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 |
$3,417,000 |
$397.06 |
| (1) | Calculated in accordance with Rule 457(r) of the Securities
Act. |
| (2) | Pursuant to Rule 457(p) under the Securities Act, the
$223,987.48 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 $397.06 is offset against the registration fee due for this offering and of
which $223,590.42 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. |
June 25, 2015
Medium-Term Senior
Notes, Series G
Pricing Supplement
No. 2015-CMTNG0560
Filed Pursuant
to Rule 424(b)(2)
Registration Statement
No. 333-192302 |
Market-Linked Notes Based on a Basket of Three
Underliers Due December 30, 2020
| n | The notes offered by this pricing supplement are unsecured,
senior debt securities issued by Citigroup Inc. The notes offer a semi-annual coupon at a rate of 0.25% per annum and the potential
for an additional positive return at maturity based on the average basket return percentage of a basket (the “basket”)
consisting of the S&P 500® Index, shares of the iShares® MSCI EAFE ETF and shares of the iShares®
Core U.S. Aggregate Bond ETF (each, a “basket component” and collectively, the “basket components”),
measured as described below. If the average basket return percentage is positive, you will receive a positive return at maturity
equal to 110% of that average basket return percentage in addition to the final coupon payment. However, if the average basket
return percentage is negative or zero, your total return on the notes will be limited to the sum of the coupon payments paid over
the term of the notes. Even if the average basket return percentage is positive, so that you do receive a positive return at maturity
in addition to the final coupon payment, there is no assurance that your total return at maturity on the notes will compensate
you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of ours of
comparable maturity. |
| n | The average basket return percentage is the average of
the percentage changes in the closing level of the basket from the pricing date to each quarterly valuation date occurring over
the term of the notes. You should understand that the return on the notes may be significantly lower than the actual return on
the basket, as measured from the pricing date to the final valuation date, because of the manner in which the average basket return
percentage is calculated. You should also understand that you will not receive any dividends or distributions paid on the basket
components that are an exchange traded fund or the securities included in or held by the basket components over the term of the
notes. |
| n | In order to obtain the modified exposure to the basket
that the notes provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the
risk of not receiving any amount due under the notes if we default on our obligations. All payments on the notes are subject
to the credit risk of Citigroup Inc. |
KEY Terms |
Basket: |
Basket Component |
Weighting |
Initial Component Value* |
Multiplier** |
|
S&P 500® Index (ticker symbol: “SPX”) |
33.34% |
2,102.31 |
0.01586 |
|
Shares of the iShares® MSCI EAFE ETF (ticker symbol: “EFA”) |
33.33% |
$65.77 |
0.50677 |
|
Shares of the iShares® Core U.S. Aggregate Bond ETF (ticker symbol: “AGG”) |
33.33% |
$108.47 |
0.30727 |
|
* The initial component value for each basket component is the
closing level or closing price, as applicable, of that basket component on the pricing date
** The multiplier for each basket component will be determined
as follows: (initial basket level × weighting) / initial component value.
|
Aggregate stated principal amount: |
$3,417,000 |
Stated principal amount: |
$1,000 per note |
Pricing date: |
June 25, 2015 |
Issue date: |
June 30, 2015 |
Valuation dates: |
The 25th day of each March, June, September and December during the term of the notes, beginning September 25, 2015, each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity date: |
December 30, 2020 |
Coupon payment dates: |
The 30th day of each June and December, beginning on December 30, 2015 and ending on the maturity date, provided that if any such day is not a business day, the applicable coupon payment will be made on the next succeeding business day and no interest will accrue as a result of delayed payment |
Coupon: |
On each semi-annual coupon payment date, the notes will pay a coupon at a rate of 0.25% per annum |
Payment at maturity: |
For each note, the $1,000 stated principal amount per note plus the note return amount, which will be either zero or positive, plus the coupon payment due at maturity |
Note return amount: |
• If the average basket return percentage
is greater than zero:
$1,000 × average basket return percentage ×
upside participation rate
• If the average basket return percentage
is less than or equal to zero:
$0 |
Average basket return percentage: |
The arithmetic average of the interim basket return percentages, as measured on each of the valuation dates |
Interim basket return percentage: |
On each valuation date: (ending basket level – initial basket level) / initial basket level |
Initial basket level: |
100 |
Ending basket level: |
The closing level of the basket on the relevant valuation date. The closing level of the basket on any valuation date is equal to the sum of the products of each basket component’s closing level or closing price, as applicable, on that date and its multiplier |
Upside participation rate: |
110.00% |
Listing: |
The notes will not be listed on any securities exchange |
CUSIP / ISIN: |
17298CBM9 / US17298CBM91 |
Underwriter: |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Underwriting fee and issue price: |
Issue price(1)(2) |
Underwriting fee(2)(3) |
Proceeds to issuer |
Per note: |
$1,000 |
$30 |
$970 |
Total: |
$3,417,000 |
$102,510 |
$3,314,490 |
(1) On the date of this pricing supplement, the estimated value
of the notes is $914.40 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) The issue price for investors purchasing the notes in fee-based
advisory accounts will be $970.00 per note, assuming no custodial fee is charged by a selected dealer, and up to $975.00, assuming
the maximum custodial fee is charged by a selected dealer. See “Supplemental Plan of Distribution” in this pricing
supplement.
(3) For more information on the distribution of the notes, see
“Supplemental Plan of Distribution” 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.
Investing in the notes involves risks not associated with
an investment in conventional debt securities. See “Summary Risk Factors” beginning on page PS-6.
Neither the Securities and Exchange Commission (the “SEC”)
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.
You
should read this pricing supplement together with the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus,
each of which can be accessed via the hyperlinks below.
Prospectus Supplement and Prospectus each dated November 13, 2013
The
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. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Additional Information
General. 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. These events, including market disruption events
and other events affecting the basket components, and their consequences are described in the accompanying product supplement in
the sections “Description of the Notes—Certain Additional Terms for Notes Linked to ETF Shares or Company Shares—Consequences
of a Market Disruption Event; Postponement of a Valuation Date,” “—Dilution and Reorganization Adjustments”
and “—Delisting, Liquidation or Termination of an Underlying ETF” or “Description of the Notes—Certain
Additional Terms for Notes 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 basket components 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.
