CALCULATION OF REGISTRATION FEE
Title of each class of securities to be registered |
Maximum aggregate offering price |
Amount of registration fee(1) (2) |
Medium-Term Senior Notes, Series G |
$418,000 |
$48.57 |
(1) Calculated in
accordance with Rule 457(r) of the Securities Act.
(2) Pursuant to Rule
457(p) under the Securities Act, the $241,435.83 remaining of the relevant portion of the registration fees previously paid with
respect to unsold securities registered on Registration Statement File No. 333-172554, filed on March 2, 2011 by Citigroup Funding
Inc., a wholly owned subsidiary of Citigroup Inc., is being carried forward, of which $48.57 is offset against the registration
fee due for this offering and of which $241,387.26 remains available for future registration fee offset. No additional registration
fee has been paid with respect to this offering. See the “Calculation of Registration Fee” table accompanying
the filing of Pricing Supplement No. 2015-CMTNG0369 dated February 12, 2015, filed by Citigroup Inc. on February 17, 2015, for
information regarding the registration fees that are being carried forward.
Citigroup Inc. |
May 22, 2015
Medium-Term
Senior Notes, Series G
Pricing Supplement
No. 2015-CMTNG0531
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302 |
Market-Linked Notes Based on the EURO STOXX
50® Index Due May 26, 2022
Overview
| ▪ | The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup
Inc. Unlike conventional debt securities, the notes do not pay interest. Instead, the notes offer the potential for a positive
return at maturity based on the performance of the EURO STOXX 50® Index (the “underlying index”) from
the initial index level to the final index level. |
| ▪ | The notes provide 1-to-1 exposure to the performance of the underlying index within a limited
range of potential appreciation. If the underlying index appreciates from the initial index level to the final index level, you
will receive a positive return at maturity equal to that appreciation, subject to the maximum return at maturity specified below.
However, if the underlying index remains the same or depreciates from the initial index level to the final index level, you will
be repaid the stated principal amount of your notes at maturity but will not receive any return on your investment. Even if the
underlying index appreciates from the initial index level to the final index level, so that you do receive a positive return at
maturity, there is no assurance that your total return at maturity on the notes will compensate you for the effects of inflation
or be as great as the yield you could have achieved on a conventional debt security of ours of comparable maturity. |
| ▪ | Investors in the notes must be willing to forgo (i) any return on the notes in excess of the maximum
return at maturity and (ii) any dividends that may be paid on the stocks that constitute the underlying index during the seven-year
term of the notes. If the underlying index does not appreciate from the pricing date to the valuation date, you will not receive
any return on your investment in the notes. |
| ▪ | In order to obtain the modified exposure to the underlying index that the notes provide, investors
must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount
due under the notes if we default on our obligations. All payments on the notes are subject to the credit risk of Citigroup
Inc. |
KEY TERMS |
|
Underlying index: |
The EURO STOXX 50® Index (ticker symbol: “SX5E”) |
Aggregate stated principal amount: |
$418,000 |
Stated principal amount: |
$1,000 per note |
Pricing date: |
May 22, 2015 |
Issue date: |
May 28, 2015 |
Valuation date: |
May 23, 2022, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
May 26, 2022 |
Payment at maturity: |
For each note you hold at maturity, the $1,000 stated principal amount plus the note return amount, which will be either zero or positive |
Note return amount: |
§ If
the final index level is greater than the initial index level:
$1,000 x the index return,
subject to the maximum return at maturity
§ If
the final index level is less than or equal to the initial index level:
$0
|
Initial index level: |
3,679.14, the closing level of the underlying index on the pricing date |
Final index level: |
The closing level of the underlying index on the valuation date |
Index return: |
The final index level minus the initial index level, divided by the initial index level |
Maximum return at maturity: |
$750.00 per note (75.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,750.00 per note. |
Listing: |
The notes will not be listed on any securities exchange |
CUSIP / ISIN: |
17298CAP3 / US17298CAP32 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee(3) |
Proceeds to issuer |
Per note: |
$1,000.00 |
$35.00 |
$965.00 |
Total: |
$418,000.00 |
$14,630.00 |
$403,370.00 |
(1) On the date of this pricing supplement, the estimated value
of the notes is $930.70 per note, which is less than the issue price. The estimated value of the notes is based on CGMI’s
proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates,
nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the notes from you at any
time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) The issue price for investors purchasing the notes in fee-based
advisory accounts will be $965.00 per note, assuming no custodial fee is charged by a selected dealer, and up to $970.00, assuming
the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution” in this pricing
supplement.
