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
|
$2,111,000
|
$245.30
|
Investment Products
|
Not FDIC Insured
|
May Lose Value
|
No Bank Guarantee
|
Citigroup Inc.
|
October 28, 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0254
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than or less than the stated principal amount, depending on the performance of shares of the iShares® U.S. Real Estate ETF (the “underlying shares”) from their initial share price to their final share price.
|
▪
|
The securities offer a fixed positive return at maturity if the price of the underlying shares remains the same or appreciates at all from the initial share price to the final share price, regardless of the extent of that appreciation. In exchange, investors in the securities must be willing to forgo (i) any appreciation of the underlying shares in excess of the fixed positive return at maturity and (ii) any dividends that may be paid on the underlying shares. In addition, investors in the securities must be willing to accept full downside exposure to the underlying shares. If the final share price is less than the initial share price, you will lose 1% of the stated principal amount of your securities for every 1% of that decline. You may lose up to all of your investment in the securities. There is no minimum payment at maturity.
|
▪
|
In order to obtain the modified exposure to the underlying shares that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Inc.
|
KEY TERMS
|
|||
Underlying shares:
|
Shares of the iShares® U.S. Real Estate ETF (NYSE Arca symbol: “IYR”) (the “underlying share issuer” or “ETF”)
|
||
Aggregate stated principal amount:
|
$2,111,000
|
||
Stated principal amount:
|
$1,000 per security
|
||
Pricing date:
|
October 28, 2014
|
||
Issue date:
|
October 31, 2014
|
||
Valuation date:
|
October 28, 2016, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
||
Maturity date:
|
November 2, 2016
|
||
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity:
▪ If the final share price is greater than or equal to the initial share price:
$1,000 + the fixed return amount
▪ If the final share price is less than the initial share price:
$1,000 × the share performance factor
If the final share price declines from the initial share price, your payment at maturity will be less, and possibly significantly less, than the $1,000 stated principal amount per security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion and up to all of your investment.
|
||
Initial share price:
|
$74.34, the closing price of the underlying shares on the pricing date
|
||
Final share price:
|
The closing price of the underlying shares on the valuation date
|
||
Fixed return amount:
|
$200.00 per security (20.00% of the stated principal amount). You will receive the fixed return amount only if the final share price is greater than or equal to the initial share price.
|
||
Share performance factor:
|
The final share price divided by the initial share price
|
||
Listing:
|
The securities will not be listed on any securities exchange
|
||
CUSIP / ISIN:
|
1730T02F5 / US1730T02F54
|
||
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
|
Per security:
|
$1,000.00
|
$20.00
|
$980.00
|
Total:
|
$2,111,000.00
|
$42,220.00
|
$2,068,780.00
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
Digital Securities Payment at Maturity Diagram
|
|
October 2014
|
PS-2
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
▪
|
You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying shares. If the final share price is less than the initial share price, you will lose 1% of the stated principal amount of the securities for every 1% by which the final share price is less than the initial share price. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
▪
|
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
▪
|
Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to the fixed return at maturity of 20.00%, which is equivalent to a fixed return amount of $200.00 per security. If the underlying shares appreciate by more than the fixed return amount, the securities will underperform a direct investment in the underlying shares. When any dividends paid on the underlying shares are taken into account, the securities may underperform a direct investment in the underlying shares even if the underlying shares appreciate by less than 20.00%, because holders of the securities will not receive those dividends.
|
October 2014
|
PS-3
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
▪
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to the ETF. As of October 28, 2014, the trailing 12-month dividend yield of the underlying shares was approximately 3.49%. While it is impossible to know the future dividend yield of the underlying shares, if this trailing 12-month dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 6.98% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the underlying shares or in another investment linked to the underlying shares that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the securities.
|
▪
|
Your payment at maturity depends on the closing price of the underlying shares on a single day. Because your payment at maturity depends on the closing price of the underlying shares solely on the valuation date, you are subject to the risk that the closing price of the underlying shares on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested directly in the underlying shares or in another instrument linked to the underlying shares that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing prices of the underlying shares, you might have achieved better returns.
|
▪
|
The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities, you may not receive anything owed to you under the securities.
|
▪
|
The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs include (i) the selling concessions paid in connection with the offering of the securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, dividend yields on the underlying shares and the stocks held by the ETF and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of
|
October 2014
|
PS-4
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the price and volatility of the underlying shares and a number of other factors, including the price and volatility of the stocks held by the ETF, the dividend yields on the underlying shares and the stocks held by the ETF, 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 securities at any time prior to maturity may be significantly less than the issue price.
