Prospectus Filed Pursuant to Rule 424(b)(2) (424b2)
February 08 2016 - 5:08PM
Edgar (US Regulatory)
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 |
$16,243,000 |
$1,635.67 |
| (1) | Calculated in accordance with Rule 457(r) of the Securities Act. |
| (2) | Pursuant to Rule 457(p) under the Securities Act, the $139,028.00 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 $1,635.67 is offset
against the registration fee due for this offering and of which $137,392.33 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. |
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
Citigroup
Inc.
$16,243,000
Buffered S&P 500® Index-Linked Notes due March 9, 2017
|
|
Unlike
conventional debt securities, the notes offered by this pricing supplement do not pay interest and do not repay a fixed amount
of principal at maturity. The amount that you will be paid on your notes on the maturity
date (March 9, 2017) is based on the performance of the S&P 500® Index (the “underlier”) as measured
from the trade date to and including the determination date (March 6, 2017). If the final underlier level on the determination
date is greater than the initial underlier level of 1,915.45, the return on your notes will be positive, subject to the maximum
settlement amount of $1,118.50 for each $1,000 stated principal amount of your notes. If the final underlier level declines from
the initial underlier level by up to a buffer amount of 10.00%, you will receive the stated principal amount of your notes. However,
if the final underlier level declines from the initial underlier level by more than the 10.00% buffer amount, the return on your
notes will be negative and you will lose approximately 1.1111% of the stated principal amount of your notes for every 1% by which
that decline exceeds the 10.00% buffer amount. You could lose your entire investment in the notes.
In exchange for the upside participation and limited buffer features of the notes,
you must be willing to forgo (i) any return in excess of the maximum return at maturity of 11.85% (which results from the maximum
settlement amount of $1,118.50 for each $1,000 stated principal amount of your notes), (ii) any dividends paid on the stocks included
in the underlier and (iii) interest on the notes.
To
determine your payment at maturity, we will calculate the underlier return, which is the percentage increase or decrease in the
level of the underlier from the initial underlier level (set on the trade date) to the final underlier level on the determination
date. On the maturity date, for each $1,000 stated principal amount note you then hold, you will receive an amount in cash equal
to:
| ● | if the underlier return
is positive (the final underlier level is greater than the initial underlier level), the sum of (i) $1,000
plus (ii) the product of (a) $1,000 times (b) the upside participation rate of 150% times (c) the
underlier return, subject to the maximum settlement amount; |
| ● | if the underlier return
is zero or negative but not below –10.00% (the final underlier level is equal to or less than
the initial underlier level but not by more than 10.00%), $1,000; or |
| ● | if the underlier return is negative and is below
–10.00% (the final underlier level is less than the initial underlier level by more than 10.00%), the sum of
(i) $1,000 plus (ii) the product of (a) approximately 1.1111 times (b) the sum of the underlier return
plus 10.00% times (c) $1,000. This amount will be less than $1,000 and may be zero. |
The
notes are unsecured senior debt securities issued by Citigroup Inc. All payments on the notes are subject to the credit
risk of Citigroup Inc. If Citigroup Inc. defaults on its obligations, you may not receive any amount due under the notes. The notes
will not be listed on any securities exchange and may have limited or no liquidity.
Investing in the notes involves risks
not associated with an investment in conventional debt securities. See “Summary Risk Factors” beginning on page
PS-8.
|
Issue
Price(1) |
Underwriting
Discount(2) |
Net
Proceeds to Citigroup Inc. |
Per
Note: |
$1,000.00* |
$10.90 |
$989.10 |
Total: |
$16,243,000.00 |
$177,048.70 |
$16,065,951.30 |
(1) On the date of this pricing supplement,
the estimated value of the notes is $986.00 per note, which is less than the issue price. The estimated value of the notes is based
on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”) and our internal funding rate. It is not an
indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or
any other person may be willing to buy the notes from you at any time after issuance. See “Valuation of the Notes”
in this pricing supplement.
(2) CGMI,
an affiliate of the issuer, is the underwriter for the offering of the notes and is acting as principal. For more information on
the distribution of the notes, see “Summary Information—Key Terms—Supplemental Plan of Distribution” in
this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from hedging activity related
to this offering, even if the value of the notes declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
* The issue price will be $989.10 per note for investors in certain
fee-based advisory accounts; please see “Supplemental plan of distribution” on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the notes or determined that this pricing supplement and the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
The notes are not bank deposits and are
not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations
of, or guaranteed by, a bank.
The notes are part of the Medium-Term Senior Notes, Series G
of Citigroup Inc. This pricing supplement is a supplement to the documents listed below and should be read together with such documents,
which are available at the following hyperlinks:
Citigroup
Global Markets Inc.
Pricing
Supplement No. 2016-CMTNG0852 dated February
4, 2016
The issue price, underwriting discount and net
proceeds listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing
supplement, at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above. The
return (whether positive or negative) on your investment in notes will depend in part on the issue price you pay for such notes.