Postponement of the valuation date. If a valuation date
is postponed for a reason that affects less than all of the basket components, the closing level or closing price, as applicable,
will be (i) for each unaffected basket component, its closing level or closing price, as applicable, on the originally scheduled
valuation date and (ii) for each affected basket component, its closing level or closing price, as applicable, on the valuation
date as postponed (or, if earlier, the first scheduled trading day for that basket component following the originally scheduled
valuation date on which a market disruption event did not occur with respect to that basket component). See “Description
of the Notes—Certain Additional Terms for Notes Linked to ETF Shares or Company Shares—Consequences of a Market Disruption
Event; Postponement of a Valuation Date” and “Description of the Notes—Certain Additional Terms for Notes Linked
to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying
product supplement.
Dilution and reorganization adjustments. With respect
to shares of the iShares® MSCI EAFE ETF and shares of the iShares® Core U.S. Aggregate Bond ETF,
the initial component value is a “Relevant Price” for purposes of the section “Description of the Notes—Certain
Additional Terms for Notes Linked to ETF Shares or Company Shares” in the accompanying product supplement. Accordingly, the
initial component value and the multiplier for either of those basket components are subject to adjustment upon the occurrence
of any of the events described in the accompanying product supplement in the section “Description of the Notes—Certain
Additional Terms for Notes Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” with respect
to that basket component.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Hypothetical Examples
The following four examples illustrate the calculation of the
average basket return percentage and the payment at maturity on the notes based on different hypothetical interim basket return
percentages for each of the quarterly valuation dates occurring during the term of the notes. Your actual payment at maturity per
note will depend on the actual average basket return percentage.
Investors in the notes will not receive any dividends or interest
paid on the basket components that are an exchange traded fund or the securities included in or held by the basket components.
The examples below do not show any effect of lost dividend or coupon yield over the term of the notes. See “Summary Risk
Factors—Investing in the notes is not equivalent to investing in the basket components” below.
Example 1
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is 13.00% but the average basket return percentage is only 6.50%. The graph above illustrates the
hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In this
example, the basket appreciates steadily over the term of the notes.
Payment at maturity per note = $1,000 + the note return amount
+ the coupon payment due at maturity
= $1,000 + ($1,000 × average index return percentage ×
upside participation rate) + the coupon payment due at maturity
= $1,000 + ($1,000 × 6.50% × 110.00%) + (($1,000
× 0.25%) / 2)
= $1,000 + $71.50 + $1.25
= $1,072.75
Because the average basket return percentage is greater than
zero, your payment at maturity in this example would be equal to the $1,000 stated principal amount per note plus the note
return amount, in addition to the coupon payment due at maturity, or $1,072.75 per note. In this example, the return on the notes
is significantly less than the performance of the basket as measured from the pricing date to the final valuation date.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Example 2
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is −14.13% and the average basket return percentage is −3.25%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket has negative interim basket return percentages on some valuation dates and positive interim basket return
percentages on other valuation dates. Because the negative interim basket return percentages are relatively large in absolute terms,
the positive interim basket return percentages are more than offset by the negative interim basket return percentages, and the
average basket return percentage is −3.25%.
Payment at maturity per note = $1,000 + the note return amount
+ the coupon payment due at maturity
= $1,000 + $0 + (($1,000 × 0.25%) / 2)
= $1,000 + $0 + $1.25
= $1,001.25
Because the average basket return percentage is less than zero,
the note return amount will equal zero. Accordingly, the payment at maturity per note will equal the $1,000 stated principal amount
per note plus the coupon payment due at maturity, or $1,001.25.
Example 3
Hypothetical Performance
of the Basket
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
The interim basket return percentage from the pricing date
to the final valuation date is 7.50% but the average basket return percentage is only −0.68%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket depreciates early in the term of the notes, remains at a level below the initial basket level for a significant
period of time and then appreciates significantly later in the term of the notes. In this example, the notes significantly underperform
the basket over the term of the notes.
Payment at maturity per note = $1,000 + the note return amount
+ the coupon payment due at maturity
= $1,000 + $0 + (($1,000 × 0.25%) / 2)
= $1,000 + $0 + $1.25
= $1,000
Because the average basket return percentage is less than zero,
the note return amount will equal zero. Accordingly, the payment at maturity per note will equal the $1,000 stated principal amount
per note plus the coupon payment due at maturity, or $1,001.25.
Example 4
Hypothetical Performance
of the Basket
The interim basket return percentage from the pricing date
to the final valuation date is −0.50% and the average basket return percentage is 5.30%. The graph above illustrates
the hypothetical percentage change in the closing level of the basket from the pricing date to each of the valuation dates. In
this example, the basket appreciates early in the term of the notes and then declines significantly later in the term of the notes.
The level of the basket is greater than its closing level on the final valuation date for a significant period of time during the
term of the notes. The average basket return percentage is 5.30%, which is greater than −0.50%, the interim basket return
percentage from the pricing date to the final valuation date.
Payment at maturity per note = $1,000 + the note return amount
+ the coupon payment due at maturity
= $1,000 + ($1,000 × average basket return percentage ×
upside participation rate) + the coupon payment due at maturity
= $1,000 + ($1,000 × 5.30% × 110.00%)+ (($1,000 ×
0.25%) / 2)
= $1,000 + $58.30 + $1.25
= $1,059.55
Because the average basket return percentage is greater than
zero, your payment at maturity in this example would be equal to the $1,000 stated principal amount per note plus the note
return amount, in addition to the coupon payment due at maturity, or $1,059.55 per note.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
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 basket components. 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 Notes” 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.
| n | Your return on the notes may be limited to the sum of the coupon payments. You will receive a positive return on your
investment in the notes in excess of the sum of the coupon payments only if the average basket return percentage is greater than
zero. If the average basket return percentage is equal to or less than zero, you will only receive, at maturity, the stated principal
amount of $1,000 for each note plus the coupon payment due at maturity in addition to the coupon payments previously paid.
