Bond Citi Global Markets 0% ( US17325E7058 ) in USD

Citi Global Markets

100 % ▲

United States

US17325E7058 ( in USD )

30/04/2027

Prospectus brochure of the bond Citigroup Global Markets Holdings US17325E7058 en USD 0%, maturity 30/04/2027

1 000 USD

6 045 000 USD

17325E705

N/A

Citigroup Global Markets Holdings Inc. is a subsidiary of Citigroup Inc. providing a wide range of financial services, including securities brokerage, investment banking, and trading across various asset classes globally.

Citigroup Global Markets Holdings issued a USD 6,045,000 zero-coupon bond (ISIN: US17325E7058, CUSIP: 17325E705) maturing April 30, 2027, trading at 100% with a minimum purchase size of 1,000 and semi-annual interest payments, currently unrated by Moody's.

424B2 1 dp75477_424b2-566.htm PRICING SUPPLEMENT
Pricing Supplement No. 2017-USNCH0477 to Product Supplement No. EA-02-06 dated April 7, 2017,
Underlying Supplement
No. 6 dated April 7, 2017, Prospectus Supplement and Prospectus each dated April 7, 2017
Filed Pursuant to Rule 424(b)(2)

Registration Statement Nos. 333-216372 and 333-216372-01
Dated April 25, 2017
Citigroup Global Markets Holdings Inc. $6,045,190 Trigger GEARS
Link e d t o t he S& P 5 0 0 ® I nde x Due April 3 0 , 2 0 2 7
All pa ym e nt s due on t he se c urit ie s a re fully a nd unc ondit iona lly gua ra nt e e d by Cit igroup I nc .
I nve st m e nt De sc ript ion
The Trigger GEARS offered by this pricing supplement (the "se c urit ie s") are unsecured, unsubordinated debt obligations of
Citigroup Global Markets Holdings Inc. (the "issue r "), guaranteed by Citigroup Inc. (the "gua ra nt or "), with a return at maturity
linked to the performance of the S&P 500® Index (the "unde rlying ") from the initial underlying level to the final underlying level. If
the underlying return is positive, the issuer will repay the stated principal amount of the securities at maturity and pay a return equal
to the underlying return multiplied by the upside gearing of 1.56. If the underlying return is zero or negative and the final underlying
level is greater than or equal to the downside threshold, the issuer will repay the stated principal amount of the securities at
maturity. However, if the underlying return is negative and the final underlying level is less than the downside threshold, you will be
fully exposed to the negative underlying return and the issuer will pay you less than the stated principal amount at maturity,
resulting in a loss on the stated principal amount to investors that is proportionate to the percentage decline in the level of the
underlying. In this case, you will have full downside exposure to the underlying from the initial underlying level to the final underlying
level, and could lose all of your initial investment. I nve st ing in t he se c urit ie s involve s signific a nt risk s. Y ou w ill not
re c e ive c oupon pa ym e nt s during t he 1 0 -ye a r t e rm of t he se c urit ie s. Y ou m a y lose a subst a nt ia l port ion or
a ll of your init ia l inve st m e nt . Y ou w ill not re c e ive divide nds or ot he r dist ribut ions pa id on a ny st oc k s
inc lude d in t he unde rlying. T he c ont inge nt re pa ym e nt of t he st a t e d princ ipa l a m ount a pplie s only if you hold
t he se c urit ie s t o m a t urit y. Any pa ym e nt on t he se c urit ie s, inc luding a ny re pa ym e nt of t he st a t e d princ ipa l
a m ount provide d a t m a t urit y, is subje c t t o t he c re dit w ort hine ss of t he issue r a nd t he gua ra nt or. I f t he
issue r a nd t he gua ra nt or w e re t o de fa ult on t he ir obliga t ions, you m ight not re c e ive a ny a m ount s ow e d t o
you unde r t he se c urit ie s a nd you c ould lose your e nt ire inve st m e nt .
Fe a t ure s

