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 |
$3,059,850 |
$308.13 |
| (1) | Calculated
in accordance with Rule 457(r) of the Securities Act. |
| (2) | Pursuant
to Rule 457(p) under the Securities Act, the $194,571.80 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
$308.13 is offset against the registration fee due for this offering and of which $194,263.67
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. |
September 30,
2015
Medium-Term Senior
Notes, Series G
Pricing Supplement
No. 2015-CMTNG0684
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302 |
305,985 Buffered
PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Overview
| ▪ | 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 EURO STOXX 50® Index (the “underlying index”) from the initial index level to the final index
level. |
| ▪ | The securities offer leveraged exposure to a limited range of potential appreciation of the underlying index and a limited
buffer against the potential depreciation of the underlying index as described below. In exchange for those features, investors
in the securities must be willing to forgo (i) any appreciation of the underlying index in excess of the maximum return at maturity
specified below and (ii) any dividends that may be paid on the stocks that constitute the underlying index. In addition, investors
in the securities must be willing to accept downside exposure to any depreciation of the underlying index in excess of the 10.00%
buffer amount. If the underlying index depreciates by more than the buffer amount from the pricing date to the valuation date,
you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer amount. |
| ▪ | 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 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 date of this pricing supplement, 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 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 $0.30 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.
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
nor any state securities commission has approved or disapproved of the securities or determined that this pricing supplement and
the accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below:
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.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional
Information
The terms of the securities are set forth in the accompanying
product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product
supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement.
For example, certain events may occur that could affect your payment at maturity. These events and their consequences are described
in the accompanying product supplement in the sections “Description of the Securities—Certain Additional Terms for
Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
and “—Discontinuance or Material Modification of an Underlying Index,” and not in this pricing supplement. The
accompanying underlying supplement contains important disclosures regarding the underlying index that are not repeated in this
pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus together with this pricing supplement in connection with your investment in the securities. Certain terms used but
not defined in this pricing supplement are defined in the accompanying product supplement.
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; |
| ▪ | To obtain a limited buffer against the potential depreciation of the underlying index; 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 underlying index depreciates by more than the buffer amount,
the securities are exposed on a 1-to-1 basis to the percentage decline by which that depreciation exceeds the buffer amount. Accordingly,
investors may lose a significant portion of their initial investment in the securities.
Maturity: |
Approximately 3 years |
Leverage factor: |
200.00%, 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: |
$4.05 per security (40.50% of the stated principal amount) |
Buffer amount: |
10% |
Minimum payment at maturity: |
$1.00 per security (10% of the stated principal amount). Investors may lose up to 90% of the stated principal amount of the securities. |
Interest: |
None. |
|
|
Key Investment
Rationale
The securities provide for the possibility of receiving a return
at maturity equal to 200% of the appreciation of the underlying index, provided that investors will not receive a payment
at maturity in excess of the maximum payment at maturity, which is $14.05 per security. At maturity, if the underlying index has
appreciated from the initial index level to the final index level, 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. If the
underlying index has depreciated from the initial index level to the final index level by no more than the buffer amount,
the payment at maturity will be $10 per security. However, if the underlying index has depreciated by more than the buffer
amount from the initial index level to the final index level, investors will lose 1% for every 1% by which that depreciation exceeds
the buffer amount. Under these circumstances, the payment at maturity will be less, and possibly significantly less, than the stated
principal amount. Investors may lose up to 90% of the stated principal amount of 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 $10 stated principal amount plus the leveraged return amount, subject to the maximum return at maturity. |
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Par Scenario: |
If the final index level is less than or equal to the initial index level by no more than the buffer amount, which means that the underlying index has depreciated by no more than 10% from its initial index level, the payment at maturity will be $10 per security. |
Downside Scenario: |
If the final index level is less than the initial index level by more than the buffer amount, which means that the underlying index has depreciated by more than 10% from its initial index level, you will lose 1% for every 1% by which that depreciation exceeds the buffer amount (e.g., a 50% depreciation in the underlying index will result in a payment at maturity of $6.00 per security). The minimum payment at maturity is $1.00 per security. Accordingly, investors may lose a significant portion of their 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.
