The suitability considerations identified below are not exhaustive.
Whether or not the notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the
suitability of an investment in the notes in light of your particular circumstances. You should also review “Summary Risk
Factors” beginning on page PS-6 of this pricing supplement, “The EURO STOXX 50
®
Index” beginning
on page PS-13 of this pricing supplement, “The NASDAQ-100 Index
®
“ beginning on page PS-14 of this pricing
supplement, “Risk Factors Relating to the Securities” beginning on page EA-6 of the accompanying product supplement,
“Equity Index Descriptions— The EURO STOXX 50
®
Index” beginning on page 23 of the accompanying
underlying supplement and “Equity Index Descriptions—The NASDAQ-100 Index
®
beginning on page 70 of the
accompanying underlying supplement.
Final Terms
|
Issuer
|
Citigroup Global Markets Holdings Inc.
|
Guarantee
|
All payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc.
|
Issue price
|
100% of the stated principal amount per note
|
Stated principal amount per note
|
$10.00 per note
|
Term
|
Approximately five years, unless called earlier
|
Trade date
|
November 13, 2017
|
Settlement date
|
November 15, 2017.
|
Final valuation date
1
|
November 10, 2022
|
Maturity date
|
November 16, 2022
|
Underlyings
[1]
|
EURO STOXX 50
®
Index (Ticker: SX5E)
NASDAQ-100 Index
®
(Ticker: NDX)
|
Automatic call feature
|
The notes will be automatically called if the closing level
of the least performing underlying is greater than or equal to its respective initial underlying level on one of the first four
valuation dates or greater than or equal to its respective downside threshold on the final valuation date.
If the notes are automatically called, we will pay you on the
applicable call settlement date a cash payment per $10.00 stated principal amount of each note equal to the call price for the
applicable valuation date.
|
Valuation dates
|
November 15, 2018
November 12, 2019
November 10, 2020
November 10, 2021
November 10, 2022 (the “
final valuation date
”).
|
Call settlement dates
|
Three (3) business days following the applicable valuation date, except that the call settlement date for the final valuation date is the maturity date.
|
Call price
|
The call price will be calculated based on the following formula:
$10.00 + applicable call return
|
Call return/call return rate
|
The call return increases the longer the notes are outstanding
and will be based on the fixed call return rate of 10.70% per annum.
See “Call Returns/Call Prices for the Offering of the
Notes” on page PS-5.
|
Payment at maturity (per $10.00 stated principal amount of notes)
|
If the notes are not called, the final underlying level
of the least performing underlying will therefore necessarily be less than the applicable downside threshold on the final valuation
date,
and we will pay you a cash payment on the maturity date that is less than your stated principal amount and may be zero,
resulting in a loss that is proportionate to the negative underlying return, equal to:
$10.00 × (1 + underlying
return of the least performing underlying)
Accordingly, you may lose all or a substantial portion
of your stated principal amount at maturity, depending on how significantly the least performing underlying declines.
|
Least performing underlying
|
On each valuation date, the underlying with the lowest underlying return as of that valuation date.
|
Underlying return
|
For any underlying on any valuation date, calculated as
follows:
current underlying level –
initial underlying level
initial underlying level
|
Downside threshold
|
For any underlying, 70.00% of its respective initial underlying level, as specified on the cover of this pricing supplement.
|
Initial underlying level
|
For any underlying, its closing level on the trade date, as specified on the cover page of this pricing supplement.
|
Current underlying level
|
For any underlying and any valuation date, the closing level of that underlying on that valuation date.
|
Final underlying level
|
For any underlying, its closing level on the final valuation date.
|
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE NOTES IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER AND THE GUARANTOR. IF CITIGROUP GLOBAL MARKETS HOLDINGS INC. AND CITIGROUP INC. WERE TO DEFAULT ON THEIR OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Investment Timeline
|
|
|
|
|
|
Trade date
|
|
The closing level of each underlying (its respective initial underlying level) is observed, the downside threshold for each underlying is set and the call return rate is determined.
|
|
|
|
|
|
Annually, beginning November 15, 2018 (if not previously called)
|
|
The notes will be automatically called if the closing level of
the least performing underlying is greater than or equal to its respective initial underlying level on one of the first four valuation
dates or greater than or equal to its respective downside threshold on the final valuation date.
If the notes are automatically called, we will pay the call price
for the applicable valuation date, equal to the stated principal amount plus the applicable call return.
After the notes are automatically called, no further payments
will be made on the notes.
|
|
|
|
|
|
Maturity date (if not previously called)
|
|
The final underlying level of each underlying is observed on
the final valuation date.
If the notes have not been automatically called, the final
underlying level of the least performing underlying will therefore necessarily be less than its downside threshold, and we will
pay you an amount in cash per note that is less than the stated principal amount, and possibly zero, at maturity, resulting in
a loss proportionate to the negative underlying return, equal to:
$10.00 + ($10.00 × underlying
return of the least performing underlying)
|
________________
1
Subject to postponement as described
under “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Consequences
of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product supplement.