K e y Da t e s
Enhanced Grow th Potential -- If the underlying return is positive, the issuer Trade date
April 25, 2017
will repay the stated principal amount of the securities at maturity and pay a return
Settlement date
April 28, 2017
equal to the underlying return multiplied by the upside gearing. The upside gearing
feature will provide leveraged exposure to any positive performance of the
Final valuation date1 April 27, 2027
underlying.
Maturity date
April 30, 2027
Dow nside Exposure w ith Contingent Repayment of Principal at
1 See page PS-3 for additional details.
M a t urit y -- If the underlying return is zero or negative and the final underlying
level is greater than or equal to the downside threshold, the issuer will repay the
stated principal amount of the securities at maturity. However, if the underlying
return is negative and the final underlying level is less than the downside
threshold, the issuer will pay less than the stated principal amount of the
securities at maturity, resulting in a loss on the stated principal amount to
investors that is proportionate to the percentage decline in the level of the
underlying. T he c ont inge nt re pa ym e nt of t he st a t e d princ ipa l a m ount
a pplie s only if you hold t he se c urit ie s t o m a t urit y. Y ou m ight lose
som e or a ll of your init ia l inve st m e nt . Any pa ym e nt on t he
se c urit ie s is subje c t t o t he c re dit w ort hine ss of t he issue r a nd t he
gua ra nt or. I f t he issue r a nd t he gua ra nt or w e re t o de fa ult on t he ir
obliga t ions, you m ight not re c e ive a ny a m ount s ow e d t o you unde r
t he se c urit ie s a nd you c ould lose your e nt ire inve st m e nt .
N OT I CE T O I N V EST ORS: T H E SECU RI T I ES ARE SI GN I FI CAN T LY RI SK I ER T H AN CON V EN T I ON AL DEBT
SECU RI T I ES. T H E I SSU ER I S N OT N ECESSARI LY OBLI GAT ED T O REPAY Y OU R I N I T I AL I N V EST M EN T I N
T H E SECU RI T I ES AT M AT U RI T Y , AN D T H E SECU RI T I ES CAN H AV E T H E FU LL DOWN SI DE M ARK ET RI SK OF
T H E U N DERLY I N G. T H I S M ARK ET RI SK I S I N ADDI T I ON T O T H E CREDI T RI SK I N H EREN T I N PU RCH ASI N G
AN OBLI GAT I ON OF CI T I GROU P GLOBAL M ARK ET S H OLDI N GS I N C. T H AT I S GU ARAN T EED BY CI T I GROU P
I N C. Y OU SH OU LD N OT PU RCH ASE T H E SECU RI T I ES I F Y OU DO N OT U N DERST AN D OR ARE N OT
COM FORT ABLE WI T H T H E SI GN I FI CAN T RI SK S I N V OLV ED I N I N V EST I N G I N T H E SECU RI T I ES. T H E
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

SECU RI T I ES WI LL N OT BE LI ST ED ON AN Y SECU RI T I ES EX CH AN GE AN D, ACCORDI N GLY , M AY H AV E
LI M I T ED OR N O LI QU I DI T Y .
Y OU SH OU LD CAREFU LLY CON SI DER T H E RI SK S DESCRI BED U N DER "SU M M ARY RI SK FACT ORS"
BEGI N N I N G ON PAGE PS-4 OF T H I S PRI CI N G SU PPLEM EN T AN D U N DER "RI SK FACT ORS RELAT I N G T O T H E
SECU RI T I ES" BEGI N N I N G ON PAGE EA-6 OF T H E ACCOM PAN Y I N G PRODU CT SU PPLEM EN T I N
CON N ECT I ON WI T H Y OU R PU RCH ASE OF T H E SECU RI T I ES. EV EN T S RELAT I N G T O AN Y OF T H OSE RI SK S,
OR OT H ER RI SK S AN D U N CERT AI N T I ES, COU LD ADV ERSELY AFFECT T H E V ALU E OF, AN D T H E RET U RN
ON , Y OU R SECU RI T I ES. Y OU M AY LOSE SOM E OR ALL OF Y OU R I N I T I AL I N V EST M EN T I N T H E SECU RI T I ES.
Se c urit y Offe ring
We are offering Trigger GEARS Linked to the S&P 500® Index. Any return at maturity will be determined by the performance of the
underlying. The securities are our unsecured, unsubordinated debt obligations, guaranteed by Citigroup Inc., and are offered for a
minimum investment of 100 securities at the issue price described below.
I nit ia l U nde rlying
U nde rlying
U pside Ge a ring
Dow nside T hre shold
CU SI P/ I SI N
Le ve l
S&P 500® Index
1,194.305, 50.00% of the initial
17325E705 /
2,388.61
1.56
(Ticker: SPX)
underlying level
US17325E7058
Se e "Addit iona l T e rm s Spe c ific t o t he Se c urit ie s" in t his pric ing supple m e nt . T he se c urit ie s w ill ha ve t he
t e rm s spe c ifie d in t he a c c om pa nying produc t supple m e nt , prospe c t us supple m e nt a nd prospe c t us, a s
supple m e nt e d by t his pric ing supple m e nt .
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of
the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense. The
securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other
governmental agency.
U nde rw rit ing

