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 |
$3,000,000 |
$348.60 |
(1)
Calculated in accordance with Rule 457(r) of the Securities Act.
(2)
Pursuant to Rule 457(p) under the Securities Act, the $243,887.65
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 $348.60 is offset against the registration fee due for this offering and of which $243,539.05
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. |
May
15, 2015
Medium-Term Senior
Notes, Series G
Pricing Supplement
No. 2015-CMTNG0544
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302 |
Fixed to Floating Rate Notes Linked
to the 10-Year Constant Maturity Swap Rate Due May 20, 2025
The notes will bear interest during each quarterly
interest period (i) during the first two years: at a fixed rate of 3.00% per annum and (ii) after the second year until maturity:
at a floating rate based on the 10-year Constant Maturity Swap Rate (“CMS10”) on the interest determination date for
that interest period, as described below, subject to the minimum interest rate of 0.00% per annum. CMS10 is one market-accepted
indicator of medium-to-longer term interest rates. The notes are designed for investors who seek fixed interest payments for the
first two years of the term of the notes and floating interest payments linked to CMS10 thereafter. The notes are senior unsecured
debt obligations of Citigroup Inc. All payments due on the notes are subject to the credit risk of Citigroup Inc.
KEY TERMS |
Issuer: |
Citigroup Inc. |
Aggregate stated principal
amount: |
$3,000,000 |
Stated principal amount: |
$1,000 per note |
Pricing date: |
May 15, 2015 |
Issue date: |
May 20, 2015 |
Maturity date: |
May 20, 2025. If the maturity
date is not a business day, then the payment required to be made on the maturity date will be made on the next succeeding
business day with the same force and effect as if it had been made on the maturity date. No additional interest will accrue
as a result of delayed payment. |
Payment at maturity: |
$1,000 per note plus accrued
and unpaid interest |
Interest: |
· During
each interest period from and including the issue date to but excluding May 20, 2017,
the notes will bear interest at a fixed rate of 3.00% per annum
· During
each interest period commencing on or after May 20, 2017, the notes will bear interest at a floating rate equal to CMS10,
as determined on the interest determination date for that interest period, subject to a minimum interest rate of 0.00%
per annum.
The
amount of interest you receive on each interest payment date for each note you hold will be equal to (i) $1,000 times the applicable
interest rate per annum divided by (ii) 4.
After the first two years of the term of the notes,
interest payments will vary based on fluctuations in the CMS10, subject to the minimum interest rate specified above.
After the first two years, the notes may pay a below-market rate or no interest at all for an extended period of time,
or even throughout the entire remaining term. |
CMS10: |
On any interest determination
date, the 10-year Constant Maturity Swap Rate, as published on Reuters page “ISDAFIX1” at 11:00 am (New York time)
on that date of determination. See “General Information—Determination of CMS10” below for further information. |
Interest determination date: |
For any interest period commencing
on or after May 20, 2017, the second business day prior to the first day of that interest period |
Interest period: |
Each three-month period from
and including an interest payment date (or the issue date, in the case of the first interest period) to but excluding the
next interest payment date |
Interest payment dates: |
Interest on the notes is payable
quarterly on the 20th day of each February, May, August and November, beginning on August 20, 2015 and ending on the maturity
date. If any interest payment date is not a business day, then the payment required to be made on that interest payment date
will be made on the next succeeding business day with the same force and effect as if it had been made on that interest payment
date. No additional interest will accrue as a result of delayed payment. |
Day count convention: |
30/360 Unadjusted |
CUSIP / ISIN: |
17298CBB3 / US17298CBB37 |
Listing: |
The notes will not be listed
on any securities exchange and accordingly, may have limited or no liquidity. You should not invest in the notes unless you
are willing to hold them to maturity. |
Underwriter: |
Citigroup Global Markets Inc.