CGMI
may use this pricing supplement in the initial sale of the notes. In addition, CGMI or any other affiliate of Citigroup Inc. may
use this pricing supplement in a market-making transaction in a note after its initial sale.
|
Buffered S&P 500® Index-Linked
Notes due March 9, 2017
|
INVESTMENT THESIS |
|
· For
investors who seek modified exposure to the performance of the underlier, with the opportunity to participate on a leveraged basis
in a limited range of potential appreciation of the underlier and a limited buffer against potential depreciation of the underlier.
· In
exchange for the leveraged upside exposure and limited buffer feature, investors must be willing to forgo (i) participation in
any appreciation of the underlier beyond the cap level, (ii) any dividends that may be paid on the stocks included in the underlier
and (iii) interest on the notes. Investors must also be willing to lose some, and up to all, of their investment in the notes if
the underlier depreciates by more than the buffer amount, with downside exposure to that depreciation on an accelerated basis to
the extent the depreciation exceeds the buffer amount.
· Investors
must be willing to accept the credit risk of Citigroup Inc. and an investment that may have limited or no liquidity.
|
DETERMINING THE CASH SETTLEMENT AMOUNT |
At maturity, for each $1,000 stated principal amount note you
then hold, you will receive (as a percentage of the stated principal amount):
· If
the final underlier level is above 100.00% of the initial underlier level: 100.00% plus the product of the upside
participation rate of 150% times the underlier return, subject to a maximum settlement amount of 111.85% of the stated principal
amount
· If
the final underlier level is between 90.00% and 100.00% of the initial underlier level: 100.00%
· If
the final underlier level is below 90.00% of the initial underlier level: 100.00% minus approximately 1.1111% for every
1.00% that the underlier has declined below 90.00% of the initial underlier level
If the final underlier level
declines by more than 10.00% from the initial underlier level, the return on the notes will be negative and you could lose your
entire investment in the notes.
|
KEY TERMS |
|
Issuer: |
Citigroup Inc. |
Underlier: |
The S&P 500® Index (ticker symbol: “SPX”) |
Stated Principal Amount: |
$16,243,000 in the aggregate; each note will have a stated principal amount equal to $1,000 |
Trade Date: |
February 4, 2016 |
Settlement Date: |
February 11, 2016. See “Supplemental plan of distribution” on page PS-4 in this pricing supplement for additional information. |
Determination Date: |
March 6, 2017. The determination date is subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity Date: |
March 9, 2017 |
Initial Underlier Level: |
1,915.45 |
Final Underlier Level: |
The closing level of the underlier on the determination date |
Underlier Return: |
The quotient of (i) the final underlier level minus the initial underlier level divided by (ii) the initial underlier level, expressed as a positive or negative percentage |
Upside Participation Rate: |
150.00% |
Buffer Level: |
1,723.905, which is 90.00% of the initial underlier level (equal to a –10.00% underlier return) |
Buffer Amount: |
10.00% |
Buffer Rate: |
The quotient of the initial underlier level divided by the buffer level, which equals approximately 111.11% |
Maximum Settlement Amount: |
$1,118.50 per $1,000 stated principal amount note |
Cap Level: |
2,066.77055, which is 107.90% of the initial underlier level |
CUSIP/ISIN: |
17298C6T0 / US17298C6T09 |
HYPOTHETICAL PAYMENT AT MATURITY
|
|
Hypothetical Final
Underlier Level
(as % of Initial
Underlier Level) |
Hypothetical Cash
Settlement Amount
(as % of Stated
Principal Amount) |
140.000% |
111.850% |
130.000% |
111.850% |
107.900% |
111.850% |
105.000% |
107.500% |
100.000% |
100.000% |
95.000% |
100.000% |
90.000% |
100.000% |
50.000% |
55.556% |
25.000% |
27.778% |
0.000% |
0.000% |
Please read the section titled “Summary Risk Factors”
in this pricing supplement as well as the more detailed description of risks relating to an investment in the notes 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.
SUMMARY
INFORMATION
The terms of the notes are set forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that could affect your payment at maturity, such as market disruption events and other events affecting the underlier. 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 underlier that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the notes. Certain terms used but not defined in this pricing supplement are defined in the accompanying product supplement. References to “securities” in the accompanying product supplement include the notes. |
Key Terms
Issuer: Citigroup Inc.
Underlier: the S&P 500® Index (ticker
symbol: “SPX”), as maintained by S&P Dow Jones Indices LLC (the “underlier sponsor”). The underlier
is referred to as the “underlying index” and the underlier sponsor is referred to as the “underlying index publisher”
in the accompanying product supplement.
