Obligation Citi Global Markets 8% ( US17324C6U59 ) en USD

Citi Global Markets

100 % ▲

Etas-Unis

US17324C6U59 ( en USD )

8% par an ( paiement semestriel )

31/07/2031

Prospectus brochure de l'obligation Citigroup Global Markets Holdings US17324C6U59 en USD 8%, échéance 31/07/2031

1 000 USD

17324C6U5

N/A

31/07/2025 ( Dans 81 jours )

Citigroup Global Markets Holdings est une filiale de Citigroup Inc. qui offre une gamme complète de services de marchés financiers, notamment des services de banque d'investissement, de courtage, de négociation de titres et de gestion des risques.

L'Obligation émise par Citi Global Markets ( Etas-Unis ) , en USD, avec le code ISIN US17324C6U59, paye un coupon de 8% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/07/2031

424B2 1 dp67486_424b2-1014.htm PRICING SUPPLEMENT
CALCU LAT I ON OF REGI ST RAT I ON FEE

T it le of e a c h c la ss of se c urit ie s t o be
M a x im um a ggre ga t e offe ring
Am ount of re gist ra t ion fe e (1) (2)
re gist e re d
pric e
Medium-Term Senior Notes, Series N
$1,000,000
$100.70

(1) Calculated in accordance with Rule 457(r) of the Securities Act.

(2) Pursuant to Rule 457(p) under the Securities Act, the $60,560.98 remaining of the registration fees previously paid with respect
to unsold securities registered on Post-Effective Amendment No. 1 to Registration Statement File No. 333-157386, filed on
February 11, 2011 by Citigroup Funding Inc., a wholly owned subsidiary of Citigroup Inc., and Registration Statement File No.
333-172554, filed on March 2, 2011 by Citigroup Funding Inc., is being carried forward, of which $100.70 is offset against the
registration fee due for this offering and of which $60,460.28 remains available for future registration fee offset. The most
recent filing utilizing a portion of the registration fees previously paid with respect to unsold securities registered on these
registration statements was filed on July 28, 2016. No additional registration fee has been paid with respect to this offering.

Citigroup Global Markets Holdings Inc.
J uly 2 6 , 2 0 1 6
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 6 -
U SN CH 0 1 1 3
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 -
1 9 2 3 0 2 a nd 3 3 3 -1 9 2 3 0 2 -0 6
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and
the Russell 2000® Index Due July 31, 2031
?
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. The securities offer the potential for contingent quarterly coupon payments at an
annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional debt
securities of the same maturity. In exchange for this higher potential yield, you must be willing to accept the risks that (i) your
actual yield may be lower than the yield on our conventional debt securities of the same maturity because you may not receive
one or more, or any, contingent coupon payments and (ii) your actual yield may be negative because you may receive
significantly less than the stated principal amount of your securities at maturity. These risks will depend on the performance of
the w orst pe rform ing of the S&P 500® Index and the Russell 2000® Index (each, an "underlying index"), as described
below. You will be subject to risks associated with both underlying indexes and will be negatively affected by adverse
movements in either regardless of the performance of the other. Although you will be exposed to downside risk with respect to
the worst performing underlying index, you will not participate in any appreciation of either underlying index or receive any
dividends paid on the stocks included in either underlying index.
?
We have the right to call the securities for mandatory redemption on any contingent coupon payment date beginning
approximately one year after issuance.
?
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 payments 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.
U nde rlying
U nde rlying inde x e s
I nit ia l inde x le ve l* Coupon ba rrie r le ve l* * Fina l ba rrie r le ve l* * *
inde x e s:

S&P 500® Index
2,169.18
1,626.885
1,084.590

Russell 2000® Index
1,216.859
912.644
608.430

* The closing level of the applicable underlying index on the pricing date
** For each underlying index, 75% of its initial index level
*** For each underlying index, 50% of its initial index level
Aggre ga t e st a t e d
$1,000,000
princ ipa l a m ount :
St a t e d princ ipa l
$1,000 per security
a m ount :
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

