Obbligazione Citi Global Markets 16.496% ( US17324CGG50 ) in USD

Citi Global Markets

83.4 USD ⇌

Stati Uniti

US17324CGG50 ( in USD )

16.496% per anno ( pagato 2 volte l'anno)

31/03/2032

Prospetto opuscolo dell'obbligazione Citigroup Global Markets Holdings US17324CGG50 en USD 16.496%, scadenza 31/03/2032

1 000 USD

5 668 000 USD

17324CGG5

N/A

01/10/2025 ( In 114 giorni )

Citigroup Global Markets Holdings è una sussidiaria di Citigroup Inc. che opera nel settore dei mercati finanziari globali, offrendo servizi di trading, intermediazione e gestione degli investimenti a clienti istituzionali e investitori privati.

Citigroup Global Markets Holdings ha emesso un'obbligazione (ISIN: US17324CGG50, CUSIP: 17324CGG5) denominata in USD, con scadenza il 31/03/2032, rendimento a scadenza del 16.496%, prezzo di mercato attuale dell'83.4%, taglio minimo di 1000 unità, emissione totale di 5.668.000 unità, frequenza di pagamento semestrale e rating Moody's NR.

424B2 1 dp74549_424b2-465.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
M a rc h 2 8 , 2 0 1 7
M e dium -T e rm Se nior N ot e s, Se rie s N
Pric ing Supple m e nt N o. 2 0 1 7 --U SN CH 0 4 4 6
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 1 4 1 2 0 a nd 3 3 3 -2 1 4 1 2 0 -0 3
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
Ove rvie w
Variable coupon. The securities will pay interest at a fixed rate of 10.00% per annum for the first year following issuance.
After the first year, contingent interest will accrue on the securities during each monthly accrual period at a rate based on the 30-
year CMS rate minus the 2-year CMS rate (referred to as the "CMS spread"), but only for each elapsed day during that accrual
period on which the accrual condition is satisfied. The accrual condition will be satisfied on an elapsed day only if the closing
levels of bot h the S&P 500® Index and the Russell 2000® Index on that day are greater than or equal to their respective accrual
barrier levels specified below. Accordingly, the amount of interest payable for each monthly accrual period will be contingent on
three different variables: (i) the size of the CMS spread; (ii) the level of the S&P 500® Index; and (iii) the level of the Russell
2000® Index. The amount of interest payable on the securities may be adversely affected by adverse movements in any one of
these variables, regardless of the performance of the others. It is possible that the securities will pay low or no interest for
extended periods of time or even throughout the entire term after the first year.
Call right. We have the right to call the securities for mandatory redemption on any quarterly redemption date beginning one
year after the issue date.
Contingent repayment of principal at maturity. If we do not redeem the securities prior to maturity, your payment at
maturity (excluding the final interest payment, if any) will depend on the closing level of the w orst pe rform ing underlying
index on the final valuation date. If the closing level of the worst performing underlying index is greater than or equal to its final
barrier level specified below, you will be repaid the stated principal amount of your securities at maturity. However, if the closing
level of the worst performing underlying index on the final valuation date is less than its final barrier level, you will lose 1% of the
stated principal amount of your securities for every 1% by which the worst performing underlying index has depreciated from its
initial index level. There is no minimum payment at maturity.
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. Investors in the securities must be willing to accept (i) an investment that may
have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we and Citigroup Inc. default
on our obligations. All pa ym e nt s on t he se c urit ie s a re subje c t t o t he c re dit risk of Cit igroup Globa l M a rk e t s
H oldings I nc . a nd Cit igroup I nc .
K EY T ERM S