Call
Returns/Call Prices for the Offering of the Notes
Valuation Date
|
Call Return
(Per $10 stated principal amount. Based
on a call return rate of 10.70% per annum.)
|
Call Price
(Per $10 stated principal amount)
|
November 15, 2018
|
10.70% of the stated principal amount
|
$11.07
|
November 12, 2019
|
21.40% of the stated principal amount
|
$12.14
|
November 10, 2020
|
32.10% of the stated principal amount
|
$13.21
|
November 10, 2021
|
42.80% of the stated principal amount
|
$14.28
|
November 10, 2022 (the “
final valuation date
”)
|
53.50% of the stated principal amount
|
$15.35
|
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 each underlying. Accordingly, the notes are suitable only for investors who
are capable of understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisers
as to the risks of an investment in the notes and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the
notes contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the accompanying
product supplement. You should also carefully read the risk factors included in the accompanying prospectus supplement and in the
documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual Report
on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc.
more generally.
|
¨
|
You may lose some or all of your investment
— The notes differ from ordinary debt securities in that we will not
necessarily repay the full stated principal amount of your notes at maturity. Instead, your return on the notes is linked to the
performance of the least performing underlying and, if the notes are not automatically called, will depend on the extent to which
the final underlying level of the least performing underlying is less than its downside threshold. If the notes are not automatically
called on any of the valuation dates, which necessarily means that the final underlying level of the least performing underlying
is less than its downside threshold, you will lose 1% of the stated principal amount of the notes for every 1% by which the final
underlying level of the least performing underlying is less than its initial underlying level. There is no minimum payment at maturity
on the notes, and you may lose up to all of your investment in the notes.
|
|
¨
|
The appreciation potential of the notes is limited
— Your potential total return on the notes at maturity or upon
earlier automatic call is limited to the call return, which will only be received if the notes are called. Because the call return
increases the longer the notes have been outstanding and because the notes could be called as early as one year after the settlement
date, you may not receive the call return associated with a later valuation date. You will not participate in any potential appreciation
of the underlyings even though you may be subject to the full downside performance of the least performing underlying. As a result,
the return on an investment in the notes may be significantly less than the return on a hypothetical direct investment in the underlyings.
|
|
¨
|
The notes are subject to the risks of both of the underlyings and will be negatively affected if either of the underlyings
performs poorly, even if the other underlying performs well
— You are subject to risks associated with both of the underlyings.
If either of the underlyings performs poorly, you will be negatively affected, even if the other underlying performs well. The
notes are not linked to a basket composed of the underlyings, where the better performance of one could ameliorate the poor performance
of the other. Instead, you are subject to the full risks of whichever of the underlyings is the least performing underlying.
|
|
¨
|
You will not benefit in any way from the performance of the better performing underlying
— The return on the notes
depends solely on the performance of the least performing underlying, and you will not benefit in any way from the performance
of the better performing underlying. The notes may underperform a similar investment in both of the underlyings or a similar alternative
investment linked to a basket composed of the underlyings, since in either such case the performance of the better performing underlying
would be blended with the performance of the least performing underlying, resulting in a better return than the return of the least
performing underlying.
|
|
¨
|
You will be subject to risks relating to the relationship between the underlyings
— It is preferable from your
perspective for the underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar
times and by similar magnitudes. By investing in the notes, you assume the risk that the underlyings will not exhibit this relationship.
The less correlated the underlyings, the more likely it is that either one of the underlyings will perform poorly over the term
of the notes. All that is necessary for the notes to perform poorly is for one of the underlyings to perform poorly; the performance
of the underlying that is not the least performing underlying is not relevant to your return on the notes at maturity. It is impossible
to predict what the relationship between the underlyings will be over the term of the notes.
The EURO STOXX 50
®
Index represents large capitalization stocks in the Eurozone and the NASDAQ-100 Index
®
represents 100 of the largest
non-financial companies listed on the NASDAQ Stock Market. Accordingly, the underlyings represent markets that differ in significant
ways and, therefore, may not be correlated with each other.
|
|
¨
|
The repayment of principal plus a call return is contingent, and you will have full downside exposure to the least performing
underlying if the final underlying level of the least performing underlying is less than its downside threshold
— If
the notes are not automatically called on one of the first four valuation dates and, on the final valuation date, the closing level
of the least performing underlying is less than its initial underlying level but greater than its downside threshold, you will
receive your stated principal amount plus the call return at maturity notwithstanding that the least performing underlying has
declined from its initial underlying level. However, if the final underlying level of the least performing underlying is below
its downside threshold, the contingent repayment of principal plus a call return will not apply, and you will lose 1% of the stated
principal amount of the notes for every 1% by which the final underlying level of the least performing underlying is less than
its initial underlying level. The notes will have full downside exposure to the decline of the least performing underlying if the
final underlying level of the least performing underlying is below its downside threshold. As a result, you may lose your entire
investment in the notes. Further, this contingent repayment of principal plus a call return applies only if you hold the notes
to maturity.
If you are able to sell the notes prior to maturity,
you may have to sell them for a loss even if the level of the least performing underlying is greater than its downside threshold
at that time. See “The value of the notes prior to maturity will fluctuate based on many unpredictable factors” below.
|
|
¨
|
The notes do not pay interest
— Unlike conventional debt securities, the notes do not pay interest or any other
amounts prior to maturity or earlier automatic call. You should not invest in the notes if you seek current income during the term
of the notes.
|
|
¨
|
Investing in the notes is not equivalent to investing in either underlying or the stocks that constitute either underlying
— You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to any of the stocks that constitute the underlyings. It is important to understand that, for purposes of measuring the performance
of the underlyings, the levels used will not reflect the receipt or reinvestment of dividends or distributions on the stocks that
constitute either of the underlyings. Dividend or distribution yield on the stocks that constitute the underlyings would be expected
to represent a significant portion of the overall return on a direct investment in the stocks that constitute the underlyings,
but will not be reflected in the performance of either of the underlyings as measured for purposes of the notes (except to the
extent that dividends and distributions reduce the levels of the underlyings). Moreover, unlike a direct investment in the underlyings,
the appreciation potential of the notes is limited, as described above.
