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 |
$5,000,000 |
$581.00 |
| (1) | Calculated in accordance with Rule 457(r) of the Securities Act. |
| (2) | Pursuant to Rule 457(p) under the Securities Act, the $217,950.33 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 $581.00 is offset against
the registration fee due for this offering and of which $217,369.33 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. |
July 21, 2015
Medium-Term Senior
Notes, Series G
Pricing Supplement
No. 2015-CMTNG0622
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302 |
500,000 PLUS Based
on the Common Stock of Netflix, Inc. Due July 24, 2020
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 shares of common stock of Netflix, Inc. (the “underlying shares”) from the initial
share price to the final share price. |
| ▪ | The securities offer leveraged exposure to a limited range of potential appreciation of the underlying
shares as described below. In exchange for that feature, investors in the securities must be willing to forgo (i) any appreciation
of the underlying shares in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on
the underlying shares. In addition, investors in the securities must be willing to accept full downside exposure to any depreciation
of the underlying shares. If the final share price is less than the initial share price, you will lose 1% of the stated principal
amount of your securities for every 1% of that decline. There is no minimum payment at maturity. You may lose up to your entire
investment. |
| ▪ | In order to obtain the modified exposure to the underlying shares 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 shares: |
Shares of common stock of Netflix, Inc. (NASDAQ symbol: “NFLX”) (the “underlying share issuer”) |
Aggregate stated principal amount: |
$5,000,000 |
Stated principal amount: |
$10 per security |
Pricing date: |
July 21, 2015 |
Issue date: |
July 24, 2015 |
Valuation date: |
July 21, 2020, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
July 24, 2020 |
Payment at maturity: |
For each $10 stated principal amount security you hold at maturity:
▪ If
the final share price is greater than the initial share price:
$10 + the leveraged return amount, subject to the maximum return at maturity
▪ If
the final share price is less than or equal to the initial share price:
$10 × the share performance factor
If the final share price is less than the initial share price,
your payment at maturity will be less, and possibly significantly less, than the $10 stated principal amount per security. You
should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion, and up to
all, of your investment.
|
Initial share price: |
$112.51, the closing price of the underlying shares on the pricing date |
Final share price: |
The closing price of the underlying shares on the valuation date |
Share performance factor: |
The final share price divided by the initial share price |
Share percent increase: |
The final share price minus the initial share price, divided by the initial share price |
Leveraged return amount: |
$10 × the share percent increase × the leverage factor |
Leverage factor: |
500.00% |
Maximum return at maturity: |
$11.025 per security (110.25% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $21.025 per security. |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17323Q825 / US17323Q8252 |
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: |
$10.00 |
$0.20(2) |
$9.75 |
|
|
$0.05(3) |
|
Total: |
$5,000,000.00 |
$125,000.00 |
$4,875,000.00 |
(1) On the date of this pricing supplement, the estimated value
of the securities is $9.51435 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 $0.25 for each $10 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 $0.20 for each $10 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 $0.05 for each security.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-5.
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 product supplement, prospectus supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement
together with the accompanying product supplement, prospectus supplement and prospectus, each of which can be accessed via the
hyperlinks below:
Product
Supplement No. EA-02-03 dated November 13, 2013 Prospectus
Supplement and Prospectus each dated November 13, 2013
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. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
Additional
Information
General. The terms of the securities are set forth in
the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity or, in the case of a delisting of the underlying
shares, could give us the right to call the securities prior to maturity for an amount that may be less than the stated principal
amount. These events, including market disruption events and other events affecting the underlying shares, and their consequences
are described in the accompanying product supplement in the sections “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement of a
Valuation Date,” “—Dilution and Reorganization Adjustments,” and “—Delisting of Company Shares”
and not in this pricing supplement. It is important that you read the accompanying product supplement, prospectus supplement and
prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms used but not
defined in this pricing supplement are defined in the accompanying product supplement.
