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 |
$652,000 |
$75.76 |
| (1) | Calculated in accordance with Rule 457(r) of the Securities Act. |
| (2) | Pursuant to Rule 457(p) under the Securities Act, the $228,500.70 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 $75.76 is offset against
the registration fee due for this offering and of which $228,424.94 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. |
|
June
24, 2015
Medium-Term
Senior Notes, Series G
Pricing
Supplement No. 2015-CMTNG0591
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement No. 333-192302
|
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged
Upside SecuritiesSM
Principal at Risk Securities
| ▪ | The
securities offered by this pricing supplement are unsecured debt securities issued by
Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest
and do not repay a fixed amount of principal at maturity. Instead, the securities offer
a payment at maturity that may be greater than, equal to or less than the stated principal
amount, depending on the performance of the S&P GSCITM Excess Return (the
“underlying index”) from the initial index level to the final index level.
The underlying index tracks the value of hypothetical positions in 24 physical commodity
futures contracts (“commodity futures”), where the positions are notionally
“rolled” periodically out of expiring futures contracts and into futures
contracts with later expiration dates. |
| ▪ | The
securities offer leveraged exposure to a limited range of potential appreciation of the
underlying index. However, if the underlying index depreciates, investors in the securities
will have full downside exposure to that depreciation. If the final index level is
less than the initial index level, you will lose 1% of the stated principal amount of
your securities for every 1% of that decline. In exchange for leveraged upside exposure
within a limited range if the underlying index appreciates, investors in the securities
must be willing to forgo interest and any appreciation of the underlying index in excess
of the maximum return at maturity. In addition, investors must be willing to accept a
means of gaining exposure to commodities that may be adversely affected by “negative
roll yields” in “contango” markets. See “Risk Factors Relating
to the Securities—The securities may be adversely affected by “negative roll
yields” in “contango” markets” in this pricing supplement for
important information about the commodity exposure that the underlying index provides. |
| ▪ | In
order to obtain the modified exposure to the underlying index that the securities 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 securities if we default
on our obligations. All payments on the securities are subject to the credit risk
of Citigroup Inc. |
KEY TERMS |
|
Underlying index: |
The S&P GSCITM Excess Return (ticker symbol: “SPGCCIP”) |
Aggregate stated principal amount: |
$652,000 |
Stated principal amount: |
$1,000 per security |
Pricing date: |
June 24, 2015 |
Issue date: |
June 29, 2015 |
Valuation date: |
July 25, 2016, subject to postponement if such date is not a scheduled trading day |
Maturity date: |
July 28, 2016 |
Payment at maturity: |
For each $1,000 stated principal amount security you hold at maturity,
you will receive the following amount:
▪ If
the final index level is greater than the initial index level:
$1,000 + the leveraged return amount, subject to the maximum return at maturity
▪ If
the final index level is less than or equal to the initial index level:
$1,000 × the index performance factor
If the underlying index declines from the initial
index level to the final index level, your payment at maturity will be less, and possibly significantly less, than the $1,000 stated
principal amount. You may lose up to all of your investment.
|
Initial index level: |
308.6000, 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 performance factor: |
The final index level divided by the initial index level |
Index percent increase: |
The final index level minus the initial index level, divided by the initial index level |
Leveraged return amount: |
$1,000 × the index percent increase × the leverage factor |
Leverage factor: |
150.00% |
Maximum return at maturity: |
$132.50 per security (13.25% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,132.50 per security. |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17298CCH9 / US17298CCH97 |
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 |
Proceeds to issuer |
Per security: |
$1,000 |
$17.50(2) |
$977.50 |
|
|
$5.00(3) |
|
Total: |
$652,000 |
$14,670.00 |
$637,330.00 |
(1) On the date of this pricing
supplement, the estimated value of the securities is $966.40 per security, which is less than the issue price. The estimated value
of the securities is based on CGMI's proprietary pricing models and our internal funding rate. It is not an indication of actual
profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may
be willing to buy the securities from you at any time after issuance. See “Valuation of the Securities” in this pricing
supplement.
(2) CGMI, an affiliate of Citigroup Inc. and the underwriter of the sale of the securities, is acting as principal and will receive
an underwriting fee of $22.50 for each $1,000 security sold in this offering. Certain selected dealers, including Morgan Stanley
Wealth Management and their financial advisors, will collectively receive from CGMI a fixed selling concession of $17.50 for each
$1,000 security they sell. Additionally, it is possible that 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.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by CGMI of $5.00 for each security.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Risk Factors Relating to the Securities” beginning on page
PS-4.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying 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 underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below:
The
securities are not futures contracts and are offered pursuant to an exemption from regulation under the Commodity Exchange Act.
Accordingly, you are not afforded any protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity
Futures Trading Commission. The securities are not bank deposits and are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
Investment
Summary
The securities can be used:
| § | As an alternative to direct exposure to the underlying index that enhances returns, subject to the maximum return at maturity,
for a limited range of potential appreciation of the underlying index; |
| § | To enhance returns and potentially outperform the underlying index in a moderately bullish scenario; and |
| § | To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum return
at maturity, while using fewer dollars by taking advantage of the leverage factor. |
If the final index level is less than the initial index level,
the securities are exposed on a 1-to-1 basis to the percentage of that decline. Accordingly, investors may lose their entire initial
investment in the securities.
Maturity: |
Approximately 13 months |
Leverage factor: |
150.00%, subject to the maximum return at maturity. The leverage factor applies only if the final index level is greater than the initial index level. |
Maximum return at maturity: |
$132.50 per security (13.25% of the stated principal amount) |
Minimum payment at maturity: |
None. Investors may lose their entire initial investment in the securities. |
Interest: |
None |
Key Investment
Rationale
The securities provide for the possibility of receiving a return
at maturity equal to 150.00% of the appreciation of the underlying index, provided that investors will not receive a return
at maturity in excess of the maximum return at maturity, which is $132.50 per security. At maturity, if the underlying index has
appreciated in value, investors will receive the stated principal amount of their investment plus the leveraged upside
performance of the underlying index, subject to the maximum return at maturity. However, if the underlying index has depreciated
in value, investors will lose 1% for every 1% decline in the value of the underlying index from the initial index level.
Under these circumstances, the payment at maturity will be less than the stated principal amount and could be zero. Investors
may lose their entire initial investment in the securities. All payments on the securities are subject to the credit risk of
Citigroup Inc.
Leveraged Upside Performance: |
The securities offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index within a limited range of positive performance |
Upside Scenario: |
If the final index level is greater than the initial index level, the payment at maturity for each security will be equal to the $1,000 stated principal amount plus the leveraged return amount, subject to the maximum return at maturity of $132.50 per security (13.25% of the stated principal amount). For example, if the final index level is 5% greater than the initial index level, the securities will provide a total return of 7.50% at maturity. |
Downside Scenario: |
If the final index level is less than the initial index level, you will lose 1% for every 1% decline in the value of the underlying index from the initial index level and the payment at maturity will be less than the stated principal amount. For example, if the final index level is 30% less than the initial index level, you will receive a payment at maturity of $700.00 per security, or 70% of the stated principal amount. There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment. |
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.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
PLUS
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Index |
Your actual payment at maturity per security 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.
Example 1—Upside Scenario A. The hypothetical final
index level is 324.0300 (a 5.00% increase from the initial index level), which is greater than the initial index level.