Stated principal amount: each note will have a stated
principal amount of $1,000; $16,243,000 in the aggregate for all the offered notes
Purchase at amount other than the stated principal amount:
the amount we will pay you at the stated maturity date for your notes will not be adjusted based on the issue price you pay for
your notes, so if you acquire notes at a premium (or discount) to the stated principal amount and hold them to the stated maturity
date, it could affect your investment in a number of ways. The return on your investment in such notes will be lower (or higher)
than it would have been had you purchased the notes at the stated principal amount. Also, the stated buffer level would not offer
the same measure of protection to your investment as would be the case if you had purchased the notes at the stated principal amount.
Additionally, the cap level would be triggered at a lower (or higher) percentage return than indicated below, relative to your
initial investment. See “Summary Risk Factors — If You Purchase Your Notes at a Premium to the Stated Principal Amount,
the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Stated Principal Amount and the Impact of
Certain Key Terms of the Notes Will be Negatively Affected” on page PS-11 of this pricing supplement
Cash settlement amount (paid on the maturity date): on
the maturity date, for each $1,000 stated principal amount of notes you then hold, we will pay you an amount in cash equal to:
| ● | if the final underlier level is greater than or equal to the cap level, the maximum settlement amount; |
| ● | if the final underlier level is greater than the initial underlier level but less than the cap level, the sum
of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the upside participation rate times (c)
the underlier return; |
| ● | if the final underlier level is equal to or less than the initial underlier level but greater than or
equal to the buffer level, $1,000; or |
| ● | if the final underlier level is less than the buffer level, the sum of (i) $1,000 plus (ii) the product
of (a) the buffer rate times (b) the sum of the underlier return plus the buffer amount times (c) $1,000 |
Initial underlier level: 1,915.45
Final underlier level: the closing level of the underlier
on the determination date, except in the limited circumstances described under “Description of the Securities — Certain
Additional Terms for Securities Linked to an Underlying Index — Discontinuance or Material Modification of an Underlying
Index” on page EA-23 of the accompanying product supplement and subject to adjustment as provided under “Description
of the Securities — Certain Additional Terms for Securities Linked to an Underlying Index — Determining the Closing
Level” and “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” on page EA-19 of the accompanying product
supplement.
Underlier return: the quotient of (i) the final
underlier level minus the initial underlier level divided by (ii) the initial underlier level, expressed as a positive
or negative percentage
Upside participation rate: 150.00%
Cap level: 2,066.77055, which is 107.90% of the initial
underlier level
Maximum settlement amount: $1,118.50 per $1,000 stated
principal amount note
Buffer level: 1,723.905, which is 90.00% of the initial
underlier level
Buffer amount: 10.00%
Buffer rate: the quotient of the initial underlier
level divided by the buffer level, which equals approximately 111.11%
Trade date: February 4, 2016. The trade date is referred
to as the “pricing date” in the accompanying product supplement.
Original issue date (settlement date): February 11, 2016.
See “Supplemental plan of distribution” below for additional information.
Determination date: March 6, 2017. The determination date
is referred to as the “valuation date” in the accompanying product supplement and is subject to postponement if such
date is not a scheduled trading day or if certain market disruption events occur, as described under “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” on page EA-19 of the accompanying product supplement.
Maturity date: March 9, 2017
No interest: the notes will not bear interest
No listing: the notes will not be listed on any securities
exchange or interdealer quotation system
No redemption: the notes will not be subject to redemption
before maturity
Business day: as described under “Description
of the Securities — General” on page EA-18 in the accompanying product supplement.
Scheduled trading day: as described
under “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” on page EA-21 of the accompanying product supplement.
Supplemental plan of distribution: Citigroup
Inc. expects to sell to CGMI, and CGMI expects to purchase from Citigroup Inc., the aggregate stated principal amount of the offered
notes specified on the front cover of this pricing supplement. CGMI proposes initially to offer the notes to the public at the
issue price set forth on the cover page of this pricing supplement, and to certain unaffiliated securities dealers at such price
less a concession not in excess of 1.09% of the stated principal amount. The issue price for notes purchased by certain fee-based
advisory accounts will be 98.91% of the stated principal amount of the notes, which will reduce the underwriting discount specified
on the cover of this pricing supplement with respect to such notes to 0%. In addition to the underwriting discount, CGMI and its
affiliates may profit from hedging activity related to this offering, even if the value of the notes declines. See “Use
of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of ours. Accordingly,
this offering will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate
set forth in Rule 5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries
have investment discretion will not be permitted to purchase the notes, either directly or indirectly, without the prior written
consent of the client.
Secondary market sales of securities typically
settle three business days after the date on which the parties agree to the sale. Because the settlement date for the notes is
more than three business days after the trade date, investors who wish to sell the notes at any time prior to the third business
day preceding the original issue date will be required to specify an alternative settlement date for the secondary market sale
to prevent a failed settlement. Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts
of Interest” in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus
supplement and prospectus for additional information.