(“CGMI”), an affiliate of the issuer acting as principal. |
Underwriting fee
and issue price: |
Issue
price(1) |
Underwriting
fee(2)(3) |
Proceeds
to issuer(3) |
Per note: |
$1,000.00 |
$8.75 |
$991.25 |
Total: |
$3,000,000.00 |
$26,250.00 |
$2,973,750.00 |
(1) On the date of this pricing supplement, the estimated value
of the notes is $972.00 per note, which is less than the issue price. The estimated value of the notes 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 notes from you at any
time after issuance. See “Valuation of the Notes” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Inc. and the underwriter
of the sale of the notes, is acting as principal and will receive an underwriting fee of up to $8.75 for each $1,000 note sold
in this offering. The actual underwriting fee will be equal to the selling concession provided to selected dealers. Selected dealers
not affiliated with CGMI will receive a variable selling concession of up to $8.75 for each note they sell. See “General
Information—Fees and selling concessions” in this pricing supplement. In addition to the underwriting fee, 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.
(3) The per note proceeds to issuer above represents the minimum
per note proceeds to issuer, assuming the maximum per note underwriting fee. As noted in footnote (2), the underwriting fee is
variable. For more information on the distribution of the notes, see “General Information—Supplemental information
regarding plan of distribution; conflicts of interest” in this pricing supplement.
Investing in the notes involves risks not associated with
an investment in conventional fixed-rate debt securities. See “Risk Factors” beginning on page PS-2.
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
prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
It is important for you to consider the information contained
in this pricing supplement together with the information contained in the accompanying prospectus supplement and prospectus, which
may be accessed via the hyperlink below.
Prospectus
Supplement and Prospectus each dated November 13, 2013
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.
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the notes. You should read the risk factors below together with 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. We also urge you to consult your investment,
legal, tax, accounting and other advisers in connection with your investment in the notes.
| § | After
the first two years, the notes will pay interest at a floating rate that may be as low
as 0.00% on one or more interest payment dates. The rate at which the notes will
bear interest during each quarterly interest period after the first two years will depend
on CMS10 on the interest determination date for that interest period. As a result, the
interest payable on the notes will vary with fluctuations in CMS10, subject to the minimum
interest rate of 0.00% per annum. It is impossible to predict whether CMS10 will rise
or fall or the amount of interest payable on the notes. You may receive no interest for
extended periods of time or even throughout the remaining term of the notes. |
| § | An investment
in the notes may be more risky than an investment in notes with a shorter term. The
notes have a term of ten years. By purchasing notes with a longer term, you will bear
greater exposure to fluctuations in market interest rates than if you purchased a note
with a shorter term. In particular, if the level of CMS10 does not increase from its
current level, you may be holding a long-dated security that pays an interest rate that
is less than that which would be payable on a conventional fixed-rate, non-callable debt
security of Citigroup Inc. of comparable maturity. In addition, if you tried to sell
your notes at such time, the value of your notes in any secondary market transaction
would also be adversely affected. |
| § | The notes
are subject to the credit risk of Citigroup Inc., and any actual or anticipated changes
to its credit ratings or credit spreads may adversely affect the value of the notes.
You are subject to the credit risk of Citigroup Inc. If Citigroup Inc. defaults on
its obligations under the notes, your investment would be at risk and you could lose
some or all of your investment. As a result, the value of the notes will be affected
by changes in the market’s view of Citigroup Inc.’s creditworthiness. Any
decline, or anticipated decline, in Citigroup Inc.’s credit ratings or increase,
or anticipated increase, in the credit spreads charged by the market for taking Citigroup
Inc. credit risk is likely to adversely affect the value of the notes. |
| § | You will
be entitled to receive the full principal amount of your notes, subject to the credit
risk of Citigroup Inc., only if you hold the notes to maturity. Because the value
of the notes may fluctuate, if you are able to sell your notes in the secondary market
prior to maturity, you may receive less than the stated principal amount. |
| § | 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 pricing date, based on CGMI’s proprietary pricing models
and our internal funding rate, is less than the issue price. The difference is attributable
to certain costs associated with selling, structuring and hedging the 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 CMS10 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 |
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
| | 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 notes, and
our liquidity needs and preferences. Our internal funding rate is not the same as the
rate at which interest is payable on the notes. |
| § | 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 CMS10, interest and yield rates in the market generally, the time remaining to maturity
of the notes and our creditworthiness, as reflected in our secondary market rate. You
should understand that the value of your notes 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 Notes” in this pricing supplement. |
| § | The way
CMS10 is calculated may change in the future, which could adversely affect the value
of the notes. The publisher of CMS10 may change the method by which it calculates
CMS10. Changes in the way CMS10 is calculated could reduce the level of CMS10, which
could reduce the amount of one or more interest payments to you and the value of your
notes. |
| § | The calculation
agent, which is an affiliate of the issuer, will make determinations with respect to
the notes. Citibank, N.A., the calculation agent for the notes, is an affiliate of
ours. As calculation agent, Citibank, N.A. will determine, among other things, each CMS10
level and will calculate the related interest rate and payment to you on each interest
payment date. Any of these determinations or calculations made by Citibank, N.A. in its
capacity as calculation agent, including with respect to the calculation of the level
of CMS10 in the event of the unavailability of the level of CMS10, may adversely affect
the amount of one or more interest payments to you. |
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
General Information |
Additional information: |
The
description of the notes in this pricing supplement supplements, and, to the extent inconsistent
with, replaces the general terms of the notes set forth in the accompanying prospectus
supplement and prospectus. The accompanying prospectus supplement and prospectus contain
important disclosures that are not repeated in this pricing supplement.