Payment at maturity per security = $1,000 + the leveraged return
amount, subject to the maximum return at maturity of $132.50 per security
= $1,000 + ($1,000 × the index percent increase ×
the leverage factor), subject to the maximum return at maturity of $132.50 per security
= $1,000 + ($1,000 × 5.00% × 150.00%), subject to
the maximum return at maturity of $132.50 per security
= $1,000 + $75.00, subject to the maximum return at maturity
of $132.50 per security
= $1,075.00
Because the underlying index appreciated from the initial index
level to the hypothetical final index level and the leveraged return amount of $75.00 per security results in a total return at
maturity of 7.50%, which is less than the maximum return at maturity of 13.25%, your payment at maturity in this scenario would
be equal to the $1,000 stated principal amount per security plus the leveraged return amount, or $1,075.00 per security.
Example 2—Upside Scenario B. The hypothetical final
index level is 416.6100 (a 35.00% increase from the initial index level), which is greater than the initial index level.
Payment at maturity per security = $1,000 + the leveraged return
amount, subject to the maximum return at maturity of $132.50 per security
= $1,000 + ($1,000 × the index percent increase ×
the leverage factor), subject to the maximum return at maturity of $132.50 per security
= $1,000 + ($1,000 × 35.00% × 150.00%), subject to
the maximum return at maturity of $132.50 per security
= $1,000 + $525.00, subject to the maximum return at maturity
of $132.50 per security
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
= $1,132.50
Because the underlying index appreciated from the initial index
level to the hypothetical final index level and the leveraged return amount of $525.00 per security would result in a total return
at maturity of 52.50%, which is greater than the maximum return at maturity of 13.25%, your payment at maturity in this scenario
would equal the maximum payment at maturity of $1,132.50 per security. In this scenario, an investment in the securities would
underperform a hypothetical alternative investment providing 1-to-1 exposure to the appreciation of the underlying index without
a maximum return.
Example 3—Downside Scenario. The hypothetical final
index level is 92.5800 (a 70.00% decrease from the initial index level), which is less than the initial index level.
Payment at maturity per security = $1,000 × the index performance
factor
= $1,000 × 30.00%
= $300.00
Because the hypothetical final index level decreased from the
initial index level, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the
underlying index.
Risk Factors
Relating to the Securities
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, including the risk that we may default on our obligations under the securities, and are also
subject to risks associated with the underlying index. 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 the risk factors below together with the more detailed description of risks relating to the
underlying index contained in the section “Risk Factors” beginning on page 1 in the accompanying underlying 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 lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed
amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index. If the
final index level is less than the initial index level, you will lose 1% of the stated principal amount of the securities for every
1% by which the final index level is less than the initial index level. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment. |
| ▪ | The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other
amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities. |
| ▪ | The securities may be adversely affected by “negative roll yields” in “contango” markets. The
underlying index tracks the value of hypothetical positions in futures contracts on physical commodities, where each position is
notionally “rolled” periodically out of one futures contract as the expiration date of that futures contract approaches
and into another futures contract on the same underlying commodity with a later expiration date. Unlike stocks, which typically
entitle the holder to a continuing stake in a corporation, commodity futures specify a certain future date for the physical delivery
of a commodity. In order to avoid physical delivery and maintain continuing exposure to commodity futures, the underlying index
unwinds its hypothetical position in each futures contract shortly before its expiration date and replaces that position with a
hypothetical position in another futures contract on the same underlying commodity with a later expiration date. For example,
a futures contract entered into in August may specify a September expiration. As the September expiration date approaches,
the futures contract expiring in September may be replaced with a futures contract on the same underlying commodity expiring in
October. We refer to this process as “rolling” exposure to an expiring futures contract into another futures
contract on the same underlying commodity with a later expiration date. Through this rolling process, the underlying index is able
to reflect continuing exposure to futures contracts on the same underlying commodities. |
The “rolling”
feature of the underlying index creates the potential for a significant negative effect on the level of the underlying index—which
we refer to as a “negative roll yield”—that is independent of the performance of the spot prices of the underlying
physical commodities tracked by the underlying index. The “spot price” of a commodity is the price of that commodity
for immediate delivery, as opposed to a futures price, which represents the price for delivery on a specified date in the future.
The underlying index would be expected to experience negative roll yield if commodity futures prices tend to be greater than the
spot prices for the relevant commodities. A market where futures prices are generally greater than spot prices is referred to as
a “contango” market.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Futures prices on
a commodity may be greater than spot prices for a variety of reasons, including costs of storing the commodity until the delivery
date, financing costs and market expectations that future spot prices may be higher than current spot prices. As any commodity
futures contract approaches expiration, its value will approach the spot price of the relevant commodity, because by expiration
it will effectively represent a contract to buy or sell that commodity for immediate (or “spot”) delivery. Therefore,
if the futures market for a given commodity is in contango, then the value of a futures contract on that commodity would tend to
decline over time (assuming the spot price remains unchanged), because the higher futures price would fall as it converges to the
lower spot price by expiration. If the futures market for a given commodity is in contango and the spot price of that commodity
remains constant, the underlying index would enter into a hypothetical position in a futures contract on that commodity at the
higher contango futures price and then unwind that position near the lower spot price just prior to expiration of that contract,
and then enter into a hypothetical position in a new futures contract on that commodity at the higher contango futures price and
unwind that position near the lower spot price, and so on over the term of the securities, all the while accumulating losses from
the erosion in value that results as the higher contango price declines toward the lower spot price.
Prospective investors in the securities should
understand that futures on many of the commodities underlying the underlying index have historically been in contango markets.
Therefore, there is a significant risk that negative roll yields may adversely affect the level of the underlying index and the
return you receive on the securities. Any negative roll yield will offset any gains in the spot prices of the underlying commodities
that may occur over the term of the securities, exacerbate any decline and cause a steady erosion in value if the spot prices of
the underlying commodities remain relatively constant.
| ▪ | Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited
to the maximum return at maturity of 13.25%, which is equivalent to a maximum return at maturity of $132.50 per security and would
result in a maximum payment at maturity of $1,132.50 per security. Taking into account the leverage factor, any increase in the
final index level over the initial index level by more than approximately 8.83% will not increase your return on the securities
and will progressively reduce the effective amount of leverage provided by the securities. |
| ▪ | 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 securities. If you had invested directly in the futures contracts that constitute the underlying index
or 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 securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities,
you may not receive anything owed to you under the securities. In addition, changes in our actual or perceived creditworthiness
are likely to affect the value of the securities prior to maturity. |
| ▪ | The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity.
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. |
| ▪ | The estimated value of the securities 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 securities that are included in the issue price. These costs include (i) the selling concessions and structuring
fees 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. |
| ▪ | The estimated value of the securities 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, |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
it may have made discretionary judgments
about the inputs to its models, such as the volatility of the underlying index 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.