A portion of the net proceeds from the sale
of the notes will be used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI
or other of our affiliates, or through a dealer participating in this offering or its affiliates. CGMI or such other of our affiliates
or such dealer or its affiliates may profit from this hedging activity even if the value of the notes declines. This hedging activity
could affect the closing level of the underlier and, therefore, the value of and your return on the notes. For additional information
on the ways in which our counterparties may hedge our obligations under the notes, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
ERISA: as described under “Benefit
Plan Investor Considerations” on pages EA-45 and EA-46 in the accompanying product supplement.
Calculation Agent: CGMI
CUSIP: 17298C6T0
ISIN: US17298C6T09
HYPOTHETICAL
EXAMPLES
The table and chart below are provided for purposes of illustration
only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate
the impact that various hypothetical underlier levels on the determination date could have on the cash settlement amount at maturity.
The table and chart below are based on a range of final underlier
levels that are entirely hypothetical; no one can predict what the underlier level will be on any day throughout the life of your
notes, and no one can predict what the final underlier level will be on the determination date. The underlier has been highly volatile
in the past — meaning that the underlier level has changed considerably in relatively short periods — and its performance
cannot be predicted for any future period. Investors in the notes will not receive any dividends on the stocks that constitute
the underlier. The table and chart below do not show any effect of lost dividend yield over the term of the notes. See “Summary
Risk Factors—Investing in the Notes Is Not Equivalent to Investing in the Underlier or the Stocks that Constitute the Underlier”
below.
The information in the table and chart below reflects hypothetical
returns on the notes assuming that they are purchased on the original issue date at the stated principal amount and held to the
maturity date. If you sell your notes in a secondary market prior to the maturity date, your return will depend upon the value
of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the table or chart below
such as interest rates, the volatility of the underlier and our creditworthiness. Please read “Summary Risk Factors—The
Value of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors” in this pricing supplement. It is
likely that any secondary market price for the notes will be less than the issue price.
The information in the table and chart also reflects the key
terms and assumptions in the box below.
Key Terms and Assumptions |
Stated principal amount |
$1,000 |
Cap level |
107.90% of the initial underlier level |
Maximum settlement amount |
$1,118.50 per $1,000 stated principal amount note |
Buffer level |
90.00% of the initial underlier level |
Buffer rate |
approximately 111.11% |
Buffer amount |
10.00% |
Neither
a market disruption event nor a non-scheduled trading day occurs on the originally scheduled determination date
No change
in or affecting any of the stocks comprising the underlier or the method by which the underlier sponsor calculates the underlier
Notes purchased
on original issue date at the stated principal amount and held to the stated maturity date
|
For these reasons, the actual performance of the underlier over
the life of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples
shown below or to the historical underlier levels shown elsewhere in this pricing supplement. For information about the historical
levels of the underlier during recent periods, see “The Underlier — Historical Closing Levels of the Underlier”
below.
The levels in the left column of the table below represent hypothetical
final underlier levels and are expressed as percentages of the initial underlier level. The amounts in the right column represent
the hypothetical cash settlement amounts, based on the corresponding hypothetical final underlier level (expressed as a percentage
of the initial underlier level), and are expressed as percentages of the stated principal amount of a note (rounded to the nearest
one-thousandth of a percent). Thus, a hypothetical cash settlement amount of 100.000% means that the value of the cash payment
that we would deliver for each $1,000 of the outstanding stated principal amount of the notes on the maturity date would equal
100.000% of the stated principal amount of a note, based on the corresponding hypothetical final underlier level (expressed as
a percentage of the initial underlier level) and the assumptions noted above.
Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level)
|
Hypothetical Cash Settlement Amount
(as Percentage of Stated Principal Amount)
|
200.000% |
111.850% |
175.000% |
111.850% |
150.000% |
111.850% |
110.000% |
111.850% |
107.900% |
111.850% |
105.000% |
107.500% |
100.000% |
100.000% |
95.000% |
100.000% |
90.000% |
100.000% |
75.000% |
83.333% |
50.000% |
55.556% |
25.000% |
27.778% |
0.000% |
0.000% |
If, for example, the final underlier level were determined to
be 25.000% of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be
approximately 27.778% of the stated principal amount of your notes, as shown in the table above. As a result, if you purchased
your notes on the original issue date at the stated principal amount and held them to the maturity date, you would lose approximately
72.222% of your investment. In addition, if the final underlier level were determined to be 150.000% of the initial underlier level,
the cash settlement amount that we would deliver on your notes at maturity would be capped at the maximum settlement amount (expressed
as a percentage of the stated principal amount), or 111.850% of each $1,000 stated principal amount of your notes, as shown in
the table above. As a result, you would not benefit from any increase in the final underlier level over 107.900% of the initial
underlier level.