Pric ing da t e :
July 26, 2016
I ssue da t e :
July 29, 2016
V a lua t ion da t e s:
The 26th day of each January, April, July and October, beginning in October 2016 and ending on July
28, 2031 (the "final valuation date"), each subject to postponement if such date is not a scheduled
trading day or if certain market disruption events occur with respect to either underlying index
M a t urit y da t e :
Unless earlier redeemed by us, July 31, 2031
Cont inge nt c oupon
For each valuation date, the fifth business day after such valuation date, except that the contingent
pa ym e nt da t e s:
coupon payment date for the final valuation date will be the maturity date
Cont inge nt c oupon: On each quarterly contingent coupon payment date, unless previously redeemed, the securities will pay a
contingent coupon equal to 2.00% (approximately 8.00% per annum) of the stated principal amount of
the securities if a nd only if the closing level of the worst performing underlying index on the related
valuation date is greater than or equal to the applicable coupon barrier level. I f t he c losing le ve l of
t he w orst pe rform ing unde rlying inde x on a ny qua rt e rly va lua t ion da t e is le ss t ha n t he
a pplic a ble c oupon ba rrie r le ve l, you w ill not re c e ive a ny c ont inge nt c oupon pa ym e nt
on t he re la t e d c ont inge nt c oupon pa ym e nt da t e .
Pa ym e nt a t
Unless earlier redeemed by us, you will be entitled to receive at maturity for each security you then hold:
m a t urit y:
? If the final index level of the worst performing underlying index on the final valuation date is
gre a t e r t ha n or e qua l t o the applicable coupon barrier level: $1,000 plus the contingent coupon
payment due at maturity
? If the final index level of the worst performing underlying index on the final valuation date is le ss
t ha n the applicable coupon barrier level but gre a t e r t ha n or e qua l t o the applicable final barrier
level: $1,000
? If the final index level of the worst performing underlying index on the final valuation date is le ss
t ha n the applicable final barrier level: $1,000 × the index performance factor of the worst performing
underlying index on the final valuation date
I f t he fina l inde x le ve l of t he w orst pe rform ing unde rlying inde x on t he fina l va lua t ion
da t e is le ss t ha n t he a pplic a ble fina l ba rrie r le ve l, you w ill re c e ive le ss t ha n 5 0 % of
t he st a t e d princ ipa l a m ount of your se c urit ie s, a nd possibly not hing, a t m a t urit y, a nd
you w ill not re c e ive a ny c ont inge nt c oupon pa ym e nt a t m a t urit y.
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 issue r
issue pric e :
Pe r se c urit y:
$1,000.00
$50.00
$950.00
T ot a l:
$1,000,000.00
$50,000.00
$950,000.00
(Key Terms continued on next page)
(1) On the date of this pricing supplement, the estimated value of the securities is $866.70 per security, which is less than the issue price. The
estimated value of the securities is based on Citigroup Global Markets Inc.'s ("CGMI") 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) For more information on the distribution of the securities, see "Supplemental Plan of Distribution" in this pricing supplement. 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. See
"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-4 .
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 hyperlinks below:
Produc t Supple m e nt N o. EA-0 4 -0 3 da t e d M a rc h 8 , 2 0 1 6 U nde rlying Supple m e nt N o. 4 da t e d M a rc h 8 ,
2 0 1 6
Prospe c t us a nd Prospe c t us Supple m e nt e a c h da t e d M a rc h 7 , 2 0 1 6
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 Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

K EY T ERM S (c ont inue d)
Re de m pt ion:
We may call the securities, in whole and not in part, for mandatory redemption on any contingent coupon
payment date beginning August 2, 2017 upon not less than five business days' notice. Following an exercise
of our call right, you will receive for each security you then hold an amount in cash equal to $1,000 plus the
related contingent coupon payment, if any.
Fina l inde x
For each underlying index, its closing level on the final valuation date
le ve l:
I nde x
For each underlying index on any valuation date, its closing level on that valuation date divided by its initial
pe rform a nc e
index level
fa c t or:
Worst
For any valuation date, the underlying index with the lowest index performance factor on that valuation date
pe rform ing
unde rlying
inde x :
List ing:
The securities will not be listed on any securities exchange
CU SI P / I SI N :
17324C6U5 / US17324C6U59
U nde rw rit e r:
CGMI, an affiliate of the issuer, acting as principal

Additional Information

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
whether you receive a contingent coupon payment on a contingent coupon payment date as well as 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 each underlying index 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.