| ▪ | The estimated value of the securities would be lower if it were calculated based on our secondary market rate. 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
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 securities, which are generally higher than the costs associated with conventional debt securities,
and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the
securities, which do not bear interest. |
| ▪ | The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be
willing to buy the securities from you in the secondary market. 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. |
| ▪ | The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your
securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors,
including those described below. Some of these factors are interrelated in complex ways. As a result, the effect of any one factor
may be offset or magnified by the effect of one or more other factors. The paragraphs below describe what we expect to be the impact
on the value of the securities of a change in a specific factor, assuming all other conditions remain constant. You should understand
that the value of your securities at any time prior to maturity may be significantly less than the issue price. |
| ▪ | Level of the underlying index. We expect that the value of the securities at any time prior to maturity will depend
substantially on the level of the underlying index at that time. If the level of the underlying index decreases following the pricing
date, the value of your securities will also likely decline, perhaps significantly. Even at a time when the level of the underlying
index is greater than the initial index level, the value of your securities may nevertheless be significantly less than the stated
principal amount of your securities because of expectations that the level will continue to fluctuate over the term of the securities,
among other reasons. |
| ▪ | Volatility of the level of the underlying index. Volatility refers to the magnitude and frequency of changes in the
level of the underlying index over any given period. Any increase in the expected volatility of the level of the underlying index
may adversely affect the value of the securities. |
| ▪ | Interest rates. We expect that the value of the securities will be affected by changes in U.S. interest rates. In general,
an increase in U.S. interest rates is likely to adversely affect the value of the securities. |
| ▪ | Time remaining to maturity. At any given time, the value of the securities may reflect a discount based on the amount
of time then remaining to maturity, which will reflect uncertainty about the change in the level of the underlying index over that
period. |
| ▪ | Creditworthiness of Citigroup Inc. The securities are subject to the credit risk of Citigroup Inc. Therefore, actual
or anticipated adverse changes in the creditworthiness of Citigroup Inc. may adversely affect the value of the securities. |
It is important for you to understand
that the impact of one of the factors discussed above may offset, or magnify, some or all of any change in the value of the securities
attributable to one or more of the other factors.
| ▪ | 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 |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
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.
| ▪ | If a commodity hedging disruption event occurs during the term of the securities, we may redeem the securities early for
an amount that may result in a significant loss on your investment. See “Additional Terms of the Securities—Commodity
Hedging Disruption Event” in this pricing supplement for information about the events that may constitute a commodity hedging
disruption event. If a commodity hedging disruption event occurs, we may redeem the securities prior to the maturity date for an
amount equal to the early redemption amount determined as of the early redemption notice date. The early redemption amount will
be determined in a manner based upon (but not necessarily identical to) CGMI’s then contemporaneous practices for determining
secondary market bid prices for the securities and similar instruments, subject to the exceptions and more detailed provisions
set forth under “Additional Terms of the Securities—Commodity Hedging Disruption Event” below. As discussed above,
any secondary market bid price is likely to be less than the issue price and, absent favorable changes in market conditions and
other relevant factors, is also likely to be less than the estimated value of the securities set forth on the cover page of this
pricing supplement. Accordingly, if a commodity hedging disruption event occurs, there is a significant likelihood that the early
redemption amount you receive will result in a loss on your investment in the securities. Moreover, in determining the early redemption
amount, the calculation agent will take into account the relevant event that has occurred, which may have a significant adverse
effect on the commodity markets generally, resulting in an early redemption amount that is significantly less than the amount you
paid for your securities. You may lose up to all of your investment. |
The early redemption amount may be significantly less
than the amount you would have received had we not elected to redeem the securities and had you been able instead to hold them
to maturity. For example, the early redemption amount may be determined during a market disruption that has a significant adverse
effect on the early redemption amount. That market disruption may be resolved by the time of the originally scheduled maturity
date and, had your payment on the securities been determined on the scheduled valuation date rather than on the early redemption
notice date, you might have achieved a significantly better return.
| ▪ | The calculation agent may make discretionary determinations in connection with a commodity hedging disruption event and
the early redemption amount that could adversely affect your return upon early redemption. The calculation agent will be required
to exercise discretion in determining whether a commodity hedging disruption event has occurred. If the calculation agent determines
that a commodity hedging disruption event has occurred and as a result we elect to redeem the securities upon the occurrence of
a commodity hedging disruption event, you may incur a significant loss on your investment in the securities. |
In addition, the calculation agent has broad discretion
to determine the early redemption amount, including the ability to make adjustments to proprietary pricing models and inputs to
those models in good faith and in a commercially reasonable manner. The fact that the calculation agent is our affiliate may cause
it to have interests that are adverse to yours as a holder of the securities. Under the terms of the securities, the calculation
agent has the authority to make determinations that may protect our economic interests while resulting in a significant loss to
you on your investment in the securities.
| ▪ | Prices of commodity futures contracts are characterized by high and unpredictable volatility, which could lead to high and
unpredictable volatility in the underlying index. Market prices of the commodity futures
contracts included in the underlying index tend to be highly volatile and may fluctuate rapidly based on numerous factors, including
the factors that affect the prices of the commodities underlying the commodity futures contracts included in the underlying index.
See “ — The market prices of the commodities underlying the futures contracts included in the underlying index will
affect the value of the securities” below. The prices of commodities and commodity futures contracts are subject to variables
that may be less significant to the values of traditional securities, such as stocks and bonds. These variables may create additional
investment risks that cause the value of the securities to be more volatile than the values of traditional securities. As a general
matter, the risk of low liquidity or volatile pricing around the maturity date of a commodity futures contract is greater than
in the case of other futures contracts because (among other factors) a number of market participants take physical delivery of
the underlying commodities. Many commodities are also highly cyclical. The high volatility and cyclical nature of commodity markets
may render such an investment inappropriate as the focus of an investment portfolio. |
| ▪ | The market prices of the commodities underlying the futures contracts included in the underlying index will affect the value
of the securities. Because the securities are linked
to the performance of the underlying index, which is composed of commodity futures contracts, we expect that generally the value
of the securities will depend in part on the market price of the commodities underlying those futures contracts. The prices of
the commodities upon which the futures contracts that compose the underlying index are based are affected by numerous factors,
including: changes in supply and demand relationships, governmental programs and policies, national and international monetary,
trade, political and economic events, wars and acts of terror, changes in interest and exchange rates, speculation and trading
activities in commodities and related contracts, general weather conditions, and agricultural, trade, fiscal and exchange control
policies. Many commodities are also highly cyclical. These factors, some of which are specific to the market for each such commodity,
may cause the value of the different commodities upon which the futures contracts that compose the underlying index are based,
as well as the futures contracts themselves, to move in inconsistent directions at inconsistent rates. This, in turn, will affect
the value of the securities. It is not possible to predict the aggregate effect of all or any combination of these factors. |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
| ▪ | Crude oil futures contracts make up a substantial portion of the underlying index, and the securities will therefore be
subject to risks affecting crude oil prices on a concentrated basis. The sponsor of the underlying index has disclosed that,
as of the most recent annual rebalancing, West Texas Intermediate and Brent crude oil futures contracts had target weights representing
approximately 50% of the underlying index. Therefore, the performance of the underlying index and, therefore, the securities will
be subject on a concentrated basis to risks affecting the performance of crude oil futures contracts. |
The price of crude oil is primarily affected by the
global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by
currency exchange rates. Crude oil prices are volatile and subject to dislocation. Demand for refined petroleum products by consumers,
as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use
as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas
exists. Because the precursors of demand for petroleum products are linked to economic activity, demand often reflects economic
conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to
general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular,
direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events
tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending
on many factors. These have traditionally included production decisions by the Organization of the Petroleum Exporting Countries
(“OPEC”) and other crude oil producers. Crude oil prices are determined with significant influence by OPEC. OPEC has
the potential to influence oil prices worldwide because its members possess a significant portion of the world’s oil supply.
More recently, crude oil prices have been affected by increased production from new sources, driven in part by the development
of new and more efficient production techniques. Such increases in supply may have a significant negative effect on crude oil prices.
Crude oil prices may also be affected by short-term changes in supply and demand because of trading activities in the oil market
and seasonality (e.g., weather conditions such as hurricanes). It is not possible to predict the aggregate effect of all or any
combination of these factors.
| ▪ | Holders of the securities will not benefit from regulatory protections of the Commodity Futures Trading Commission.