As the coupon rate payable on the notes is only 0.25% per annum, even if the average basket return percentage is greater than zero,
there is no assurance that your total return at maturity on the notes will be as great as could have been achieved on conventional
debt securities of ours of comparable maturity. |
| n | Although the notes provide for the repayment of the stated principal amount at maturity and coupon payments, you may nevertheless
suffer a loss on your investment in real value terms if the average basket return percentage is less than or not sufficiently greater
than zero. This is because inflation may cause the real value of the stated principal amount to be less at maturity than it
is at the time you invest, and because an investment in the notes represents a forgone opportunity to invest in an alternative
asset that does generate a positive real return greater than the coupon rate payable on the notes. This potential loss in real
value terms is significant given the 5.5-year term of the notes. You should carefully consider whether an investment that may provide
a return that is lower than the return on alternative investments is appropriate for you. |
| n | The notes are designed for investors who are willing to forgo full upside exposure to the basket in certain market scenarios
in order to avoid downside exposure to the basket. You should understand that if the closing level of the basket is greater
at or near maturity than it was, on average, on the quarterly valuation dates, the notes will underperform the actual return on
the basket (unless the closing level of the basket is lower at or near maturity than it was on the pricing date). For example,
if the closing level of the basket increases at a more or less steady rate over the term of the notes, the average basket return
percentage will be less than the percentage increase in the closing level of the basket as measured from the pricing date to the
final valuation date, and the notes will underperform the actual return on the basket. This underperformance will be especially
significant if there is a significant increase in the closing level of the basket during the latter portion of the term of the
notes. In addition, it is possible that you will not receive any return on the notes even if the closing level of the basket at
or near maturity is significantly greater than it was on the pricing date. One scenario in which this may occur is when the closing
level of the basket declines early in the term of the notes, remains below the initial basket level for a significant period of
time and then increases significantly later in the term of the notes. You should not invest in the notes unless you understand
and are willing to accept the drawbacks associated with the averaging feature of the notes. |
| n | Investing in the notes is not equivalent to investing in the basket components. You will not have voting rights, rights
to receive dividends or other distributions or any other rights with respect to the basket components that are an exchange traded
fund or the securities included in or held by the basket components. The payment scenarios described in this pricing supplement
do not show any effect of lost dividend or coupon yield over the term of the notes. |
| n | 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. |
| n | 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. |
| n | Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the
full stated principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity.
The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity, you
may receive less than the full stated principal amount of your notes. |
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
| n | 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. |
| n | 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 basket components, the correlation
between those basket components, dividend or coupon yields on the applicable basket components or the securities included in or
held by the basket components 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. |
| n | 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 the same as the coupon that is payable on the notes. |
| n | 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. |
| n | 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 value of the basket components and a number of other factors, including the volatility
of the basket components, the correlation between the basket components, the dividend or coupon yields on the applicable basket
components or the securities included in or held by the basket components, the volatility of the exchange rate between the U.S.
dollar and each of the currencies in which the securities held by the iShares® MSCI
EAFE ETF trade, the correlation between those exchange rates and the value of each basket component, interest rates generally,
the time remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that
the value of your notes at any time prior to maturity may be significantly less than the issue price. |
| n | 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. |
| n | The basket components may offset each other. The performance of one basket component may not correlate with the performance
of the other basket components. If one of the basket components appreciates, the other basket components may not appreciate as
much or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly offset or
more than offset by lesser appreciation or by depreciation in the value of one or more of the other basket components. |
| n | The basket components may be highly correlated in decline. The performances of the basket components may become highly
correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or
on the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one
basket component will not be offset by the performance of the other basket components and, in fact, each basket component may contribute
to an overall decline from the initial basket level to each of the interim basket levels during the term of the notes. |
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
| n | The iShares® MSCI EAFE ETF is subject to risks associated with non-U.S. markets. The iShares®
MSCI EAFE ETF tracks international equity markets. Investments in securities linked to the value of non-U.S. stocks involve risks
associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention
in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information
about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the
SEC. Further, non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements
and securities trading rules that are different from those applicable to U.S. reporting companies. The prices of securities in
foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including
changes in government, economic and fiscal policies and currency exchange laws. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency. |
| n | Fluctuations in exchange rates will affect the price of the iShares® MSCI EAFE ETF. Because the iShares®
MSCI EAFE ETF invests in stocks that are traded in non-U.S. currencies, while the net asset values of the iShares®
MSCI EAFE ETF are based on the U.S. dollar value of those stocks, holders of the notes will be exposed to currency exchange rate
risk with respect to each of the currencies in which those stocks trade. If the U.S. dollar generally strengthens against the currencies
in which those stocks trade, the prices of the shares of the iShares® MSCI EAFE ETF will be adversely affected for
that reason alone and the payment at maturity on the notes may be reduced. |
Exchange rate movements for a particular
currency are volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the
demand for, those currencies, as well as government policy, intervention or actions, but are also influenced significantly from
time to time by political or economic developments, and by macroeconomic factors and speculative actions related to each applicable
region. An investor’s net exposure will depend on the extent to which the currencies of the applicable countries strengthen
or weaken against the U.S. dollar and the relative weight of each currency. Of particular importance to potential currency exchange
risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and the
extent of governmental surpluses or deficits in the applicable countries and the United States. All of these factors are in turn
sensitive to the monetary, fiscal and trade policies pursued by the governments of the applicable countries and the United States
and other countries important to international trade and finance.
| n | The iShares® Core U.S. Aggregate Bond ETF is subject to significant risks, including interest rate-related
and credit-related risks — Because the performance of the notes is linked to the shares of the iShares®
Core U.S. Aggregate Bond ETF, the notes are exposed to fluctuations of U.S. dollar-denominated fixed-income securities. That exposure
differs significantly from investing directly in fixed-income securities to be held to maturity because the value of the iShares®
Core U.S. Aggregate Bond ETF changes, at times significantly, during each trading day based upon current market prices of the fixed-income
securities underlying the iShares® Core U.S. Aggregate Bond ETF. The market prices of these fixed-income securities
are volatile and significantly influenced by a number of factors, particularly the yields on these fixed-income securities as compared
to current market interest rates and the actual or perceived credit quality of the issuers of these fixed-income securities. |
In general, fixed-income securities
are significantly affected by changes in current market interest rates. As interest rates rise, the price of fixed-income securities,
including those underlying the iShares® Core U.S. Aggregate Bond ETF, is likely to decrease. Securities with longer
durations tend to be more sensitive to interest rate changes, usually making them more volatile than securities with shorter durations.
