% from the initial underlying price to the final underlying price.
Because a barrier event
occurred during the observation period, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount equal to the conditional return of 1.5% of the stated principal amount, resulting in a payment at maturity of $1,015
per $1,000 stated principal amount, calculated as follows:
$1,000 + [$1,000 ×
conditional return]
$1,000 + ($1,000 ×
1.5%)
$1,000 + $15 = $1,015
Even though the price of the underlying has appreciated
from the initial underlying price to the final underlying price, you will not benefit from any appreciation in the price of the
underlying and will instead be limited to the conditional return.
Example 2
—
The price of the
underlying
increases
by 10% from the initial underlying price to the final underlying price.
Because a barrier event
occurred during the observation period, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount equal to the conditional return of 1.5% of the stated principal amount, resulting in a payment at maturity of $1,015
per $1,000 stated principal amount, calculated as follows:
$1,000 + [$1,000 ×
conditional return]
$1,000 + ($1,000 ×
1.5%)
$1,000 + $15 = $1,015
Even though the final underlying price is between
the upper barrier and the lower barrier, because a barrier event had occurred during the observation period, you will not benefit
from any appreciation in the price of the underlying and will instead be limited to the conditional return.
Example 3
—
The price of the
underlying
decreases
by 60% from the initial underlying price to the final underlying price.
Because a barrier event
occurred during the observation period, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount equal to the conditional return of 1.5% of the stated principal amount, resulting in a payment at maturity of $1,015
per $1,000 stated principal amount, calculated as follows:
$1,000 + [$1,000 ×
conditional return]
$1,000 + ($1,000 ×
1.5%)
$1,000 + $15 = $1,015
Even though the price of the underlying has depreciated
from the initial underlying price to the final underlying price, your return on the notes will be limited to the conditional return.
EXAMPLES 4 THROUGH 6 ASSUME THAT NO BARRIER
EVENT OCCURRED DURING THE OBSERVATION PERIOD
Example 4
—
The price of the
underlying
increases
by 10% from the initial underlying price to the final underlying price.
Because no barrier event
occurred during the observation period, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount representing the absolute value of the underlying return, resulting in a payment at maturity of $1,100 per $1,000 stated
principal amount, calculated as follows:
$1,000 + [$1,000 ×
absolute value of underlying return]
$1,000 + ($1,000 ×
|10%|)
$1,000 + $100 = $1,100
Example 5
—
The final underlying
price is equal to the initial underlying price.
Because no barrier event occurred during the observation period, Citigroup
Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount representing the absolute value of
the underlying return, resulting in a payment at maturity of $1,000 per $1,000 stated principal amount, calculated as follows:
$1,000 + [$1,000 ×
absolute value of underlying return]
$1,000 + ($1,000 ×
|0%|)
$1,000 + $0 = $1,000
Even though no barrier event occurred during
the observation period, your payment at maturity will be less than your payment at maturity if a barrier event had occurred.
Example 6
—
The price of the
underlying
decreases
by 10% from the initial underlying price to the final underlying price.
Because no barrier event
occurred during the observation period, Citigroup Global Markets Holdings Inc. would pay you the stated principal amount
plus
an amount representing the absolute value of the underlying return, resulting in a payment at maturity of $1,100 per $1,000 stated
principal amount, calculated as follows:
$1,000 + [$1,000 ×
absolute value of underlying return]
$1,000 + ($1,000
× |
−
10%|)
$1,000 + $100 = $1,100
Even though the final underlying price has decreased
from the initial underlying price, because no barrier event occurred during the observation period, your payment at maturity is
positive.
Hypothetical Payment at Maturity (per note).