The securities are our direct obligations. The net proceeds to be received by us from the sale of the securities will not be used
to purchase or sell commodity futures or options contracts on commodity futures for the benefit of the holders of securities. An
investment in the securities does not constitute an investment in commodity futures or options contracts on commodity futures,
and holders of the securities will not benefit from the regulatory protections of the Commodity Futures Trading Commission (the
“CFTC”) afforded to persons who trade in such contracts. |
| ▪ | Legal and regulatory changes could adversely affect the return on and value of the securities. Futures contracts and
options on futures contracts, including the commodity futures contracts tracked by the underlying index, are subject to extensive
statutes, regulations, and margin requirements. The CFTC and the exchanges on which such futures contracts trade are authorized
to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative
position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, commodity
futures exchanges may have regulations designed to limit the amount of fluctuations in futures contract prices. These limits could
adversely affect the market prices of commodity futures. |
In addition, the regulation of commodity transactions
in the U.S. is subject to ongoing modification by government and judicial action. The effect on the value of the securities
of any future regulatory change is impossible to predict, but could be substantial and adverse to the interests of holders of the
securities. For example, the Dodd–Frank Wall Street Reform and Consumer Protection Act, which was enacted on July 21, 2010,
requires the CFTC to establish limits on the size of the positions any person may hold in futures contracts on a commodity, options
on such futures contracts and swaps that are economically equivalent to such contracts. In particular, the CFTC has proposed rules
to establish position limits that will apply to 28 agricultural, metals and energy futures contracts and futures, options and swaps
that are economically equivalent to those futures contracts, including many of the futures contracts included in the underlying
index. The limits will apply to a person’s combined position in futures, options and swaps on the relevant commodities. The
rules, if enacted in their proposed form, may reduce liquidity in the exchange-traded market for the relevant commodity futures,
which may, in turn, have an adverse effect on your payment at maturity. Market participants may decide, or be required to, sell
their positions in the relevant commodity futures as a result of these rules. While the effects of these or other regulatory developments
are difficult to predict, if broad market selling were to occur, it would likely lead to declines, possibly significant declines,
in the price of the relevant commodity futures and therefore, the level of the underlying index and the value of the securities.
| ▪ | Changes in exchange methodology may affect the value of your securities. The level of the underlying index depends on
the settlement prices of commodity futures as determined by the exchanges on which the relevant commodity futures contracts trade.
Such exchanges may from time to time change any rule or bylaw or take emergency action under their rules, any of which could adversely
affect the settlement prices of the relevant commodity futures and, in turn, your investment in the securities. |
| ▪ | Investing in the securities is not equivalent to investing in commodity futures. The return on the securities may not
reflect the return you would realize if you actually owned the commodity futures included in the underlying index. You will not
have any entitlement to commodity futures or commodities by virtue of your investment in the securities. |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
| ▪ | Distortions or disruptions of market trading in commodity futures could adversely affect the value of and return on the
securities. The commodity markets are subject to temporary distortions or other disruptions due to various factors, including
the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These circumstances
could adversely affect the settlement price of the commodity futures included in the underlying index and, therefore, the level
of the underlying index and the value of and return on the securities. In addition, if the scheduled valuation date is not a scheduled
trading day or is a disrupted day, the valuation date will be subject to postponement, as described under “Additional Terms
of the Securities” in this pricing supplement. If the valuation date is a disrupted day and it is not postponed, the calculation
agent will determine the level of the underlying index on the valuation date in its discretion. The calculation agent’s determination
of the level of the underlying index in this circumstance may result in an unfavorable return on the securities. |
| ▪ | The securities do not offer direct exposure to commodity spot prices. The securities are linked to the underlying index,
which tracks commodity futures contracts, not physical commodities (or their spot prices). The price of a commodity futures contract
reflects the expected value of a commodity upon delivery in the future, whereas the spot price of a commodity reflects the immediate
delivery value of the commodity. A variety of factors can lead to a disparity between the expected future price of a commodity
and the spot price at a given point in time, such as the cost of storing the commodity for the term of the futures contract, interest
charges incurred to finance the purchase of the commodity and expectations concerning supply and demand for the commodity. The
price movements of a futures contract are typically correlated with the movements of the spot price of the referenced commodity,
but the correlation is generally imperfect and price movements in the spot market may not be reflected in the futures market (and
vice versa). Accordingly, the securities may underperform a similar investment that is linked to commodity spot prices. |
| ▪ | The securities are linked to an excess return index and not a total return index. The
securities are linked to an excess return index and not a total return index. An excess return index, such as the underlying index,
reflects the returns that are potentially available through an unleveraged investment in the contracts composing that index. By
contrast, a “total return” index, in addition to reflecting those returns, also reflects interest that could be earned
on funds committed to the trading of the underlying futures contracts. |
| ▪ | The offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates.
You should not take the offering of the securities as an expression of our views or the views of our affiliates regarding how the
underlying index will perform in the future or as a recommendation to invest in the underlying index, including through an investment
in the securities. As we are part of a global financial institution, our affiliates may, and often do, have positions that conflict
with an investment in the securities, including short positions with respect to the underlying index or commodity futures. You
should undertake an independent determination of whether an investment in the securities is suitable for you in light of your specific
investment objectives and financial resources. |
| ▪ | Our affiliates may have published research, expressed opinions or provided recommendations that are inconsistent with investing
in the securities and may do so in the future, and any such research, opinions or recommendations could adversely affect the closing
level of the underlying index. CGMI and other of our affiliates may publish research from time to time relating to the underlying
index and/or commodity futures. Any research, opinions or recommendations provided by CGMI and other of our affiliates may influence
the closing level of the underlying index, and they may be inconsistent with purchasing or holding the securities. CGMI and other
of our affiliates may have published or may publish research or other opinions that call into question the investment view implicit
in an investment in the securities. Investors should make their own independent investigation of the underlying index and the merits
of investing in the securities. |
| ▪ | The level of the underlying index may be affected by our or our affiliates’ hedging and other trading activities.
In anticipation of the sale of the securities, we have hedged our obligations under the securities through CGMI or other of
our affiliates, who have taken positions in the commodity futures included in the underlying index or in instruments linked to
the underlying index or those commodity futures and may adjust such positions during the term of the securities. We or our counterparties
may also adjust this hedge during the term of the securities and close out or unwind this hedge on or before the valuation date,
which may involve, among other things, our counterparties purchasing or selling such commodity futures or other instruments. This
hedging activity on or prior to the pricing date could potentially affect the level of the underlying index on the pricing date
and, accordingly, potentially increase the initial index level, which may adversely affect your return on the securities. Additionally,
this hedging activity during the term of the securities, including on or near the valuation date, could negatively affect the closing
level of the underlying index on the valuation date and, therefore, adversely affect your payment at maturity. This hedging activity
may present a conflict of interest between your interests as a holder of the securities and the interests we and/or our counterparties,
which may be our affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities could
also affect the price, if any, at which CGMI may be willing to purchase your securities in a secondary market transaction. |
CGMI and other of our affiliates
may also trade the commodity futures included in the underlying index and/or instruments linked to the underlying index or those
commodity futures on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their
management or to facilitate transactions, including block transactions, on behalf of customers. As with
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
our or our affiliates’ hedging
activity, this trading activity could affect the closing level of the underlying index on the valuation date and, therefore, adversely
affect the performance of the securities.