Dilution and Reorganization Adjustments. The initial share
price is a “Relevant Price” for purposes of the section “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” in the accompanying
product supplement. Accordingly, the initial share price is subject to adjustment upon the occurrence of any of the events described
in that section.
Investment
Summary
The securities can be used:
| ▪ | As an alternative to direct exposure to the underlying shares that enhances returns, subject to the maximum return at maturity,
for a limited range of potential appreciation of the underlying shares; |
| ▪ | To enhance returns and potentially outperform the underlying shares in a moderately bullish scenario; and |
| ▪ | To achieve similar levels of upside exposure to the underlying shares 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 share price is less than the initial share price,
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 5 years |
Leverage factor: |
500.00%, subject to the maximum return at maturity. The leverage factor applies only if the final share price is greater than the initial share price. |
Maximum return at maturity: |
$11.025 (110.25% 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 500.00% of the appreciation of the underlying shares, provided that investors will not receive a payment
at maturity in excess of the maximum payment at maturity, which is $21.025 per security. At maturity, if the underlying shares
have appreciated in value, investors will receive the stated principal amount of their investment plus the leveraged upside
performance of the underlying shares, subject to the maximum return at maturity. However, if the underlying shares have depreciated
in value, investors will lose 1% for every 1% decline from the initial share price to the final share price. 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 shares within a limited range of positive performance. |
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
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Upside Scenario: |
If the final share price is greater than the initial share price, the payment at maturity for each security will be equal to the $10 stated principal amount plus the leveraged return amount, subject to the maximum return at maturity of $11.025 per security (110.25% of the stated principal amount). For example, if the final share price is 3% greater than the initial share price, the securities will provide a total return of 15% at maturity. |
Downside Scenario: |
If the final share price is less than the initial share price, you will lose 1% for every 1% decline in the value of the underlying shares from the initial share price and the payment at maturity will be less than the stated principal amount. For example, if the final share price is 30% less than the initial share price, you will receive a payment at maturity of $7.00 per security, or 70% of the stated principal amount. If the underlying shares are worthless on the valuation date, you will lose your entire investment at maturity. 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 share price to the final share price.
Investors in the securities will not receive any dividends
on the underlying shares. The diagram and examples below do not show any effect of lost dividend yield over the term of the securities.
See “Summary Risk Factors—You will not have voting rights, rights to receive any dividends or other distributions or
any other rights with respect to the underlying shares” below.
PLUS
Payment at Maturity Diagram |
|
n The Securities |
n The Underlying Shares |
Your actual payment at maturity per security will depend on the
actual final share price. The examples below are intended to illustrate how your payment at maturity will depend on whether the
final share price is greater than or less than the initial share price and by how much.
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
Example 1—Upside Scenario A. The hypothetical final
share price is $118.14 (an approximately 5.00% increase from the initial share price), which is greater than the initial
share price.
Payment at maturity per security = $10 + the leveraged return
amount, subject to the maximum return at maturity of $11.025 per security
= $10 + ($10 × the share percent increase × the leverage
factor), subject to the maximum return at maturity of $11.025 per security
= $10 + ($10 × 5.00% × 500.00%), subject to the maximum
return at maturity of $11.025 per security
= $10 + $2.50, subject to the maximum return at maturity of $11.025
per security
= $12.50
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the leveraged return amount of $2.50 per security results in a total return at
maturity of 25.00%, which is less than the maximum return at maturity of 110.25%, your payment at maturity in this scenario would
be equal to the $10 stated principal amount per security plus the leveraged return amount, or $12.50 per security.
Example 2—Upside Scenario B. The hypothetical final
share price is $242.18 (an approximately 115.25% increase from the initial share price), which is greater than the initial
share price.