The eligibility criteria for the fixed-income securities included in the index that underlies the iShares® Core
U.S. Aggregate Bond ETF, which mandates that each security must have a minimum term remaining to maturity of one year for continued
eligibility, means that, at any time, only longer-term securities underlie the iShares® Core U.S. Aggregate Bond
ETF, which thereby increases the risk of price volatility in the underlying securities and, consequently, the volatility in the
value of the iShares® Core U.S. Aggregate Bond ETF. As a result, rising interest rates may cause the value of the
bonds underlying the iShares® Core U.S. Aggregate Bond ETF and the value of the basket to decline, possibly significantly.
Interest rates are subject to volatility
due to a variety of factors, including:
| · | sentiment regarding underlying strength in the U.S. economy and global economies; |
| · | expectations regarding the level of price inflation; |
| · | sentiment regarding credit quality in the U.S. and global credit markets; |
| · | central bank policies regarding interest rates; and |
| · | the performance of U.S. and foreign capital markets. |
Recently, U.S. treasury notes have
been trading near their historic high trading price. If the price of U.S. treasury notes reverts to its historic mean or otherwise
falls, as a result of a general increase in interest rates or perceptions of reduced credit quality of the U.S. government or otherwise,
the value of the bonds underlying the iShares® Core U.S. Aggregate Bond ETF will decline, which could have a negative
impact on the performance of the basket and the return on your notes.
In addition, the prices of the fixed-income
securities underlying the iShares® Core U.S. Aggregate Bond ETF are significantly influenced by the creditworthiness
of the issuers of those fixed-income securities. The fixed-income securities underlying the iShares® Core U.S. Aggregate
Bond ETF may have their credit ratings downgraded, including a downgrade from investment grade
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
to non-investment grade status,
or credit spreads widened significantly. Following a ratings downgrade or the widening of credit spreads, some or all of the fixed-income
securities may suffer significant and rapid price declines. These events may affect only a few or a large number of the fixed-income
securities. For example, during the recent credit crisis in the United States, credit spreads widened significantly as the market
demanded very high yields on corporate bonds and, as a result, the prices of the bonds underlying the iShares® Core
U.S. Aggregate Bond ETF dropped significantly. There can be no assurance that some or all of the factors that contributed to this
credit crisis will not continue or return during the term of the notes, and, consequently, depress the price, perhaps significantly,
of the underlying bonds and therefore the value of the iShares® Core U.S. Aggregate Bond ETF, the basket and the
notes.
The iShares® Core
U.S. Aggregate Bond ETF may invest in mortgage-backed securities, some of which may not be backed by the full faith and credit
of the U.S. government. Mortgage-backed securities are subject to prepayment risk and extension risk. Because of these risks, mortgage-backed
securities react differently to change in interest rates than other bonds. Small movements in interest rates (both increases and
decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
The iShares® Core
U.S. Aggregate Bond ETF may also invest in U.S. dollar-denominated fixed-income securities of foreign corporations. Investing in
U.S. dollar-denominated fixed-income securities issued by non-U.S. companies has different risks than investing in U.S. companies.
These include differences in accounting, auditing and financial reporting standards, the possibility of expropriation or confiscatory
taxation, adverse changes in investment or exchange control regulations, political instability which could affect U.S. investments
in foreign countries, and potential restrictions of the flow of international capital.
| n | Even if the issuer of the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond
ETF pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the notes for that dividend
unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment will not be made under
the terms of the notes for any cash dividend paid on shares of the iShares® MSCI EAFE ETF or the iShares®
Core U.S. Aggregate Bond ETF unless the amount of the dividend per share, together with any other dividends paid in the same quarter,
exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing price of the shares
of the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF on the date of declaration
of the dividend. Any dividend will reduce the closing price of the shares of the iShares® MSCI EAFE ETF or the iShares®
Core U.S. Aggregate Bond ETF by the amount of the dividend per share. If the issuer of the iShares® MSCI EAFE ETF
or the iShares® Core U.S. Aggregate Bond ETF pays any dividend for which an adjustment is not made under the terms
of the notes, holders of the notes will be adversely affected. See “Description of the Notes—Certain Additional Terms
for Notes Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash
Dividends” in the accompanying product supplement. |
| n | An adjustment will not be made for all events that may have a dilutive effect on or otherwise adversely affect the market
price of the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF. For example,
we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above.
Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in
the notes may be adversely affected by such an event in a circumstance in which a direct holder of the shares of the iShares®
MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF would not. |
| n | The notes may become linked to shares of an issuer other than the original issuer of the iShares® MSCI EAFE
ETF and the iShares® Core U.S. Aggregate Bond ETF upon the occurrence of a reorganization event or upon the delisting
of the shares of the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF. For
example, if the issuer of the iShares® MSCI EAFE ETF and the iShares® Core U.S. Aggregate Bond ETF
enters into a merger agreement that provides for holders of the shares of the iShares® MSCI EAFE ETF or the iShares®
Core U.S. Aggregate Bond ETF to receive shares of another entity, the shares of such other entity will become the applicable underlying
asset for all purposes of the notes upon consummation of the merger. Additionally, if the shares of the iShares®
MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF are delisted, or the iShares® MSCI EAFE
ETF or the iShares® Core U.S. Aggregate Bond ETF are otherwise terminated, the calculation agent may, in its sole
discretion, select shares of another ETF to be the applicable underlying asset. See “Description of the Notes—Certain
Additional Terms for Notes Linked to ETF Shares or Company Shares-Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an Underlying ETF” in the accompanying product supplement. |
| n | The iShares® MSCI EAFE ETF and the iShares® Core U.S. Aggregate Bond ETF may not completely
track the performance of the indexes they seek to track. The price of the shares
of the iShares® MSCI EAFE ETF and the iShares® Core U.S. Aggregate Bond ETF will reflect transaction
costs and fees that are not included in the calculation of the MSCI EAFE Index or the Barclays U.S. Aggregate Bond Index, the indexes
that they seek to track, respectively. In addition, the iShares® MSCI EAFE ETF and the iShares® Core
U.S. Aggregate Bond ETF may not hold all of the securities included in, and may hold securities and derivative instruments that
are not included in, the MSCI EAFE Index or the Barclays U.S. Aggregate Bond Index. |
| n | Changes made by the investment adviser to the iShares® MSCI EAFE ETF and the iShares® Core
U.S. Aggregate Bond ETF or by the sponsors of the MSCI EAFE Index or the Barclays U.S. Aggregate Bond Index may affect the shares
of the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF. We are not affiliated
with the investment adviser to the iShares® MSCI EAFE ETF and the iShares® Core U.S. Aggregate Bond
ETF or with the sponsors of MSCI EAFE Index and the Barclays U.S. Aggregate Bond Index. Accordingly, we have no control over any
changes the investment adviser or sponsor may |
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
make to the iShares®
MSCI EAFE ETF, the iShares® Core U.S. Aggregate Bond ETF, the MSCI EAFE Index or the Barclays U.S. Aggregate Bond
Index. Such changes could be made at any time and could adversely affect the performance of the shares of the iShares®
MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF.