It is possible that these hedging
or trading activities could result in substantial returns for our affiliates while the value of the securities declines.
| ▪ | Adjustments to the underlying index could adversely affect the value of the securities. The index sponsor may add, delete
or substitute the futures contracts that constitute the underlying index or make other methodological changes that could affect
the level of the underlying index. Moreover, the index sponsor may discontinue or suspend calculation or publication of the underlying
index at any time. In this latter case, the calculation agent will have the sole discretion to substitute a successor index as
described under “Additional Terms of the Securities—Discontinuance or Material Modification of the Underlying Index”
below, and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates. |
| ▪ | We have no affiliation with the index sponsor and are not responsible for its public disclosures. We are not affiliated
with the index sponsor, which is not involved in our offering of the securities in any way. Consequently, we have no control over
the actions of such index sponsor, including any actions that could adversely affect the level of the underlying index. The index
sponsor has no obligation to consider your interests as an investor in the securities in taking any such actions. None of the money
you pay for the securities will go to the index sponsor. In addition, as we are not affiliated with the index sponsor, we do not
assume any responsibility for the accuracy or adequacy of any information about the underlying index contained in the public disclosures
of the index sponsor. We have made no “due diligence” or other investigation into the index sponsor in connection with
the offering of the securities. As an investor in the securities, you should make your own investigation into the underlying index. |
| ▪ | The calculation agent, which is an affiliate of the issuer, will make important determinations with respect to the securities.
CGMI, the calculation agent for the securities, is an affiliate of ours and will determine the level of the underlying index
on the valuation date and the amount owed to you at maturity. In addition, in certain circumstances CGMI may be required to exercise
judgments in its capacity as calculation agent. In making these judgments, CGMI’s interests as an affiliate of ours could
be adverse to your interests as a holder of the securities. Such judgments could include, among other things: |
| ▪ | determining whether a commodity hedging disruption event has occurred or whether a market disruption event has occurred on
the valuation date; |
| ▪ | if the valuation date is not a trading day or if a market disruption event occurs on the valuation date, performing the alternative
calculation of the final index level described under “Additional Terms of the Securities—Consequences of a Market Disruption
Event; Postponement of the Valuation Date”; |
| ▪ | if a commodity hedging disruption event occurs, determining the early redemption amount; or |
| ▪ | selecting a successor underlying index or performing an alternative calculation of the level of the underlying index if the
underlying index is discontinued or materially modified. |
Any of these determinations made
by CGMI, in its capacity as calculation agent, may adversely affect your return on the securities.
| ▪ | The U.S. federal tax consequences of an investment in the securities are uncertain. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment for the securities, the tax consequences of ownership and disposition of the securities might
be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
possibly with retroactive effect. You should review carefully the section of this pricing supplement entitled “United States
Federal Tax Considerations.” 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. |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Information
About the Underlying Index
The S&P GSCITM Excess Return is the excess return
version of the S&P GSCI™, a composite index of commodity sector returns, calculated, maintained and published daily by
S&P Dow Jones Indices LLC. The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative
significance of the principal non-financial commodities (i.e., physical commodities) in the world economy. The S&P GSCI™
currently represents the return of a portfolio of 24 commodity futures contracts. The S&P GSCI™ Excess Return is an excess
return index and not a total return index. An excess return index reflects the returns that are potentially available through an
unleveraged investment in the contracts composing the index (which, in the case of the underlying index, are the designated commodity
futures contracts). By contrast, a total return index, in addition to reflecting those returns, would also reflect interest that
could be earned on funds committed to the trading of the underlying futures contracts. The S&P GSCITM Excess Return
is calculated and maintained by S&P Dow Jones Indices LLC (the “index sponsor”) and is reported by Bloomberg L.P.
under the ticker symbol “SPGCCIP.”
“Standard & Poor’s,” “S&P”
and “S&P 500®” are trademarks of Standard & Poor’s Financial Services LLC and have been
licensed for use by Citigroup Inc. and its affiliates. For more information, see “Commodity Index Descriptions—S&P
GSCI Indices—License Agreement” in the accompanying underlying supplement. Please refer to the sections “Risk
Factors” and “Commodity Index Descriptions—S&P GSCI Indices” in the accompanying underlying supplement
for important disclosures regarding the underlying index, including certain risks that are associated with an investment linked
to the underlying index.
Historical Information
The “closing level” of the underlying index
on any relevant day equals the official closing level of the underlying index published with respect to that day.
The closing level of the underlying index on June 24, 2015 was
308.6000.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to June 24, 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.
S&P GSCITM Excess Return – Historical Closing Levels
January 4, 2010 to June 24, 2015 |
|
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Additional
Terms of the Securities
General
The terms of the securities are set forth in the accompanying
prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying underlying supplement, prospectus
supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. It is important that
you read the accompanying underlying supplement, prospectus supplement and prospectus together with this pricing supplement before
deciding whether to invest in the securities.
Consequences of a Market Disruption Event; Postponement of
the Valuation Date
If the scheduled valuation date is not a scheduled trading day,
the valuation date will be postponed to the earlier of the next succeeding scheduled trading day and the business day immediately
preceding the maturity date. If the valuation date is not a trading day or a market disruption event occurs or is continuing on
the valuation date, then the final index level will not be the closing level of the underlying index on the valuation date, but
instead will be determined by the calculation agent in accordance with the formula for and method of calculating the closing level
of the underlying index last in effect immediately prior to the valuation date, using:
| · | with respect to each unaffected index contract, the official settlement price of that unaffected index contract as of the valuation
date (including any delayed publication of that official settlement price for the valuation date that occurred on or prior to the
determination of the final index level); and |
| · | with respect to each affected index contract, the official settlement price of that affected index contract on the first scheduled
trading day immediately following the valuation date on which a market disruption event does not occur with respect to any relevant
index contract with respect to that affected index contract, provided that if a market disruption event occurs with respect
to any such relevant index contract on each day from and including the valuation date to and including the scheduled trading day
immediately preceding the maturity date, the price of each such relevant index contract will be determined in good faith based
on the calculation agent’s assessment of the official settlement price of that affected index contract on the scheduled trading
day immediately preceding the maturity date. |
If the maturity date is not a business day, the payment required
to be made on the maturity date will be made on the next succeeding business day with the same force and effect as if made on the
originally scheduled maturity date. No interest will be payable as a result of the delay in payment.
A “scheduled trading day” means a day, as
determined by the calculation agent, on which the underlying index is scheduled to be published by the index sponsor in accordance
with the rules or methodology that governs the underlying index.
A “trading day” means a day, as determined
by the calculation agent, on which the underlying index is published by the index sponsor in accordance with the rules or methodology
that governs the underlying index.
A “relevant index contract” means any futures
contract included in the underlying index and, with respect to any such futures contract, any futures contract (including such
futures contract) included in the underlying index that references the same underlying commodity as such futures contract.
The “relevant exchange” means, for any relevant
index contract, the exchange or principal trading market for that relevant index contract.
A futures contract included in the underlying index is an “unaffected
index contract” if no relevant index contract with respect to that futures contract is affected by a market disruption
event on the valuation date.
A futures contract included in the underlying index is an “affected
index contract” if any relevant index contract with respect to that futures contract is affected by a market disruption
event on the valuation date.
A “market disruption event” means:
| · | any suspension of or limitation imposed on trading in any relevant index contract on the relevant exchange or any other event
that disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for,
any relevant index contract on the relevant exchange, in each case which the calculation agent determines is material; |
| · | all trading in any relevant index contract is suspended for the entire day; |
| · | all trading in any relevant index contract is suspended (which term, for the avoidance of doubt, will not include, for purposes
of this bullet point, a relevant index contract being bid or offered at the limit price) subsequent to the opening of trading on
that |
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
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Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
day, and trading does not recommence at least ten minutes
prior to the actual closing time of the regular trading session of that relevant index contract on that day; or
| · | if the relevant exchange establishes limits on the range within which the price of any relevant index contract may fluctuate,
the official settlement price of any relevant index contract is at the upper or lower limit of that range on that day, |
in each case as determined by the calculation agent in its sole
discretion.