Hypothetical Examples

The examples below illustrate how to determine whether a contingent coupon will be paid with respect to a quarterly valuation date
and how to calculate the payment at maturity on the securities, assuming the securities are not redeemed prior to maturity. You
should understand that the term of the securities, and your opportunity to receive the contingent coupon payments on the
securities, may be limited to as short as one year if the securities are redeemed prior to the maturity date, which is not reflected in
the examples below. For ease of analysis, figures in the table below may have been rounded.

The examples below are based on the following values in order to illustrate how the securities work:

U nde rlying inde x
I nit ia l inde x le ve l
Coupon ba rrie r le ve l
Fina l ba rrie r le ve l
S&P 500® Index
2,169.18
1,626.885 (75% of the
1,084.590 (50% of the applicable initial
applicable initial index level)
index level)
Russell 2000® Index
1,216.859
912.644 (75% of the applicable 608.430 (50% of the applicable initial
initial index level)
index level)

Hypothetical Examples of Contingent Coupon Payments with Respect to a Quarterly Valuation Date
The following examples illustrate the hypothetical contingent coupon payments with respect to three hypothetical quarterly valuation
dates.

H ypot he t ic a l c losing le ve l of H ypot he t ic a l c losing le ve l of t he
H ypot he t ic a l c ont inge nt
t he S& P 5 0 0 ® I nde x
Russe ll 2 0 0 0 ® I nde x
c oupon pa ym e nt pe r se c urit y
1,952.26
1,338.545
Ex a m ple 1 :

H ypot he t ic a l
(index performance factor =
(index performance factor =
$ 2 0 .0 0
V a lua t ion
1,952.26 / 2,169.18 = 0.90)
1,338.545 / 1,216.859 = 1.10)
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

Da t e 1

2,603.02
608.430
Ex a m ple 2 :

H ypot he t ic a l
(index performance factor =
(index performance factor =
$ 0 .0 0
V a lua t ion
2,603.02 / 2,169.18 = 1.20)
608.430 / 1,216.859 = 0.50)
Da t e 2

1,518.43
1,277.702
Ex a m ple 3 :

H ypot he t ic a l
(index performance factor =
(index performance factor =
$ 0 .0 0
V a lua t ion
1,518.43 / 2,169.18 = 0.70)
1,277.702 / 1,216.859 = 1.05)
Da t e 3

1,301.51
669.272
Ex a m ple 4 :

H ypot he t ic a l
(index performance factor =
(index performance factor =
$ 0 .0 0
V a lua t ion
1,301.51 / 2,169.18 = 0.60)
669.272 / 1,216.859 = 0.55)
Da t e 4

July 2016
PS-2
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
Ex a m ple 1 : In this example, the S&P 500® Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is gre a t e r t ha n the applicable
coupon barrier level and investors in the securities would receive the contingent coupon payment of $20.00 per security on the
related contingent coupon payment date.

Ex a m ple 2 : In this example, the Russell 2000® Index has the lowest index performance factor and, therefore, is the worst
performing underlying index. In this scenario, the closing level of the worst performing underlying index is le ss t ha n the applicable
coupon barrier level and investors would not receive any payment on the related contingent coupon payment date, even though the
S&P 500® Index has appreciated from its initial index level.

Ex a m ple 3 : In this example, the S&P 500® Index has the lowest index performance factor and, therefore, is the worst performing
underlying index. In this scenario, the closing level of the worst performing underlying index is le ss t ha n the applicable coupon
barrier level and investors would not receive any payment on the related contingent coupon payment date, even though the Russell
2000® Index has appreciated from its initial index level.

Ex a m ple 4 : In this example, the Russell 2000® Index has the lowest index performance factor and, therefore, is the worst
performing underlying index. In this scenario, the closing level of the worst performing underlying index is le ss t ha n the applicable
coupon barrier level and investors would not receive any payment on the related contingent coupon payment date. In this example,
the closing levels of both underlying indexes are less than their respective coupon barrier levels.