| n | Our offering of the notes does not constitute a recommendation of the basket or the basket components. The fact that
we are offering the notes does not mean that we believe that investing in an instrument linked to the basket or any of the basket
components 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 securities included in or held by the basket components or in instruments related
to the basket components or such securities, and may publish research or express opinions, that in each case are inconsistent with
an investment linked to the basket components. These and other activities of our affiliates may affect the values of the basket
components in a way that has a negative impact on your interests as a holder of the notes. |
| n | The value of a basket component 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, who have taken positions directly in the
applicable basket components or the securities included in or held by the basket components and other financial instruments related
to the basket components or such securities and may adjust such positions during the term of the notes. Our affiliates also trade
the applicable basket components or the securities included in or held by the basket components and other financial instruments
related to the basket components or such securities on a regular basis (taking long or short positions or both), for their accounts,
for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the
level of the basket components in a way that negatively affects the value of the notes. They could also result in substantial returns
for us or our affiliates while the value of the notes declines. |
| n | 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 securities included
in or held by the basket components, 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. |
| n | 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, the discontinuance of the S&P 500® Index or events
with respect to the iShares® MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF that may
require a dilution adjustment or the delisting of the iShares® MSCI EAFE ETF or the iShares® Core
U.S. Aggregate Bond ETF, 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. |
| n | Changes that affect the basket components may affect the value of your notes. The sponsors of the S&P 500®
Index, the index underlying the iShares® MSCI EAFE ETF or the index underlying the iShares®
Core U.S. Aggregate Bond ETF may add, delete or substitute the securities that constitute those indexes or make other methodological
changes that could affect the levels of those indexes. In addition, the investment advisers to the iShares® MSCI
EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF may change the manner in which the iShares®
MSCI EAFE ETF or the iShares® Core U.S. Aggregate Bond ETF operate or their investment objectives at any time.
We are not affiliated with any such index sponsor or investment advisor and, accordingly, we have no control over any changes
any such index sponsor or investment adviser may make. Such changes could be made at any time and could adversely affect the performance
of the basket components and therefore the basket, and the value of and your payment at maturity on the notes. |
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Hypothetical
Historical Information About the Basket
Because the basket exists solely for purposes of the notes, historical
information on the performance of the basket does not exist for dates prior to the pricing date. The graph below sets forth the
hypothetical historical daily closing levels of the basket for the period from January 4, 2010 to June 25, 2015, assuming that
the basket was created on January 4, 2010 with the same basket components and corresponding weights and with a level of 100 on
that date. The hypothetical performance of the basket is based on the actual closing values of the basket components on the applicable
dates. We obtained these closing levels from Bloomberg L.P., without independent verification. Any historical trend in the level
of the basket during the period shown below is not an indication of the performance of the basket during the term of the notes.
Hypothetical Historical Basket
January 4, 2010 to June 25, 2015 |
|
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Information
About the Basket Components
S&P 500® Index
The S&P 500® Index consists of 500 common
stocks 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.”
“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 section
“Equity Index Descriptions—S&P 500® Index” in the accompanying underlying supplement for important
disclosures regarding the S&P 500® Index.
Historical
Information
The closing level of the S&P 500® Index on
June 25, 2015 was 2,102.31.
The graph below shows the closing levels of the S&P 500®
Index for each day such level was available from January 4, 2010 to June 25, 2015. We obtained the closing levels from Bloomberg
L.P., without independent verification. You should not take the historical levels of the S&P 500® Index as an
indication of future performance.
S&P 500® Index – Historical Closing Levels
January 4, 2010 to June 25, 2015 |
|
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
iShares® MSCI EAFE ETF
The iShares® MSCI EAFE ETF is an exchange-traded
fund that seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in certain developed markets, excluding the United States and Canada, as measured by the MSCI EAFE®
Index. However, for purposes of the notes, the performance of the iShares® MSCI EAFE ETF will reflect only its price
performance, as any dividends paid on the shares of the iShares® MSCI EAFE ETF will not be factored into a determination
of the closing level of the iShares® MSCI EAFE ETF. The MSCI EAFE® Index was developed by MSCI Inc.
as an equity benchmark for international stock performance, and is designed to measure equity market performance in certain developed
markets, excluding the United States and Canada.
The iShares® MSCI EAFE ETF is an investment portfolio
managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares® MSCI EAFE
ETF. iShares®, Inc. is a registered investment company that consists of numerous separate investment portfolios,
including the iShares® MSCI EAFE ETF. Information provided to or filed with the SEC by iShares®,
Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In
addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The iShares® MSCI EAFE ETF trades on the NYSE Arca under the ticker symbol
“EFA.”
Please refer to the section “Fund Descriptions—iShares®
MSCI EAFE ETF” in the accompanying underlying supplement for important disclosures regarding the iShares®
MSCI EAFE ETF.
This pricing supplement relates only to the notes offered
hereby and does not relate to the iShares® MSCI EAFE ETF or other securities of iShares®, Inc. We
have derived all disclosures contained in this pricing supplement regarding the iShares® MSCI EAFE ETF and iShares®,
Inc. from the publicly available documents described above. In connection with the offering of the notes, neither Citigroup Inc.
nor CGMI has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares®,
Inc. or the index underlying the iShares® MSCI EAFE ETF.
The notes represent obligations of Citigroup Inc. only. iShares®,
Inc. is not involved in any way in this offering and has no obligation relating to the notes or to holders of the notes.
Neither we nor any of our affiliates make any representation
to you as to the performance of the iShares® MSCI EAFE ETF.
Historical
Information
The graph below shows the closing price of shares of the iShares®
MSCI EAFE ETF for each day such price was available from January 4, 2010 to June 25, 2015. The table that follows shows the high
and low closing prices of, and dividends paid on, the iShares® MSCI EAFE ETF for each quarter in that same period.