|
|
¨
|
The probability that the least performing underlying will fall below the downside threshold on the final valuation date
will depend in part on the volatility of, and correlation between, the underlyings
— “Volatility” refers
to the frequency and magnitude of changes in the level of the underlyings. “Correlation” refers to the extent to which
the underlyings tend to increase or decrease at similar times and by similar magnitudes. In general, the greater the volatility
of the underlyings, and the lower the correlation between the underlyings, the greater the probability that one or the other of
the underlyings will experience a large decline over the term of the notes and fall below its respective downside threshold on
the final valuation date. The underlyings have historically experienced significant volatility, and as discussed above, the underlyings
represent markets that differ in significant ways and therefore may not be correlated. As a result, there is a significant risk
that one or the other of the underlyings will fall below its respective downside threshold on the final valuation date and that
you will incur a significant loss on your investment in the notes. The terms of the notes are set, in part, based on expectations
about the volatility of, and correlation between, the underlyings as of the trade date. If expectations about the volatility of,
and correlation between, the underlyings change over the term of the notes, the value of the notes may be adversely affected, and
if the actual volatility of the underlyings prove to be greater than initially expected, or if the actual correlation between the
underlyings proves to be lower than initially expected, the notes may prove to be riskier than expected on the trade date.
|
|
¨
|
The notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
— Any payment
on the notes will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc., and therefore is subject
to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our obligations under the
notes and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that become due under the notes.
As a result, the value of the notes prior to maturity will be affected by changes in the market’s view of our and Citigroup
Inc.’s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.’s credit ratings or
increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or Citigroup Inc.’s
credit risk is likely to adversely affect the value of the notes.
|
|
¨
|
The performance of the notes will depend on the closing level of the least performing underlying solely on the valuation
dates
— The performance of the notes (including whether the notes are automatically called and, if they are not called,
the amount of your payment at maturity) will depend on the closing level of the least performing underlying only on the valuation
dates. You will not receive the stated principal amount of your notes at maturity if the closing level of the least performing
underlying on the final valuation date is less than its downside threshold, even if the closing level of the least performing underlying
is greater than its downside threshold on other days during the term of the notes. Moreover, your notes will be automatically called
prior to maturity if the closing level of the least performing underlying is greater than or equal to its initial underlying level
on any valuation date prior to the final valuation date, even if the closing level of the least performing underlying is less than
its initial underlying level on other days during the term of the notes. Because the performance of the notes depends on the closing
level of the least performing underlying on a small number of dates, the performance of the notes will be particularly sensitive
to volatility in the closing levels of the underlyings, particularly around the valuation dates. You should understand that the
levels of the underlyings have historically been highly volatile. See “The EURO STOXX 50
®
Index” and
“The NASDAQ-100 Index
®
” in this pricing supplement.
|
|
¨
|
The notes may be automatically called prior to maturity
— Beginning one year after issuance, on any valuation
date occurring annually during the term of the notes, the notes will be automatically called if the closing level of the least
performing underlying on that valuation date is greater than or equal to its respective initial underlying level. Thus, the term
of the notes may be limited to as short as one year. The earlier the notes are automatically called, the lower the amount of the
call return you will receive. If the notes are automatically called prior to maturity, you may not be able to reinvest your funds
in another investment that provides a similar yield with a similar level of risk.
|
|
¨
|
The notes will not be listed on a securities exchange and you may not be able to sell them prior to maturity
—
The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI
currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a
daily basis. Any indicative bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking
into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the notes can
be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice,
at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the
notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity.
|
|
¨
|
The estimated value of the notes on the trade date, based on CGMI’s proprietary pricing models and our internal funding
rate, is less than the issue price
— The difference is attributable to certain costs associated with selling, structuring
and hedging the notes that are included in the issue price. These costs include (i) hedging and other costs incurred by us and
our affiliates in connection
|
with the offering of the notes and
(ii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging
our obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the
economic terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected
by the use of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated value
of the notes would be lower if it were calculated based on our secondary market rate” below.
|
¨
|
The estimated value of the notes was determined for us by our affiliate using proprietary pricing models
— CGMI
derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing
so, it may have made discretionary judgments about the inputs to its models, such as the volatility of and correlation between
the underlyings, dividend yields on the stocks that constitute the underlyings and interest rates. CGMI’s views on these
inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict
with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ
from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You
should not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to
maturity irrespective of the initial estimated value.
|
|
¨
|
The estimated value of the notes would be lower if it were calculated based on our secondary market rate
— The
estimated value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the
rate at which we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than
our secondary market rate, which is the rate that CGMI will use in determining the value of the notes for purposes of any purchases
of the notes from you in the secondary market. If the estimated value included in this pricing supplement were based on our secondary
market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors
such as the costs associated with the notes, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the
notes, which do not bear interest.
|
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the notes, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate is
not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the notes prior
to maturity.
|
¨
|
The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market
— Any such secondary market price will fluctuate over the term of the
notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in
this pricing supplement, any value of the notes determined for purposes of a secondary market transaction will be based on our
secondary market rate, which will likely result in a lower value for the notes than if our internal funding rate were used. In
addition, any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate
stated principal amount of the notes to be purchased in the secondary market transaction, and the expected cost of unwinding related
hedging transactions. As a result, it is likely that any secondary market price for the notes will be less than the issue price.