The table above demonstrates the diminishing benefit of the buffer
feature of the notes the lower the final underlier level. For example, if the final underlier level were determined to be 75.000%
of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be approximately
83.333% of the stated principal amount of your notes, resulting in an effective buffer (i.e., the difference between the underlier
return and your return on the notes) of approximately 8.333%. However, if the final underlier level were determined to be 50.000%
of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be approximately
55.556% of the stated principal amount of your notes, resulting in an effective buffer of only approximately 5.556%. The lower
the final underlier level, the lower the effective buffer provided by the notes will be.
The following chart also shows a graphical illustration of the
hypothetical cash settlement amounts that we would pay on your notes on the maturity date, if the final underlier level (expressed
as a percentage of the initial underlier level) were any of the hypothetical levels shown on the horizontal axis. The chart shows
that any hypothetical final underlier level (expressed as a percentage of the initial underlier level) of less than 90.000% (the
section left of the 90.000% marker on the horizontal axis) would result in a hypothetical cash settlement amount of less than 100.000%
of the stated principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in
a loss of principal to the holder of the notes. The chart also shows that any hypothetical final underlier level (expressed as
a percentage of the initial underlier level) of greater than or equal to 107.900% (the section right of the 107.900% marker on
the horizontal axis) would result in a capped return on your investment.
The cash settlement amounts shown above are entirely hypothetical;
they are based on levels of the underlier that may not be achieved on the determination date. The actual cash settlement amount
you receive on the maturity date may bear little relation to the hypothetical cash settlement amounts shown above, and these amounts
should not be viewed as an indication of the financial return on an investment in the notes. The actual market value of your notes
on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear little relation
to the hypothetical cash settlement amounts shown above, and these amounts should not be viewed as an indication of the financial
return on an investment in the offered notes. The hypothetical cash settlement amounts on notes held to the stated maturity date
in the examples above assume you purchased your notes at their stated principal amount and have not been adjusted to reflect the
actual issue price you pay for your notes. The return on your investment (whether positive or negative) in your notes will be affected
by the amount you pay for your notes. If you purchase your notes for a price other than the stated principal amount, the return
on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the above examples.
Please read “Summary Risk Factors — The Value of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable
Factors” on page PS-10 of this pricing supplement.
We cannot predict the actual final underlier level or what the value of your notes will be on any particular day, nor can we predict the relationship between the underlier level and the value of your notes at any time prior to the maturity date. The actual amount that you will receive, if any, at maturity and the return on the notes will depend on the actual final underlier level determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the maturity date may be very different from the information reflected in the table and chart above. |
SUMMARY
RISK FACTORS
An investment in the notes is significantly riskier than an
investment in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional
debt securities, including the risk that we may default on our obligations under the notes, and are also subject to risks associated
with the underlier. Accordingly, the notes are suitable only for investors who are capable of understanding the complexities and
risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an investment in the notes
and the suitability of the notes in light of your particular circumstances.
The following is a summary of certain key risk factors for
investors in the notes. You should read this summary together with the more detailed description of risks relating to an investment
in the notes contained in the section “Risk Factors Relating to the 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 notes
do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlier.
If the underlier depreciates by more than the buffer amount, you will receive less than the stated principal amount of your notes
at maturity. You should understand that any depreciation of the underlier beyond the buffer amount will result in a loss of more
than 1% of the stated principal amount for each 1% by which the depreciation exceeds the buffer amount, which will progressively
offset any protection that the buffer amount would offer. Accordingly, the lower the final underlier level, the less benefit you
will receive from the buffer. There is no minimum payment at maturity, and you may lose up to all of your investment.
The Notes Do Not Pay Interest
Unlike conventional debt securities, the notes
do not pay interest or any other amounts prior to maturity. You should not invest in the notes if you seek current income during
the term of the notes.
Your Potential Return On the Notes Is
Limited
Your potential total return on the notes at
maturity is limited by the maximum settlement amount. Any increase in the final underlier level over the cap level will not increase
your return on the notes and will progressively reduce the effective degree of your participation in the appreciation of the underlier.
Investing in the Notes Is Not Equivalent
to Investing in the Underlier or the Stocks that Constitute the Underlier
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 underlier. As of February
4, 2016, the average dividend yield of the stocks comprising the underlier was approximately 2.31% per year. While it is impossible
to know the future dividend yield of the underlier, if this average dividend yield were to remain constant for the term of the
notes, you would be forgoing an aggregate yield of approximately 2.50% (assuming no reinvestment of dividends) by investing in
the notes instead of investing directly in the stocks that constitute the underlier or in another investment linked to the underlier
that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement do not show any effect
of lost dividend yield over the term of the notes.
Your Payment at Maturity Depends on the
Closing Level of the Underlier on a Single Day
Because your payment at maturity depends on
the closing level of the underlier solely on the determination date, you are subject to the risk that the closing level of the
underlier on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the notes.
If you had invested in another instrument linked to the underlier 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 underlier, you might have achieved better returns.
The Notes Are Subject to the Credit Risk
of Citigroup Inc.