We obtained the closing prices and other information below from Bloomberg L.P., without independent verification. You should not
take the historical prices of shares of the iShares® MSCI EAFE ETF as an indication of future performance.
iShares® MSCI EAFE ETF – Historical Closing Prices
January 4, 2010 to June 25, 2015 |
|
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
iShares® MSCI EAFE ETF |
High |
Low |
Dividends |
2010 |
|
|
|
First Quarter |
$57.96 |
$50.45 |
$0.00000 |
Second Quarter |
$58.03 |
$46.29 |
$0.85863 |
Third Quarter |
$55.42 |
$47.09 |
$0.00000 |
Fourth Quarter |
$59.46 |
$54.25 |
$0.53819 |
2011 |
|
|
|
First Quarter |
$61.91 |
$55.31 |
$0.00000 |
Second Quarter |
$63.87 |
$57.10 |
$1.14099 |
Third Quarter |
$60.80 |
$46.66 |
$0.00000 |
Fourth Quarter |
$55.57 |
$46.45 |
$0.56923 |
2012 |
|
|
|
First Quarter |
$55.80 |
$49.15 |
$0.00000 |
Second Quarter |
$55.51 |
$46.55 |
$1.14909 |
Third Quarter |
$55.15 |
$47.62 |
$0.00000 |
Fourth Quarter |
$56.88 |
$51.96 |
$0.60952 |
2013 |
|
|
|
First Quarter |
$59.89 |
$56.90 |
$0.00000 |
Second Quarter |
$63.53 |
$57.03 |
$0.00000 |
Third Quarter |
$65.05 |
$57.55 |
$1.15150 |
Fourth Quarter |
$67.06 |
$62.71 |
$0.55171 |
2014 |
|
|
|
First Quarter |
$68.03 |
$62.31 |
$0.00000 |
Second Quarter |
$70.67 |
$66.26 |
$0.00000 |
Third Quarter |
$69.25 |
$64.12 |
$1.67620 |
Fourth Quarter |
$64.51 |
$59.53 |
$0.58518 |
2015 |
|
|
|
First Quarter |
$65.99 |
$58.48 |
$0.00000 |
Second Quarter (through June 25, 2015) |
$68.42 |
$64.63 |
$0.00000 |
The closing price of the iShares® MSCI EAFE ETF
on June 25, 2015 was $65.77.
We make no representation as to the amount of dividends, if any,
that may be paid on shares of the iShares® MSCI EAFE ETF in the future. In any event, as an investor in the notes,
you will not be entitled to receive dividends, if any, that may be payable on shares of the iShares® MSCI EAFE ETF.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
iShares® Core U.S. Aggregate Bond
ETF
The iShares® Core U.S. Aggregate Bond ETF is an
exchange-traded fund that seeks to track the investment results of the Barclays U.S. Aggregate Bond Index (the “underlying
index”), which measures the performance of the total U.S. investment-grade bond market. However, for purposes of the notes,
the performance of the iShares® Core U.S. Aggregate Bond ETF will reflect only its price performance, as any dividends
paid on the shares of the iShares® Core U.S. Aggregate Bond ETF will not be factored into a determination of the
closing price of the iShares® Core U.S. Aggregate Bond ETF. The Barclays U.S. Aggregate Bond Index is a broad-based
benchmark that measures the performance of the U.S. investment-grade bond market.
The iShares® Core U.S. Aggregate Bond ETF generally
seeks to track the performance of the underlying index by investing approximately 90% of its assets in the bonds represented in
the underlying index and in securities that provide substantially similar exposure to securities in the underlying index. The remainder
of assets is invested in comparable bonds or in cash and high-quality, liquid short-term instruments, including shares of money
market funds affiliated with BlackRock Fund Advisors. The iShares® Core U.S. Aggregate Bond ETF concentrates 25%
or more of its total assets in a particular industry or industries to approximately the same extent that the underlying index is
concentrated.
The iShares® Core U.S. Aggregate Bond ETF is an
investment portfolio managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares®
Core U.S. Aggregate Bond ETF. iShares®, Inc. is a registered investment company that consists of numerous separate
investment portfolios, including the iShares® Core U.S. Aggregate Bond ETF. Information provided to or filed with
the SEC by iShares®, Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of
1940, as amended, can be located by reference to SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s
website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents. The iShares® Core U.S. Aggregate Bond ETF
trades on the NYSE Arca under the ticker symbol “AGG.”
This pricing supplement relates only to the notes offered
hereby and does not relate to the iShares® Core U.S. Aggregate Bond ETF or other securities of iShares®,
Inc. We have derived all disclosures contained in this pricing supplement regarding the iShares® Core U.S. Aggregate
Bond ETF and iShares®, Inc. from the publicly available documents described above. In connection with the offering
of the notes, neither Citigroup Inc. nor CGMI has participated in the preparation of such documents or made any due diligence inquiry
with respect to iShares®, Inc. or the index underlying the iShares® Core U.S. Aggregate Bond ETF.
The notes represent obligations of Citigroup Inc. only. iShares®,
Inc. is not involved in any way in this offering and has no obligation relating to the notes or to holders of the notes.
Neither we nor any of our affiliates make any representation
to you as to the performance of the iShares® Core U.S. Aggregate Bond ETF.