Commodity Hedging Disruption Event
If, on any day during the term of the securities up to but excluding
the valuation date, the calculation agent determines that a commodity hedging disruption event has occurred, we will have the right,
but not the obligation, to redeem the securities, in whole and not in part, by providing written notice of our election to exercise
that right to the trustee (the date of such notice, the “early redemption notice date”) on a redemption date
of our choosing that is no later than the 30th business day immediately following the early redemption notice date or earlier than
the fifth business day following the early redemption notice date. A commodity hedging disruption event need not be continuing
on the early redemption notice date or on the redemption date. The amount due and payable on the securities upon such redemption
will be equal to the early redemption amount determined as of the early redemption notice date.
A “commodity hedging disruption event” means
any event or condition following which we or our affiliates are unable, after using commercially reasonable efforts, to (i) acquire,
establish, re-establish, substitute, maintain, unwind or dispose of any security, option, future, derivative, currency, instrument,
transaction, asset or arrangement that the calculation agent deems necessary to hedge the risk of entering into and performing
our obligations with respect to the securities, whether in the aggregate on a portfolio basis or incrementally on a trade by trade
basis (each a “hedge position”) or (ii) realize, recover or remit the proceeds of any such hedge position, in
each case including (without limitation) if those hedge positions (in whole or in part) are (or, but for the consequent disposal
thereof, would otherwise be) in excess of any allowable position limit(s) in relation to any commodity traded on any exchange(s)
or other trading facility (it being within the sole and absolute discretion of the calculation agent to determine which of the
hedge positions are counted towards that limit).
The “early redemption amount” will be the
fair value of the securities determined by the calculation agent as of the early redemption notice date in good faith and in a
manner based upon (but not necessarily identical to) CGMI’s then contemporaneous practices for determining a secondary market
bid price for the securities and similar instruments, taking into account the commodity hedging disruption event that has occurred.
In determining the early redemption amount, the calculation agent may take into account proprietary pricing models and may make
adjustments to those models or inputs to those models in good faith and in a commercially reasonable manner. The calculation agent
may also take into account other facts, whether or not unique to us or our affiliates, in determining the early redemption amount
so long as it is in good faith and commercially reasonable. The early redemption amount may result in a significant loss on your
securities. See “Risk Factors Relating to the Securities--If a commodity hedging disruption event occurs during the term
of the securities, we may redeem the securities early for an amount that may result in a significant loss on your investment”
in this pricing supplement.
Under the terms of the securities, the calculation agent will
be required to exercise discretion under certain circumstances, including (i) determining whether a market disruption event or
a commodity hedging disruption event has occurred; (ii) if a market disruption event occurs on the valuation date, performing the
alternative calculation of the final index level described above; (iii) if a commodity hedging disruption event occurs, determining
the early redemption amount; (iv) if the underlying index is discontinued, selecting a successor index; and (v) in the event of
certain changes in the way the underlying index is calculated, performing an alternative calculation of the level of the underlying
index. In exercising this discretion, the calculation agent will be required to act in good faith and in a commercially reasonable
manner, but it may take into account any factors it deems relevant, including, without limitation, whether the applicable event
materially interfered with our or our affiliates’ ability to adjust or unwind all or a material portion of any hedge with
respect to the securities.
Discontinuance or Material Modification of the Underlying
index
If the index sponsor discontinues publication of the underlying
index and the index sponsor or another entity publishes a successor or substitute index that the calculation agent determines,
in its sole discretion, to be comparable to the discontinued underlying index (such index being referred to in this pricing supplement
as a “successor index”), then the closing level of the underlying index on the valuation date will be determined
by reference to the level of that successor index published with respect to that day. In such event, the calculation agent will
make such adjustments, if any, to any level of the underlying index that is used for purposes of the securities as it determines
are appropriate in the circumstances. Upon any selection by the calculation agent of a successor index, the calculation agent will
cause written notice thereof to be promptly furnished to us and to the holders of the securities.
If the index sponsor for the underlying index discontinues publication
of the underlying index prior to, and that discontinuation is continuing on, the valuation date and the calculation agent determines,
in its sole discretion, that no successor index for the underlying
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
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Performance Leveraged Upside SecuritiesSM
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|
|
index is available at that time, or the calculation agent has
previously selected a successor index for the underlying index and publication of that successor index is discontinued prior to,
and that discontinuation is continuing on, the valuation date, then the calculation agent will determine the closing level of the
underlying index for the valuation date on that date. The closing level of the underlying index will be computed by the calculation
agent in accordance with the formula for and method of calculating the underlying index or successor index, as applicable, last
in effect prior to that discontinuation using the official settlement price(s) (or, if a market disruption event has occurred with
respect to a relevant index contract, the calculation agent’s good faith estimate of the applicable settlement price(s) that
would have prevailed but for that market disruption event) at the close of the principal trading session on that date of each relevant
index contract most recently composing the underlying index or successor index, as applicable, as well as any futures contract
required to roll any expiring futures contract in accordance with the method of calculating the underlying index or successor index,
as applicable. Notwithstanding these alternative arrangements, discontinuation of the publication of the underlying index or its
successor index, as applicable, may adversely affect the value of the securities.
If at any time the method of calculating the underlying index
or a successor index, or the level thereof, is changed in a material respect, or if the underlying index or a successor index is
in any other way modified so that it does not, in the opinion of the calculation agent, fairly represent the level of the underlying
index or successor index, as applicable, had those changes or modifications not been made, then the calculation agent will, at
the close of business in the City of New York on the valuation date, make such calculations and adjustments as, in the good faith
judgment of the calculation agent, may be necessary in order to arrive at a level of an index comparable to the underlying index
or successor index, as the case may be, as if those changes or modifications had not been made, and the calculation agent will
calculate the closing level of the underlying index or successor index, as applicable, with reference to the underlying index or
successor index, as adjusted. Accordingly, if the method of calculating the underlying index or a successor index is modified so
that the level of the underlying index or successor index is a fraction of what it would have been if there had been no such modification,
then the calculation agent will adjust its calculation of the underlying index or successor index, as applicable, in order to arrive
at a level of the underlying index or successor index, as applicable, as if there had been no modification.
Events of Default and Acceleration
In case an event of default (as defined in the accompanying prospectus)
with respect to the securities shall have occurred and be continuing, the amount declared due and payable upon any acceleration
of the securities will be determined by the calculation agent and will equal, for each security, the payment at maturity, calculated
as though the valuation date were the date of such acceleration.
In case of default in payment at maturity of the securities,
no interest will accrue on such overdue payment either before or after the maturity date.
Calculation Agent
The calculation agent for the securities will be CGMI, an affiliate
of Citigroup Inc. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and
will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Inc. and the holders of the securities.
The calculation agent is obligated to carry out its duties and functions in good faith and using its reasonable judgment.
United States
Federal Tax Considerations
Prospective investors should note that the discussion under
the section called “United States Federal Tax Considerations” in the accompanying prospectus supplement does not apply
to the securities issued under this pricing supplement and is superseded by the following discussion.