|
|
¨
|
The value of the notes prior to maturity will fluctuate based on many unpredictable factors
— As described under
“Valuation of the Notes” below, the payout on the notes could be replicated by a hypothetical package of financial
instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that influence the
values of fixed-income bonds and derivative instruments will also influence the terms of the notes at issuance and the value of
the notes prior to maturity. Accordingly, the value of your notes prior to maturity will fluctuate based on the level and volatility
of the underlyings and a number of other factors, including the price and volatility of the stocks that constitute the underlyings,
the correlation between the underlyings, dividend yields on the stocks that constitute the underlyings, interest rates generally,
the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between that exchange rate and the level
of the EURO STOXX 50
®
Index, the time remaining to maturity and our and Citigroup Inc.’s creditworthiness,
as reflected in our secondary market rate. Changes in the levels of the underlyings may not result in a comparable change in the
value of your notes. You should understand that the value of your notes at any time prior to maturity may be significantly less
than the issue price. The stated payout from the issuer, including the call return, only applies if you hold the notes to maturity
or earlier automatic call, as applicable.
|
|
¨
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment
— The
amount of this temporary upward adjustment will decline to zero over the temporary adjustment period. See “Valuation of the
Notes” in this pricing supplement.
|
|
¨
|
The underlyings are subject to risks associated with foreign equity securities —
Investments in notes linked to
the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks
of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject
to the reporting requirements of the SEC, and foreign companies are generally subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules that are different from those applicable to U.S. reporting companies. The
prices of securities issued by foreign companies may be affected by political, economic, financial and social factors in those
countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
|
|
¨
|
The performance of the EURO STOXX 50
®
Index will not be adjusted for changes in the exchange rate between
the euro and the U.S. dollar —
The EURO STOXX 50
®
Index is composed of stocks traded in euro, the value
of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the EURO STOXX
50
®
Index and the value of your notes will not be adjusted for exchange rate fluctuations. If the euro appreciates
relative to the U.S. dollar over the term of the notes, the performance of the EURO STOXX 50
®
Index as measured
for purposes of the notes will be less than it would have been if it offered exposure to that appreciation in addition to the change
in the prices of the underlying stocks.
|
|
¨
|
Our offering of the notes is not a recommendation of either underlying
— The fact that we are offering the notes
does not mean that we believe that investing in an instrument linked to the least performing underlying is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions)
in the stocks that constitute the underlyings or in instruments related to the underlyings or the stocks that constitute the underlyings,
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlyings.
These and other activities of our affiliates may affect the levels of the underlyings in a way that has a negative impact on your
interests as a holder of the notes.
|
|
¨
|
Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the notes
— Any such research, opinions or recommendations could affect the closing levels
of the underlyings 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 levels of the underlyings 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 underlyings to which the notes are linked.
|
|
¨
|
Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the notes
— We have hedged our exposure under the notes through CGMI or other of our affiliates,
who have entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments,
relating to the underlyings or the stocks included in the underlyings and may adjust such positions during the term of the notes.
It is possible that our affiliates could receive substantial returns from these hedging activities while the value of the notes
declines. Our affiliates and UBS and its affiliates may also engage in trading in instruments linked to the underlyings on a regular
basis as part of their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under
management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities may affect
the levels of the underlyings and reduce the return on your investment in the notes. Our affiliates or UBS or its affiliates may
also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the underlyings.
By introducing competing products into the marketplace in this manner, our affiliates or UBS or its affiliates could adversely
affect the value of the notes. Any of the foregoing activities described in this paragraph may reflect trading strategies that
differ from, or are in direct opposition to, investors’ trading and investment strategies relating to the notes.
|
|
¨
|
Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities
— Our affiliates or UBS or its affiliates may currently or from time to time engage in business with
the issuers of the stocks that constitute the underlyings, including extending loans to, making equity investments in or providing
advisory services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public
information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates
is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without
regard to your interests.
|
|
¨
|
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 the underlyings, 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 level required to be determined under the notes. In addition, if certain events occur, CGMI will
be required to make certain discretionary judgments that could significantly affect your payment at maturity. Such judgments could
include, among other things:
|
|
¨
|
determining whether a market disruption event has occurred;
|
|
¨
|
if a market disruption event occurs on any valuation date, determining whether to postpone the valuation date;
|
|
¨
|
determining the levels of the underlyings if the levels of the underlyings are not otherwise available or a market disruption
event has occurred; and
|
|
¨
|
selecting successor underlyings or performing an alternative calculation of the levels of the underlyings if the underlyings
are discontinued or materially modified (see “Description of the Securities—Certain Additional Terms for Securities
Linked to an Underlying Index—Discontinuance or Material Modification of an Underlying Index” in the accompanying product
supplement).
|
In making these judgments, the calculation agent’s
interests as an affiliate of ours could be adverse to your interests as a holder of the notes.
|
¨
|
Adjustments to either underlying may affect the value of your notes.
— STOXX Limited, as publisher of the EURO
STOXX 50
®
Index, or The NASDAQ OMX Group, Inc., as publisher of the NASDAQ-100 Index
®
, may add, delete
or substitute the stocks that constitute either underlying or make other methodological changes that could affect the level of
either underlying. STOXX Limited or The
|
NASDAQ OMX Group, Inc. may discontinue
or suspend calculation or publication of either underlying at any time without regard to your interests as holders of the notes.
|
¨
|
The U.S. federal tax consequences of an investment in the notes are unclear
— There is no direct legal authority
regarding the proper U.S. federal tax treatment of the notes, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS
or a court might not agree with the treatment of the notes as prepaid forward contracts. If the IRS were successful in asserting
an alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes might be materially and
adversely affected. As described below under “United States Federal Tax Considerations,” in 2007 the U.S. Treasury
Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect.
|
In addition, Section 871(m) of the
Internal Revenue Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
the notes should not be subject to withholding under Section 871(m). However, the IRS could challenge this conclusion. If withholding
applies to the notes, we will not be required to pay any additional amounts with respect to amounts withheld.