If we default on our obligations under the
notes, you may not receive anything owed to you under the notes.
The Notes Will Not Be Listed on a Securities
Exchange and You May Not Be Able to Sell Them Prior to Maturity
The notes will not be listed on any securities
exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends to make a secondary market
in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative bid price for the
notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and
other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price, or at all. CGMI may
suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI
suspends or
terminates making a market, there may be no secondary market at all for the notes because it is likely that CGMI will
be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold
the notes until maturity.
The Estimated Value of the Notes on the
Trade Date, Based on CGMI’s Proprietary Pricing Models and Our Internal Funding Rate, Is Less than the Issue Price
The difference is attributable to certain costs
associated with selling, structuring and hedging the notes that are included in the issue price. These costs include (i) the selling
concessions paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in
connection with the offering of the notes and (iii) the expected profit (which may be more or less than actual profit) to CGMI
or other of our affiliates in connection with hedging our obligations under the notes. These costs adversely affect the economic
terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms
of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market
rate, to price the notes. See “The Estimated Value of the Notes Would Be Lower if It Were Calculated Based on Our Secondary
Market Rate” below.
The Estimated Value of the Notes Was Determined
for Us by Our Affiliate Using Proprietary Pricing Models
CGMI derived the estimated value disclosed
on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments
about the inputs to its models, such as the volatility of the underlier, dividend yields on the stocks that constitute the underlier
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 notes. Moreover, the estimated value of the notes set forth on the cover
page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other purposes,
including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you
should be willing to hold the notes to maturity irrespective of the initial estimated value.
The Estimated Value of the Notes Would
Be Lower if It Were Calculated Based on Our Secondary Market Rate
The estimated value of the notes included in
this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds
through the issuance of the notes. Our internal funding rate is generally lower than the market rate implied by traded instruments
referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market
rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal
funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with
the notes, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and
preferences. Our internal funding rate is not an interest rate that we will pay to investors in the notes, which do not bear interest.
The Estimated Value of the Notes Is Not
an Indication of the Price, if Any, at Which CGMI or Any Other Person May Be Willing to Buy the Notes From You in the Secondary
Market
Any such secondary market price will fluctuate
over the term of the notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, any value of the notes determined for purposes of a secondary market transaction will
be based on our secondary market rate, which will likely result in a lower value for the notes than if our internal funding rate
were used. In addition, any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending
on the aggregate stated principal amount of the notes to be purchased in the secondary market transaction, and the expected cost
of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the notes will be less
than the issue price.
The Value of the Notes Prior to Maturity
Will Fluctuate Based on Many Unpredictable Factors
The value of your notes prior to maturity will
fluctuate based on the level and volatility of the underlier and a number of other factors, including the price and volatility
of the stocks that constitute the underlier, the dividend yields on the stocks that constitute the underlier, interest rates generally,
the time remaining to maturity and our creditworthiness, as reflected in our secondary market rate. Changes in the level of the
underlier may not result in a comparable change in the value of your notes. You should understand that the value of your notes
at any time prior to maturity may be significantly less than the issue price.
If the Level of the Underlier Changes,
the Market Value of Your Notes May Not Change in the Same Manner
Your notes may trade quite differently from
the performance of the underlier. Changes in the level of the underlier may not result in a comparable change in the market value
of your notes. We discuss some of the reasons for this disparity under “— The Value of the Notes Prior to Maturity
Will Fluctuate Based on Many Unpredictable Factors” above.
Immediately Following Issuance, Any Secondary
Market Bid Price Provided by CGMI, and the Value That Will Be Indicated on Any Brokerage Account Statements Prepared by CGMI or
Its Affiliates, Will Reflect a Temporary Upward Adjustment
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing supplement.
Our Offering of the Notes Does Not Constitute
a Recommendation of the Underlier
The fact that we are offering the notes does
not mean that we believe that investing in an instrument linked to the underlier 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 underlier or in instruments related to the underlier or such stocks and may publish research or express opinions,
that in each case are inconsistent with an investment linked to the underlier. These and other activities of our affiliates may
affect the level of the underlier in a way that has a negative impact on your interests as a holder of the notes.
The Level of the Underlier May Be Adversely
Affected by Our or Our Affiliates’ Hedging and Other Trading Activities
We have hedged our obligations under the notes
through CGMI or other of our affiliates, or through a dealer participating in this offering or its affiliates, who have taken positions
directly in the stocks that constitute the underlier and other financial instruments related to the underlier or such stocks and
may adjust such positions during the term of the notes. Our affiliates also trade the stocks that constitute the underlier and
other financial instruments related to the underlier 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. Any dealer
participating in the offering of the notes or its affiliates may engage in similar activities. These activities could affect the
level of the underlier in a way that negatively affects the value of the notes. They could also result in substantial returns for
us or our affiliates or any dealer or its affiliates while the value of the notes declines. If the dealer from which you purchase
notes is to conduct hedging activities for us in connection with the notes, that dealer may profit in connection with such hedging
activities and such profit, if any, will be in addition to the compensation that the dealer receives for the sale of the notes
to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive
for the dealer to sell the notes to you in addition to the compensation they would receive for the sale of the notes.