(3) CGMI, an affiliate of Citigroup Inc. and the underwriter of the sale of the notes, is acting as principal and will receive
an underwriting fee of $35.00 for each $1,000 note sold in this offering. Selected dealers not affiliated with CGMI and their financial
advisors will collectively receive from CGMI a fixed selling concession of $30.00 for each $1,000 note they sell. CGMI will also
pay Infinex Investments, Inc., a registered broker-dealer, a fee of $5.00 per note with respect to certain notes sold in this offering
in consideration of its role in providing marketing and education services with respect to financial advisors. Additionally, it
is possible that CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes
declines. For more information on the distribution of the notes, see “Supplemental Plan of Distribution” in this pricing
supplement and “Use of Proceeds and Hedging” in the accompanying prospectus.
Investing in the notes involves risks not associated with
an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-3.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the notes or determined that this pricing
supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or
complete. Any representation to the contrary is a criminal offense.
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:
Product
Supplement No. EA-03-03 dated November 13, 2013 Underlying
Supplement No. 3 dated November 13, 2013
Prospectus
Supplement and Prospectus each dated November 13, 2013
The notes are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
Additional
Information
The terms of the notes 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 Notes—Certain Additional Terms for Notes 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 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 notes. Certain terms used but not defined in this pricing supplement
are defined in the accompanying product supplement.
Hypothetical
Examples
The diagram below illustrates your payment at maturity for a
range of hypothetical percentage changes from the initial index level to the final index level.
Investors in the notes will not receive any dividends on the
stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield over
the term of the notes. See “Summary Risk Factors—Investing in the notes is not equivalent to investing in the underlying
index or the stocks that constitute the underlying index” below.
Market-Linked Notes Payment at Maturity Diagram |
|
Your actual payment at maturity per note will depend on the actual
final index level. The examples below are intended to illustrate how your payment at maturity will depend on whether the final
index level is greater than or less than the initial index level and by how much.
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
Example 1—Upside Scenario A. The hypothetical final
index level is 4,047.05 (an approximately 10.00% increase from the initial index level), which is greater than the initial
index level.
Payment at maturity per note |
= $1,000 + the note return amount |
|
= $1,000 + ($1,000 × index return), subject to the maximum return at maturity of $750.00 |
|
= $1,000 + ($1,000 × 10.00%), subject to the maximum return at maturity of $750.00 |
|
= $1,000 + $100.00, subject to the maximum return at maturity of $750.00 |
|
= $1,100.00 |
Because the underlying index appreciated by 10.00% from its initial
index level to its hypothetical final index level and the note return amount of $100.00 results in a total return at maturity of
10.00%, which is less than the maximum return at maturity of 75.00%, your total return at maturity in this scenario would be 10.00%.
Example 2—Upside Scenario B. The hypothetical final
index level is 6,990.37 (an approximately 90.00% increase from the initial index level), which is greater than the initial
index level.
Payment at maturity per note |
= $1,000 + the note return amount |
|
= $1,000 + ($1,000 × index return), subject to the maximum return at maturity of $750.00 |
|
= $1,000 + ($1,000 × 90.00%), subject to the maximum return at maturity of $750.00 |
|
= $1,000 + $900.00, subject to the maximum return at maturity of $750.00 |
|
= $1,750.00 |
Because the underlying index appreciated by 90.00% from its initial
index level to its hypothetical final index level and the note return amount of $900.00 results in a total return at maturity of
90.00%, which is greater than the maximum return at maturity of 75.00%, your total return at maturity in this scenario would equal
the maximum return at maturity of 75.00%. In this scenario, an investment in the notes would underperform a hypothetical alternative
investment providing 1-to-1 exposure to the appreciation of the underlying index without a maximum return at maturity.