Historical
Information
The graph below shows the closing price of shares of the iShares®
Core U.S. Aggregate Bond ETF for each day such price was available from January 4, 2010 to June 25, 2015. The table that follows
shows the high and low closing prices of, and dividends paid on, the iShares® Core U.S. Aggregate Bond ETF for each
quarter in that same period. We obtained the closing prices and other information below from Bloomberg L.P., without independent
verification. You should not take the historical prices of shares of the iShares® Core U.S. Aggregate Bond ETF as
an indication of future performance.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
iShares® Core U.S. Aggregate Bond ETF – Historical Closing Prices
January 4, 2010 to June 25, 2015 |
|
iShares® Core U.S. Aggregate Bond ETF |
High |
Low |
Dividends |
2010 |
|
|
|
First Quarter |
$104.92 |
$103.31 |
$0.95179 |
Second Quarter |
$107.25 |
$103.20 |
$0.95619 |
Third Quarter |
$108.94 |
$106.59 |
$0.90644 |
Fourth Quarter |
$108.92 |
$104.60 |
$1.09292 |
2011 |
|
|
|
First Quarter |
$106.03 |
$103.89 |
$0.94504 |
Second Quarter |
$107.73 |
$104.56 |
$0.94213 |
Third Quarter |
$110.80 |
$106.40 |
$0.83561 |
Fourth Quarter |
$110.39 |
$108.84 |
$1.08408 |
2012 |
|
|
|
First Quarter |
$111.05 |
$108.93 |
$0.57931 |
Second Quarter |
$111.60 |
$109.15 |
$0.71202 |
Third Quarter |
$112.70 |
$111.10 |
$0.66187 |
Fourth Quarter |
$112.38 |
$110.82 |
$1.11603 |
2013 |
|
|
|
First Quarter |
$111.04 |
$109.82 |
$0.65122 |
Second Quarter |
$111.56 |
$106.18 |
$0.65708 |
Third Quarter |
$107.66 |
$104.89 |
$0.60029 |
Fourth Quarter |
$108.09 |
$106.39 |
$0.58355 |
2014 |
|
|
|
First Quarter |
$108.35 |
$106.41 |
$0.61597 |
Second Quarter |
$109.67 |
$107.36 |
$0.61032 |
Third Quarter |
$110.02 |
$108.49 |
$0.59024 |
Fourth Quarter |
$110.76 |
$109.30 |
$1.03233 |
2015 |
|
|
|
First Quarter |
$112.38 |
$109.70 |
$0.36180 |
Second Quarter (through June 25, 2015) |
$111.67 |
$108.13 |
$0.41240 |
The closing price of the iShares® Core U.S. Aggregate
Bond ETF on June 25, 2015 was $108.47.
We make no representation as to the amount of dividends, if any,
that may be paid on shares of the iShares® Core U.S. Aggregate Bond ETF in the future. In any event, as an investor
in the notes, you will not be entitled to receive dividends, if any, that may be payable on shares of the iShares®
Core U.S. Aggregate Bond ETF.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Description
of the Barclays U.S. Aggregate Bond Index
We obtained all information contained in this pricing supplement
regarding the Barclays U.S. Aggregate Bond Index, including, without limitation, its make-up, method of calculation and changes
in its components, from publicly available information. That information reflects the policies of, and is subject to change by,
Barclays Capital Inc. (“Barclays”), the sponsor of the Barclays U.S. Aggregate Bond Index. Barclays has no obligation
to continue to publish, and may discontinue publication of, the Barclays U.S. Aggregate Bond Index at any time. Neither Citigroup
Inc. nor CGMI has independently verified the accuracy or completeness of any information with respect to the Barclays U.S. Aggregate
Bond Index in connection with the offer and sale of the notes.
The Barclays U.S. Aggregate Bond Index is a broad-based benchmark
that measures the performance of the U.S. investment grade bond market, which includes investment-grade U.S. Treasury securities,
investment-grade U.S. agency securities, investment-grade corporate bonds, mortgage pass-through securities, commercial mortgage-backed
securities and asset-backed securities that are publicly offered for sale in the United States.
Rules for Inclusion
In order to be eligible for inclusion in the Barclays U.S. Aggregate
Bond Index, U.S. Treasuries, government-related and corporate securities must have $250 million or more of outstanding face value.
U.S. Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and net secondary market transactions) are
deducted from the total amount outstanding. Any new issuance bought at auction by the Federal Reserve does not enter the Barclays
U.S. Aggregate Bond Index. Net secondary market purchases and sales are adjusted at each month-end with a one-month lag. Mortgage-backed
securities (“MBSs”) must be pool aggregates with $1 billion or more outstanding, asset-backed securities (“ABSs”)
must have a deal size of $500 million or more and a tranche size of $25 million or more and commercial mortgage-backed securities
(“CMBSs”) must have a deal size of $500 million or more, with at least $300 million outstanding remaining in the deal
and a tranche size of $25 million or more.
The securities included in the Barclays U.S. Aggregate Bond Index
must be rated investment-grade (Baa3/BBB-/BBB-) or higher using the middle rating of Moody’s, S&P and Fitch after dropping
the highest and lowest available ratings. When a rating from only two agencies is available, the lower is used. When a rating from
only one agency is available, that is used to determine index eligibility. Expected ratings at issuance may be used when there
are other index-eligible bonds from the same issuer that hold the same actual rating as the expected rating.
Securities included in the Barclays U.S. Aggregate Bond Index
must have a remaining maturity of at least one year, regardless of optionality. Securities with a coupon that converts from fixed
to floating rate must have at least one year until the conversion date. MBSs must have a weighted average maturity of at least
one year and CMBSs and ABSs must have a remaining average life of at least one year. Fixed-to-floating perpetual securities are
included in the Barclays U.S. Aggregate Bond Index. These are included until one year before their first call date, provided that
they meet all other index criteria.
Senior and subordinated issues are included in the Barclays U.S.
Aggregate Bond Index. Capital securities (hybrid capital) are eligible during their fixed-rate term and exit the index one year
prior to their conversion to floating-coupon securities.
Only fully taxable issues are eligible for inclusion in the Barclays
U.S. Aggregate Bond Index, including taxable municipal securities. Build America Bonds with the tax credit issued to the issuer
are eligible for inclusion; those with tax credits issued to investors are considered tax exempt. Dividend-received deduction-eligible
and qualified dividend income-eligible securities are excluded from the Barclays U.S. Aggregate Bond Index.
A security’s principal and coupons must be denominated
in U.S. dollars to be eligible for inclusion. Coupons must be fixed-rate, step-up coupons or coupons that change according to a
predetermined schedule. Capital securities with coupons that convert from fixed to floating rate are index eligible, given that
they are currently fixed rate. The maturity date for such securities will be considered the conversion date. Fixed-to-floating
rate perpetual capital securities that do not have coupon rate step-ups on their first call date will remain index eligible for
their fixed-rate term, provided that they meet all other inclusion rules and exit the index one year prior to their conversion
to floating-coupon securities. Hybrid adjustable rate mortgages are eligible for inclusion in the Barclays U.S. Aggregate Bond
Index during their fixed term, but exit the index one year prior to their conversion to an adjustable rate.
SEC-registered securities, bonds exempt from registration at
the time of issuance, and Rule 144A securities with registration rights are index eligible. A security with both Regulation S and
Rule 144A tranches is treated as one security in par value. To prevent double-counting, the 144A tranche is used to represent the
issue and comprises the combined amount outstanding of the 144A and Regulation S tranches. Issues with a global market of issue
are also eligible for inclusion, as are bonds from issuers that have de-registered, provided that the bonds were previously SEC-registered
or Rule 144A securities with registration rights.