The tables below illustrate, for a $1,000 investment in the notes,
hypothetical payments at maturity for a hypothetical range of underlying returns. The hypothetical payments at maturity set forth
below are for illustrative purposes only. The actual payment at maturity applicable to a purchaser of the notes will depend on
the final underlying price and whether a barrier event occurs during the observation period. You should consider carefully whether
the notes are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Table 1: A barrier event occurs during the observation period
Underlying Return
|
Return on the Notes
|
Payment at Maturity (per note)
|
100%
|
1.5%
|
$1,015.00
|
90%
|
1.5%
|
$1,015.00
|
80%
|
1.5%
|
$1,015.00
|
70%
|
1.5%
|
$1,015.00
|
60%
|
1.5%
|
$1,015.00
|
50%
|
1.5%
|
$1,015.00
|
40%
|
1.5%
|
$1,015.00
|
30%
|
1.5%
|
$1,015.00
|
20%
|
1.5%
|
$1,015.00
|
10%
|
1.5%
|
$1,015.00
|
0%
|
1.5%
|
$1,015.00
|
−
10%
|
1.5%
|
$1,015.00
|
−
20%
|
1.5%
|
$1,015.00
|
−
30%
|
1.5%
|
$1,015.00
|
−
40%
|
1.5%
|
$1,015.00
|
−
50%
|
1.5%
|
$1,015.00
|
−
60%
|
1.5%
|
$1,015.00
|
−
70%
|
1.5%
|
$1,015.00
|
−
80%
|
1.5%
|
$1,015.00
|
−
90%
|
1.5%
|
$1,015.00
|
−
100%
|
1.5%
|
$1,015.00
|
Table 2: No barrier event occurs during the observation period
Underlying Return
|
Return on the Notes
|
Payment at Maturity (per note)
|
18.00%
|
18.00%
|
$1,180.00
|
10%
|
10%
|
$1,100.00
|
1.5%
|
1.5%
|
$1,015.00
|
1%
|
1%
|
$1,010.10
|
0%
|
0%
|
$1,000.00
|
−
1%
|
1%
|
$1,010.00
|
−
1.5%
|
1.5%
|
$1,015.00
|
−
10%
|
10%
|
$1,100.00
|
−
18.00%
|
18.00%
|
$1,180.00
|
For purposes of this pricing supplement, the commodity price
of gold is the official afternoon LBMA Gold Price on that day. The LBMA Gold Price is determined through an auction process administered
by ICE Benchmark Administration (“IBA”) and is a spot price of gold for delivery in London through a member of the
LBMA authorized to effect such delivery, stated in U.S. dollars per troy ounce.
The London gold market is the principal global clearing center
for over-the-counter gold bullion transactions. The LBMA is the principal representative body of the London gold market.
IBA provides the auction platform, methodology as well as overall
independent administration of the electronic auction process of the LBMA Gold Price. The auction takes place twice daily at 10:30
a.m. and 3:00 p.m. London time and is set by a series of auction rounds where participants that have been accredited by the LBMA
to contribute to the LBMA Gold Price input their buy and sell volume orders. The auction has an independent chairperson, appointed
by IBA to determine the price for each round and ensure that the price responds appropriately to market conditions. The chairperson
sets the starting price and the price for each round in line with current market conditions and the activity in the auction. Participants
then enter buy and/or sell orders by volume (
i.e.
, number of ounces). If the net volume of all participants falls within
the pre-determined tolerance at the end of a round, the auction will be complete, with all volume tradable at that price.
The graph below illustrates the performance of gold from
January 2, 2014 to March 20, 2019. The commodity price of gold on March 20, 2019 was $1,303.70. We obtained the commodity price
of gold from Bloomberg, and we have not participated in the preparation of or verified such information. The historical underlying
prices of gold 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 commodity price of gold. We cannot give you assurance that the performance of gold will result in a positive
return on your initial investment at maturity.
Additional Terms of the Notes
|
Determining the commodity price
The term “
commodity price
” means, on any date
of determination, the official afternoon London gold price for delivery in London through a member of the London Bullion Market
Association (“LBMA”) authorized to effect such delivery, stated in U.S. dollars per troy ounce, as calculated and administered
by independent service provider(s) pursuant to an agreement with the LBMA and displayed on Bloomberg under the symbol “GOLDLNPM”
(or any successor page determined by the calculation agent) on that date of determination, except as otherwise specified under
“—Discontinuation of trading in, or physical delivery of, gold in the London gold market; alternative method of calculation”
below;
provided
that if a market disruption event occurs on the final valuation date and the final valuation date is not
postponed, the underlying price on the final valuation date will be the calculation agent’s good faith estimate of the underlying
price on the final valuation date that would have prevailed but for the market disruption event.