The notes are senior unsecured debt securities issued
by Citigroup Inc. under the senior debt indenture described in the accompanying prospectus supplement and prospectus.
The notes will constitute part of the senior debt of Citigroup Inc. and will rank equally with all other unsecured and
unsubordinated debt of Citigroup Inc. |
Business day: |
Any day that is not a Saturday or Sunday
and that, in New York City, is not a day on which banking institutions are authorized or obligated by law or executive order
to close. |
Regular record date: |
Interest will be payable on each interest
payment date to the holders of record of the notes at the close of business on the business day immediately preceding the
relevant interest payment date, except that the final interest payment will be made to the persons who hold the notes on the
maturity date. |
Determination of CMS10: |
CMS10
will equal the 10-year Constant Maturity Swap Rate, as published on Reuters page “ISDAFIX1”
(or any successor page as determined by the calculation agent) at 11:00 am (New York
time) on the applicable interest determination date. The 10-year Constant Maturity Swap
Rate measures the market fixed coupon rate that is to be paid in exchange for a floating
three-month-LIBOR-based rate for a term of 10 years.
If a rate for CMS10 is not published on Reuters page
“ISDAFIX1” (or any successor page as determined by the calculation agent) on any interest determination date,
then the calculation agent will determine the applicable rate on the basis of the mid-market semi-annual swap rate quotations
to the calculation agent provided by five leading swap dealers in the New York City interbank market (the “reference
banks”) at approximately 11:00 am, New York time, on such day, and, for this purpose, the mid-market semi-annual
swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count
basis, of a fixed-for-floating U.S. dollar interest rate swap transaction with a 10-year maturity, commencing on such
day and in a representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg,
calculated on an actual/360 day count basis, is equivalent to U.S. dollar LIBOR with a designated maturity of three months.
The calculation agent will request the principal New York City office of each of the reference banks to provide a quotation
of its rate. If at least three quotations are provided, the rate for that day will be the arithmetic mean of the quotations,
eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in
the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the applicable rate
will be determined by the calculation agent in good faith and using its reasonable judgment. |
U.S. federal income tax considerations: |
In
the opinion of our counsel, Davis Polk & Wardwell LLP, the notes should be treated
as “variable rate debt instruments” that provide for a single fixed rate
followed by a qualified floating rate (“QFR”) for U.S. federal income tax
purposes.
Under the Treasury Regulations applicable to variable
rate debt instruments, in order to determine the amount of qualified stated interest (“QSI”) and original
issue discount (“OID”) in respect of the notes, an equivalent fixed rate debt instrument must be constructed.