I nve st ors in t he se c urit ie s w ill not re c e ive a c ont inge nt c oupon pa ym e nt w it h re spe c t t o a va lua t ion da t e if,
on t ha t va lua t ion da t e , t he c losing le ve l of t he w orst pe rform ing unde rlying inde x is le ss t ha n t he a pplic a ble
c oupon ba rrie r le ve l, e ve n if t he c losing le ve l of t he ot he r unde rlying inde x is gre a t e r t ha n it s c oupon
ba rrie r le ve l.

Hypothetical Examples of the Payment at Maturity on the Securities

The following examples illustrate the payment at maturity on the securities as determined by the applicable final index levels of the
underlying indexes on the final valuation date.

H ypot he t ic a l fina l inde x le ve l of
H ypot he t ic a l fina l inde x le ve l
H ypot he t ic a l pa ym e nt a t
t he S& P 5 0 0 ® I nde x
of t he Russe ll 2 0 0 0 ® I nde x
m a t urit y pe r se c urit y
1,843.80
1,460.231

Ex a m ple 5
(index performance factor =
(index performance factor =
$ 1 ,0 2 0 .0 0
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

1,843.80 / 2,169.18 = 0.85)
1,460.231 / 1,216.859 = 1.20)

1,518.43
730.115

Ex a m ple 6
(index performance factor =
(index performance factor =
$ 1 ,0 0 0 .0 0
1,518.43 / 2,169.18 = 0.70)
730.115 / 1,216.859 = 0.60)

867.67
851.801

Ex a m ple 7
(index performance factor =
(index performance factor =
$ 4 0 0 .0 0
867.67 / 2,169.18 = 0.40)
851.801 / 1,216.859 = 0.70)

1,518.43
243.372

Ex a m ple 8
(index performance factor =
(index performance factor =
$ 2 0 0 .0 0
1,518.43 / 2,169.18 = 0.70)
243.372 / 1,216.859 = 0.20)

Ex a m ple 5 : In this example, the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level of
the worst performing underlying index is greater than the applicable coupon barrier level. Accordingly, at maturity, you would
receive the stated principal amount of the securities plus the contingent coupon payment of $20.00 per security.

Ex a m ple 6 : In this example, the Russell 2000® Index is the worst performing underlying index. In this scenario, the final index
level of the worst performing underlying index is less than the applicable coupon barrier level but greater than the applicable final
barrier level. Accordingly, at maturity, you would receive the $1,000.00 stated principal amount of the securities but you would not
receive a contingent coupon payment at maturity.

Ex a m ple 7 : In this example, the S&P 500® Index is the worst performing underlying index. In this scenario, the final index level of
the worst performing underlying index is less than the applicable final barrier level. Accordingly, at maturity, you would receive a
payment per security calculated as follows:

Payment at maturity = $1,000 × index performance factor of the S&P 500® Index on the final valuation date

= $1,000 × 0.40

July 2016
PS-3
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
= $400

In this scenario, you would receive significantly less than the stated principal amount of your securities at maturity. You would incur
a loss based on the performance of the worst performing underlying index, even though the final index level of the other underlying
index was greater than the applicable final barrier level. In addition, because the final index level of the worst performing underlying
index is below the applicable coupon barrier level, you will not receive any quarterly contingent coupon payment.

Ex a m ple 8 : In this example, the Russell 2000® Index is the worst performing underlying index and its final index level is less than
the applicable final barrier level. Accordingly, at maturity, you would receive a payment per security calculated as follows:

Payment at maturity = $1,000 × index performance factor of the Russell 2000® Index on the final valuation date

= $1,000 × 0.20

= $200

In this scenario, because the closing level of the worst performing underlying index on the final valuation date is less than the
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

applicable final barrier level, you would lose a significant portion of your investment in the securities. In addition, because the final
index level of the worst performing underlying index is below the applicable coupon barrier level, you will not receive any quarterly
contingent coupon payment at maturity. If the closing level of the worst performing underlying index were less than the applicable
coupon barrier level on each valuation date and less than the final barrier level on the final valuation date, you would not have
received any quarterly contingent coupon payments and, in addition, would incur a significant loss on your securities at maturity.

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 each of
the underlying indexes. 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.

?
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 provide for the
repayment of the stated principal amount at maturity in all circumstances. If we do not redeem the securities prior to maturity,
your payment at maturity will depend on the performance of the worst performing underlying index on the final valuation date. If
the closing level of the worst performing underlying index on the final valuation date is less than the applicable final barrier
level, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing underlying
index has declined from its initial index level, regardless of the performance of the other underlying index. There is no minimum
payment at maturity on the securities, and you may lose up to all of your investment.