Example 3—Par Scenario. The hypothetical final index
level is 3,311.23 (an approximately 10.00% decrease from the initial index level), which is less than the initial index
level.
Payment at maturity per note |
= $1,000 + the note return amount |
|
= $1,000 + $0 |
|
= $1,000 |
Because the underlying index depreciated from its initial index
level to its hypothetical final index level, the payment at maturity per note would equal the $1,000 stated principal amount per
note.
Summary Risk Factors
An investment in the notes is significantly riskier than an investment
in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt
securities, including the risk that we may default on our obligations under the notes, and are also subject to risks associated
with the underlying index. Accordingly, the notes are suitable only for investors who are capable of understanding the complexities
and risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an investment in the notes
and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the notes. You should read this summary together with the more detailed description of risks relating to an investment in the
notes contained in the section “Risk Factors Relating to the Notes” beginning on page EA-6 in the accompanying product
supplement. You should also carefully read the risk factors included in the documents incorporated by reference in the accompanying
prospectus, including our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe
risks relating to our business more generally.
| ▪ | You may not receive any return on your investment in the notes. You will receive a positive return on your investment
in the notes only if the underlying index appreciates from the initial index level to the final index level. If the final index
level is equal to or less than the initial index level, you will receive only the stated principal amount of $1,000 for each note
you hold at maturity. As the notes do not pay any interest, even if the underlying index appreciates from the initial index level
to the final index level, there is no assurance that your total return at maturity on the notes will be as great as could have
been achieved on conventional debt securities of ours of comparable maturity. |
| ▪ | The notes do not pay interest. Unlike conventional debt securities, the notes do not pay interest or any other amounts
prior to maturity. You should not invest in the notes if you seek current income during the term of the notes. |
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
| ▪ | Your potential return on the notes is limited. Your potential total return on the notes at maturity is limited to the
maximum return at maturity of 75.00%, which is equivalent to a maximum return at maturity of $750.00 per note. Any increase in
the final index level over the initial index level by more than 75.00% will not increase your return on the notes. |
| ▪ | Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in real value terms if the underlying index declines or does not appreciate sufficiently from the initial index
level to the final index level. This is because inflation may cause the real value of the stated principal amount to be less
at maturity than it is at the time you invest, and because an investment in the notes represents a forgone opportunity to invest
in an alternative asset that does generate a positive real return. This potential loss in real value terms is significant given
the 7-year term of the notes. You should carefully consider whether an investment that may not provide for any return on your investment,
or may provide a return that is lower than the return on alternative investments, is appropriate for you. |
| ▪ | Investing in the notes is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of May 22, 2015, the average dividend yield of the underlying index was
approximately 3.35% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the notes, you would be forgoing an aggregate yield of approximately 23.45%
(assuming no reinvestment of dividends) by investing in the notes instead of investing directly in the stocks that constitute the
underlying index or in another investment linked to the underlying index 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 notes. If the
underlying index appreciates, this lost dividend yield will cause the notes to underperform an alternative investment providing
for a pass-through of dividends and 1-to-1 exposure to the performance of the underlying index. |
| ▪ | Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment
at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that
the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the notes. If you had invested in another instrument linked to the underlying index 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
index, you might have achieved better returns. |
| ▪ | The notes are subject to the credit risk of Citigroup Inc. If we default on our obligations under the notes, you may
not receive anything owed to you under the notes. |
| ▪ | The notes will not be listed on a securities exchange and you may not be able to sell them prior to maturity. The notes
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis.
Any indicative bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the notes can be sold at
that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any
time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the notes
because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly,
an investor must be prepared to hold the notes until maturity. |
| ▪ | Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the
full stated principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity.
