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 |
|
$1,000,000 |
|
$116.20 |
(1)
Calculated in accordance with Rule 457(r) of the Securities Act.
(2)
Pursuant to Rule 457(p) under the Securities Act, the $213,939.33 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 $116.20 is offset against the registration
fee due for this offering and of which $213,823.13 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. |
|
July
28, 2015
Medium-Term
Senior Notes, Series G
Pricing
Supplement No. 2015–CMTNG0617
Filed
Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302 |
Range Accrual Notes Linked to 3-Month
U.S. Dollar LIBOR Due August 3, 2020
Overview
| § | The notes offered by this pricing supplement will pay a variable coupon
at an annual rate that may be as high as the contingent rate of 2.70% per annum or as low as 0.00% per annum. The actual variable
coupon rate for a given quarterly coupon payment date will depend on the value of 3-month U.S. Dollar LIBOR on each elapsed day
during the accrual period preceding that coupon payment date. No interest will accrue on the notes on any day when 3-month U.S.
Dollar LIBOR falls outside the range of 0.00% to 3.00%. |
| § | The notes are unsecured senior debt securities issued by Citigroup
Inc. Investors in the notes 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 |
|
Underlying
rate: |
3-month U.S. Dollar LIBOR |
Aggregate
stated principal amount: |
$1,000,000 |
Stated
principal amount: |
$1,000 per note |
Pricing
date: |
July 28, 2015 |
Issue
date: |
August 3, 2015. See “Supplemental Plan of Distribution” in this pricing supplement for more information. |
Maturity
date: |
August 3, 2020 |
Payment
at maturity: |
$1,000 per note plus the coupon payment due at maturity, if any |
Variable
quarterly coupon payments: |
On each coupon payment date, you will receive a coupon payment at an annual rate equal to the variable coupon rate for that coupon payment date. The variable coupon rate for any coupon payment date will be determined as follows: |
contingent rate × |
number of accrual days during the
related accrual period |
|
number of elapsed days during the related accrual period |
The variable quarterly coupon payment per note would then be
equal to (i) $1,000 multiplied by the variable coupon rate per annum divided by (ii) 4.
If the number of accrual days in a given accrual period is less
than the number of elapsed days in that accrual period, the variable coupon rate for the related coupon payment date will be less
than the full contingent rate, and if there are no accrual days in a given accrual period, the applicable variable coupon rate
will be 0.00% per annum. |
Coupon
payment dates: |
The 3rd day of each February, May, August and November, beginning on November 3, 2015 |
Accrual
period: |
For each coupon payment date, the period from and including the immediately preceding coupon payment date (or the issue date in the case of the first coupon payment date) to but excluding such coupon payment date |
Accrual
day: |
An elapsed day on which the accrual condition is satisfied |
Elapsed
day: |
Calendar day |
Accrual
condition: |
The accrual condition will be satisfied on an elapsed day if, and only if, the underlying rate on that elapsed day is within the underlying rate range. See “Additional Information” on the next page. |
Contingent
rate: |
2.70% per annum |
Underlying
rate range: |
0.00% to 3.00%, inclusive |
Listing: |
The notes will not be listed on any securities exchange |
CUSIP
/ ISIN: |
17298CCZ9 / US17298CCZ95 |
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) |
Proceeds to issuer(2)(3) |
Per note: |
$1,000 |
$10 |
$990 |
Total: |
$1,000,000 |
$10,000 |
$990,000 |
|
|
|
|
|
|
|
(1) On
the date of this pricing supplement, the estimated value of the notes is $975.00 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 a variable
underwriting fee of up to $10 for each 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 selling concession of up to $10 for each
note they sell. 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. For more information on the distribution of the notes, see “Supplemental
Plan of Distribution” in this pricing supplement and “Use of Proceeds and Hedging” in the accompanying prospectus.