?
Y ou w ill not re c e ive a ny c ont inge nt c oupon pa ym e nt for a ny qua rt e r in w hic h t he c losing le ve l of t he
w orst pe rform ing unde rlying inde x is le ss t ha n t he a pplic a ble c oupon ba rrie r le ve l on t he re la t e d
va lua t ion da t e . A contingent coupon payment will be made on a contingent coupon payment date if and only if the closing
level of the worst performing underlying index on the related valuation date is greater than or equal to the applicable coupon
barrier level. If the closing level of the worst performing underlying index is less than the applicable coupon barrier level on any
quarterly valuation date, you will not receive any contingent coupon payment on the related contingent coupon payment date. If
the closing level of the worst performing underlying index is below the applicable coupon barrier level on each valuation date,
you will not receive any contingent coupon payments over the term of the securities.

?
T he se c urit ie s a re subje c t t o t he risk s of bot h of t he unde rlying inde x e s a nd w ill be ne ga t ive ly a ffe c t e d
if e it he r of t he unde rlying inde x e s pe rform s poorly, e ve n if t he ot he r unde rlying inde x pe rform s w e ll. The
securities are not linked to a basket composed of the underlying indexes, where the better performance of one could ameliorate
the poor performance of the other. Instead, you are subject to the full risks of whichever of the underlying indexes is the worst
performing underlying index.

?
Y ou w ill not be ne fit in a ny w a y from t he pe rform a nc e of t he be t t e r pe rform ing unde rlying inde x . The return
on the securities depends solely on the performance of the worst performing underlying index, and you will not benefit in any
way from the performance of the other underlying index. The securities may underperform a similar alternative investment
linked to a basket composed of the underlying indexes, since in such case the performance of the better performing underlying
index would be

July 2016
PS-4
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
blended with the performance of the worst performing underlying index, resulting in a better return than the return of the worst
performing underlying index.
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

?
Y ou w ill be subje c t t o risk s re la t ing t o t he re la t ionship a m ong t he unde rlying inde x e s. It is preferable from
your perspective for the underlying indexes to be correlated with each other, in the sense that they tend to increase or
decrease at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the underlying
indexes will not exhibit this relationship. The less correlated the underlying indexes, the more likely it is that any one of the
underlying indexes will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is
for one of the underlying indexes to perform poorly; the performance of the underlying index that is not the worst performing
underlying index is not relevant to your return on the securities. It is impossible to predict what the relationship between the
underlying indexes will be over the term of the securities. T he S& P 5 0 0 ® I nde x re pre se nt s la rge c a pit a liza t ion
st oc k s in t he U nit e d St a t e s a nd t he Russe ll 2 0 0 0 ® I nde x re pre se nt s sm a ll c a pit a liza t ion st oc k s in t he
U nit e d St a t e s. Ac c ordingly, t he unde rlying inde x e s re pre se nt m a rk e t s t ha t diffe r in signific a nt w a ys a nd,
t he re fore , m a y not be c orre la t e d w it h e a c h ot he r.

?
H ighe r c ont inge nt c oupon ra t e s a re a ssoc ia t e d w it h gre a t e r risk . The securities offer contingent coupon
payments at an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our
conventional debt securities of the same maturity. This higher potential yield is associated with greater levels of expected risk
as of the pricing date for the securities, including the risk that you may not receive a contingent coupon payment on one or
more, or any, contingent coupon payment dates and the risk that you may receive significantly less than the stated principal
amount of your securities at maturity. The volatility of and the correlation between the underlying indexes are important factors
affecting these risks. Greater expected volatility of, and lower expected correlation between, the underlying indexes as of the
pricing date may result in a higher contingent coupon rate, but would also represent a greater expected likelihood as of the
pricing date that the closing level of the worst performing underlying index will be less than the applicable coupon barrier level
on one or more valuation dates, such that you will not receive one or more, or any, contingent coupon payments during the
term of the securities, and that the closing level of the worst performing underlying index will be less than the applicable final
barrier level on the final valuation date, such that you will not be repaid the stated principal amount of your securities at
maturity.