The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity, you
may receive less than the full stated principal amount of your notes. |
| ▪ | The estimated value of the notes on the pricing date, based on CGMI’s proprietary pricing models and our internal
funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring
and hedging the notes that are included in the issue price. These costs include (i) the selling concessions and other fees paid
in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with
the offering of the notes and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our
affiliates in connection with hedging our obligations under the notes. These costs adversely affect the economic terms of the notes
because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are
also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the
notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary market rate”
below. |
| ▪ | The estimated value of the notes was determined for us by our affiliate using proprietary pricing models. CGMI derived
the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it
may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend
yields on the stocks that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from
your or others’ views, |
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
| | and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the
models may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value
of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated
value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value. |
| ▪ | The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated
value of the notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than the market
rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we
refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market
rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors
such as the costs associated with the notes, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the
notes, which do not bear interest. |
| ▪ | The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing
to buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes
based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this
pricing supplement, any value of the notes determined for purposes of a secondary market transaction will be based on our secondary
market rate, which will likely result in a lower value for the notes than if our internal funding rate were used. In addition,
any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated
principal amount of the notes to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging
transactions. As a result, it is likely that any secondary market price for the notes will be less than the issue price. |
| ▪ | The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes
prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors, including
the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the time remaining to maturity and our creditworthiness, as reflected in our secondary
market rate. You should understand that the value of your notes at any time prior to maturity may be significantly less than the
issue price. |
| ▪ | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Notes” in this pricing supplement. |
| ▪ | The underlying index is subject to risks associated with the Eurozone. The companies whose stocks constitute the underlying
index are leading companies in the Eurozone. A number of countries in the Eurozone are undergoing a financial crisis affecting
their economies, their ability to meet their sovereign financial obligations and their financial institutions. Countries in the
Eurozone that are not currently experiencing a financial crisis may do so in the future as a result of developments in other Eurozone
countries. The economic ramifications of this financial crisis, and its effects on the companies that make up the underlying index,
are impossible to predict. This uncertainty may contribute to significant volatility in the underlying index, and adverse developments
affecting the Eurozone may affect the underlying index in a way that adversely affects the value of and return on the notes. Furthermore,
you should understand that there is generally less publicly available information about non-U.S. companies than about U.S. companies
that are subject to the reporting requirements of the SEC, and non-U.S. companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S.
reporting companies. |
| ▪ | The underlying index performance will not be adjusted for changes
in the exchange rate between the Euro and the U.S. dollar. The underlying index is composed of stocks traded in Euro, the value
of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the underlying
index and the value of your notes will not be adjusted for exchange rate fluctuations. If the Euro appreciates relative to the
U.S. dollar over the term of the notes, your return on the notes will underperform an alternative investment that offers exposure
to that appreciation in addition to the change in the level of the underlying index. |
| ▪ | Our offering of the notes does not constitute a recommendation of the underlying index. The fact that we are offering
the notes does not mean that we believe that investing in an instrument linked to the underlying index is likely to achieve favorable
returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions)
in the stocks that constitute the underlying index or in instruments related to the underlying index or such stocks, and may publish
research or express opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other
activities of our affiliates may affect the level of the underlying index in a way that has a negative impact on your interests
as a holder of the notes. |
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
| ▪ | The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the notes through CGMI or other of our affiliates, who have taken positions directly in the
stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks and
may adjust such positions during the term of the notes. Our affiliates also trade the stocks that constitute the underlying index
and other financial instruments related to the underlying index or such stocks 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 level of the underlying index in a way that negatively affects the value of the notes. They could also
result in substantial returns for us or our affiliates while the value of the notes declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute
the underlying index, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the notes.