(3) The
per note proceeds to Citigroup Inc. indicated above represent the minimum per note proceeds to Citigroup Inc. for any note, assuming
the maximum per note underwriting fee of $10. As noted in footnote (2), the underwriting fee is variable. The total underwriting
fee and proceeds to issuer shown above give effect to the actual amount of this variable underwriting fee. You should refer to
“Supplemental Plan of Distribution” in this pricing supplement and “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-3.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or determined
that this pricing supplement and the accompanying product supplement, 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
following documents, which can be accessed via the following hyperlinks:
Product Supplement No. IE-06-02 dated November 13, 2013
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. |
Range Accrual Notes Linked to 3-Month U.S. Dollar LIBOR Due August 3, 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 the amount of any variable quarterly coupon payment you receive. These
events and their consequences are described in the accompanying product supplement in the section “Description of the Notes—Terms
Related to an Underlying Rate,” and not in this pricing supplement. It is important that you read the accompanying product
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.
Additional terms relating to the accrual condition. For
purposes of determining whether the accrual condition is satisfied on any elapsed day, if the underlying rate is not available
for any reason on that day (including weekends and holidays), the underlying rate will be assumed to be the same as on the immediately
preceding elapsed day (subject to the discussion in the section “Description of the Notes—Terms Related to an Underlying
Rate—Discontinuance of a U.S. Dollar LIBOR Rate” in the accompanying product supplement). In addition, for all elapsed
days from and including the fourth-to-last London business day in an accrual period to and including the last elapsed day of that
accrual period, the underlying rate will not be observed and will be assumed to be the same as on the elapsed day immediately preceding
such unobserved days. Notwithstanding statements in the accompanying product supplement that the satisfaction of the accrual condition
will depend on the level of an equity index, the accrual condition for these notes is based solely on 3-month U.S. Dollar LIBOR
and not on the level of any equity index.
Hypothetical Examples
The following table presents examples of hypothetical variable
quarterly coupon payments based on the number of accrual days in a particular accrual period. For illustrative purposes only, the
table assumes an accrual period that contains 90 elapsed days. Your actual quarterly coupon payments will depend on the actual
number of elapsed days during the relevant accrual period and the actual underlying rate on each elapsed day. The applicable variable
coupon rate for each accrual period will be determined on a per annum basis but will apply only to that accrual period.
Hypothetical Number of Accrual Days in Accrual Period* |
Hypothetical Variable Coupon Rate (per Annum)** |
Hypothetical Variable Quarterly Coupon Payment per Note*** |
0 |
0.000% |
$0.000 |
1 |
0.030% |
$0.075 |
10 |
0.300% |
$0.750 |
15 |
0.450% |
$1.125 |
20 |
0.600% |
$1.500 |
25 |
0.750% |
$1.875 |
30 |
0.900% |
$2.250 |
35 |
1.050% |
$2.625 |
40 |
1.200% |
$3.000 |
45 |
1.350% |
$3.375 |
50 |
1.500% |
$3.750 |
55 |
1.650% |
$4.125 |
60 |
1.800% |
$4.500 |
65 |
1.950% |
$4.875 |
70 |
2.100% |
$5.250 |
75 |
2.250% |
$5.625 |
80 |
2.400% |
$6.000 |
85 |
2.550% |
$6.375 |
90 |
2.700% |
$6.750 |
* An accrual day is an elapsed day on which the accrual
condition is satisfied (i.e., on which the underlying rate is within the underlying rate range)
** The hypothetical variable coupon rate per annum is equal
to (i) the contingent rate of 2.70% per annum multiplied by (ii) (a) the hypothetical number of accrual days in the related
accrual period divided by (b) 90
*** The hypothetical variable quarterly coupon payment per
note is equal to (i) $1,000 multiplied by the hypothetical variable coupon rate per annum divided by (ii) 4
Citigroup Inc. |
Range Accrual Notes Linked to 3-Month U.S. Dollar LIBOR Due August 3, 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 underlying rate. 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.
| § | The notes offer a variable coupon rate and you may not receive any coupon payment on one or more coupon payment dates, or
even throughout the entire term of the notes. Any variable coupon payment you receive on a coupon payment date will depend
on the number of elapsed days during the preceding accrual period on which the accrual condition was satisfied. The accrual condition
will be satisfied on a given elapsed day only if the underlying rate is within the underlying rate range on that elapsed day. If,
on any elapsed day during an accrual period, the accrual condition is not satisfied, the applicable variable coupon payment will
be made at a rate that is less, and possibly significantly less, than the contingent rate. If, on each elapsed day during an accrual
period, the accrual condition is not satisfied, no variable coupon payment will be paid on the related coupon payment date.