Investors in the securities will not receive any dividends
on the stocks that constitute the underlying index. The diagram and examples below do not show any effect of lost dividend yield
over the term of the securities. See “Summary Risk Factors—Investing in the securities is not equivalent to investing
in the underlying index or the stocks that constitute the underlying index” below.
Buffered PLUS
Payment at Maturity Diagram |
|
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.
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Example 1—Upside Scenario A. The hypothetical final
index level is 3,255.70 (an approximately 5.00% increase from the initial index level), which is greater than the initial
index level.
Payment at maturity per security = $10 + the leveraged return
amount, subject to the maximum return at maturity of $4.05 per security
= $10 + ($10 × the index percent increase × the leverage
factor), subject to the maximum return at maturity of $4.05 per security
= $10 + ($10 × 5.00% × 200.00%), subject to the maximum
return at maturity of $4.05 per security
= $10 + $1.00, subject to the maximum return at maturity of $4.05
per security
= $11.00
Because the underlying index appreciated from the initial index
level to the hypothetical final index level and the leveraged return amount of $1.00 per security results in a total return at
maturity of 10.00%, which is less than the maximum return at maturity of 40.50%, your payment at maturity in this scenario would
be equal to the $10 stated principal amount per security plus the leveraged return amount, or $11.00 per security.
Example 2—Upside Scenario B. The hypothetical final
index level is 4,651.01 (an approximately 50.00% increase from the initial index level), which is greater than the initial
index level.
Payment at maturity per security = $10 + the leveraged return
amount, subject to the maximum return at maturity of $4.05 per security
= $10 + ($10 × the index percent increase × the leverage
factor), subject to the maximum return at maturity of $4.05 per security
= $10 + ($10 × 50.00% × 200.00%), subject to the
maximum return at maturity of $4.05 per security
= $10 + $10.00, subject to the maximum return at maturity of
$4.05 per security
= $14.05
Because the underlying index appreciated from the initial index
level to the hypothetical final index level and the leveraged return amount of $10.00 per security would result in a total return
at maturity of 100.00%, which is greater than the maximum return at maturity of 40.50%, your payment at maturity in this scenario
would equal the maximum payment at maturity of $14.05 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—Par Scenario. The hypothetical final index
level is 2,945.64 (an approximately 5.00% decrease from the initial index level), which is less than the initial index level
by an amount that is less than the buffer amount of 10.00%.
Payment at maturity per security = $10
Because the underlying index did not depreciate from the initial
index level to the hypothetical final index level by more than the 10.00% buffer amount, your payment at maturity in this scenario
would be equal to the $10 stated principal amount per security.
Example 4—Downside Scenario. The hypothetical final
index level is 930.20 (an approximately 70.00% decrease from the initial index level), which is less than the initial index
level by an amount that is more than the buffer amount of 10.00%.
Payment at maturity per security = ($10 × the index performance
factor) + $1.00
= ($10 × 30.00%) + $1.00
= $3.00 + $1.00
= $4.00
Because the hypothetical final index level decreased from the
initial index level by more than the 10.00% buffer amount, your payment at maturity in this scenario would reflect 1-to-1 exposure
to the negative performance of the underlying index beyond the 10.00% buffer amount.
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered 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 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 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 up to 90.00% 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
underlying index depreciates by more than the buffer amount, you will lose 1% of the stated principal amount of the securities
for every 1% by which that depreciation exceeds the buffer amount. |
| ▪ | 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 40.50%, which is equivalent to a maximum return at maturity of $4.05 per security and results
in a maximum payment at maturity of $14.05 per security. Taking into account the leverage factor, any increase in the final index
level over the initial index level by more than 20.25% will not increase your return on the securities and will progressively reduce
the effective amount of leverage provided by the securities. |
| ▪ | Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying
index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect
to the stocks that constitute the underlying index. As of September 30, 2015, the average dividend yield of the underlying index
was approximately 3.84% per year. While it is impossible to know the future dividend yield of the underlying index, if this average
dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately
11.52% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that
constitute the underlying index or in another investment linked to the underlying index that provides for a pass-through of dividends.