You should read carefully the discussion
under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying
product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the notes, as well as tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Hypothetical terms only. Actual terms
may vary. See the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon automatic
call or at maturity for a $10.00 stated principal amount note with the following assumptions and do not reflect the actual terms
of the notes*:
Stated principal amount:
|
$10.00
|
Term:
|
5 years (unless earlier called)
|
Hypothetical initial underlying levels:
|
EURO STOXX 50
®
Index: 3,600.00
|
NASDAQ-100 Index
®
: 6,300.000
|
Hypothetical downside thresholds:
|
EURO STOXX 50
®
Index: 2,520.00 (which is 70% of its hypothetical initial underlying level)
|
NASDAQ-100 Index
®
: 4,410.000 (which is 70% of its hypothetical initial underlying level)
|
Hypothetical call return rate:
|
10.20% per annum
|
Valuation dates:
|
Valuation dates will occur annually as set forth on page PS-5 in this pricing supplement.
|
*
(i) The hypothetical call return rate per annum does not
represent the actual call return rate per annum and (ii) the hypothetical initial underlying levels and downside thresholds do
not represent the actual initial underlying levels and downside thresholds, respectively, applicable to the underlyings.
The actual call return rate, initial underlying levels and downside thresholds for the notes are listed on the cover page of this
pricing supplement.
Example 1 — The Closing Level of the Least Performing
Underlying is Greater Than its Initial Underlying Level on the First Valuation Date; the Notes are Called
Closing levels on first valuation date:
|
EURO STOXX 50
®
Index: 3,960.00 (greater than or equal to its initial underlying level)
|
NASDAQ-100 Index
®
: 6,615.000 (greater than or equal to its initial underlying level)
|
Call price (per $10.00 stated principal amount):
|
$11.02
|
In this example, on the first valuation date, the underlying
return of the EURO STOXX 50
®
Index is 10% and the underlying return of the NASDAQ-100 Index
®
is 5%.
Because the underlying return of the NASDAQ-100 Index
®
is less than the underlying return of the EURO STOXX 50
®
Index on the first valuation date, the NASDAQ-100 Index
®
is the least performing underlying on the first valuation
date. In this example, because the closing level of the least performing underlying is greater than its respective initial underlying
level on the first valuation date, the notes would be called on the first valuation date and we would pay you on the applicable
call settlement date a total call price of $11.02 per $10.00 stated principal amount (a 10.20% total return on the notes).
Example 2 — The Closing Level of The Least Performing
Underlying is Less Than its Initial Underlying Level on the First Four Valuation Dates but is Greater Than its Downside Threshold
on the Final Valuation Date; the Notes are Called
Closing levels on first valuation date:
|
EURO STOXX 50
®
Index: 3,260.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 5,860.000 (less than its initial underlying level)
|
Closing levels on second valuation date:
|
EURO STOXX 50
®
Index: 3,330.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 5,590.000 (less than its initial underlying level)
|
Closing levels on third valuation date:
|
EURO STOXX 50
®
Index: 4,470.00 (greater than its initial underlying level)
|
NASDAQ-100 Index
®
: 6,050.000 (less than its initial underlying level)
|
Closing levels on fourth valuation date:
|
EURO STOXX 50
®
Index: 3,050.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 6,940.000 (greater than its initial underlying level)
|
Closing levels on final valuation date:
|
EURO STOXX 50
®
Index: 2,700.00 (greater than its downside threshold)
|
NASDAQ-100 Index
®
: 7,560.000 (greater than its downside threshold)
|
Call price (per $10.00 stated principal amount):
|
$10.00 + call return
$10.00 + $5.10
$15.10
|
In this example, the closing level of the least performing underlying
on each of the first four valuation dates is less than its respective initial underlying level, and as a result the notes are not
automatically called following any of the first four valuation dates. On the final valuation date, the underlying return of the
EURO STOXX 50
®
Index is -25% and the underlying return of the NASDAQ-100 Index
®
is 20%. As a result,
the EURO STOXX 50
®
Index is the least performing underlying on the final valuation date. In this example, because
the final underlying level of the least performing underlying is greater than its downside threshold on the final valuation date,
the notes are called and we would pay you at maturity a total of $15.10 (the $10.00 stated principal amount
plus
the call
return of 51.00%).