The following is a discussion of the material U.S. federal income
and certain estate tax consequences of ownership and disposition of the securities. It applies to you only if you purchase a security
for cash and hold it as a capital asset within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the
“Code”). It does not address all of the tax consequences that may be relevant to you in light of your particular circumstances
or if you are a holder subject to special rules, such as:
· a
financial institution;
· a
“regulated investment company”;
· a
tax-exempt entity, including an “individual retirement account” or “Roth IRA”;
· a
dealer or trader subject to a mark-to-market method of tax accounting with respect to the securities;
· a
person holding a security as part of a “straddle” or conversion transaction or one who enters into a “constructive
sale” with respect to a security;
· a
person subject to the alternative minimum tax;
· a
U.S. Holder (as defined below) whose functional currency is not the U.S. dollar; or
· an
entity classified as a partnership for U.S. federal income tax purposes.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
If an entity that is classified as a partnership for U.S. federal
income tax purposes holds securities, the U.S. federal income tax treatment of a partner will generally depend on the status of
the partner and the activities of the partnership. If you are a partnership holding securities or a partner in such a partnership,
you should consult your tax adviser as to the particular U.S. federal income tax consequences of holding and disposing of securities
to you.
This discussion is based on the Code, administrative pronouncements,
judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, changes to any of which subsequent
to the date of this pricing supplement may affect the tax consequences described herein, possibly with retroactive effect. This
discussion does not address the effect of any applicable state, local or foreign tax laws or the potential application of the Medicare
contribution tax. You should consult your tax adviser about the application of the U.S. federal income and estate tax laws to your
particular situation (including the possibility of alternative treatments of the securities), as well as any tax consequences arising
under the laws of any state, local or non-U.S. jurisdiction.
Tax Treatment of the Securities
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, the securities should be treated as prepaid forward contracts for U.S. federal income
tax purposes. By purchasing the securities, you agree (in the absence of an administrative determination or judicial ruling to
the contrary) to this treatment.
Due to the absence of statutory, judicial or administrative
authorities that directly address the U.S. federal tax treatment of the securities or similar instruments, significant aspects
of the treatment of an investment in the securities are uncertain. We do not plan to request a ruling from the IRS, and the IRS
or a court might not agree with the treatment described below. Accordingly, you should consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities. Unless otherwise indicated, the following
discussion is based on the treatment of the securities as prepaid forward contracts.
Tax Consequences to U.S. Holders
This section applies only to U.S. Holders. You are a “U.S.
Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
· a
citizen or individual resident of the United States;
· a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state
therein or the District of Columbia; or
· an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
Tax Treatment Prior to Maturity. You should not be required
to recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale, exchange or retirement
of the securities as described below.
Taxable Disposition of the Securities. Upon a taxable
disposition (including a sale, exchange or retirement) of a security, you should recognize gain or loss equal to the difference
between the amount realized and your tax basis in the relevant security. Your tax basis in a security should equal the amount you
paid to acquire it. The gain or loss should be long-term capital gain or loss if at the time of the taxable disposition you have
held the security for more than one year, and short-term capital gain or loss otherwise. Long-term capital gains recognized by
non-corporate U.S. Holders are generally subject to taxation at reduced rates. The deductibility of capital losses is subject to
limitations.
Possible Alternative Tax Treatments of an Investment in
the Securities
Alternative U.S. federal income tax treatments of the securities
are possible that, if applied, could materially and adversely affect the timing and/or character of income, gain or loss with respect
to the securities. It is possible, for example, that the securities could be treated as debt instruments issued by us. Under this
treatment, the securities would be subject to Treasury regulations relating to the taxation of contingent payment debt instruments.
In this case, regardless of your method of tax accounting for U.S. federal income tax purposes, you would be required to accrue
income based on our comparable yield for similar non-contingent debt, determined as of the time of issuance of the securities,
in each year that you held the securities, even though we are not required to make any payment with respect to the securities until
retirement. In addition, any gain on the sale, exchange or retirement of the securities would be treated as ordinary income.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Other possible U.S. federal income tax treatments of the securities
could also affect the timing and character of income or loss with respect to the securities. In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; the relevance of factors such as the exchange-traded status of the instruments and the nature
of the underlying property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive
ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and
impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented
by this notice.
Tax Consequences to Non-U.S. Holders
This section applies only to Non-U.S. Holders. You are a “Non-U.S.
Holder” if for U.S. federal income tax purposes you are a beneficial owner of a security that is:
· an
individual who is classified as a nonresident alien;
· a
foreign corporation; or
· a
foreign estate or trust.
You are not a Non-U.S. Holder for the purposes of this discussion
if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition or (ii)
a former citizen or resident of the United States. If you are or may become such a beneficial owner during the period in which
you hold a security, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities.
Taxable Disposition of the Securities. You generally should
not be subject to U.S. federal withholding or income tax in respect of your securities, provided that income in respect of the
securities is not effectively connected with your conduct of a trade or business in the United States.
If you are engaged in a U.S. trade or business, and if income
from the securities is effectively connected with the conduct of that trade or business, you generally will be subject to regular
U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, unless an applicable income
tax treaty provides otherwise. In this event, if you are a corporation, you should also consider the potential application of a
30% (or lower treaty rate) branch profits tax.
Tax Consequences Under Possible Alternative Treatments.
Subject to the discussion under “FATCA Legislation” below, if all or any portion of a security were recharacterized
as a debt instrument, any payment made to you with respect to the security generally would not be subject to U.S. federal withholding
or income tax, provided that: (i) income or gain in respect of the security is not effectively connected with your conduct of a
trade or business in the United States, and (ii) you provide an appropriate IRS Form W-8 certifying under penalties of perjury
that you are not a United States person.
Other U.S. federal income tax treatments of the securities are
also possible. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Among the issues addressed in the notice is the
degree, if any, to which any income with respect to instruments such as the securities should be subject to U.S. withholding tax.
While the notice requests comments on appropriate transition rules and effective dates, it is possible that any Treasury regulations
or other guidance promulgated after consideration of these issues might materially and adversely affect the withholding tax consequences
of an investment in the securities, possibly with retroactive effect. If withholding applies to the securities, we will not be
required to pay any additional amounts with respect to amounts withheld.
U.S. Federal Estate Tax
If you are an individual Non-U.S. Holder or an entity the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example,
a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), you should
note that, absent an applicable treaty exemption, the securities may be treated as U.S. situs
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
property subject to U.S. federal estate tax. If you are such
an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences of an investment
in the securities.
Information Reporting and Backup Withholding
Payment of the proceeds of a taxable disposition of the securities
may be subject to information reporting and, if you fail to provide certain identifying information (such as an accurate taxpayer
identification number if you are a U.S. Holder) or meet certain other conditions, may also be subject to backup withholding at
the rate specified in the Code. If you are a Non-U.S. Holder that provides an appropriate IRS Form W-8, you will generally establish
an exemption from backup withholding. Amounts withheld under the backup withholding rules are not additional taxes and may be refunded
or credited against your U.S. federal income tax liability, provided the relevant information is timely furnished to the IRS.
FATCA Legislation
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied.
An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source
“fixed or determinable annual or periodical” income (“FDAP income”). Withholding (if applicable) applies
to payments of U.S.-source FDAP income and, for dispositions after December 31, 2016, to payments of gross proceeds of the disposition
(including upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends. If the
securities were recharacterized as debt instruments, this legislation would apply to the securities. If withholding applies to
the securities, we will not be required to pay any additional amounts with respect to amounts withheld. You should consult your
tax adviser regarding the potential application of FATCA to the securities.
The preceding discussion constitutes the full opinion of Davis
Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.
Benefit Plan
Investor Considerations
A fiduciary of a pension, profit-sharing or other employee benefit
plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), including entities such
as collective investment funds, partnerships and separate accounts whose underlying assets include the assets of such plans (collectively,
“ERISA Plans”), should consider the fiduciary standards of ERISA in the context of the ERISA Plan’s particular
circumstances before authorizing an investment in the securities. Among other factors, the fiduciary should consider whether the
investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and
instruments governing the ERISA Plan.