I ssue r:
Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Gua ra nt e e :
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
Aggre ga t e st a t e d
$5,668,000
princ ipa l a m ount :
St a t e d princ ipa l
$1,000 per security
a m ount :
U nde rlying indic e s:
S&P 500® Index and Russell 2000® Index
Pric ing da t e :
March 28, 2017
I ssue da t e :
March 31, 2017
Fina l va lua t ion da t e : March 25, 2032, subject to postponement if such date is not a scheduled trading day or if a market
disruption event occurs on that date with respect to either underlying index
M a t urit y da t e :
Unless earlier redeemed, March 31, 2032
Pa ym e nt a t m a t urit y: Unless earlier redeemed, at maturity you will receive, for each $1,000 stated principal amount of
securities you hold (in addition to the final coupon payment, if any):
· If the final index level of the worst performing underlying index is greater than or equal to its
final barrier level: $1,000
· If the final index level of the worst performing underlying index is less than its final barrier level:
$1,000 × the index performance factor of the worst performing underlying index
I f t he fina l inde x le ve l of t he w orst pe rform ing unde rlying inde x is le ss t ha n it s fina l
ba rrie r le ve l, your pa ym e nt a t m a t urit y w ill be le ss, a nd possibly signific a nt ly le ss,
t ha n $ 5 0 0 .0 0 pe r se c urit y. Y ou should not inve st in t he se c urit ie s unle ss you a re
w illing a nd a ble t o be a r t he risk of losing a signific a nt port ion, a nd up t o a ll, of your
inve st m e nt .
Coupon pa ym e nt s:
On each coupon payment date occurring during the first year following issuance of the securities, the
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securities will pay a fixed coupon of 10.00% per annum, regardless of the CMS spread or the levels of
the underlying indices.
On each coupon payment date after the first year (beginning in April 2018), you will receive a coupon
payment at an annual rate equal to the variable coupon rate for that coupon payment date. The variable
coupon rate for any coupon payment date after the first year will be determined as follows:
number of accrual days during the related
accrual period
relevant contingent rate per annum ×

number of elapsed days during the related
accrual period
Ea c h m ont hly c oupon pa ym e nt pe r se c urit y w ill be e qua l t o (i) $ 1 ,0 0 0 .0 0 multiplied by
t he a pplic a ble c oupon ra t e pe r a nnum divided by (ii) 1 2 . I f t he num be r of a c c rua l da ys
in a give n a c c rua l pe riod is le ss t ha n t he num be r of e la pse d da ys in t ha t a c c rua l
pe riod, t he va ria ble c oupon ra t e for t he re la t e d c oupon pa ym e nt da t e w ill be le ss
t ha n t he full re le va nt c ont inge nt ra t e , a nd if t he re a re no a c c rua l da ys in a give n
a c c rua l pe riod, t he va ria ble c oupon ra t e for t he re la t e d c oupon pa ym e nt da t e w ill be
0 .0 0 % .
Re le va nt c ont inge nt
The relevant contingent rate for any coupon payment date after the first year following issuance of the
ra t e :
securities means:
15.00 × the CMS spread (as of the CMS spread determination date for the related accrual period),
subject to a minimum relevant contingent rate of 0.00% per annum and a maximum relevant contingent
rate of 10.00% per annum.
I f t he CM S spre a d for a ny a c c rua l pe riod is le ss t ha n or e qua l t o 0 .0 0 % , t he re le va nt
c ont inge nt ra t e for t ha t a c c rua l pe riod w ill be 0 .0 0 % a nd you w ill not re c e ive a ny
c oupon pa ym e nt on t he re la t e d c oupon pa ym e nt da t e . T he re le va nt c ont inge nt ra t e
w ill in no e ve nt e x c e e d 1 0 .0 0 % pe r a nnum .
List ing:
The securities will not be listed on any securities exchange
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd
I ssue Pric e (1)
U nde rw rit ing Fe e (2)
Proc e e ds t o I ssue r (3)
issue pric e :
Pe r se c urit y:
$1,000.00
$47.70
$952.30
T ot a l:
$5,668,000.00
$270,363.60
$5,397,636.40