Example 3 — Notes are NOT Called and the Final Underlying
Level of the Least Performing Underlying is Less Than Its Downside Threshold on the Final Valuation Date
Closing levels on first valuation date:
|
EURO STOXX 50
®
Index: 3,260.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 5,860.000 (less than its initial underlying level)
|
Closing levels on second valuation date:
|
EURO STOXX 50
®
Index: 3,330.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 4,590.000 (less than its initial underlying level)
|
Closing levels on third valuation date:
|
EURO STOXX 50
®
Index: 4,470.00 (greater than its initial underlying level)
|
NASDAQ-100 Index
®
: 5,050.000 (less than its initial underlying level)
|
Closing levels on fourth valuation date:
|
EURO STOXX 50
®
Index: 2,050.00 (less than its initial underlying level)
|
NASDAQ-100 Index
®
: 6,940.000 (greater than its initial underlying level)
|
Closing levels on final valuation date:
|
EURO STOXX 50
®
Index: 2,880.00 (less than its
initial underlying level)
NASDAQ-100 Index
®
: 1,890.000 (less than its initial
underlying level and downside threshold)
|
Payment at maturity (per $10.00 stated principal amount):
|
$10.00 + ($10.00 × underlying return of the least
performing underlying)
$10.00 + (–$7.00)
$3.00
|
In this example, the closing level of the least performing underlying
on each of the first four valuation dates is less than its respective initial underlying level, and as a result the notes are not
automatically called following any of the first four valuation dates. On the final valuation date, the underlying return of the
EURO STOXX 50
®
Index is -20% and the underlying return of the NASDAQ-100 Index
®
is -70%. As a result,
the NASDAQ-100 Index
®
is the least performing underlying on the final valuation date. In this example, because the
notes are not called and the final underlying level of the least performing underlying is less than its downside threshold on the
final valuation date, you would incur a loss at maturity equal to the full decline of the least performing underlying. In this
scenario, even though one of the underlyings closed above its downside threshold on the final valuation date, your payment at maturity
will be based solely on the least performing underlying and you would not benefit from the performance of the other underlying.
The
EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX
®
Supersector Indices, which represent the Eurozone
portion of the STOXX Europe 600
®
Supersector Indices. The STOXX Europe 600
®
Supersector Indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. It is calculated and maintained by STOXX Limited.
The EURO STOXX 50
®
Index is reported by Bloomberg L.P. under the ticker symbol “SX5E.”
The “EURO STOXX 50
®
Index” is a trademark
of STOXX Limited and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index
Descriptions—EURO STOXX 50
®
Index—License Agreement” in the accompanying underlying supplement.
Please refer to the sections “Risk Factors” and “Equity
Index Descriptions—EURO STOXX 50
®
Index” in the accompanying underlying supplement for important disclosures
regarding the EURO STOXX 50
®
Index, including information concerning its composition and calculation and certain
risks that are associated with an investment linked to the EURO STOXX 50
®
Index.
The graph below illustrates the performance of the EURO
STOXX 50
®
Index from January 2, 2008 to November 13, 2017. The closing level of the EURO STOXX 50
®
Index on November 13, 2017 was 3,574.52 We obtained the closing levels of the EURO STOXX 50
®
Index from Bloomberg,
and we have not participated in the preparation of or verified such information. The historical closing levels of the EURO STOXX
50
®
Index should not be taken as an indication of future performance and no assurance can be given as to the final
underlying level or any future closing level of the EURO STOXX 50
®
Index. We cannot give you assurance that the
performance of the EURO STOXX 50
®
Index will result in a positive return on your initial investment and you could
lose a significant portion or all of the stated principal amount at maturity.
The
NASDAQ-100 Index
®
The NASDAQ-100 Index
®
is a modified market capitalization-weighted
index of stocks of the 100 largest non-financial companies listed on The NASDAQ Stock Market. All stocks included in the NASDAQ-100
Index
®
are traded on a major U.S. exchange. The NASDAQ-100 Index
®
was developed by The Nasdaq Stock
Market, Inc. and is calculated, maintained and published by The NASDAQ OMX Group, Inc. The NASDAQ-100 Index
®
is
reported by Bloomberg L.P. under the ticker symbol “NDX.”
“NASDAQ-100 Index
®
” is a trademark
of The NASDAQ OMX Group, Inc. and has been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity
Index Descriptions—The NASDAQ-100 Index
®
—License Agreement” in the accompanying underlying supplement.
Please refer to the sections “Risk Factors” and “Equity
Index Descriptions—The NASDAQ-100 Index
®
” in the accompanying underlying supplement for important disclosures
regarding the NASDAQ-100 Index
®
, including information concerning its composition and calculation and certain risks
that are associated with an investment linked to the NASDAQ-100 Index
®
.
The graph below illustrates the performance of the NASDAQ-100
Index
®
from January 2, 2008 to November 8, 2017. The closing level of the NASDAQ-100 Index
®
on November
8, 2017 was 6,316.177. We obtained the closing levels of the NASDAQ-100 Index
®
from Bloomberg, and we have not participated
in the preparation of or verified such information. The historical closing levels of the NASDAQ-100 Index
®
should
not be taken as an indication of future performance and no assurance can be given as to the final underlying level or any future
closing level of the NASDAQ-100 Index
®
. We cannot give you assurance that the performance of the NASDAQ-100 Index
®
will result in a positive return on your initial investment and you could lose a significant portion or all of the stated principal
amount at maturity.
Correlation of the Underlyings
|
The following graph sets forth the historical performances of
the EURO STOXX 50
®
Index and the NASDAQ-100 Index
®
from January 2, 2008 through November 13, 2017,
based on the daily closing levels of the underlyings. For comparison purposes, each underlying has been normalized to have a closing
level of 100.00 on January 2, 2008 by dividing the closing level of that underlying on each day by the closing level of that underlying
on January 2, 2008 and multiplying by 100.00.
We obtained the closing levels used to determine the normalized
closing levels set forth below from Bloomberg, without independent verification. Historical performance of the underlyings should
not be taken as an indication of future performance. Future performance of the underlyings may differ significantly from historical
performance, and no assurance can be given as to the closing levels of the underlyings during the term of the notes, including
on any valuation date. Moreover, any historical correlation between the underlyings is not indicative of the degree of correlation
between the underlyings, if any, over the term of the notes.