I ssue Pric e (1)
Disc ount (2)
Proc e e ds t o I ssue r
Per security
$10.00
$0.50
$9.50
Total
$6,045,190.00
$302,259.50
$5,742,930.50
(1) On the date of this pricing supplement, the estimated value of the securities is $9.102 per security, which is less than the issue
price. The estimated value of the securities is based on proprietary pricing models of Citigroup Global Markets Inc. ("CGM I ") and
our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if
any, at which CGMI or any other person may be willing to buy the securities from you at any time after issuance. See "Valuation of
the Securities" in this pricing supplement.
(2) The underwriting discount is $0.50 per security. CGMI, acting as principal, has agreed to purchase from Citigroup Global
Markets Holdings Inc., and Citigroup Global Markets Holdings Inc. has agreed to sell to CGMI, the aggregate stated principal
amount of the securities set forth above for $9.50 per security. UBS Financial Services Inc. ("UBS"), acting as principal, has agreed
to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the securities for $9.50 per security. UBS will receive an
underwriting discount of $0.50 per security for each security it sells. UBS proposes to offer the securities to the public at a price of
$10.00 per security. For additional information on the distribution of the securities, see "Supplemental Plan of Distribution" in this
pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from hedging activity related to this
offering, even if the value of the securities declines. See "Use of Proceeds and Hedging" in the accompanying prospectus.
Cit igroup Globa l M a rk e t s I nc .
U BS Fina nc ia l Se rvic e s I nc .

Addit iona l T e rm s Spe c ific t o t he Se c urit ie s
The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and prospectus, as
supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain
important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that could affect your
payment at maturity. These events and their consequences are described in the accompanying product supplement in the sections
"Description of the Securities--Certain Additional Terms for Securities Linked to an Underlying Index--Consequences of a Market
Disruption Event; Postponement of a Valuation Date" and "--Discontinuance or Material Modification of an Underlying Index," and
not in this pricing supplement. The accompanying underlying supplement contains important disclosures regarding the underlying
that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the
securities. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement. You
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

may access the accompanying product supplement, underlying supplement, prospectus supplement and prospectus on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for April 7, 2017 on the SEC website):

¨
Product Supplement No. EA-02-06 dated April 7, 2017:
https://www.sec.gov/Archives/edgar/data/200245/000095010317003407/dp74979_424b2-par.htm

¨
Underlying Supplement No. 6 dated April 7, 2017:
https://www.sec.gov/Archives/edgar/data/200245/000095010317003405/dp74985_424b2-us6.htm

¨
Prospectus Supplement and Prospectus each dated April 7, 2017:
https://www.sec.gov/Archives/edgar/data/831001/000119312517116348/d370918d424b2.htm

References to "Citigroup Global Markets Holdings Inc.," "we," "our" and "us" refer to Citigroup Global Markets Holdings Inc. and not
to any of its subsidiaries. References to "Citigroup Inc." refer to Citigroup Inc. and not to any of its subsidiaries. In this pricing
supplement, "securities" refers to the Trigger GEARS Linked to the S&P 500® Index that are offered hereby, unless the context
otherwise requires.

This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours.
The description in this pricing supplement of the particular terms of the securities supplements, and, to the extent inconsistent with,
replaces, the descriptions of the general terms and provisions of the debt securities set forth in the accompanying product
supplement, prospectus supplement and prospectus. You should carefully consider, among other things, the matters set forth in
"Summary Risk Factors" in this pricing supplement and "Risk Factors Relating to the Securities" in the accompanying product
supplement, as the securities involve risks not associated with conventional debt securities. We urge you to consult your
investment, legal, tax, accounting and other advisers in connection with your decision to invest in the securities.

I nve st or Suit a bilit y
The suitability considerations identified below are not exhaustive. Whether or not the securities are a suitable investment for you
will depend on your individual circumstances, and you should reach an investment decision only after you and your investment,
legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the securities in light of your
particular circumstances. You should also review "Summary Risk Factors" beginning on page PS-4 of this pricing supplement, "The
S&P 500® Index" beginning on page PS-9 of this pricing supplement, "Risk Factors Relating to the Securities" beginning on page
EA-6 of the accompanying product supplement and "Equity Index Descriptions--The S&P U.S. Indices" beginning on page 102 of
the accompanying underlying supplement.

T he se c urit ie s m a y be suit a ble for you if, a m ong
T he se c urit ie s m a y not be suit a ble for you if, a m ong
ot he r c onside ra t ions:
ot he r c onside ra t ions:

¨ You fully understand the risks inherent in an investment in the ¨ You do not fully understand the risks inherent in an investment
securities, including the risk of loss of your entire initial
in the securities, including the risk of loss of your entire initial
investment.
investment.