(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $862.70 per security, which is less than the
issue price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is
not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any
other person may be willing to buy the securities from you at any time after issuance. See "Valuation of the Securities" in this
pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as
principal and will receive a variable underwriting fee of up to $47.70 for each security sold in this offering. The actual underwriting
fee will be equal to the selling concession provided to selected dealers. Selected dealers not affiliated with CGMI will receive a
selling concession of up to $47.70 for each security they sell. In addition to the underwriting fee, CGMI and its affiliates may profit
from hedging activity related to this offering, even if the value of the securities declines. For more information on the distribution of
the securities, see "Supplemental Plan of Distribution" in this pricing supplement and "Use of Proceeds and Hedging" in the
accompanying prospectus.
(3) The per security proceeds to Citigroup Global Markets Holdings Inc. indicated above represent the minimum per security
proceeds to Citigroup Global Markets Holdings Inc. for any security, assuming the maximum per security underwriting fee of
$47.70. As noted in footnote (2), the underwriting fee is variable. The total underwriting fee and proceeds to issuer shown above
give effect to the actual amount of this variable underwriting fee. You should refer to "Supplemental Plan of Distribution" in this
pricing supplement and "Use of Proceeds and Hedging" in the accompanying prospectus.
I nve st ing in t he se c urit ie s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in c onve nt iona l
de bt se c urit ie s. Se e "Sum m a ry Risk Fa c t ors" be ginning on pa ge PS-6 .
N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s
a pprove d or disa pprove d of t he se c urit ie s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he
a c c om pa nying produc t supple m e nt , unde rlying supple m e nt , prospe c t us supple m e nt a nd prospe c t us is
t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse . You should read this pricing
supplement together with the accompanying product supplement, underlying supplement, prospectus supplement and
prospectus, each of which can be accessed via the following hyperlinks:
Produc t Supple m e nt N o. I E-0 5 -0 4 da t e d Oc t obe r 1 4 , 2 0 1 6 U nde rlying Supple m e nt N o. 5 da t e d Oc t obe r 1 4 ,
2 0 1 6
Prospe c t us Supple m e nt a nd Prospe c t us e a c h da t e d Oc t obe r 1 4 , 2 0 1 6
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T he se c urit ie s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e
Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
KEY TERMS (CONTINUED)
Coupon pa ym e nt da t e s:
Expected to be the last day of each month, beginning on April 30, 2017, except that the final
coupon payment date will be the maturity date (or the earlier date on which we redeem the
securities, if applicable)
Ac c rua l pe riod:
For each coupon payment date after the first year following issuance of the securities, the period
from and including the immediately preceding coupon payment date to but excluding such coupon
payment date
On any CMS spread determination date, CMS30 minus CMS2, each as determined on that CMS
CM S spre a d:
spread determination date
CM S 3 0 :
The 30-year constant maturity swap rate (see "Information About the CMS Spread" below)
CM S 2 :
The 2-year constant maturity swap rate (see "Information About the CMS Spread" below)
CM S spre a d
For any accrual period commencing on or after March 31, 2018, the second U.S. government
de t e rm ina t ion da t e :
securities business day prior to the first day of that accrual period
Ac c rua l da y:
An elapsed day on which the accrual condition is satisfied
Ela pse d da y:
Calendar day
Ac c rua l c ondit ion:
The accrual condition will be satisfied on an elapsed day if, and only if, the closing levels of bot h
underlying indices are greater than or equal to their respective accrual barrier levels on that
elapsed day. For purposes of determining whether the accrual condition is satisfied on any elapsed
day, if the closing level of either underlying index is not available for any reason on that day
(including weekends and holidays), the closing level of such underlying index will be assumed to
be the same as on the immediately preceding elapsed day (subject to the discussion in the section
"Description of the Securities--Terms Related to the Underlying Index--Discontinuance or Material
Modification of the Underlying Index" in the accompanying product supplement). In addition, for all
elapsed days from and including the fourth-to-last day that is a scheduled trading day for each
underlying index in an accrual period to and including the last elapsed day of that accrual period,
the closing levels of the underlying indices will not be observed and will be assumed to be the
same as on the elapsed day immediately preceding such unobserved days.
Worst pe rform ing
The underlying index with the lowest index performance factor on the final valuation date.
unde rlying inde x :
I nit ia l inde x le ve l:
For the S&P 500® Index: 2,358.57, the closing level of the S&P 500® Index on the pricing date
For the Russell 2000® Index: 1,367.261, the closing level of the Russell 2000® Index on the
pricing date
Fina l inde x le ve l:
For each underlying index, its closing level on the final valuation date
Fina l ba rrie r le ve l:
For the S&P 500® Index: 1,179.285, 50.00% of the initial index level of the S&P 500® Index
For the Russell 2000® Index: 683.631, 50.00% of the initial index level of the Russell 2000® Index
Ac c rua l ba rrie r le ve l:
For the S&P 500® Index: 1,533.071, 65.00% of the initial index level of the S&P 500® Index
For the Russell 2000® Index: 888.720, 65.00% of the initial index level of the Russell 2000® Index
I nde x pe rform a nc e
For each underlying index, its final index level divided by its initial index level.
fa c t or:
Ea rly re de m pt ion:
We have the right to redeem the securities, in whole and not in part, on any quarterly redemption
date upon not less than five business days' notice for an amount in cash equal to 100% of the
stated principal amount of your securities plus the coupon payment due on the date of redemption,
if any.
Re de m pt ion da t e s:
Each coupon payment date occurring in March, June, September and December of each year on
or after March 31, 2018.
CU SI P / I SI N :
17324CGG5 / US17324CGG50

