Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
03 October 2015 - 6:30AM
Edgar (US Regulatory)
Citigroup Inc. |
Pricing
Sheet No. 2015-CMTNG0684 dated September 30, 2015 relating to
Preliminary
Pricing Supplement No. 2015-CMTNG0684 dated September 14, 2015
Registration
Statement No. 333-192302
Filed
Pursuant to Rule 433 |
305,985 Buffered PLUS Based on the EURO STOXX
50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
PRICING TERMS—SEPTEMBER 30, 2015 |
Underlying index: |
The EURO STOXX 50® Index (ticker symbol: “SX5E”) |
Aggregate stated principal amount: |
$3,059,850 |
Stated principal amount: |
$10 per security |
Pricing date: |
September 30, 2015 |
Issue date: |
October 5, 2015 |
Valuation date: |
October 1, 2018, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
October 4, 2018 |
Payment at maturity: |
For each $10 stated principal amount security you hold
at maturity:
▪
If the final index level is greater than the initial index level:
$10 + the leveraged return amount, subject to the maximum return at maturity
▪
If the final index level is equal to or less than the initial index level by an amount equal to or less
than the buffer amount:
$10
▪
If the final index level is less than the initial index level by an amount greater than the buffer
amount:
($10 × the index performance factor) + $1.00
If the final index level is less than the initial
index level by more than the buffer amount, 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 of your investment. |
Initial index level: |
3,100.67, 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: |
$10 × the index percent increase × the leverage factor |
Leverage factor: |
200.00% |
Maximum return at maturity: |
$4.05 per security (40.50% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $14.05 per security. |
Buffer amount: |
10.00% |
Listing: |
The securities will not be listed on any securities exchange |
CUSIP / ISIN: |
17323Q650 / US17323Q6504 |
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 |
$0.25(2) |
$9.70 |
|
|
$0.05(3) |
|
Total: |
$3,059,850.00 |
$91,795.50 |
$2,968,054.50 |
(1) On the pricing date, the estimated
value of the securities is $9.695 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 the related preliminary 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 $0.30 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 $0.25 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.
You should read this document together
with the related preliminary pricing supplement and the other following documents, each of which can be accessed via the hyperlinks
below:
Preliminary Pricing Supplement dated September 14, 2015
Product Supplement No. EA-02-03 dated November 13, 2013 Underlying Supplement No. 3 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.
EURO STOXX 50® is a registered
trademark of STOXX Limited (“STOXX”) and has been licensed for use by Citigroup Inc. and its affiliates. The securities
are not sponsored, endorsed, sold, or promoted by STOXX. STOXX makes no representations or warranties to the owners of the securities
or any member of the public regarding the advisability of investing in the securities. STOXX has no obligation or liability in
connection with the operation, marketing, trading or sale of the securities.
Citigroup Inc. has filed a registration statement
(including the related preliminary pricing supplement and the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication
relates. You should read the related preliminary pricing supplement and the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus in that registration statement (File No. 333-192302) and the other documents Citigroup Inc.
has filed with the SEC for more complete information about Citigroup Inc. and this offering. You may get these documents for free
by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request the related preliminary pricing supplement
and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus by calling toll-free 1-800-831-9146.
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