?
Y ou m a y not be a de qua t e ly c om pe nsa t e d for a ssum ing t he dow nside risk of t he w orst pe rform ing
unde rlying inde x . The potential contingent coupon payments on the securities are the compensation you receive for
assuming the downside risk of the worst performing underlying index, as well as all the other risks of the securities. That
compensation is effectively "at risk" and may, therefore, be less than you currently anticipate. First, the actual yield you realize
on the securities could be lower than you anticipate because the coupon is "contingent" and you may not receive a contingent
coupon payment on one or more, or any, of the contingent coupon payment dates. Second, the contingent coupon payments
are the compensation you receive not only for the downside risk of the worst performing underlying index, but also for all of the
other risks of the securities, including the risk that the securities may be redeemed prior to maturity, interest rate risk and our
and Citigroup Inc.'s credit risk. If those other risks increase or are otherwise greater than you currently anticipate, the
contingent coupon payments may turn out to be inadequate to compensate you for all the risks of the securities, including the
downside risk of the worst performing underlying index.

?
T he se c urit ie s a re risk ie r t ha n se c urit ie s w it h a short e r t e rm . The securities are relatively long-dated. Because
the securities are relatively long-dated, the risks of the securities are heightened as compared to securities with a shorter term
because you will be subject to those risks for a longer period of time. In addition, the value of a longer-dated security is
typically less than the value of an otherwise comparable security with a shorter term.

?
We m a y re de e m t he se c urit ie s a t our opt ion, w hic h w ill lim it your a bilit y t o re c e ive t he c ont inge nt
c oupon pa ym e nt s. Beginning approximately one year after issuance, we may redeem the securities on any contingent
coupon payment date upon not less than five business days' notice. In the event that we redeem the securities, you will
receive the stated principal amount of your securities and the related contingent coupon payment, if any. Thus, the term of the
securities may be limited to as short as one year. If we redeem the securities prior to maturity, you will not receive any
additional contingent coupon payments. Moreover, you may not be able to reinvest your funds in another investment that
provides a similar yield with a similar level of risk. If we redeem the securities prior to maturity, it is likely to be at a time when
the underlying indexes are performing in a manner that would otherwise have been favorable to you. By contrast, if the
underlying indexes are performing unfavorably from your perspective, we are less likely to redeem the securities. If we redeem
the securities, we will do so at a time that is advantageous to us and without regard to your interests.

?
T he se c urit ie s offe r dow nside e x posure t o t he unde rlying inde x e s, but no upside e x posure t o t he
unde rlying inde x e s. You will not participate in any appreciation in the level of the underlying indexes over the term of the
securities. Consequently, your return on the securities will be limited to the contingent coupon payments you receive, if any,
and may be significantly less than the return on the underlying indexes over the term of the securities. In addition, you will not
receive any dividends or other distributions or any other rights with respect to the underlying indexes.
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

?
T he pe rform a nc e of t he se c urit ie s w ill de pe nd on t he c losing le ve ls of t he unde rlying inde x e s sole ly on
t he re le va nt va lua t ion da t e s, w hic h m a k e s t he se c urit ie s pa rt ic ula rly se nsit ive t o t he vola t ilit y of t he
unde rlying inde x e s. Whether the contingent coupon will be paid for any given quarter will depend on the closing levels of
the underlying indexes solely on the applicable quarterly valuation dates, regardless of the closing levels of the underlying
indexes on other days during the term of the securities. If we do not redeem the securities, what you receive at maturity will
depend solely on the closing level of the worst performing underlying index on the final valuation date, and not on any other
day during the term of the securities. Because the

July 2016
PS-5
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
performance of the securities depends on the closing levels of the underlying indexes on a limited number of dates, the
securities will be particularly sensitive to volatility in the closing levels of the underlying indexes. You should understand that
each of the underlying indexes has historically been highly volatile.

?
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 .
If we default on our obligations under the securities and Citigroup Inc. defaults on its guarantee obligations, you may not
receive any amounts owed to you under 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
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 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 pric ing 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 selling
concessions 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 and
correlation between the underlying indexes, dividend yields on the stocks included in the underlying indexes 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
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

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 the same as the coupon that is payable on the securities.