Additional Information
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Ge ne ra l. The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and
prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur
that could affect the amount of any variable monthly coupon payment you receive and your payment at maturity. These events and
their consequences are described in the accompanying product supplement in the sections "Description of the Securities--Terms
Related to the Underlying Index--Discontinuance or Material Modification of the Underlying Index" and "Description of the
Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement of the Final
Valuation Date," and not in this pricing supplement. In addition, the accompanying underlying supplement contains important
disclosures regarding the underlying indices that are not repeated in this pricing supplement. It is important that you read the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing
supplement in connection with your investment in the securities. Certain terms used but not defined in this pricing supplement are
defined in the accompanying product supplement.

Although the accompanying product supplement contemplates only a single underlying index, the securities are linked to two
underlying indices. Each of the provisions in the accompanying product supplement referring to the underlying index shall apply
separately to each of the underlying indices to which the securities are linked.

Post pone m e nt of t he fina l va lua t ion da t e . If the scheduled final valuation date is not a scheduled trading day for either
underlying index or if a market disruption event occurs with respect to either underlying index on the scheduled final valuation date,
the final valuation date will be subject to postponement as described in the accompanying product supplement in the section
"Description of the Securities--Terms Related to the Underlying Index--Consequences of a Market Disruption Event; Postponement
of the Final Valuation Date." If the scheduled final valuation date is postponed, the closing level of each underlying index in respect
of the final valuation date will be determined based on (i) for any underlying index for which the originally scheduled final valuation
date is a scheduled trading day and as to which a market disruption event does not occur on the originally scheduled final
valuation date, the closing level of such underlying index on the originally scheduled final valuation date and (ii) for any other
underlying index, the closing level of such underlying index on the final valuation date as postponed (or, if earlier, the first
scheduled trading day for such underlying index following the originally scheduled final valuation date on which a market disruption
event did not occur with respect to such underlying index).

March 2017
PS-2
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
Hypothetical Examples

Variable Coupon Payments

The sections below provide examples of how the variable coupon payments on the securities will be determined. The first section,
"--Determining the Hypothetical Relevant Contingent Rate," provides a limited number of hypothetical examples of how the
relevant contingent rate for any accrual period will be determined based on hypothetical CMS spread values, as determined on the
second U.S. government securities business day prior to the beginning of the applicable accrual period. The second section, "--
Determining the Hypothetical Variable Coupon Rates and Coupon Payment Amounts," provides a limited number of hypothetical
examples of how the coupon payments on the securities will be determined based on a limited number of hypothetical relevant
contingent interest rates and a limited number of hypothetical accrual days during a hypothetical accrual period. The figures below
have been rounded for ease of analysis.

Determining the Hypothetical Relevant Contingent Rate

The table below presents examples of hypothetical relevant contingent rates based on various hypothetical CMS spread values.

H ypot he t ic a l Re le va nt Cont inge nt
Ex a m ple
H ypot he t ic a l CM S Spre a d*
Ra t e pe r Annum * *
1
-0.40%
0.00%
2
-0.20%
0.00%
3
0.00%
0.00%
4
0.20%
3.00%
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5
0.40%
6.00%
6
0.60%
9.00%
7
0.80%
10.00%
8
1.00%
10.00%
9
1.20%
10.00%
10
1.40%
10.00%
11
1.60%
10.00%
12
1.80%
10.00%
13
2.00%
10.00%
14
2.20%
10.00%
15
2.40%
10.00%
16
2.60%
10.00%
17
2.80%
10.00%
18
3.00%
10.00%
19
3.20%
10.00%
20
3.40%
10.00%
21
3.60%
10.00%
22
3.80%
10.00%
23
4.00%
10.00%
_______________________________

* Hypothetical CMS spread = (CMS30 CMS2), where CMS30 and CMS2 are determined on the second
U.S. government securities business day prior to the beginning of the applicable accrual period.

** Hypothetical relevant contingent rate per annum for the accrual period = 15.00 × hypothetical CMS
spread, subject to a minimum of 0.00% and a maximum of 10.00% per annum.