If certain events occur, such as market disruption events or the discontinuance of the 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 notes. |
| ▪ | Adjustments to the underlying index may affect the value of your notes. STOXX Limited (the “underlying index publisher”)
may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes that could affect
the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the
underlying index at any time without regard to your interests as holders of the notes. |
Information
About the Underlying Index
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50® Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the notes. For more information, see “Equity Index Descriptions—EURO STOXX 50®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—EURO
STOXX 50® Index” in the accompanying underlying supplement for important disclosures regarding the underlying
index.
Historical Information
The closing level of the underlying index on May 22, 2015 was
3,679.14.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to May 22, 2015. We obtained the closing levels from Bloomberg L.P.,
without independent verification. You should not take the historical levels of the underlying index as an indication of future
performance.
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
EURO STOXX 50® Index – Historical Closing Levels
January 4, 2010 to May 22, 2015 |
|
United States
Federal Tax Considerations
In the opinion of our tax counsel, Davis
Polk & Wardwell LLP, based on current market conditions, the notes should be treated as “contingent payment debt instruments”
for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called “United States
Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,”
and the remaining discussion is based on this treatment. If you are a U.S. Holder, you will be required to recognize interest income
during the term of the notes at the “comparable yield,” which generally is the yield at which we could issue a fixed-rate
debt instrument with terms similar to those of the notes, including the level of subordination, term, timing of payments and general
market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity of the notes. We are required
to construct a “projected payment schedule” in respect of the notes representing a payment the amount and timing of
which would produce a yield to maturity on the notes equal to the comparable yield. Assuming you hold the notes until their maturity,
the amount of interest you include in income based on the comparable yield in the taxable year in which the notes mature will be
adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the notes at maturity
as determined under the projected payment schedule. However, special rules may apply if the payment at maturity on the notes is
treated as becoming fixed prior to maturity. See “United States Federal Tax Considerations—Tax Consequences to U.S.
Holders—Notes Treated as Contingent Payment Debt Instruments” in the accompanying product supplement for a more detailed
discussion of the special rules.
Upon the sale, exchange or retirement of
the notes prior to maturity, you generally will recognize gain or loss equal to the difference between the proceeds received and
your adjusted tax basis in the notes. Your adjusted tax basis will equal your purchase price for the notes, increased by interest
previously included in income on the notes. Any gain generally will be treated as ordinary income, and any loss generally will
be treated as ordinary loss to the extent of prior interest inclusions on the note and as capital loss thereafter.
We have determined that the comparable yield
for a note is a rate of 3.009%, compounded semi-annually, and that the projected payment schedule with respect to a note consists
of a single payment of $1,232.357 at maturity. The following table states the amount of interest (without taking into account any
adjustment to reflect the difference, if any, between the actual and the projected amount of the contingent payment on a note)
that will be deemed to have accrued with respect to a note for each accrual period (assuming a day count convention of 30 days
per month and 360 days per year), based upon the comparable yield set forth above:
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
ACCRUAL
PERIOD |
OID
DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER NOTE) |
TOTAL
OID DEEMED TO HAVE ACCRUED FROM ISSUE DATE (PER NOTE) AS OF END OF ACCRUAL PERIOD |
Issue date through June 30, 2015 |
$2.675 |
$2.675 |
July 1, 2015 through December 31, 2015 |
$15.085 |
$17.760 |
January 1, 2016 through June 30, 2016 |
$15.312 |
$33.072 |
July 1, 2016 through December 31, 2016 |
$15.543 |
$48.615 |
January 1, 2017 through June 30, 2017 |
$15.776 |
$64.391 |
July 1, 2017 through December 31, 2017 |
$16.014 |
$80.405 |
January 1, 2018 through June 30, 2018 |
$16.255 |
$96.660 |
July 1, 2018 through December 31, 2018 |
$16.499 |
$113.159 |
January 1, 2019 through June 30, 2019 |
$16.747 |
$129.906 |
July 1, 2019 through December 31, 2019 |
$16.999 |
$146.906 |
January 1, 2020 through June 30, 2020 |
$17.255 |
$164.161 |
July 1, 2020 through December 31, 2020 |
$17.515 |
$181.676 |
January 1, 2021 through June 30, 2021 |
$17.778 |
$199.454 |
July 1, 2021 through December 31, 2021 |
$18.046 |
$217.500 |
January 1, 2022 through the maturity date |
$14.857 |
$232.357 |
Neither the comparable yield nor the
projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the notes.