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

July 2016
PS-6
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
?
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. The value
of your securities prior to maturity will fluctuate based on the level and volatility of the underlying indexes and a number of
other factors, including the price and volatility of the stocks included in the underlying indexes, the correlation between the
underlying indexes, dividend yields on the stocks included in the underlying indexes, 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.

?
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 steadily decline to zero over the
temporary adjustment period. See "Valuation of the Securities" in this pricing supplement.

?
T he se c urit ie s a re link e d t o t he Russe ll 2 0 0 0 ® I nde x a nd w ill be subje c t t o risk s a ssoc ia t e d w it h sm a ll
c a pit a liza t ion st oc k s. The stocks that constitute the Russell 2000® Index are issued by companies with relatively small
market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization
companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization
companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger
companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend
payment could be a factor that limits downward stock price pressure under adverse market conditions.

?
Cha nge s t ha t a ffe c t t he unde rlying inde x e s m a y a ffe c t t he va lue of your se c urit ie s. The sponsors of the S&P
500® Index and the Russell 2000® Index may add, delete or substitute the stocks that constitute those indexes or make other
methodological changes that could affect the levels of those indexes. We are not affiliated with any such index sponsor and,
accordingly, we have no control over any changes any such index sponsor may make. Such changes could be made at any
time and could adversely affect the performance of the underlying indexes and the value of and your payment at maturity on
the securities.

?
Our offe ring of t he se c urit ie s is not a re c om m e nda t ion of e it he r unde rlying inde x . The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying indexes is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

positions) in the stocks that constitute the underlying indexes or in instruments related to the underlying indexes, and may
publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying indexes.
These and other of our affiliates' activities may affect the levels of the underlying indexes in a way that has a negative impact
on your interests as a holder of the securities.

?
T he le ve l of a n unde rlying inde x m a y be a dve rse ly a ffe c t e d by our or our a ffilia t e s' he dging a nd ot he r
t ra ding a c t ivit ie s. We have hedged our obligations under the securities through CGMI or other of our affiliates, who have
taken positions directly in the stocks included in the S&P 500® Index and the Russell 2000® Index and other financial
instruments related to the underlying indexes or the stocks included in the underlying indexes and may adjust such positions
during the term of the securities. Our affiliates also trade the stocks included in the S&P 500® Index and the Russell 2000®
Index and other related financial instruments on a regular basis (taking long or short positions or both), for their accounts, for
other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the
levels of the underlying indexes in a way that negatively affects the value of the securities. They could also result in substantial
returns for us or our affiliates while the value of the securities declines.

?
We a nd our 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 our a ffilia t e s'
busine ss a c t ivit ie s. Our affiliates may currently or from time to time engage in business with the issuers of the stocks
included in the underlying indexes, including extending loans to, making equity investments in or providing advisory services to
such companies. In the course of this business, we or our affiliates may acquire non-public information which we will not
disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such company, they may exercise any
remedies against such company 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 an underlying index,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your payment at
maturity. 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.

?
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 described in "United States Federal Tax
Considerations" below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and
disposition of the securities might be materially and adversely affected. As described in the accompanying product supplement
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. While it is not clear whether the securities would be viewed as similar to the typical prepaid forward
contract described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect

July 2016
PS-7
Citigroup Global Markets Holdings Inc.
Callable Contingent Coupon Equity Linked Securities Based on the Worst Performing of the S&P 500® Index and the Russell
2000® Index Due July 31, 2031
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. 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.

As described in "United States Federal Tax Considerations" below, in connection with any information reporting requirements
we may have in respect of the securities under applicable law, we intend to treat a portion of each coupon payment as
attributable to interest and the remainder to option premium. However, in light of the uncertain treatment of the securities, it is
possible that other persons having withholding or information reporting responsibility in respect of the securities may treat a
security differently, for instance, by treating the entire coupon payment as ordinary income at the time received or accrued by a
holder and/or treating some or all of each coupon payment on a security to a non-U.S. investor as subject to withholding tax at
https://www.sec.gov/Archives/edgar/data/200245/000095010316015098/dp67486_424b2-1014.htm[7/28/2016 4:22:28 PM]

Document Outline

#1">
- #1">