Consequences of a market disruption event; postponement of
the final valuation date
If a market disruption event (as defined below) occurs on the
scheduled final valuation date, the calculation agent may, but is not required to, postpone the final valuation date to the earliest
of (i) the next succeeding scheduled trading day on which a market disruption event does not occur, (ii) the fifth scheduled trading
day immediately following the date that was originally scheduled to be the final valuation date and (iii) the business day immediately
preceding the maturity date.
If the final valuation date is not a scheduled trading day, the
final valuation date will be postponed to the earlier of (i) the next succeeding day that is a scheduled trading day and (ii) the
business day immediately preceding the maturity date.
The term “
scheduled trading day
” means a day,
as determined by the calculation agent, on which the London gold market is scheduled to open for purposes of determining the official
afternoon London gold price.
The term “
market disruption event
” means:
|
·
|
a suspension, absence or material limitation of trading in (a) the
underlying in the London gold market or (b) futures or options contracts relating to the underlying on the relevant market for
those contracts, in each case, as determined by the calculation agent;
|
|
·
|
any event that materially disrupts or impairs the ability of market
participants to (a) effect transactions in, or obtain market values for, the underlying in the London gold market or (b) effect
transactions in, or obtain market values for, futures or options contracts relating to the underlying on the relevant market for
those contracts, in each case, as determined by the calculation agent;
|
|
·
|
the failure to open or the closure prior to the scheduled weekday closing
time (without regard to after hours or any other trading outside of the regular trading session hours) of the London gold market
on a scheduled trading day; or
|
|
·
|
the official afternoon London gold price is not determined by the relevant
service provider or is not published by Bloomberg.
|
Postponement for non-business days
If the scheduled maturity date is not a business day, any payment
required to be made on such date will be made on the next succeeding business day. No interest will accrue as a result of any delay
in payment.
Discontinuation of trading in, or physical delivery of, gold
in the London gold market; alternative method of calculation
If the London gold market discontinues trading in, or physical
delivery of, the underlying and the underlying is traded, or the physical delivery of the underlying is effectuated, on another
exchange (a “successor market”) or if the commodity price of the underlying is no longer made available by the LBMA
or Bloomberg and a price for the underlying is available from another source (a “successor price”), the calculation
agent may, in its sole discretion, determine the commodity price of the underlying on any date of determination by reference to
the fixing price of the underlying on that successor market or by reference to that successor price, as applicable, on that day.
Upon any selection by the calculation agent of a successor market
or a successor price, the calculation agent will cause written notice thereof to be promptly furnished to us and to the holders
of the notes.
If the London gold market discontinues trading in, or the physical
delivery of, the underlying or if the commodity price of the underlying is no longer made available by the LBMA or Bloomberg prior
to, and that discontinuation is continuing on, any date of determination, and the calculation agent determines, in its sole discretion,
that no successor market or no successor price, as applicable, is available at that time, or if the calculation agent has previously
selected a successor market and trading in, or the physical delivery of, the underlying is discontinued on that successor market
prior to, and that discontinuation is continuing on, that date of determination, or if the calculation agent has previously selected
a successor price and that successor price is no longer made available by its price source prior to that date of determination,
then the calculation agent will determine the commodity price of the underlying for that date in good faith and in a commercially
reasonable manner.
Notwithstanding these alternative arrangements, discontinuation
of trading or physical delivery of the underlying on the London gold market or the unavailability of the commodity price of the
underlying may adversely affect the value of the notes.