Accordingly, there can be no assurance that you will receive a variable coupon payment on any coupon payment date or that any
variable coupon payment you do receive will be calculated at the full contingent rate. Thus, the notes are not a suitable investment
for investors who require regular fixed income payments, since the coupon payments are variable and may be zero. |
| § | No interest will accrue on the notes on any day when 3-month U.S. Dollar LIBOR exceeds 3.00%. The notes are, therefore,
subject to the significant risk that 3-month U.S. Dollar LIBOR may increase from its current level. Although many factors may affect
the level of 3-month U.S. Dollar LIBOR, one important factor is the monetary policy of the Federal Reserve Board. If the Federal
Reserve Board raises its federal funds target rate from its current low level, the level of 3-month U.S. Dollar LIBOR is very likely
to rise. If 3-month U.S. Dollar LIBOR rises to a level that exceeds 3.00%, the notes will no longer bear interest, until such time
as 3-month U.S. Dollar LIBOR falls back below 3.00%. It is possible that 3-month U.S. Dollar LIBOR may increase beyond 3.00% relatively
early in the term of the notes and remain above that level for the entire remaining term of the notes, so that you will not receive
any interest payments for a substantial portion of the term of the notes. You should understand that 3-month U.S. Dollar LIBOR
is affected by many factors, and that it may increase beyond 3.00% even in the absence of a change in the monetary policy of the
Federal Reserve Board. |
| § | Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss
on your investment in the notes, in real value terms, if you receive below-market or no variable coupon payments. 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. You should carefully consider whether an investment that may not provide for any return on your investment, or may
provide a return that is lower than the return on alternative investments, is appropriate for you. |
| § | The higher potential yield offered by the notes is associated with greater risk that the notes will pay a low or no coupon
on one or more coupon payment dates. The notes offer variable coupon payments with the potential to result in a higher yield
than the yield on our conventional debt securities of the same maturity. You should understand that, in exchange for this potentially
higher yield, you will be exposed to significantly greater risk than investors in our conventional debt securities—namely,
the risk that the variable coupon payments you receive, if any, will result in a yield on the notes that is lower, and perhaps
significantly lower, than the yield on our conventional debt securities of the same maturity. |
| § | The notes are subject to the credit risk of Citigroup Inc. If
we default on our obligations under the notes, you may not receive anything owed to you under the notes. |
| § | The notes will not be listed on a securities exchange and you may
not be able to sell them prior to maturity. The notes will not be listed on any securities exchange. Therefore, there may be
little or no secondary market for the notes. CGMI currently intends to make a secondary market in relation to the notes and to
provide an indicative bid price for the notes on a daily basis. Any indicative bid price for the notes provided by CGMI will be
determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will
not be a representation by CGMI that the notes can be sold at that price, or at all. CGMI may suspend or terminate making a market
and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market,
there may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-dealer that is willing
to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity. |
| § | 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 |
Citigroup Inc. |
Range Accrual Notes Linked to 3-Month U.S. Dollar LIBOR Due August 3, 2020 |
|
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.
| § | 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 the underlying rate and interest rates generally. CGMI’s views on these inputs may differ from your or others’
views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to
the models may prove to be wrong and therefore not an accurate reflection of the value of the notes. Moreover, the estimated value
of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated
value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value. |
| § | The estimated value of the notes would be lower if it were calculated
based on our secondary market rate. The estimated value of the notes included in this pricing supplement is calculated based
on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the notes. Our
internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in
the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included
in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower.