PAST PERFORMANCE AND CORRELATION BETWEEN
THE UNDERLYINGS IS NOT INDICATIVE OF FUTURE PERFORMANCE OR CORRELATION
Correlation is a measure of the extent to which two underlyings
tend to increase or decrease at similar times and by similar magnitudes over a given time period. The closer the relationship of
the returns of a pair of underlyings over a given period, the more correlated those underlyings are. Conversely, the less closely
related the returns of a pair of underlyings, the less correlated those underlyings are. Two underlyings may also be inversely
correlated, which means that they tend to move in opposite directions from one another. The graph above illustrates the historical
performance of each underlying relative to the other over the time period shown and provides an indication of how close the performance
of each underlying has historically been to the other underlying. However, the graph does not provide a precise measure of correlation
and there may be relevant aspects of the historical correlation between the underlyings that cannot be discerned from the graph.
Furthermore, regardless of the degree of correlation between the underlyings in the past, past correlation is not indicative of
future correlation, and it is possible that the underlyings will exhibit significantly lower correlation in the future than they
did in the past. We cannot predict the relationship between the underlyings over the term of the notes. For additional information,
see “Summary Risk Factors—You will be subject to risks relating to the relationship between the underlyings.”
The lower (or more negative) the correlation between the underlyings,
the less likely it is that the underlyings will move in the same direction at the same time and, therefore, the greater the potential
for one of the underlyings to close below its initial underlying level or downside threshold on any valuation date or the final
valuation date, respectively. This is because the less correlated the underlyings are, the greater the likelihood that at least
one of the underlyings will decrease in value. However, even if the underlyings have a higher correlation, one or both of the underlyings
might close below its initial underlying level or downside threshold on any valuation date or the final valuation date, respectively,
as both of the underlyings may decrease in value together.
The terms of the notes are set, in part, based on expectations
about the correlation between the underlyings as of the trade date. If expectations about the correlation between the underlyings
change over the term of the notes, the value of the notes may be adversely affected, and if the actual correlation between the
underlyings proves to be lower than initially expected, the notes may prove to be riskier than expected on the trade date. The
correlation referenced in setting the terms of the notes is calculated using CGMI’s proprietary derivative-pricing model
and is not derived from the returns of the underlyings over the period set forth in the graph above. In addition, factors and inputs
other than correlation impact how the terms of the notes are set and the performance of the notes.
United States Federal Tax Considerations
|
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a note should be treated as a prepaid forward contract for U.S. federal income tax
purposes. By purchasing a note, you agree (in the absence of an administrative determination or judicial ruling to the contrary)
to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the notes is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
|
·
|
You should not recognize taxable income over the term of the notes prior to maturity, other than pursuant to a sale or exchange.
|
|
·
|
Upon a sale or exchange of a note (including retirement at maturity), you should recognize capital gain or loss equal to the
difference between the amount realized and your tax basis in the note. Such gain or loss should be long-term capital gain or loss
if you held the note for more than one year.
|
Subject to the discussions below under “Possible Withholding
Under Section 871(m) of the Code” and in “United States Federal Tax Considerations” in the accompanying product
supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, you generally should
not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the notes, provided
that (i) income in respect of the notes is not effectively connected with your conduct of a trade or business in the United States,
and (ii) you comply with the applicable certification requirements.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments
on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect.
Possible Withholding Under Section 871(m) of the Code.
As discussed under “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying
product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial
instruments linked to U.S. equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities.
Section 871(m) generally applies to instruments that substantially replicate the economic performance of one or more U.S. Underlying
Equities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
the regulations exempt financial instruments issued in 2017 that do not have a “delta” of one. Based on the terms of
the notes and representations provided by us, our counsel is of the opinion that the notes should not be treated as transactions
that have a “delta” of one within the meaning of the regulations with respect to any U.S. Underlying Equity and, therefore,
should not be Specified Securities subject to withholding tax under Section 871(m).
A determination that the notes are not subject to Section 871(m)
is not binding on the IRS, and the IRS may disagree with this treatment. Moreover, Section 871(m) is complex and its application
may depend on your particular circumstances. For example, if you enter into other transactions relating to a U.S. Underlying Equity,
you could be subject to withholding tax or income tax liability under Section 871(m) even if the notes are not Specified Securities
subject to Section 871(m) as a general matter. You should consult your tax adviser regarding the potential application of Section
871(m) to the notes.
If withholding tax applies to the notes, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the notes.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the notes and any tax consequences arising under the
laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental Plan of Distribution
|
CGMI, an affiliate of Citigroup Global Markets Holdings Inc.
and the lead agent for the sale of the notes, will not receive an underwriting discount for any note sold in this offering. UBS,
as agent for sales of the notes, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the notes sold in
this offering for $10.00 per note. UBS proposes to offer the notes to the public at a price of $10.00 per note. UBS will not receive
any underwriting discount for any note it sells in this offering. Investors that purchase and hold the notes in fee-based advisory
accounts will pay advisory fees to UBS based on the amount of assets held in those accounts. If all of the notes are not sold at
the initial offering price, CGMI may change the public offering price and other selling terms.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the notes of an affiliate set forth in Rule 5121
of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its
subsidiaries have investment discretion will not be permitted
to purchase the notes, either directly or indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the proceeds from the sale of the notes will be
used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI or other of our affiliates.
It is expected that CGMI or such other affiliates may profit from this hedging activity even if the value of the notes declines.