Payment at maturity per security = $10 + the leveraged return
amount, subject to the maximum return at maturity of $11.025 per security
= $10 + ($10 × the share percent increase × the leverage
factor), subject to the maximum return at maturity of $11.025 per security
= $10 + ($10 × 115.25% × 500.00%), subject to the
maximum return at maturity of $11.025 per security
= $10 + $57.625, subject to the maximum return at maturity of
$11.025 per security
= $21.025
Because the underlying shares appreciated from the initial share
price to the hypothetical final share price and the leveraged return amount of $57.625 per security would result in a total return
at maturity of 576.25%, which is greater than the maximum return at maturity of 110.25%, your payment at maturity in this scenario
would equal the maximum payment at maturity of $21.025 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 shares without a maximum
return.
Example 3—Downside Scenario A. The hypothetical
final share price is $56.26 (an approximately 50.00% decrease from the initial share price), which is less than the initial
share price.
Payment at maturity per security = $10 × the share performance
factor
= $10 × 50.00%
= $5.00
Because the underlying shares depreciated from the initial share
price to the hypothetical final share price, your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative
performance of the underlying shares.
Example 4—Downside Scenario B. The hypothetical
final share price is $0.00 (a 100.00% decrease from the initial share price), which is less than the initial share price.
Payment at maturity per security = $10 × the share performance
factor
= $10 × 0.00%
= $0.00
Because the underlying shares are worth nothing on the valuation
date, you would lose your entire investment in the securities.
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
Summary Risk
Factors
An investment in the securities is significantly riskier than
an investment in conventional debt securities. The securities are subject to all of the risks associated with an investment in
our conventional debt securities, including the risk that we may default on our obligations under the securities, and are also
subject to risks associated with the underlying shares. Accordingly, the securities are suitable only for investors who are capable
of understanding the complexities and risks of the securities. You should consult your own financial, tax and legal advisers as
to the risks of an investment in the securities and the suitability of the securities in light of your particular circumstances.
The following is a summary of certain key risk factors for investors
in the securities. You should read this summary together with the more detailed description of risks relating to an investment
in the securities contained in the section “Risk Factors Relating to the Securities” beginning on page EA-6 in the
accompanying product supplement. You should also carefully read the risk factors included in the 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 shares. If
the final share price is less than the initial share price, you will lose 1% of the stated principal amount of the securities for
every 1% by which the final share price is less than the initial share price. There is no minimum payment at maturity on the securities,
and you could lose your entire 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. |
| ▪ | 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 110.25%, which is equivalent to a maximum return at maturity of $11.025 per security and would
result in a maximum payment at maturity of $21.025 per security. Taking into account the leverage factor, any increase in the final
share price over the initial share price by more than 22.05% will not increase your return on the securities and will progressively
reduce the effective amount of leverage provided by the securities. |
| ▪ | You will not receive any dividends paid on the underlying shares and will have no other rights with respect to the underlying
shares. As an investor in the securities, you will not receive any dividends paid on the underlying shares. Over the
term of the securities, this forgone dividend yield may cause an investment in the securities to significantly underperform a direct
investment in the underlying shares. In addition, as an investor in the securities, you will have no voting rights or any
other rights with respect to the underlying shares. |
| ▪ | Your payment at maturity depends on the closing price of the underlying shares on a single day. Because your payment
at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the risk that
the closing price of the underlying shares 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 underlying shares or in another instrument linked
to the underlying shares 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 prices of the underlying shares, 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. |
| ▪ | 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 |
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
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| | 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, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, the
dividend yield on the underlying shares 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 price and volatility of the underlying shares and a number of other factors,
including the dividend yield on the underlying shares, interest rates generally, the time remaining to maturity and our creditworthiness,
as reflected in our secondary market rate. You should understand that the value of your securities at any time prior to maturity
may be significantly less than the issue price. |
| ▪ | Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on
any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount
of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of
the Securities” in this pricing supplement. |
| ▪ | Our offering of the securities does not constitute a recommendation of the underlying shares. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying shares is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the underlying shares or in instruments related to the underlying shares, and may publish research or express opinions,
that in each case are inconsistent with an investment linked to the underlying shares. These and other activities of our affiliates
may affect the price of the underlying shares in a way that has a negative impact on your interests as a holder of the securities. |
| ▪ | The price of the underlying shares may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the underlying shares and other financial instruments related to the underlying shares and may adjust such positions during
the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the underlying
shares on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management
or |
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
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| | to facilitate transactions on behalf of customers. These activities could affect the price of the underlying shares in a way
that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates while
the value of the securities declines. |
| ▪ | We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business
activities. Our affiliates may currently or from time to time engage in business with the underlying share issuer, including
extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of
this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies
against the underlying share issuer that are available to them without regard to your interests. |
| ▪ | Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment
will be required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement.