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 underlier, 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. Any dealer participating in the offering of the notes or its affiliates may engage in similar activities.
The Calculation Agent, Which Is an Affiliate
of Ours, Will Make Important Determinations With Respect to the Notes
If certain events occur, such as market disruption
events or the discontinuance of the underlier, CGMI, as calculation agent, will be required to make discretionary judgments that
could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests as an affiliate
of ours could be adverse to your interests as a holder of the notes.
Adjustments to the Underlier May Affect
the Value of Your Notes
The underlier sponsor may add, delete or substitute
the stocks that constitute the underlier or make other methodological changes that could affect the level of the underlier. The
underlier sponsor may discontinue or suspend calculation or publication of the underlier at any time without regard to your interests
as holders of the notes.
We May Sell an Additional Aggregate Stated
Principal Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an
additional aggregate stated principal amount of the notes subsequent to the date of this pricing supplement. The issue price of
the notes in the subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided
on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium
to the Stated Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Stated Principal
Amount and the Impact of Certain Key Terms of the Notes Will be Negatively Affected
The cash settlement amount will not be adjusted
based on the issue price you pay for the notes. If you purchase notes at a price that differs from the stated principal amount
of the notes, then the return on your investment in such notes held to the stated maturity date will differ from, and may be substantially
less than, the return on notes purchased at the stated principal amount. If you purchase your notes at a premium to the stated
principal amount and
hold them to the stated maturity date, the return on your investment in the notes will be lower than it would
have been had you purchased the notes at the stated principal amount or a discount to the stated principal amount. In addition,
the impact of the buffer level and the cap level on the return on your investment will depend upon the price you pay for your notes
relative to the stated principal amount. For example, if you purchase your notes at a premium to the stated principal amount, the
cap level will only permit a lower percentage increase in your investment in the notes than would have been the case for notes
purchased at the stated principal amount or a discount to the stated principal amount. Similarly, the buffer level, while still
providing some protection for the return on the notes, will allow a greater percentage decrease in your investment in the notes
than would have been the case for notes purchased at the stated principal amount or a discount to the stated principal amount.
The U.S. Federal Tax Consequences of an
Investment in the Notes Are Unclear
There is no direct legal authority regarding
the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS or a court might
not agree with the treatment of the notes as prepaid forward contracts. If the IRS were successful in asserting an alternative
treatment of the notes, the tax consequences of the ownership and disposition of the notes 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 notes, 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 notes, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
THE UNDERLIER
The S&P 500® Index consists
of common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S. equity
markets. It is calculated and maintained by S&P Dow Jones Indices LLC. The S&P 500® Index is reported by
Bloomberg L.P. under the ticker symbol “SPX.”
Effective with the September 2015 rebalance,
consolidated share class lines are no longer included in the S&P 500® Index. Each share class line is subject to public
float and liquidity criteria individually, but a company’s total market capitalization is used to evaluate each share class
line. This may result in one listed share class line of a company being included in the S&P 500® Index while a second listed
share class line of the same company is excluded.
“Standard & Poor’s,”
“S&P” and “S&P 500®” are trademarks of Standard & Poor’s Financial Services
LLC and have been licensed for use by Citigroup Inc. and its affiliates. For more information, see “Equity Index Descriptions—S&P
500® Index—License Agreement” in the accompanying underlying supplement.
Please refer to the sections “Risk Factors”
and “Equity Index Descriptions—S&P 500® Index” in the accompanying underlying supplement for
important disclosures regarding the underlier, including certain risks that are associated with an investment linked to the underlier.
Additional information is available on the underlier sponsor’s website. We are not incorporating by reference the website
or any material it includes in this document.
Historical Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past
and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the
underlier during the period shown below is not an indication that the underlier is more or less likely to increase or decrease
at any time during the life of your notes.
You should not take the historical levels of the underlier
as an indication of the future performance of the underlier. We cannot give you any assurance that the future performance of
the underlier will result in your receiving an amount greater than the stated principal amount of your notes on the maturity date.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlier. The actual performance of the underlier over the life of the notes, as well as the
cash settlement amount, may bear little relation to the historical levels shown below.
The graph below shows the closing levels of the underlier for
each day such level was available from January 3, 2011 to February 4, 2016. We obtained the closing levels from Bloomberg L.P.,
without independent verification.
The closing level of the underlier on February 4, 2016 was 1,915.45.