This hedging activity could affect the closing levels of the underlyings and, therefore, the value of and your return on the notes.
For additional information on the ways in which our counterparties may hedge our obligations under the notes, see “Use of
Proceeds and Hedging” in the accompanying prospectus.
Prohibition of Sales to EEA Retail Investors
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:
|
(a)
|
the expression “retail investor” means a person who is one (or more) of the following:
|
|
(i)
|
a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
|
|
(ii)
|
a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined
in point (10) of Article 4(1) of MiFID II; or
|
|
(iii)
|
not a qualified investor as defined in Directive 2003/71/EC; and
|
|
(b)
|
the expression “offer” includes the communication in any form and by any means of sufficient information on the
terms of the offer and the notes offered so as to enable an investor to decide to purchase or subscribe the notes.
|
Valuation
of the Notes
CGMI calculated the estimated value of the notes set forth on
the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “
bond component
”) and one or more derivative
instruments underlying the economic terms of the notes (the “
derivative component
”). CGMI calculated the estimated
value of the bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the
derivative component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that
constitute the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The
value of the notes prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but
not including our or Citigroup Inc.’s creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
During a temporary adjustment period immediately following issuance
of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes on any account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more
financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined.
This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over
the term of the notes.
The amount of this temporary upward
adjustment will decline to zero over the temporary adjustment period.
CGMI currently expects that the temporary adjustment period will be approximately four months, but the actual length of the temporary
adjustment period may be shortened due to various factors, such as the volume of secondary market purchases of the notes and other
factors that cannot be predicted. However, CGMI is not obligated to buy the notes from investors at any time. See “Summary
Risk Factors—The notes will not be listed on a securities exchange and you may not be able to sell them prior to maturity.”
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Global Markets Holdings Inc., when the notes offered by this pricing supplement have been executed and issued
by Citigroup Global Markets Holdings Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment
therefor, such notes and the related guarantee of Citigroup Inc. will be valid and binding obligations of Citigroup Global Markets
Holdings Inc. and Citigroup Inc., respectively, enforceable in accordance with their respective terms, subject to applicable bankruptcy,
insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of
general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws
of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws
to the notes.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinions set forth below of Scott L. Flood, General Counsel and Secretary of Citigroup Global
Markets Holdings Inc., and Barbara Politi, Assistant General Counsel—Capital Markets of Citigroup Inc. In addition, this
opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell LLP dated April 7, 2017, which has been
filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on April 7, 2017, that the indenture has been duly
authorized, executed and delivered by, and is a valid, binding and enforceable agreement of, the trustee and that none of the terms
of the notes nor the issuance and delivery of the notes and the related guarantee, nor the compliance by Citigroup Global Markets
Holdings Inc. and Citigroup Inc. with the terms of the notes and the related guarantee respectively, will result in a violation
of any provision of any
instrument or agreement then binding upon Citigroup Global Markets
Holdings Inc. or Citigroup Inc., as applicable, or any restriction imposed by any court or governmental body having jurisdiction
over Citigroup Global Markets Holdings Inc. or Citigroup Inc., as applicable.
In the opinion of Scott L. Flood, Secretary and General Counsel
of Citigroup Global Markets Holdings Inc., (i) the terms of the notes offered by this pricing supplement have been duly established
under the indenture and the Board of Directors (or a duly authorized committee thereof) of Citigroup Global Markets Holdings Inc.
has duly authorized the issuance and sale of such notes and such authorization has not been modified or rescinded; (ii) Citigroup
Global Markets Holdings Inc. is validly existing and in good standing under the laws of the State of New York; (iii) the indenture
has been duly authorized, executed and delivered by Citigroup Global Markets Holdings Inc.; and (iv) the execution and delivery
of such indenture and of the notes offered by this pricing supplement by Citigroup Global Markets Holdings Inc., and the performance
by Citigroup Global Markets Holdings Inc. of its obligations thereunder, are within its corporate powers and do not contravene
its certificate of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing
supplement and is limited to the laws of the State of New York.
Scott L. Flood, or other internal attorneys with whom he has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of such
corporate records of Citigroup Global Markets Holdings Inc., certificates or documents as he has deemed appropriate as a basis
for the opinions expressed above. In such examination, he or such persons has assumed the legal capacity of all natural persons,
the genuineness of all signatures (other than those of officers of Citigroup Global Markets Holdings Inc.), the authenticity of
all documents submitted to him or such persons as originals, the conformity to original documents of all documents submitted to
him or such persons as certified or photostatic copies and the authenticity of the originals of such copies.
In the opinion of Barbara Politi, Assistant General Counsel—Capital
Markets of Citigroup Inc., (i) the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized
the guarantee of such notes by Citigroup Inc. and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is
validly existing and in good standing under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed
and delivered by Citigroup Inc.; and (iv) the execution and delivery of such indenture, and the performance by Citigroup Inc. of
its obligations thereunder, are within its corporate powers and do not contravene its certificate of incorporation or bylaws or
other constitutive documents. This opinion is given as of the date of this pricing supplement and is limited to the General Corporation
Law of the State of Delaware.
Barbara Politi, or other internal attorneys with whom she has
consulted, has examined and is familiar with originals, or copies certified or otherwise identified to her satisfaction, of such
corporate records of Citigroup Inc., certificates or documents as she has deemed appropriate as a basis for the opinions expressed
above. In such examination, she or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to her or such persons as originals,
the conformity to original documents of all documents submitted to her or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
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2017 Citigroup Global Markets Inc. All rights
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throughout the world.
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