Determining the Hypothetical Variable Coupon Rates and Variable Coupon Payment Amounts

The tables below present examples of the hypothetical variable coupon rate and hypothetical variable monthly coupon payments
after the first year following issuance of the securities based on the number of accrual days in a particular accrual period and
different assumptions about the CMS spread. For illustrative purposes only, the tables assume an accrual period that contains 30
elapsed days and that the securities have not previously been redeemed. The actual coupon payment for any coupon payment
date after the first year will depend on the actual number of accrual days and elapsed days during the related accrual period and
the actual CMS spread on the CMS spread determination date for that accrual period. The variable coupon rate for each accrual
period will apply only to that accrual period.

March 2017
PS-3
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
Assum ing t he CM S spre a d is 0 .5 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l V a ria ble
H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble
M ont hly Coupon
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Coupon Ra t e pe r
Pa ym e nt pe r
Pe riod*
Annum * *
Annum * * *
Se c urit y* * * *
0
7.50%
0.000%
$0.00
5
7.50%
1.250%
$1.04
10
7.50%
2.500%
$2.08
15
7.50%
3.750%
$3.13
20
7.50%
5.000%
$4.17
25
7.50%
6.250%
$5.21
30
7.50%
7.500%
$6.25

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Assum ing t he CM S spre a d is 2 .0 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l V a ria ble
H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble
M ont hly Coupon
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Coupon Ra t e pe r Annum * * *
Pa ym e nt pe r
Pe riod*
Annum * *
Se c urit y* * * *
0
10.00%
0.000%
$0.00
5
10.00%
1.667%
$1.39
10
10.00%
3.333%
$2.78
15
10.00%
5.000%
$4.17
20
10.00%
6.667%
$5.56
25
10.00%
8.333%
$6.94
30
10.00%
10.000%
$8.33

Assum ing t he CM S spre a d is 0 .0 0 % on t he a pplic a ble CM S spre a d de t e rm ina t ion da t e :

H ypot he t ic a l V a ria ble
H ypot he t ic a l N um be r of
H ypot he t ic a l Re le va nt
H ypot he t ic a l V a ria ble
M ont hly Coupon
Ac c rua l Da ys in Ac c rua l
Cont inge nt Ra t e pe r
Coupon Ra t e pe r
Pa ym e nt pe r
Pe riod*
Annum * *
Annum * * *
Se c urit y* * * *
0
0.00%
0.000%
$0.00
5
0.00%
0.000%
$0.00
10
0.00%
0.000%
$0.00
15
0.00%
0.000%
$0.00
20
0.00%
0.000%
$0.00
25
0.00%
0.000%
$0.00
30
0.00%
0.000%
$0.00
_______________________________

* An accrual day is an elapsed day on which the accrual condition is satisfied (i.e., on which the closing levels of bot h underlying
indices are greater than or equal to their respective accrual barrier levels)

** The hypothetical relevant contingent rate is equal to 15.00 × CMS spread, subject to a minimum of 0.00% and a maximum of
10.00% per annum

*** The hypothetical variable coupon rate per annum is equal to (i) the hypothetical relevant contingent rate per annum multiplied
by (ii) (a) the hypothetical number of accrual days in the related accrual period divided by (b) 30

**** The hypothetical variable monthly coupon payment per security is equal to (i) $1,000 multiplied by the hypothetical variable
coupon rate per annum divided by (ii) 12

March 2017
PS-4
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
Payment at Maturity

The diagram below illustrates your payment at maturity for a range of hypothetical percentage changes from the initial index level to
the final index level of the worst performing underlying index (excluding the final coupon payment, if any, and assuming we do not
redeem the securities prior to maturity).

Ca lla ble Ba rrie r Le ve ra ge d CM S Spre a d Ra nge Ac c rua l Se c urit ie s
Pa ym e nt a t M a t urit y Dia gra m
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Your actual payment at maturity per security, excluding the final coupon payment, if any, will depend on the actual final index level
of the worst performing underlying index. The examples below are intended to illustrate how your payment at maturity will depend
on whether the final index level of the worst performing underlying index is greater than or less than its final barrier level and, if
less, how much less. The figures below have been rounded for ease of analysis.

Ex a m ple 1 --Pa r Sc e na rio A.

U nde rlying I nde x
I nit ia l I nde x Le ve l
Fina l Ba rrie r Le ve l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Pe rform a nc e Fa c t or
S&P 500® Index
2,358.57
1,179.285
3,537.86
1.50
Russell 2000® Index
1,367.261
683.631
1,503.987
1.10

In this example, the Russell 2000® Index is the worst performing underlying index. Its hypothetical final index level is 1,503.987 (a
10% increase from its initial index level), which is greater than its final barrier level.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)

Because the final index level of the worst performing underlying index is greater than its final barrier level, you would be repaid the
stated principal amount of your securities in this example. Even though both underlying indices have appreciated from their
respective initial index levels in this example, you would not participate in the appreciation of either underlying index.