¨ You can tolerate a loss of all or a substantial portion of your
¨ You require an investment designed to guarantee a full return
initial investment and are willing to make an investment that
of the stated principal amount at maturity.
may have the full downside market risk of an investment in

the underlying or in the stocks included in the underlying.
¨ You cannot tolerate the loss of all or a substantial portion of

your initial investment, and you are not willing to make an
¨ You believe that the level of the underlying will increase over
investment that may have the full downside market risk of an
the term of the securities.
investment in the underlying or in the stocks included in the

underlying.
¨ You are willing to invest in the securities based on the upside

gearing indicated on the cover page hereof.
¨ You believe that the level of the underlying will decline during

the term of the securities and the final underlying level is likely
¨ You can tolerate fluctuations in the value of the securities
to close below the downside threshold on the final valuation
prior to maturity that may be similar to or exceed the
date.
downside fluctuations in the level of the underlying.

¨ You are not willing to invest in the securities based on the
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

¨ You do not seek current income from your investment and are
upside gearing indicated on the cover page hereof.
willing to forgo dividends or any other distributions paid on

the stocks included in the underlying for the term of the
¨ You cannot tolerate fluctuations in the value of the securities
securities.
prior to maturity that may be similar to or exceed the

downside fluctuations in the level of the underlying.
¨ You understand and accept the risks associated with the

underlying.
¨ You seek current income from this investment or prefer to

receive the dividends and any other distributions paid on the
¨ You are willing and able to hold the securities to maturity, and
stocks included in the underlying for the term of the securities.
accept that there may be little or no secondary market for

the securities and that any secondary market will depend in
¨ You do not understand or accept the risks associated with the
large part on the price, if any, at which CGMI is willing to
underlying.
purchase the securities.

¨ You are unwilling or unable to hold the securities to maturity, or
¨ You are willing to assume the credit risk of Citigroup Global
you seek an investment for which there will be an active
Markets Holdings Inc. and Citigroup Inc. for all payments
secondary market.
under the securities, and understand that if Citigroup Global

Markets Holdings Inc. and Citigroup Inc. default on their
¨ You are not willing to assume the credit risk of Citigroup Global
obligations you might not receive any amounts due to you,
Markets Holdings Inc. and Citigroup Inc. for all payments
including any repayment of the stated principal amount.
under the securities, including any repayment of the stated

principal amount.

PS-2

Fina l T e rm s
I N V EST I N G I N T H E SECU RI T I ES I N V OLV ES
Issuer
Citigroup Global Markets Holdings Inc.
SI GN I FI CAN T RI SK S. Y OU M AY LOSE A
Guarantee
All payments due on the securities are fully and
SU BST AN T I AL PORT I ON OR ALL OF Y OU R I N I T I AL
unconditionally guaranteed by Citigroup Inc.
I N V EST M EN T . AN Y PAY M EN T ON T H E SECU RI T I ES,
Issue price
100% of the stated principal amount per security
I N CLU DI N G AN Y REPAY M EN T OF T H E ST AT ED
PRI N CI PAL AM OU N T AT M AT U RI T Y , I S SU BJ ECT T O
Stated principal$10.00 per security
T H E CREDI T WORT H I N ESS OF T H E I SSU ER AN D T H E
amount
GU ARAN T OR. I F CI T I GROU P GLOBAL M ARK ET S
Term
Approximately 10 years
H OLDI N GS I N C. AN D CI T I GROU P I N C. WERE T O
Trade date
April 25, 2017
DEFAU LT ON T H EI R OBLI GAT I ON S, Y OU M I GH T N OT
Settlement
April 28, 2017
RECEI V E AN Y AM OU N T S OWED T O Y OU U N DER T H E
date
SECU RI T I ES AN D Y OU COU LD LOSE Y OU R EN T I RE
Final valuation April 27, 2027

I N V EST M EN T .
date1
I nve st m e nt T im e line
Maturity date
April 30, 2027

Underlying
S&P 500® Index (Ticker: SPX)

The closing level of the underlying (initial
Downside
1,194.305, 50.00% of the initial underlying level
underlying level) is observed, the upside
threshold
T ra de da t e :
gearing is set and downside threshold is
Upside gearing 1.56
determined.
Payment at
I f t he unde rlying re t urn is posit ive ,

maturity (per
Citigroup Global Markets Holdings Inc. will pay
$10.00 stated you a cash payment per $10.00 stated principal

The final underlying level is determined on
principal
amount of securities that provides you with the
the final valuation date and the underlying
amount of
stated principal amount of $10.00 plus a return
return is calculated.
securities)
equal to the underlying return multiplied by the

upside gearing, calculated as follows:
I f t he unde rlying re t urn is posit ive ,

Citigroup Global Markets Holdings Inc. will
$10.00 × (1 + (underlying return × upside
pay you a cash payment per $10.00 stated
gearing))
principal amount of securities that provides

you with the stated principal amount of
I f t he unde rlying re t urn is ze ro or
$10.00 plus a return equal to the underlying
ne ga t ive a nd t he fina l unde rlying le ve l
return multiplied by the upside gearing,
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

is gre a t e r t ha n or e qua l t o t he dow nside
calculated as follows:
t hre shold on t he fina l va lua t ion da t e ,

Citigroup Global Markets Holdings Inc. will pay
$10.00 × (1 + (underlying return ×
you a cash payment of $10.00 per $10.00 stated
upside gearing))
principal amount of securities.