We determine our internal funding rate based on factors such as the costs associated with the notes, which are generally higher
than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate
is not the same as the coupon that 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 value and volatility of the
underlying rate and a number of other factors, including interest rates 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. |
| § | Our offering of the notes is not a recommendation of an investment
linked to the underlying rate. The fact that we are offering the notes does not mean that we believe that investing in an instrument
linked to the underlying rate 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 instruments related to the underlying rate, and may publish research
or express opinions, that in each case are inconsistent with an investment linked to the underlying rate. |
| § | The underlying rate and the manner in which it is calculated may change in the future. The method by which the underlying
rate is calculated may change in the future, as a result of governmental actions, actions by the publisher of the underlying rate
or otherwise. We cannot predict whether the method by which the underlying rate is calculated will change or what the impact of
any such change might be. Any such change could affect the underlying rate in a way that has a significant adverse effect on the
notes. |
| § | The calculation agent, which is an affiliate of ours, will make
important determinations with respect to the notes. If certain events occur, such as the discontinuance of the underlying rate,
CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect any coupon payment
you receive. 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. |
Citigroup Inc. |
Range Accrual Notes Linked to 3-Month U.S. Dollar LIBOR Due August 3, 2020 |
|
Information About the Underlying Rate
3-month U.S. Dollar LIBOR is a daily reference rate fixed in
U.S. dollars based on the interest rates at which banks borrow funds from each other for a term of three months, in marketable
size, in the London interbank market.
For information about how 3-month U.S. Dollar LIBOR will be determined
on each elapsed day, see “Description of the Notes—Terms Related to an Underlying Rate—Determining a U.S. Dollar
LIBOR Rate” in the accompanying product supplement.
Historical
Information
The underlying rate was 0.2968% on July 28, 2015. The graph below
shows the underlying rate for each day it was available from January 4, 2005 to July 28, 2015. We obtained the values below from
Bloomberg L.P., without independent verification. You should not take the historical performance of the underlying rate as an indication
of future performance.
Historical 3-Month U.S. Dollar LIBOR
January 4, 2005 to July 28, 2015 |
|
United States Federal Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP,
which is based on current market conditions, the notes should be treated as “variable rate debt instruments” for U.S.
federal income tax purposes and except as stated otherwise the remaining discussion assumes this treatment is respected. Under
this treatment, 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 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 the holder’s adjusted tax basis in the note. A U.S. Holder’s adjusted tax basis
in a note will generally equal the purchase price paid to acquire the note. Such gain or loss generally will be long-term capital
gain or loss if the U.S. Holder held the note for more than one year at the time of disposition. However, the Internal Revenue
Service or a court might not agree with the treatment of the notes as variable rate debt instruments. If the notes are not treated
as variable rate debt instruments, they will instead be treated as “contingent payment debt instruments.” If the notes
were treated as contingent payment debt instruments, (i) a U.S. Holder would be required to recognize interest income based on
our “comparable yield” for a similar non-contingent debt instrument and a “projected payment schedule”
in respect of the notes, adjusted each year to take account for the difference between the actual and the projected payments in
that year, and (ii) gain with respect to a note would be treated as ordinary income.
Citigroup Inc. |
Range Accrual Notes Linked to 3-Month U.S. Dollar LIBOR Due August 3, 2020 |
|
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 in respect of payments on or amounts received on the sale, exchange
or retirement of the notes if they comply with the 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.
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 a variable underwriting fee of up to $10 for each $1,000 note sold in
this offering. Certain 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 variable selling concession, and financial advisers
employed by such affiliated broker-dealers will receive a variable selling concession, of up to $10 for each $1,000 note they sell.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the notes, either directly or indirectly, without the prior written consent of the
client.
Secondary market sales of securities typically settle three business
days after the date on which the parties agree to the sale. Because the issue date for the notes is more than three business
days after the pricing date, investors who wish to sell the notes at any time prior to the third business day preceding the issue
date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement.
Investors should consult their own investment advisors in this regard.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the notes will
be used to hedge our obligations under the notes. We have hedged our obligations under the notes through CGMI or other of our affiliates.
CGMI or such other of our affiliates may profit from this hedging activity even if the value of the notes declines. 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),
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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.
Contact
Clients may contact their local brokerage representative.
© 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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