Ex a m ple 2 --Pa r Sc e na rio B.

March 2017
PS-5
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
U nde rlying I nde x
I nit ia l I nde x Le ve l
Fina l Ba rrie r Le ve l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
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I nde x Le ve l
Pe rform a nc e Fa c t or
S&P 500® Index
2,358.57
1,179.285
2,122.71
0.90
Russell 2000® Index
1,367.261
683.631
1,640.713
1.20

In this example, the S&P 500® Index is the worst performing underlying index. Its hypothetical final index level is 2,122.71 (a 10%
decrease from its initial index level), which is greater than its final barrier level.

Payment at maturity per security = $1,000 (excluding the final coupon payment, if any)

Because the worst performing underlying index did not depreciate from its initial index level to its hypothetical final index level by
more than 50.00% (that is, it did not depreciate below its final barrier level), your payment at maturity in this scenario would be
equal to the $1,000 stated principal amount per security (excluding the final coupon payment, if any).

Ex a m ple 3 --Dow nside Sc e na rio.

U nde rlying I nde x
I nit ia l I nde x Le ve l
Fina l Ba rrie r Le ve l
H ypot he t ic a l Fina l
H ypot he t ic a l I nde x
I nde x Le ve l
Pe rform a nc e Fa c t or
S&P 500® Index
2,358.57
1,179.285
1,651.00
0.70
Russell 2000® Index
1,367.261
683.631
410.178
0.30

In this example, the Russell 2000® Index is the worst performing underlying index. Its hypothetical final index level is 410.178 (an
approximately 70.00% decrease from its initial index level), which is less than its final barrier level. As a result, your payment at
maturity would be calculated as follows:

Payment at maturity per security = $1,000 × the index performance factor of the worst performing underlying index

= $1,000 × 0.30

= $300.00

Because the worst performing underlying index depreciated from its initial index level to its hypothetical final index level by more
than 50.00% (that is, it depreciated below its final barrier level), your payment at maturity in this scenario would reflect 1-to-1
exposure to the negative performance of the worst performing underlying index from its initial index level to its final index level.

Summary Risk Factors

An investment in the securities is significantly riskier than an investment in conventional debt securities. The securities are subject
to all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk
that we and Citigroup Inc. may default on our obligations under the securities, and are also subject to risks associated with the
CMS spread and each of the underlying indices. Accordingly, the securities are suitable only for investors who are capable of
understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisers as to the
risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.

The following is a summary of certain key risk factors for investors in the securities. You should read this summary together with
the more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating to
the Securities" beginning on page IE-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.

Y ou m a y lose som e or a ll of your inve st m e nt . Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the worst performing
underlying index. If we do not redeem the securities, you may receive significantly less than the stated principal amount of the
securities at maturity, but in no circumstance will you receive more than the stated principal amount of the securities (excluding
the final coupon payment, if any). If the final index level of the worst performing underlying index is less than its final barrier
level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final index level of the worst
performing underlying index is less than its initial index level. There is no minimum payment at maturity on the securities, and
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you may lose up to all of your investment.

March 2017
PS-6
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032

T he ba rrie r fe a t ure of t he se c urit ie s e x pose s you t o pa rt ic ula r risk s. If the final index level of the worst
performing underlying index is less than its final barrier level, you will not be repaid the stated principal amount of your
securities at maturity and instead will lose 1% of the stated principal amount of the securities for every 1% by which the final
index level of the worst performing underlying index is less than its initial index level. Therefore, the securities offer no
protection at all if the worst performing underlying index depreciates by 50.00% or more from its initial index level to its final
index level. As a result, you may lose your entire investment in the securities.