I f t he unde rlying re t urn is ze ro or
I f t he unde rlying re t urn is ne ga t ive a nd
ne ga t ive a nd t he fina l unde rlying
t he fina l unde rlying le ve l is le ss t ha n
le ve l is gre a t e r t ha n or e qua l t o t he
t he dow nside t hre shold on t he fina l
dow nside t hre shold on t he fina l
va lua t ion da t e , Citigroup Global Markets
va lua t ion da t e , Citigroup Global Markets
Holdings Inc. will pay you a cash payment at
Holdings Inc. will pay you a cash payment
maturity less than the stated principal amount of
of $10.00 per $10.00 stated principal
$10.00 per security, resulting in a loss on the
M a t urit y
amount of securities.
stated principal amount that is proportionate to
da t e :

the percentage decline in the level of the
I f t he unde rlying re t urn is ne ga t ive
underlying, calculated as follows:
a nd t he fina l unde rlying le ve l is le ss

t ha n t he dow nside t hre shold on t he
$10.00 × (1 + underlying return)
fina l va lua t ion da t e , Citigroup Global

Markets Holdings Inc. will pay you a cash
I n t his sc e na rio, you w ill be e x pose d t o
payment at maturity less than the stated
t he full ne ga t ive unde rlying re t urn, a nd
principal amount of $10.00 per security,
you w ill lose a subst a nt ia l port ion or a ll
resulting in a loss on the stated principal
of t he st a t e d princ ipa l a m ount in a n
amount that is proportionate to the
a m ount proport iona t e t o t he pe rc e nt a ge
percentage decline in the level of the
de c line in t he unde rlying.
underlying, calculated as follows:
Underlying
final underlying level initial underlying level

return
initial underlying level
$10.00 × (1 + underlying return)
Initial
2,388.61, the closing level of the underlying on

underlying levelthe trade date
I n t his sc e na rio, you w ill be
Final
The closing level of the underlying on the final
e x pose d t o t he full ne ga t ive
underlying levelvaluation date
unde rlying re t urn, a nd you w ill lose
a subst a nt ia l port ion or a ll of t he
st a t e d princ ipa l a m ount in a n
a m ount proport iona t e t o t he
pe rc e nt a ge de c line in t he
unde rlying.

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.

PS-3

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

The following is a summary of certain key risk factors for investors in the securities. You should read this summary together with
the more detailed description of risks relating to an investment in the securities contained in the section "Risk Factors Relating to
the Securities" beginning on page EA-6 in the accompanying product supplement. You should also carefully read the risk factors
included in the accompanying prospectus supplement and in the documents incorporated by reference in the accompanying
prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form
10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

¨
Y ou m a y lose som e or a ll of your inve st m e nt -- The securities differ from ordinary debt securities in that we will not
necessarily repay the full stated principal amount of your securities at maturity. Instead, your return on the securities is linked to
the performance of the underlying and will depend on whether, and the extent to which, the underlying return is positive or
negative. If the final underlying level is less than the downside threshold, you will lose 1% of the stated principal amount of the
securities for every 1% by which the final underlying level is less than the initial underlying level. There is no minimum payment
at maturity on the securities, and you may lose up to all of your investment in the securities.

¨
T he re duc e d m a rk e t risk offe re d by t he se c urit ie s is c ont inge nt , a nd you w ill ha ve full dow nside e x posure
t o t he unde rlying if t he fina l unde rlying le ve l is le ss t ha n t he dow nside t hre shold -- If the final underlying level
is below the downside threshold, the contingent reduced market risk with respect to a limited range of potential depreciation of
the underlying offered by the securities will not apply and you will lose 1% of the stated principal amount of the securities for
every 1% by which the final underlying level is less than the initial underlying level. The securities will have full downside
exposure to the decline of the underlying if the final underlying level is below the downside threshold. As a result, you may lose
your entire investment in the securities. Further, this contingent reduced market risk applies only if you hold the securities to
maturity. If you are able to sell the securities prior to maturity you may have to sell them for a loss even if the underlying has
not declined below the downside threshold.

¨
T he se c urit ie s do not pa y int e re st -- Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.