If at any time the method of calculating the commodity price
of the underlying is changed in a material respect, or if the reporting thereof is in any other way modified so that the commodity
price of the underlying does not, in the opinion of the calculation agent, fairly represent the value of the underlying, the calculation
agent will, at the close of business in New York City on each day on which the commodity price of the underlying is to be determined,
make such calculations and adjustments as, in the good faith judgment of the calculation agent, may
be necessary in order to arrive
at a value for the underlying. The calculation agent will cause written notice of those calculations and adjustments to be furnished
to the holders of the notes.
Commodity hedging disruption event
If, on any day during the term of the notes up to but excluding
the final valuation date, the calculation agent determines that a commodity hedging disruption event has occurred, we will have
the right, but not the obligation, to redeem the notes, in whole and not in part, by providing written notice of our election to
exercise that right to the trustee (the date of such notice, the “
early redemption notice date
”) on a redemption
date of our election that is no later than the 30th business day immediately following the early redemption notice date or earlier
than the fifth business day following the early redemption notice date. A commodity hedging disruption event need not be continuing
on the early redemption notice date or on the redemption date. The amount due and payable on the notes upon such redemption will
be equal to the early redemption amount determined as of the early redemption notice date.
A “
commodity hedging disruption event
” means
any event or condition following which we or our affiliates are unable, after using commercially reasonable efforts, to (i) acquire,
establish, re-establish, substitute, maintain, unwind or dispose of any security, option, future, derivative, currency, instrument,
transaction, asset or arrangement that the calculation agent deems necessary to hedge the risk of entering into and performing
our obligations with respect to the notes, whether in the aggregate on a portfolio basis or incrementally on a trade by trade basis
(each a “
hedge position
”) or (ii) realize, recover or remit the proceeds of any such hedge position, in each
case including (without limitation) if those hedge positions (in whole or in part) are (or, but for the consequent disposal thereof,
would otherwise be) in excess of any allowable position limit(s) in relation to any commodity traded on any exchange(s) or other
trading facility (it being within the sole and absolute discretion of the calculation agent to determine which of the hedge positions
are counted towards that limit).
The “
early redemption amount
” will be the
greater of (i) the fair value of the notes determined by the calculation agent as of the early redemption notice date in good faith
and in a manner based upon (but not necessarily identical to) CGMI’s then contemporaneous practices for determining a secondary
market bid price for the notes and similar instruments, taking into account the commodity hedging disruption event that has occurred
and (ii) the stated principal amount of the notes. In determining the early redemption amount pursuant to clause (i) of the immediately
preceding sentence, the calculation agent may take into account proprietary pricing models and may make adjustments to those models
or inputs to those models in good faith and in a commercially reasonable manner. The calculation agent may also take into account
other facts, whether or not unique to us or our affiliates, in determining the early redemption amount so long as it is in good
faith and commercially reasonable. The early redemption amount may result in an unfavorable return on your notes. See “Risk
Factors—If a commodity hedging disruption event occurs during the term of the notes, we may redeem the notes early”
in this pricing supplement.
Under the terms of the notes, the calculation agent will be required
to exercise discretion under certain circumstances, including (i) determining whether a market disruption event or a commodity
hedging disruption event has occurred; (ii) if a market disruption event occurs on the final valuation date, determining whether
to postpone the final valuation date; (iii) if a market disruption event occurs on the final valuation date and the final valuation
date is not postponed, determining the commodity price of the underlying on that day; and (iv) if a commodity hedging disruption
event occurs, determining the early redemption amount. In exercising this discretion, the calculation agent will be required to
act in good faith and in a commercially reasonable manner, but it may take into account any factors it deems relevant, including,
without limitation, whether the applicable event materially interfered with our or our affiliates’ ability to adjust or unwind
all or a material portion of any hedge with respect to the notes.
Events of default and acceleration
In case an event of default (as defined 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, for each note, the payment at maturity, calculated as though
the commodity price of the underlying on the date of such acceleration (subject to postponement as if the date of acceleration
were the final valuation date) were the final underlying price.
In case of default in payment at maturity of the notes, no interest
will accrue on such overdue payment either before or after the maturity date.
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.