The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the 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 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. |
| ▪ | 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 |
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index, dividend
yields on the stocks that constitute the underlying index and interest rates. CGMI’s views on these inputs may differ from
your or others’ views, 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 the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute
the underlying index, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the underlying index, 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. |
| ▪ | The underlying index is subject to risks associated with the Eurozone. The companies whose stocks constitute the underlying
index are leading companies in the Eurozone. A number of countries in the Eurozone are undergoing a financial crisis affecting
their economies, their ability to meet their sovereign financial obligations and their financial institutions. Countries in the
Eurozone that are not currently experiencing a financial crisis may do so in the future as a result of developments in other Eurozone
countries. The economic ramifications of this financial crisis, and its effects on the companies that make up the underlying index,
are impossible to predict. This uncertainty may contribute to significant volatility in the underlying index, and adverse developments
affecting the Eurozone may affect the underlying index in a way that adversely affects the value of and return on the securities. |
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Furthermore, you should understand
that there is generally less publicly available information about non-U.S. companies than about U.S. companies that are subject
to the reporting requirements of the SEC, and non-U.S. companies are generally subject to accounting, auditing and financial reporting
standards and requirements and securities trading rules that are different from those applicable to U.S. reporting companies.
| ▪ | The underlying index performance will not be adjusted for changes in the exchange rate between the Euro and the U.S. dollar.
The underlying index is composed of stocks traded in Euro, the value of which may be subject to a high degree of fluctuation relative
to the U.S. dollar. However, the performance of the underlying index and the value of your securities will not be adjusted for
exchange rate fluctuations. If the Euro appreciates relative to the U.S. dollar over the term of the securities, your return on
the securities will underperform an alternative investment that offers exposure to that appreciation in addition to the change
in the level of the underlying index. |
| ▪ | Our offering of the securities does not constitute a recommendation of the underlying index. The fact that we are offering
the securities does not mean that we believe that investing in an instrument linked to the underlying index is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the stocks that constitute the underlying index or in instruments related to the underlying index or such stocks
and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying index.
These and other activities of our affiliates may affect the level of the underlying index in a way that has a negative impact on
your interests as a holder of the securities. |
| ▪ | The level of the underlying index may be adversely affected by our or our affiliates’ hedging and other trading activities.
We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly
in the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates also trade the stocks that constitute the underlying
index and other financial instruments related to the underlying index or such stocks on a regular basis (taking long or short positions
or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These
activities could affect the level of the underlying index in a way that negatively affects the value of the 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 issuers of the stocks that constitute
the underlying index, including extending loans to, making equity investments in or providing advisory services to such issuers.
In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose
to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
such issuer that are available to them without regard to your interests. |
| ▪ | The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of the underlying index, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments,
the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. |
| ▪ | Adjustments to the underlying index may affect the value of your securities. STOXX Limited (the “underlying index
publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the 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 “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. |
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Information
About the Underlying Index
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries. The EURO STOXX 50® Index is reported
by Bloomberg L.P. under the ticker symbol “SX5E.”
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—EURO STOXX 50®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the section “Equity Index Descriptions—EURO
STOXX 50® Index” in the accompanying underlying supplement for important disclosures regarding the underlying
index.
Historical Information
The closing level of the underlying index on September 30, 2015
was 3,100.67.
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to September 30, 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.
EURO STOXX 50® Index – Historical Closing Levels
January 4, 2010 to September 30, 2015 |
|
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.
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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, 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 $0.30 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 $0.25 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 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
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
(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 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 “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.
Citigroup Inc.
305,985 Buffered PLUS Based on the EURO STOXX 50® Index Due October 4, 2018
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
© 2015 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
Citigroup (NYSE:C)
Historical Stock Chart
From Aug 2024 to Sep 2024
Citigroup (NYSE:C)
Historical Stock Chart
From Sep 2023 to Sep 2024