¨
I nve st ing in t he se c urit ie s is not e quiva le nt t o inve st ing in t he unde rlying or t he st oc k s t ha t c onst it ut e
t he unde rlying -- You will not have voting rights, rights to receive any dividends or other distributions or any other rights with
respect to the stocks that constitute the underlying. As of April 25, 2017, the average dividend yield of the underlying was
approximately 1.95% per year. While it is impossible to know the future dividend yield of the underlying, if this average dividend
yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 19.50%
(assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute
the underlying or in another investment linked to the underlying that provides for a pass-through of dividends. The payment
scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities. You
should understand that the underlying is not a total return index, which means that it does not reflect dividends paid on the
stocks included in the underlying. Therefore, the return on your securities will not reflect any reinvestment of dividends.

¨
Y our pa ym e nt a t m a t urit y de pe nds on t he c losing le ve l of t he unde rlying on a single da y -- Because your
payment at maturity depends on the closing level of the underlying solely on the final valuation date, you are subject to the risk
that the closing level of the underlying on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the underlying that you could sell for
full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the underlying,
you might have achieved better returns.

¨
T he proba bilit y t ha t t he unde rlying w ill fa ll be low t he dow nside t hre shold on t he fina l va lua t ion da t e w ill
de pe nd in pa rt on t he vola t ilit y of t he unde rlying -- "Volatility" refers to the frequency and magnitude of changes in
the level of the underlying. In general, the greater the volatility of the underlying, the greater the probability that the underlying
will experience a large decline over the term of the securities and fall below the downside threshold on the final valuation date.
The underlying has historically experienced significant volatility. As a result, there is a significant risk that the underlying will fall
below the downside threshold on the final valuation date and that you will incur a significant loss on your investment in the
securities. The terms of the securities are set, in part, based on expectations about the volatility of the underlying as of the trade
date. If expectations about the volatility of the underlying change over the term of the securities, the value of the securities may
be adversely affected, and if the actual volatility of the underlying proves to be greater than initially expected, the securities may
prove to be riskier than expected on the trade date.

¨
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 .
-- Any payment on the securities will be made by Citigroup Global Markets Holdings Inc. and is guaranteed by Citigroup Inc.,
and therefore is subject to the credit risk of both Citigroup Global Markets Holdings Inc. and Citigroup Inc. If we default on our
obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive any payments that
become due under the securities. As a result, the value of the securities prior to maturity will be affected by changes in the
market's view of our and Citigroup Inc.'s creditworthiness. Any decline, or anticipated decline, in either of our or Citigroup Inc.'s
credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking either of our or
Citigroup Inc.'s credit risk is likely to adversely affect the value of the securities.

¨
T he se c urit ie s w ill not be list e d on a se c urit ie s e x c ha nge a nd you m a y not be a ble t o se ll t he m prior t o
m a t urit y -- The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative
bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in
CGMI's sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a
representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market
and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a
market, there may be no secondary market at all for the securities because it is likely that CGMI will be the

PS-4

only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the
securities until maturity.

¨
T he e st im a t e d va lue of t he se c urit ie s on t he t ra de da t e , ba se d on CGM I 's proprie t a ry pric ing m ode ls a nd
our int e rna l funding ra t e , is le ss t ha n t he issue pric e -- The difference is attributable to certain costs associated with
selling, structuring and hedging the securities that are included in the issue price. These costs include (i) the underwriting
discount paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI
or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the
economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to
you. The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather
than our secondary market rate, to price the securities. See "The estimated value of the securities would be lower if it were
calculated based on our secondary market rate" below.

¨
T he e st im a t e d va lue of t he se c urit ie s w a s de t e rm ine d for us by our a ffilia t e using proprie t a ry pric ing
m ode ls -- CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary
pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of
the underlying, dividend yields on the stocks that constitute the underlying and interest rates. CGMI's views on these inputs may
differ from your or others' views, and as an underwriter in this offering, CGMI's interests may conflict with yours. Both the
models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the
securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from
the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You
should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the
securities to maturity irrespective of the initial estimated value.

¨
T he e st im a t e d va lue of t he se c urit ie s w ould be low e r if it w e re c a lc ula t e d ba se d on our se c onda ry
m a rk e t ra t e -- The estimated value of the securities included in this pricing supplement is calculated based on our internal
funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal
funding rate is generally lower than our secondary market rate, which is the rate that CGMI will use in determining the value of
the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated value included
in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be
lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are
generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our
internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.