T he se c urit ie s offe r a va ria ble c oupon ra t e a ft e r t he first ye a r follow ing issua nc e , a nd you m a y not
re c e ive a ny c oupon pa ym e nt on one or m ore c oupon pa ym e nt da t e s. Any variable coupon payment you receive
will be paid at a per annum rate equal to the relevant contingent rate for the applicable coupon payment date only if the accrual
condition is satisfied on each elapsed day during the related accrual period. The accrual condition will be satisfied on any
elapsed day only if the closing level of each underlying index on that elapsed day is greater than or equal to its respective
accrual barrier level. If, on any elapsed day during an accrual period, the accrual condition is not satisfied, the applicable
variable coupon payment will be paid at a rate that is less, and possibly significantly less, than the relevant contingent rate. If,
on each elapsed day during an accrual period, the accrual condition is not satisfied, no variable coupon payment will be made
on the related coupon payment date. Accordingly, there can be no assurance that you will receive a variable coupon payment
on any coupon payment date or that any variable coupon payment you do receive will be calculated at the full relevant
contingent rate. Furthermore, because the relevant contingent rate is itself a floating rate determined by reference to the CMS
spread, the securities are subject to an additional contingency associated with the CMS spread. The relevant contingent rate
will vary based on fluctuations in the CMS spread. If the CMS spread narrows, the relevant contingent rate will be reduced.
The relevant contingent rate may be as low as zero for any coupon payment date. If the relevant contingent rate is zero for any
coupon payment date, you will not receive any variable coupon payment on that coupon payment date even if the accrual
condition is satisfied on each elapsed day in the related accrual period. Thus, the securities are not a suitable investment for
investors who require regular fixed income payments.

T he re le va nt c ont inge nt ra t e m a y de c line , possibly t o 0 .0 0 % , if short -t e rm int e re st ra t e s rise . Although
there is no single factor that determines CMS spreads, CMS spreads have historically tended to fall when short-term interest
rates rise. Short-term interest rates have historically been highly sensitive to the monetary policy of the Federal Reserve Board.
Accordingly, one significant risk assumed by investors in the securities is that the Federal Reserve Board may pursue a policy
of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the CMS spread. In that event,
the relevant contingent rate would be reduced, and may be 0.00%, and the floating rate payable on the securities would also
decline significantly, possibly to 0.00%. It is important to understand, however, that short-term interest rates are affected by
many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates.
Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-
term interest rates because it, too, is influenced by many complex factors.

T he re le va nt c ont inge nt ra t e on t he se c urit ie s m a y be low e r t ha n ot he r m a rk e t int e re st ra t e s. The relevant
contingent rate on the securities will not necessarily move in line with general U.S. market interest rates or even CMS rates
and, in fact, may move inversely with general U.S. market interest rates. For example, if there is a general increase in CMS
rates but shorter-term rates rise more than longer-term rates, the CMS spread will decrease, as will the relevant contingent
rate. Accordingly, the securities are not appropriate for investors who seek floating interest payments based on general market
interest rates.

T he re le va nt c ont inge nt ra t e on t he se c urit ie s is subje c t t o a c a p. As a result, the securities may pay interest at
a lower rate than an alternative instrument that is not so capped.

T he highe r pot e nt ia l yie ld offe re d by t he se c urit ie s is a ssoc ia t e d w it h gre a t e r risk t ha n c onve nt iona l
de bt se c urit ie s. The securities offer coupon payments with the potential to result in a higher yield than the yield on our
conventional debt securities of the same maturity. You should understand that, in exchange for this potentially higher yield, you
will be exposed to significantly greater risks than investors in our conventional debt securities (guaranteed by Citigroup Inc.).
These risks include the risk that the variable coupon payments you receive, if any, will result in a yield on the securities that is
lower, and perhaps significantly lower, than the yield on our conventional debt securities of the same maturity that are
https://www.sec.gov/Archives/edgar/data/200245/000095010317002940/dp74549_424b2-465.htm[3/31/2017 3:38:46 PM]

guaranteed by Citigroup Inc., and the risk that you will incur a significant loss on the securities at maturity. T he vola t ilit y of
t he CM S spre a d a nd e a c h of t he unde rlying indic e s, a nd t he c orre la t ion be t w e e n t he unde rlying indic e s
a nd be t w e e n t he CM S spre a d a nd e a c h unde rlying inde x , a re im port a nt fa c t ors a ffe c t ing t his risk .
Gre a t e r e x pe c t e d vola t ilit y a nd/or low e r e x pe c t e d c orre la t ion a s of t he pric ing da t e m a y c ont ribut e t o
t he highe r yie ld pot e nt ia l, but w ould a lso re pre se nt a gre a t e r e x pe c t e d lik e lihood a s of t he pric ing da t e
t ha t , a ft e r t he first ye a r, you w ill re c e ive low or no c oupon pa ym e nt s on t he se c urit ie s a nd t ha t you
w ould inc ur a signific a nt loss on t he se c urit ie s a t m a t urit y.