Section 406 of ERISA and Section 4975 of the Internal Revenue
Code of 1986, as amended, (the “Code”) prohibit ERISA Plans, as well as plans (including individual retirement accounts
and Keogh plans) subject to Section 4975 of the Code (together with ERISA Plans, “Plans”), from engaging in certain
transactions involving the “plan assets” with persons who are “parties in interest” under ERISA or “disqualified
persons” under Section 4975 of the Code (in either case, “Parties in Interest”) with respect to such Plans. As
a result of our business, we, and our current and future affiliates, may be Parties in Interest with respect to many Plans. Where
we (or our affiliate) are a Party in Interest with respect to a Plan (either directly or by reason of our ownership interests in
our directly or indirectly owned subsidiaries), the purchase and holding of the securities by or on behalf of the Plan could be
a prohibited transaction under Section 406 of ERISA and/or Section 4975 of the Code, unless exemptive relief were available under
an applicable exemption (as described below).
Certain prohibited transaction class exemptions (“PTCEs”)
issued by the U.S. Department of Labor may provide exemptive relief for direct or indirect prohibited transactions resulting from
the purchase or holding of the securities. Those class exemptions are PTCE 96-23 (for certain transactions determined by in-house
asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for certain transactions
involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts)
and PTCE 84-14 (for certain transactions determined by independent qualified asset managers). In addition, ERISA Section 408(b)(17)
and Section 4975(d)(20) of the Code may provide a limited exemption for the purchase and sale of the securities and related lending
transactions, provided that neither the issuer of the securities nor any of its affiliates have or exercise any discretionary
authority or control or render any investment advice with respect to the assets of the Plan involved in the transaction and provided
further that the Plan pays no more, and receives no less, than adequate consideration in connection with the transaction (the
so-called “service provider exemption”). There can be no assurance that any of these statutory or class exemptions
will be available with respect to transactions involving the securities.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Accordingly, the securities may not be purchased or held by any
Plan, any entity whose underlying assets include “plan assets” by reason of any Plan’s investment in the entity
(a “Plan Asset Entity”) or any person investing “plan assets” of any Plan, unless such purchaser or holder
is eligible for the exemptive relief available under PTCE 96-23, 95-60, 91-38, 90-1 or 84-14 or the service provider exemption
or there is some other basis on which the purchase and holding of the securities will not constitute a non-exempt prohibited transaction
under ERISA or Section 4975 of the Code. Each purchaser or holder of the securities or any interest therein will be deemed to have
represented by its purchase or holding of the securities that (a) it is not a Plan and its purchase and holding of the securities
is not made on behalf of or with “plan assets” of any Plan or (b) its purchase and holding of the securities will not
result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.
Certain governmental plans (as defined in Section 3(32) of ERISA),
church plans (as defined in Section 3(33) of ERISA) and non-U.S. plans (as described in Section 4(b)(4) of ERISA) (“Non-ERISA
Arrangements”) are not subject to these “prohibited transaction” rules of ERISA or Section 4975 of the Code,
but may be subject to similar rules under other applicable laws or regulations (“Similar Laws”). Accordingly, each
such purchaser or holder of the securities shall be required to represent (and deemed to have represented by its purchase of the
securities) that such purchase and holding is not prohibited under applicable Similar Laws.
Due to the complexity of these rules, it is particularly important
that fiduciaries or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan
consult with their counsel regarding the relevant provisions of ERISA, the Code or any Similar Laws and the availability of exemptive
relief under PTCE 96-23, 95-60, 91-38, 90-1, 84-14, the service provider exemption or some other basis on which the acquisition
and holding will not constitute a non-exempt prohibited transaction under ERISA or Section 4975 of the Code or a violation of any
applicable Similar Laws.
The securities are contractual financial instruments. The financial
exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized
investment management or advice for the benefit of any purchaser or holder of the securities. The securities have not been designed
and will not be administered in a manner intended to reflect the individualized needs and objectives of any purchaser or holder
of the securities.
Each purchaser or holder of any securities acknowledges and agrees
that:
| (i) | the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the
purchaser or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of
the purchaser or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment
in the securities, or (C) the exercise of or failure to exercise any rights we have under or with respect to the securities; |
| (ii) | we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to
the securities and (B) all hedging transactions in connection with our obligations under the securities; |
| (iii) | any and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those
entities and are not assets and positions held for the benefit of the purchaser or holder; |
| (iv) | our interests are adverse to the interests of the purchaser or holder; and |
| (v) | neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets,
positions or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment
advice. |
Each purchaser and holder of the securities has exclusive responsibility
for ensuring that its purchase, holding and subsequent disposition of the securities does not violate the fiduciary or prohibited
transaction rules of ERISA, the Code or any applicable Similar Laws. The sale of any securities to any Plan is in no respect a
representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements
with respect to investments by Plans or Non-ERISA Arrangements generally or any particular Plan or Non-ERISA Arrangement, or that
such an investment is appropriate for Plans or Non-ERISA Arrangements generally or any particular Plan or Non-ERISA Arrangement.
However, individual retirement accounts, individual retirement
annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts,
will not be permitted to purchase or hold the securities if the account, plan or annuity is for the benefit of an employee of CGMI
or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase
of securities by the account, plan or annuity.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Inc. and the underwriter of the
sale of the securities, is acting as principal and will receive an underwriting fee of $22.50 for each $1,000 security sold in
this offering. From this underwriting fee, CGMI will pay selected dealers not affiliated with CGMI, including Morgan Stanley Wealth
Management and their financial advisers collectively, a fixed selling concession of $17.50 for each $1,000 security they sell.
In addition, Morgan Stanley Wealth Management will receive a structuring fee of $5.00 for each security.
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 securities, either directly or indirectly, without the prior written consent of
the client.
See “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 securities
will be used to hedge our obligations under the securities. We have hedged our obligations under the securities 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 securities
declines. This hedging activity could affect the closing level of the underlying index and, therefore, the value of and your return
on the securities. For additional information on the ways in which our counterparties may hedge our obligations under the securities,
see “Use of Proceeds and Hedging” in the accompanying prospectus.
Valuation of
the Securities
CGMI calculated the estimated value of the securities 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 securities by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the securities, which consists of a fixed-income bond (the “bond component”) and one or more derivative
instruments underlying the economic terms of the securities (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 “Risk Factors Relating
to the Securities—The value of the securities 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 three months following issuance
of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and the value that will
be indicated for the securities 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 securities. The amount of this temporary upward adjustment will decline
to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated to buy the securities
from investors at any time. See “Risk Factors Relating to the Securities—The securities will not be listed on any securities
exchange and you may not be able to sell them prior to maturity.”
Validity of
the Securities
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Inc., when the securities 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 securities 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 securities or Blue Sky laws to the securities.
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 securities nor the issuance and delivery of the securities, nor the compliance
by Citigroup Inc. with the terms of the securities, 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.
Citigroup Inc. |
PLUS Based on the S&P GSCITM Excess
Return Due July 28, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
In the opinion of Michael J. Tarpley, Associate General Counsel–Capital
Markets of Citigroup Inc., (i) the terms of the securities 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 securities 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 securities 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.
Contact
Clients of Morgan Stanley Wealth Management may contact their
local Morgan Stanley branch office or the Morgan Stanley principal executive offices at 1585 Broadway, New York, New York 10036
(telephone number (212) 762-9666). All other clients may contact their local brokerage representative.
Performance Leveraged Upside SecuritiesSM and PLUSSM
are service marks of Morgan Stanley, used under license.
© 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.
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