In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on the underlying shares
unless the amount of the dividend per share, together with any other dividends paid in the same fiscal quarter, exceeds the dividend
paid per share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the underlying shares
on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount of
the dividend per share. If the underlying share issuer pays any dividend for which an adjustment is not made under the terms of
the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments—Certain Extraordinary
Cash Dividends” in the accompanying product supplement. |
| ▪ | The securities will not be adjusted for all events that could affect the price of the underlying shares. For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above,
partial tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do make may not fully
offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an
event in a circumstance in which a direct holder of the underlying shares would not. |
| ▪ | If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than
the stated principal amount. If we exercise this call right, you will receive the amount described under “Description
of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting of Company
Shares” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated
principal amount of the securities. |
| ▪ | The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence
of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters
into a merger agreement that provides for holders of the underlying shares to receive stock of another entity, the stock of such
other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally,
if the underlying shares are delisted and we do not exercise our call right, the calculation agent may, in its sole discretion,
select shares of another issuer to be the underlying shares. See “Description of the Securities—Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments,” and “—Delisting
of Company Shares” in the accompanying product supplement. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events, corporate events with respect to the underlying share issuer that may
require a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities. |
| ▪ | The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority
regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue
Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the
IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in
asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might
be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007,
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should
be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States
Federal Tax Considerations” and |
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
| | “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal
Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences
of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. |
Information
About the Underlying Shares
Netflix, Inc. is an Internet subscription service for watching
television shows and movies. The underlying shares are registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the SEC by the underlying share issuer pursuant to the Exchange Act can be located
by reference to the SEC file number 000-49802 through the SEC’s website at http://www.sec.gov. In addition, information regarding
the underlying share issuer may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. The underlying shares trade on the NASDAQ Global Select Market under the ticker symbol
“NFLX.”
This pricing supplement relates only to the securities offered
hereby and does not relate to the underlying shares or other securities of the underlying share issuer. We have derived all disclosures
contained in this pricing supplement regarding the underlying shares and the underlying share issuer from the publicly available
documents described above. In connection with the offering of the securities, neither Citigroup Inc. nor CGMI has participated
in the preparation of such documents or made any due diligence inquiry with respect to the underlying share issuer.
The securities represent obligations of Citigroup Inc. only.
The underlying share issuer is not involved in any way in this offering and has no obligation relating to the securities or to
holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlying shares.
Historical Information
The graph below shows the closing prices of the underlying shares
for each day such price was available from January 4, 2010 to July 21, 2015. The table that follows shows the high and low closing
prices of, and dividends paid on, the underlying shares for each quarter in that same period. We obtained the closing prices and
other information below from Bloomberg L.P., without independent verification. If certain corporate transactions occurred during
the historical period shown below, including, but not limited to, spin-offs or mergers, then the closing prices of the underlying
shares shown below for the period prior to the occurrence of any such transaction have been adjusted by Bloomberg L.P. as if any
such transaction had occurred prior to the first day in the period shown below. In particular, the closing prices shown below have
been adjusted for a 7-for-1 stock split effected by the underlying share issuer on July 14, 2015. You should not take the historical
prices of the underlying shares as an indication of future performance.
Common Stock of Netflix, Inc. – Historical Closing Prices
January 4, 2010 to July 21, 2015 |
|
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
Common Stock of Netflix,
Inc.