T he se c urit ie s a re subje c t t o risk s a ssoc ia t e d w it h t he CM S spre a d a nd e a c h of t he unde rlying indic e s
a nd m a y be ne ga t ive ly a ffe c t e d by a dve rse m ove m e nt s in any one of t he CM S spre a d or e it he r unde rlying
inde x , re ga rdle ss of t he pe rform a nc e of t he ot he rs. The amount of any variable coupon payments you receive will
depend on the performance of the CMS spread and each of the underlying indices. If the CMS spread is low, causing the
relevant contingent rate to be low or zero, the securities will pay a low or no coupon even if the closing levels of the underlying
indices are consistently greater than their respective accrual barrier levels. Conversely, even if the CMS spread is high, causing
the relevant contingent rate to be high, the securities will pay no coupon if the closing level of either of the underlying indices is
consistently less than its respective accrual barrier level. Moreover, if the closing level of either one of the underlying indices is
less than its respective accrual barrier level, the

March 2017
PS-7
Citigroup Global Markets Holdings Inc.
Callable Barrier Leveraged CMS Spread Range Accrual Securities Contingent on the Worst Performing of
the S&P 500® Index and the Russell 2000® Index Due March 31, 2032
accrual condition will not be satisfied, and no interest will accrue on the securities, even if the closing level of the other
underlying index is significantly greater than its accrual barrier level. Accordingly, you will be subject to risks associated with
the CMS spread and each of the underlying indices, and your return on the securities will depend significantly on the
relationship between such risks over the term of the securities. If any one performs sufficiently poorly, you may receive low or
no variable coupon payments for an extended period of time, or even throughout the entire period following the first year of the
term of the securities, even if the others perform favorably. Furthermore, if the final index level of one underlying index is less
than its final barrier level, you will incur a significant loss at maturity, even if the final index level of the other underlying index is
greater than its final barrier level.

T he a c c rua l c ondit ion a nd t he pa ym e nt a t m a t urit y de pe nd on t he pe rform a nc e of t he w orst pe rform ing
unde rlying inde x , a nd you a re t he re fore e x pose d t o gre a t e r risk s of re c e iving no va ria ble c oupon
pa ym e nt s a ft e r t he first ye a r, a nd t o a gre a t e r risk of loss a t m a t urit y, t ha n if t he se c urit ie s w e re link e d
t o just one unde rlying inde x . The risk that you will receive no variable coupon payment on one or more coupon payment
dates after the first year, and the risk that you will incur a significant loss at maturity, is greater if you invest in the securities as
opposed to substantially similar securities that are linked to the performance of just one underlying index. With two underlying
indices, it is more likely that either underlying index will close below its respective accrual barrier level on any day during an
accrual period, or less than its final barrier level on the final valuation date, than if the securities were linked to only one
underlying index.

T he se c urit ie s m a y be c a lle d for m a nda t ory re de m pt ion a t our opt ion a ft e r t he first ye a r of t he ir t e rm ,
w hic h lim it s your a bilit y t o re c e ive va ria ble c oupon pa ym e nt s if t he CM S spre a d a nd t he unde rlying
indic e s pe rform fa vora bly. In determining whether to redeem the securities, we will consider various factors, including
then current market interest rates and our expectations about payments we will be required to make on the securities in the
future. If we call the securities for mandatory redemption, we will do so at a time that is advantageous to us and without regard
to your interests. We are more likely to redeem the securities at a time when the CMS spread and underlying indices are
performing favorably from your perspective and when we expect them to continue to do so. Therefore, although the securities
offer variable coupon payments after the first year following issuance of the securities with the potential to result in a higher
yield than the yield on our conventional debt securities of the same maturity, if the securities are paying that higher yield and
we expect them to continue to do so, it is more likely that we would redeem the securities. Accordingly, the redemption feature
of the securities is likely to limit the benefits you receive from the variable coupon payments. If we exercise our redemption
right 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. Alternatively, if the CMS spread and/or either underlying index is performing unfavorably from your
perspective or when we expect it to do so in the future, we are less likely to call the securities, so that you may continue to
hold securities paying below-market or no interest for an extended period of time.

T he c losing le ve ls of t he unde rlying indic e s w ill not be obse rve d on c e rt a in da ys a nd w ill be a ssum e d t o
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