Subject to the discussion in the accompanying
product supplement regarding “FATCA,” if you are a Non-U.S. Holder (as defined in the accompanying product supplement)
of the notes, under current law you generally will not be subject to U.S. federal withholding or income tax in respect of any payment
on or any amount received on the sale, exchange or retirement of the notes, provided that (i) income in respect of the notes is
not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements. See “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders”
in the accompanying product supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
You should read the section entitled
“United States Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read
in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
tax consequences of owning and disposing of the notes.
You should also consult your tax adviser
regarding all aspects of the U.S. federal tax consequences of an investment in the notes and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Inc. and the underwriter of the
sale of the notes, is acting as principal and will receive an underwriting fee of $35.00 for each $1,000 note sold in this offering
(or up to $5.00 per note in the case of sales to fee-based advisory accounts). From this underwriting fee, CGMI will pay selected
dealers not affiliated with CGMI and their financial advisors collectively a fixed selling concession of $30.00 for each $1,000
note they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers not affiliated with CGMI, which
may include dealers acting as custodians, a variable selling concession of up to $5.00 for each $1,000 note they sell to fee-based
advisory accounts. CGMI will also pay Infinex Investments, Inc., a registered broker-dealer, a fee of $5.00 per note with respect
to certain notes sold in this offering in consideration of its role in providing marketing and education services with respect
to financial advisors.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the notes, either directly or indirectly, without the prior written consent of the
client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the notes will
be used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the notes declines. This hedging
activity could affect the closing level of the underlying index and, therefore,
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
the value of and your return on the notes. For additional information
on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
Valuation of
the Notes
CGMI calculated the estimated value of the notes set forth on
the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (the “derivative component”). CGMI calculated the estimated value of the
bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute
the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The value
of the notes prior to maturity will fluctuate based on many unpredictable factors” in this pricing supplement, but not including
our creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately four months following issuance
of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through
one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise
be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its
affiliates over the term of the notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the four-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time. See
“Summary Risk Factors—The notes will not be listed on a securities exchange and you may not be able to sell them prior
to maturity.”
Validity of
the Notes
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Inc., when the notes offered by this pricing supplement have been executed and issued by Citigroup Inc. and
authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such notes will be valid and binding
obligations of Citigroup Inc., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except
that such counsel expresses no opinion as to the application of state notes or Blue Sky laws to the notes.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinion set forth below of Michael J. Tarpley, Associate General Counsel–Capital Markets
of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated November 13, 2013, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on November
13, 2013, that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement
of the trustee and that none of the terms of the notes nor the issuance and delivery of the notes, nor the compliance by Citigroup
Inc. with the terms of the notes, will result in a violation of any provision of any instrument or agreement then binding upon
Citigroup Inc. or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Inc.
In the opinion of Michael J. Tarpley, Associate General Counsel–Capital
Markets of Citigroup Inc., (i) the terms of the notes offered by this pricing supplement have been duly established under the indenture
and the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the issuance and sale
of such notes and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing
under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed, and delivered by Citigroup Inc.;
and (iv) the execution and delivery of such indenture and of the notes offered by this pricing supplement by Citigroup Inc., and
the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the General Corporation Law of the State of Delaware.
Michael J. Tarpley, or other internal attorneys with whom he
has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of
such corporate records of Citigroup Inc., certificates or documents as he has deemed appropriate as a basis for the opinions expressed
above. In such examination, he or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to him or such persons as originals,
the conformity to original documents of all documents submitted to him or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
Citigroup Inc. |
Market-Linked Notes Based on the EURO STOXX 50® Index Due May 26, 2022 |
|
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 2015 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2024 to Oct 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Oct 2023 to Oct 2024