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 note should be treated as a prepaid forward contract for U.S. federal income tax
purposes. By purchasing a note, 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 notes 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 notes
prior to maturity, other than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a note (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 note. Such
gain or loss should be long-term capital gain or loss if you held the note for more than one year. |
Subject to the discussion below, if you are a Non-U.S. Holder
(as defined in the accompanying product supplement) of the notes, 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 notes, provided that (i) income in respect of the notes
is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable
certification requirements.
The U.S. Treasury Department recently finalized the regulations
referred to in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Application
of Section 871(m) of the Code” in the accompanying product supplement, which require withholding on certain “dividend
equivalent” payments to non-U.S. persons. Based on the effective date in the final regulations, those regulations generally
will not apply to the notes assuming there is no significant modification to the notes’ terms that results in a deemed exchange
of the notes for U.S. federal income tax purposes.
As discussed in the section of the accompanying product supplement
entitled “United States Federal Tax Considerations,” withholding under legislation commonly referred to as “FATCA”
might (if the notes were recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes.
However, under a recent IRS notice, withholding under “FATCA” will not apply to payments of gross proceeds (other than
any amount treated as interest) with respect to dispositions of the notes. You should consult your tax adviser regarding the potential
application of “FATCA” to the notes.
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 notes, 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 notes, 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 notes.
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 notes and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
VALUATION
OF THE NOTES
CGMI calculated the estimated value of the notes set forth on
the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary pricing models generated
an estimated value for the notes by estimating the value of a hypothetical package of financial instruments that would replicate
the payout on the notes, which consists of a fixed-income bond (the “bond component”) and one or more derivative instruments
underlying the economic terms of the notes (the “derivative component”). CGMI calculated the estimated value of the
bond component using a discount rate based on our internal funding rate. CGMI calculated the estimated value of the derivative
component based on a proprietary derivative-pricing model, which generated a theoretical price for the instruments that constitute
the derivative component based on various inputs, including the factors described under “Summary Risk Factors—The Value
of the Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors” in this pricing supplement, but not including
our creditworthiness. These inputs may be market-observable or may be based on assumptions made by CGMI in its discretionary judgment.
For a period of approximately three months following issuance
of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated
for the notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through
one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise
be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its
affiliates over the term of the notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis
over the three-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time. See
“Summary Risk Factors—The Notes Will Not Be Listed on a Securities Exchange and You May Not Be Able to Sell Them Prior
to Maturity.”
VALIDITY
OF THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special products
counsel to Citigroup Inc., when the notes offered by this pricing supplement have been executed and issued by Citigroup Inc. and
authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such notes will be valid and binding
obligations of Citigroup Inc., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including,
without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion
as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except
that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the notes.
In giving this opinion, Davis Polk & Wardwell LLP has assumed
the legal conclusions expressed in the opinion set forth below of Michael J. Tarpley, Associate General Counsel–Capital Markets
of Citigroup Inc. In addition, this opinion is subject to the assumptions set forth in the letter of Davis Polk & Wardwell
LLP dated November 13, 2013, which has been filed as an exhibit to a Current Report on Form 8-K filed by Citigroup Inc. on November
13, 2013, that the indenture has been duly authorized, executed and delivered by, and is a valid, binding and enforceable agreement
of the trustee and that none of the terms of the notes nor the issuance and delivery of the notes, nor the compliance by Citigroup
Inc. with the terms of the notes, will result in a violation of any provision of any instrument or agreement then binding upon
Citigroup Inc. or any restriction imposed by any court or governmental body having jurisdiction over Citigroup Inc.
In the opinion of Michael J. Tarpley, Associate General Counsel–Capital
Markets of Citigroup Inc., (i) the terms of the notes offered by this pricing supplement have been duly established under the indenture
and the Board of Directors (or a duly authorized committee thereof) of Citigroup Inc. has duly authorized the issuance and sale
of such notes and such authorization has not been modified or rescinded; (ii) Citigroup Inc. is validly existing and in good standing
under the laws of the State of Delaware; (iii) the indenture has been duly authorized, executed, and delivered by Citigroup Inc.;
and (iv) the execution and delivery of such indenture and of the notes offered by this pricing supplement by Citigroup Inc., and
the performance by Citigroup Inc. of its obligations thereunder, are within its corporate powers and do not contravene its certificate
of incorporation or bylaws or other constitutive documents. This opinion is given as of the date of this pricing supplement and
is limited to the General Corporation Law of the State of Delaware.
Michael J. Tarpley, or other internal attorneys with whom he
has consulted, has examined and is familiar with originals, or copies certified or otherwise identified to his satisfaction, of
such corporate records of Citigroup Inc., certificates or documents as he has deemed appropriate as a basis for the opinions expressed
above. In such examination, he or such persons has assumed the legal capacity of all natural persons, the genuineness of all signatures
(other than those of officers of Citigroup Inc.), the authenticity of all documents submitted to him or such persons as originals,
the conformity to original documents of all documents submitted to him or such persons as certified or photostatic copies and the
authenticity of the originals of such copies.
© 2016 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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