The equivalent fixed rate debt instrument is constructed in the following manner: (i) first, the initial fixed rate is
converted to a QFR that would preserve the fair market value of the notes, and (ii) second, each QFR (including the QFR
determined under (i) above) is converted to a fixed rate substitute (which will generally be the value of that QFR as
of the issue date of the notes). The rules described under “United States Federal Tax Considerations – Tax
Consequences to U.S. Holders – Original Issue Discount” in the accompanying prospectus supplement are then
applied to the equivalent fixed rate debt instrument for purposes of calculating the amount of OID on the notes. Based
on the application of these rules to the notes and current market conditions, the notes should be treated as issued without
OID, in which case stated interest on the notes will be taxable to a U.S. Holder (as defined in the accompanying prospectus
supplement) as ordinary interest income at the time it accrues or is received in accordance with the U.S. Holder’s
method of tax accounting.
Upon the sale or other taxable disposition of a note,
a U.S. Holder generally will recognize capital gain or loss equal to the difference between the amount realized on the
disposition (other than any amount attributable to accrued interest, which will be treated as a payment of interest) and
|
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
|
the
U.S. Holder’s tax basis in the note. A U.S. Holder’s tax basis in a note
generally will equal the amount paid to acquire the note. Such gain or loss generally
will be long-term capital gain or loss if the U.S. Holder has held the note for more
than one year at the time of disposition.
Subject to the discussion in the accompanying prospectus
supplement regarding “FATCA,” under current law Non-U.S. Holders (as defined in the accompanying prospectus
supplement) generally will not be subject to U.S. federal withholding or income tax with respect to interest paid on and
amounts received on the sale, exchange or retirement of the notes if they comply with applicable certification requirements.
Special rules apply to Non-U.S. Holders whose income on the notes is effectively connected with the conduct of a U.S.
trade or business or who are individuals present in the United States for 183 days or more in a taxable year.
You should read the section entitled “United
States Federal Tax Considerations” in the accompanying prospectus 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 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. |
Fees and selling concessions: |
CGMI,
an affiliate of Citigroup Inc. and the underwriter of the sale of the notes, is acting
as principal and will receive an underwriting fee of up to $8.75 for each note sold in
this offering. CGMI will pay selected dealers not affiliated with CGMI a variable selling
concession of up to $8.75 for each note 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 notes declines. You should refer to
“Risk Factors” above and the section “Use of Proceeds and Hedging” in the accompanying prospectus. |
Supplemental information regarding
plan of distribution; conflicts of interest: |
The
terms and conditions set forth in the Global Selling Agency Agreement dated November
13, 2013 among Citigroup Inc. and the agents named therein, including CGMI, govern the
sale and purchase of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup
Inc. has entered into one or more swaps or other derivatives transactions with one or more of its affiliates. You should
refer to the sections “Risk Factors—The estimated value of the notes on the pricing date, based on CGMI’s
proprietary pricing models and our internal funding rate, will be less than the issue price,” and the section “Use
of Proceeds and Hedging” in the accompanying prospectus.
CGMI is an affiliate of Citigroup Inc. Accordingly,
the offering of the notes will conform with the requirements addressing conflicts of interest when distributing the securities
of an affiliate set forth in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client
accounts over which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are
not permitted to purchase the notes, either directly or indirectly, without the prior written consent of the client. See
“Plan of Distribution” in the accompanying prospectus supplement for more information. |
Calculation agent: |
Citibank, N.A., an affiliate of Citigroup
Inc., will serve as calculation agent for the notes. All determinations made by the calculation agent will be at the sole
discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding
on Citigroup Inc. and the holders of the notes. Citibank, N.A. is obligated to carry out its duties and functions as calculation
agent in good faith and using its reasonable judgment. |
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
Historical Information on CMS10
The following graph shows the published daily rate for CMS10
in the period from January 3, 2005 through May 15, 2015. The historical CMS10 should not be taken as an indication of the future
performance of CMS10. Any historical upward or downward trend in CMS10 during any period set forth below is not an indication
that CMS10 is more or less likely to increase or decrease at any time during the term of the notes. The rate for CMS10 on May
15, 2015, was 2.224% per annum.
Historical
CMS10
January 3, 2005
to May 15, 2015 |
|
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 “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 six 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 six-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time.
See “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
Citigroup
Inc. |
Fixed
to Floating Rate Notes Linked to the 10-Year Constant Maturity Swap Rate Due May 20, 2025 |
|
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.
© 2015 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered
throughout the world.
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