Because there is not an active market for traded instruments referencing our outstanding debt obligations, CGMI determines our
secondary market rate based on the market price of traded instruments referencing the debt obligations of Citigroup Inc., our
parent company and the guarantor of all payments due on the securities, but subject to adjustments that CGMI makes in its sole
discretion. As a result, our secondary market rate is not a market-determined measure of our creditworthiness, but rather
reflects the market's perception of our parent company's creditworthiness as adjusted for discretionary factors such as CGMI's
preferences with respect to purchasing the securities prior to maturity.

¨
T he e st im a t e d va lue of t he se c urit ie s is not a n indic a t ion of t he pric e , if a ny, a t w hic h CGM I or a ny ot he r
pe rson m a y be w illing t o buy t he se c urit ie s from you in t he se c onda ry m a rk e t -- Any such secondary market
price will fluctuate over the term of the securities based on the market and other factors described in the next risk factor.
Moreover, unlike the estimated value included in this pricing supplement, any value of the securities determined for purposes of
a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the
securities than if our internal funding rate were used. In addition, any secondary market price for the securities will be reduced
by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased in
the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

any secondary market price for the securities will be less than the issue price.

¨
T he va lue of t he se c urit ie s prior t o m a t urit y w ill fluc t ua t e ba se d on m a ny unpre dic t a ble fa c t ors -- As
described under "Valuation of the Securities" below, the payout on the securities could be replicated by a hypothetical package
of financial instruments consisting of a fixed-income bond and one or more derivative instruments. As a result, the factors that
influence the values of fixed-income bonds and derivative instruments will also influence the terms of the securities at issuance
and the value of the securities prior to maturity. Accordingly, the value of your securities prior to maturity will fluctuate based on
the level and volatility of the underlying, dividend yields on the stocks that constitute the underlying, interest rates generally, the
time remaining to maturity and our and Citigroup Inc.'s creditworthiness, as reflected in our secondary market rate. You should
understand that the value of your securities at any time prior to maturity may be significantly less than the issue price. The
stated payout from the issuer, including the potential application of the upside gearing and the downside threshold, only applies
if you hold the securities to maturity.

¨
I m m e dia t e ly follow ing issua nc e , a ny se c onda ry m a rk e t bid pric e provide d by CGM I , a nd t he va lue t ha t
w ill be indic a t e d on a ny brok e ra ge a c c ount st a t e m e nt s pre pa re d by CGM I or it s a ffilia t e s, w ill re fle c t a
t e m pora ry upw a rd a djust m e nt -- The amount of this temporary upward adjustment will decline to zero over the temporary
adjustment period. See "Valuation of the Securities" in this pricing supplement.

¨
Our a ffilia t e s, or U BS or it s a ffilia t e s, m a y publish re se a rc h, e x pre ss opinions or provide
re c om m e nda t ions t ha t a re inc onsist e nt w it h inve st ing in or holding t he se c urit ie s -- Any such research,
opinions or recommendations could affect the level of the underlying and the value of the securities. Our affiliates, and UBS and
its affiliates, publish research from time to time on financial markets and other matters that may influence the value of the
securities, or express opinions or provide recommendations that may be inconsistent with purchasing or holding the securities.
Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may not be consistent with
each other and may be modified from time to time without notice. These and other activities of our affiliates or UBS or its
affiliates may adversely affect the level of the underlying and may have a negative impact on your interests as a holder of the
securities. Investors should make their own independent investigation of the merits of investing in the securities and the
underlying to which the securities are linked.

¨
T ra ding a nd ot he r t ra nsa c t ions by our a ffilia t e s, or by U BS or it s a ffilia t e s, in t he e quit y a nd e quit y
de riva t ive m a rk e t s m a y im pa ir t he va lue of t he se c urit ie s -- We have hedged our exposure under the securities
through CGMI or other of our affiliates, who have entered into equity and/or equity derivative transactions, such as over-the-
counter options or exchange-traded instruments, relating to the underlying or the stocks included in the underlying and may
adjust such positions during the term of the securities. It is possible that

PS-5

our affiliates could receive substantial returns from these hedging activities while the value of the securities declines. Our
affiliates and UBS and its affiliates may also engage in trading in instruments linked to the underlying on a regular basis as part
of their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under management
or to facilitate transactions for customers, including block transactions. Such trading and hedging activities may affect the level of
the underlying and reduce the return on your investment in the securities. Our affiliates or UBS or its affiliates may also issue or
underwrite other securities or financial or derivative instruments with returns linked or related to the underlying. By introducing
competing products into the marketplace in this manner, our affiliates or UBS or its affiliates could adversely affect the value of
the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in
direct opposition to, investors' trading and investment strategies relating to the securities.

¨
Our a ffilia t e s, or U BS or it s a ffilia t e s, m a y ha ve e c onom ic int e re st s t ha t a re a dve rse t o yours a s a re sult
of t he ir re spe c t ive busine ss a c t ivit ie s -- 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 underlying, 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.