(CUSIP of the Underlying
Shares: 64110L106)
|
High |
Low |
Dividends |
2010 |
|
|
|
First Quarter |
$10.72 |
$7.02 |
$0.00000 |
Second Quarter |
$18.12 |
$10.71 |
$0.00000 |
Third Quarter |
$24.38 |
$14.00 |
$0.00000 |
Fourth Quarter |
$29.41 |
$21.33 |
$0.00000 |
2011 |
|
|
|
First Quarter |
$35.36 |
$25.41 |
$0.00000 |
Second Quarter |
$39.10 |
$32.59 |
$0.00000 |
Third Quarter |
$42.68 |
$16.17 |
$0.00000 |
Fourth Quarter |
$17.61 |
$9.12 |
$0.00000 |
2012 |
|
|
|
First Quarter |
$18.46 |
$10.32 |
$0.00000 |
Second Quarter |
$16.28 |
$8.95 |
$0.00000 |
Third Quarter |
$12.14 |
$7.68 |
$0.00000 |
Fourth Quarter |
$13.67 |
$8.01 |
$0.00000 |
2013 |
|
|
|
First Quarter |
$28.06 |
$13.14 |
$0.00000 |
Second Quarter |
$34.77 |
$23.29 |
$0.00000 |
Third Quarter |
$44.86 |
$31.56 |
$0.00000 |
Fourth Quarter |
$54.37 |
$41.20 |
$0.00000 |
2014 |
|
|
|
First Quarter |
$65.00 |
$46.96 |
$0.00000 |
Second Quarter |
$64.10 |
$44.89 |
$0.00000 |
Third Quarter |
$69.20 |
$60.27 |
$0.00000 |
Fourth Quarter |
$66.69 |
$45.21 |
$0.00000 |
2015 |
|
|
|
First Quarter |
$69.00 |
$45.55 |
$0.00000 |
Second Quarter |
$97.31 |
$59.02 |
$0.00000 |
Third Quarter (through July 21, 2015) |
$115.81 |
$93.51 |
$0.00000 |
The closing price of the underlying shares on July 21, 2015 was
$112.51.
We make no representation as to the amount of dividends, if any,
that may be paid on the underlying shares in the future. In any event, as an investor in the securities, you will not be entitled
to receive dividends, if any, that may be payable on the underlying shares.
United States
Federal Tax Considerations
You should read carefully the discussion under “United
States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product
supplement and “Summary Risk Factors” in this pricing supplement.
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, a security should be treated as a prepaid forward contract for U.S. federal income
tax purposes. By purchasing a security, you agree (in the absence of an administrative determination or judicial ruling to the
contrary) to this treatment. There is uncertainty regarding this treatment, and the IRS or a court might not agree with it.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Tax Considerations” in the accompanying product supplement, the following
U.S. federal income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year. |
Under current law, if you are a Non-U.S. Holder (as defined in
the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income
tax in respect of any amount paid to you with respect to the securities,
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
provided that (i) income in respect of the securities is not
effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification
requirements.
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;
whether short-term instruments should be subject to any such accrual regime; 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; the degree, if any, to
which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; 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, including the character
and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding
tax, possibly with retroactive effect. If withholding tax applies to the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
You should read the section entitled “United States
Federal Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with
that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of owning and disposing of the securities.
You should also consult your tax adviser regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
Supplemental
Plan of Distribution
CGMI, an affiliate of Citigroup Inc. and the underwriter of the
sale of the securities, is acting as principal and will receive an underwriting fee of $0.25 for each $10 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 $0.20 for each $10 security they sell. In addition,
Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security they sell.
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; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the 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 price of the underlying shares 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 “Summary Risk Factors—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 four 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
Citigroup Inc. |
500,000 PLUS Based on the Common Stock of Netflix, Inc. Due July 24, 2020 Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
|
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 four-month temporary adjustment period. However, CGMI is not obligated to buy the securities from investors at any
time. See “Summary Risk Factors—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.
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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