Original issue zero coupon bonds, underwritten medium-term notes,
enhanced equipment trust certificates, certificates of deposit and, as of January 1, 2011, covered bonds, are also eligible
for inclusion in the Barclays U.S. Aggregate Bond Index. Bonds with equity-type features (e.g., warrants, convertible debt and
contingent capital securities), Treasury STRIPs, inflation-linked bonds, non-ERISA eligible CMBS issues, fixed-rate perpetual securities,
structured notes, loan participation notes, pass-through certificates, illiquid securities with no available internal or third-party
price source and, as of January 1, 2011, CMBS A1A tranches, are not eligible for inclusion in the index.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Rebalancing
The compositions of the “returns universe” is rebalanced
at each month-end and represents the fixed set of bonds on which index returns are calculated for the ensuing month. The “statistics
universe” is a forward-looking version that changes daily to reflect issues dropping out and entering the index, but is not
used for return calculation. On the last business day of the month (the “rebalancing date”), the composition of the
latest statistics universe becomes the returns universe for the following month.
During the month, indicative changes to securities (e.g., credit
rating changes, sector reclassification, amount outstanding changes, corporate actions, ticker changes) are reflected in both the
statistics universe and returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the
statistics universe of the index on a daily basis, but will affect the composition of the returns universe only at month-end, when
the index is rebalanced.
Intra-month cash flows from interest and principal payments contribute
to monthly index returns, but are not reinvested at any short-term reinvestment rate in between rebalance dates to earn an incremental
return. However, after the rebalancing, cash is effectively reinvested into the returns universe for the following month, so that
index results over two or more months reflect monthly compounding.
Qualifying securities issued but not necessarily settled on or
before the month-end rebalancing date qualify for inclusion in the following month’s index if required security reference
information and pricing are readily available.
Index Calculation
All bonds eligible for inclusion in the Barclays U.S. Aggregate
Bond Index are priced on a daily basis at 3 p.m. New York time, predominantly by Barclays market makers. The pricing source varies
by the type of security.
Bonds can be quoted in a variety of ways, including nominal spreads
over benchmark securities or Treasuries, spreads over swap curves, or direct price quotes as a percentage of par. In most instances,
the quote type used is a spread measure that results in daily security price changes from the movement of the underlying curve
(swap or Treasury) and/or changes in the quoted spread.
The initial price for new corporate issues entering the index
is the offer side. However, after that, all bonds in the index are priced on the bid side. The primary price for each security
is analyzed and compared with other third-party pricing sources through statistical routines and scrutiny by research staff. Significant
discrepancies are researched and corrected, as necessary.
Determination
of Coupon Payments
On each coupon payment date, the amount of each coupon payment
will equal (i) the stated principal amount of the notes multiplied by 0.25% divided by (ii) 2, which is $1.25
per note.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
United States Federal Tax Considerations
In the opinion of our tax counsel, Davis Polk & Wardwell
LLP, the notes will be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described
in the section of the accompanying product supplement called “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments,” and the remaining discussion is based on this
treatment. If you are a U.S. Holder, you will be required to recognize interest income during the term of the notes at the “comparable
yield,” which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of
the notes, including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments
for the riskiness of the contingencies or the liquidity of the notes. We are required to construct a “projected payment schedule”
in respect of the notes representing a series of payments the amount and timing of which would produce a yield to maturity on the
notes equal to the comparable yield. Assuming you hold the notes until their maturity, the amount of interest you include in income
based on the comparable yield in the taxable year in which the notes mature will be adjusted upward or downward to reflect the
difference, if any, between the actual and projected payment on the notes at maturity as determined under the projected payment
schedule. However, special rules may apply if the payment at maturity on the notes becomes fixed prior to maturity. See “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders—Notes Treated as Contingent Payment Debt Instruments”
in the accompanying product supplement for a more detailed discussion of the special rules.
Upon the sale, exchange or retirement of the notes prior to maturity,
you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in
the notes. Your adjusted tax basis will equal your purchase price for the notes, increased by interest previously included in income
on the notes and decreased by payments previously made under the projected payment schedule. Any gain generally will be treated
as ordinary income, and any loss will be treated as ordinary loss to the extent of prior interest inclusions on the note and as
capital loss thereafter.
We have determined that the comparable yield for a note is a
rate of 2.790%, compounded semi-annually, and that the projected payment schedule with respect to a note consists of fixed payments
of $1.25 for each semi-annual period per annum, paid semi-annually, and a projected payment of $1,149.863 at maturity (excluding
the fixed payment received at maturity).
Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual amounts that we will pay on the notes.
Subject to the discussion in the accompanying product supplement
regarding “FATCA,” if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, under
current law, you generally will 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. See “United States
Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement for a more
detailed discussion of the rules applicable to Non-U.S. Holders of the notes.
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 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.
Supplemental Plan of Distribution
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 $30.00 for each $1,000 note sold in this offering
(or up to $5.00 per note in the case of sales to fee-based advisory accounts). The actual underwriting fee will be equal to $30.00
for each $1,000 note sold by CGMI directly to the public and will otherwise be equal to the selling concession provided to selected
dealers, as described in this paragraph. CGMI will pay selected dealers not affiliated with CGMI a fixed selling concession of
$30.00 for each note they sell to accounts other than fee-based advisory accounts. CGMI will pay selected dealers not affiliated
with CGMI, which may include dealers acting as custodians, a variable selling concession of up to $5.00 for each $1,000 note they
sell to fee-based advisory accounts. Broker-dealers affiliated with CGMI, including Citi International Financial Services, Citigroup
Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, will receive a fixed selling concession, and financial
advisers employed by such affiliated broker-dealers will receive a fixed selling concession, of $30.00 for each $1,000 note they
sell. CGMI will pay the registered representatives of CGMI a fixed selling concession of $30.00 for each $1,000 note they sell
directly to the public.
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.
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.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
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.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the notes declines. This hedging
activity could affect the closing levels or prices of the basket components 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.
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 four 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 four-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.
Citigroup Inc. |
Market-Linked Notes Based on a Basket of Three Underliers Due December 30, 2020 |
|
Contact
Clients may contact their local brokerage representative. Third-party
distributors may contact Citi Structured Investment Sales at (212) 723-7005.
© 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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