¨
T he c a lc ula t ion a ge nt , w hic h is a n a ffilia t e of ours, w ill m a k e im port a nt de t e rm ina t ions w it h re spe c t t o
t he se c urit ie s -- If certain events occur, such as market disruption events or the discontinuance of the underlying, CGMI, as
calculation agent, will be required to make discretionary judgments that could significantly affect what you receive at maturity.
Such judgments could include, among other things, any level required to be determined under the securities. In addition, if
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

certain events occur, CGMI will be required to make certain discretionary judgments that could significantly affect your payment
at maturity. Such judgments could include, among other things:

¨
determining whether a market disruption event has occurred;

¨
if a market disruption event occurs on the final valuation date, determining whether to postpone the final valuation date;

¨
determining the level of the underlying if the level of the underlying is not otherwise available or a market disruption event
has occurred; and

¨
selecting a successor underlying or performing an alternative calculation of the level of the underlying if the underlying is
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 securities.

¨
Adjust m e nt s t o t he unde rlying m a y a ffe c t t he va lue of your se c urit ie s -- S&P Dow Jones Indices LLC (the
"underlying publisher") may add, delete or substitute the stocks that constitute the underlying or make other methodological
changes that could affect the level of the underlying. The underlying publisher may discontinue or suspend calculation or
publication of the underlying at any time without regard to your interests as holders of the securities.

¨
T he U .S. fe de ra l t a x c onse que nc e s of a n inve st m e nt in t he se c urit ie s a re unc le a r -- There is no direct legal
authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the
Internal Revenue Service (the "IRS"). Consequently, significant aspects of the tax treatment of the securities are uncertain, and
the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful
in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities
might be materially and adversely affected. 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 securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S.
persons should be subject to withholding tax, possibly with retroactive effect.

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 securities should not be subject to withholding under Section 871(m). However, the IRS could challenge
this conclusion. If withholding applies to the securities, we will not be required to pay any additional amounts with respect to
amounts withheld.

You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to the
Securities" in the accompanying product supplement and "United States Federal Tax Considerations" in this pricing supplement.
You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well
as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

PS-6

H ypot he t ic a l Ex a m ple s
H ypot he t ic a l t e rm s only. Ac t ua l t e rm s m a y va ry. Se e t he c ove r pa ge for a c t ua l offe ring t e rm s.

The diagram below illustrates your hypothetical payment at maturity for a range of hypothetical percentage changes from the initial
underlying level to the final underlying level. The diagram below is based on a hypothetical upside gearing of 1.54 and does not
reflect the actual terms of the securities.

Investors in the securities will not receive any dividends on the stocks that constitute the underlying. The diagram and examples
below do not show any effect of lost dividend yield over the term of the securities. See "Summary Risk Factors--Investing in the
https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

securities is not equivalent to investing in the underlying or the stocks that constitute the underlying" above.

The following table and hypothetical examples below illustrate the payment at maturity per $10.00 stated principal amount of
securities for a hypothetical range of performances for the underlying from -100.00% to +100.00% and assume an initial underlying
level of 2,368.00, a downside threshold of 1,184.00 (50.00% of the initial underlying level) and an upside gearing of 1.54. The
actual initial underlying level, downside threshold and upside gearing are listed on the cover page of this pricing supplement. The
hypothetical payment at maturity examples set forth below are for illustrative purposes only and are not the actual returns
applicable to a purchaser of the securities. The actual payment at maturity will be determined based on the final underlying level on
the final valuation date. You should consider carefully whether the securities are suitable to your investment goals. The numbers
appearing in the table and in the examples below have been rounded for ease of analysis and do not reflect the actual terms of the
securities, which are provided on the cover page of this pricing supplement.

T ot a l Re t urn on Se c urit ie s a t
Fina l U nde rlying Le ve l
U nde rlying Re t urn
Pa ym e nt a t M a t urit y
M a t urit y (1)
4,736.00
100.00%
$25.40
154.00%
4,499.20
90.00%
$23.86
138.60%
4,262.40
80.00%
$22.32
123.20%
4,025.60
70.00%
$20.78
107.80%
3,788.80
60.00%
$19.24
92.40%
3,552.00
50.00%
$17.70
77.00%
3,315.20
40.00%
$16.16
61.60%
3,078.40
30.00%
$14.62
46.20%
2,841.60
20.00%
$13.08
30.80%
2,604.80
10.00%
$11.54
15.40%
2,368.00
0.00%
$10.00
0.00%

PS-7

https://www.sec.gov/Archives/edgar/data/200245/000095010317003965/dp75477_424b2-566.htm[4/28/2017 3:31:48 PM]

Document Outline

#1">
- #1">