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
|
▪
|
Our offering of the securities does not constitute a recommendation of the underlying shares. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the underlying shares 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 underlying shares or the stocks held by the ETF or in instruments related to the underlying shares or such stocks and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other activities of our affiliates may affect the price of the underlying shares in a way that has a negative impact on your interests as a holder of the securities.
|
▪
|
The price of the underlying shares may be adversely affected by our or our affiliates' hedging and other trading activities. We have hedged our obligations under the securities through CGMI or other of our affiliates, who likely take positions directly in the underlying shares or the stocks held by the ETF and other financial instruments related to the underlying shares or such stocks. Our affiliates also trade the underlying shares or the stocks held by the ETF and other financial instruments related to the underlying shares or such stocks on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the price of the underlying shares in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engage in business with the underlying share issuer or the issuers of the stocks held by the ETF, 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 any such issuer that are available to them without regard to your interests.
|
▪
|
Risks associated with the real estate industry will affect the price of the underlying shares. The ETF invests in companies that invest in real estate, primarily real estate investment trusts (“REITs”) or real estate holding companies, which will expose the securities to the risks of owning real estate directly as well as to risks that relate specifically to the way in which real estate companies are organized and operated. The real estate industry is cyclical, highly sensitive to general and local economic conditions and developments, and characterized by intense competition and periodic overbuilding. Any of these risks could adversely affect the value of the securities.
|
▪
|
Risks associated with REITs will affect the price of the underlying shares. The ETF invests in REITs, which invest primarily in income-producing real estate or real-estate-related loans or interests. Investments in REITs, though not direct investments in real estate, are still subject to the risks associated with investing in real estate. In addition, some REITs have relatively small market capitalizations, which can increase the volatility of the market price of securities issued by those REITs. Furthermore, REITs are dependent upon specialized management skills, have limited diversification and are, as a result, subject to risks inherent in operating and financing a limited number of projects. Any of the risks mentioned above could adversely affect the value of the securities.
|
▪
|
The value of the securities and the price of the underlying shares will not directly correlate to residential housing prices. Residential housing prices in specific regions or residential housing prices in general may affect the prices of the stocks held by the ETF, but the price of the underlying shares are not directly linked to movements of residential housing prices and may be affected by factors unrelated to such movements.
|
October 2014
|
PS-5
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
▪
|
Even if the underlying share issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the securities 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 securities for any cash dividend paid on the underlying shares unless the amount of the dividend per share, together with any other dividends paid in the same fiscal quarter, exceeds the dividend paid per share in the most recent fiscal quarter by an amount equal to at least 10% of the closing price of the underlying shares on the date of declaration of the dividend. Any dividend will reduce the closing price of the underlying shares by the amount of the dividend per share. If the underlying share issuer pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” in the accompanying product supplement.
|
▪
|
The securities will not be adjusted for all events that could affect the price of the underlying shares. 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 securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would not.
|
▪
|
The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying shares. For example, if the underlying share issuer enters into a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares are delisted or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another ETF to be the underlying shares. See “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation or Termination of an ETF” in the accompanying product supplement.
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If certain events occur, such as market disruption events, events with respect to the underlying share issuer that may require a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
|
▪
|
The price of the underlying shares may not completely track the performance of the index underlying the ETF. The price of the underlying shares will reflect transaction costs and fees of the underlying share issuer that are not included in the calculation of the index underlying the ETF. In addition, the underlying share issuer may not hold all of the shares included in, and may hold securities and derivative instruments that are not included in, the index underlying the ETF.
|
▪
|
Changes made by the investment adviser to the underlying share issuer or by the sponsor of the index underlying the ETF may adversely affect the underlying shares. We are not affiliated with the investment adviser to the underlying share issuer or with the sponsor of the index underlying the ETF. Accordingly, we have no control over any changes such investment adviser or sponsor may make to the underlying share issuer or the index underlying the ETF. Such changes could be made at any time and could adversely affect the performance of the underlying shares.
|
▪
|
The U.S. federal tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with consequences described below under “United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
October 2014
|
PS-6
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
iShares® U.S. Real Estate ETF – Historical Closing Prices
January 2, 2009 to October 28, 2014
|
October 2014
|
PS-7
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
iShares® U.S. Real Estate ETF
|
High
|
Low
|
Dividends
|
2009
|
|||
First Quarter
|
$37.26
|
$22.21
|
$0.57262
|
Second Quarter
|
$35.55
|
$25.30
|
$0.46744
|
Third Quarter
|
$45.04
|
$29.88
|
$0.39074
|
Fourth Quarter
|
$47.44
|
$39.63
|
$0.50118
|
2010
|
|||
First Quarter
|
$50.83
|
$42.45
|
$0.48891
|
Second Quarter
|
$54.66
|
$46.95
|
$0.42823
|
Third Quarter
|
$55.21
|
$45.32
|
$0.46380
|
Fourth Quarter
|
$57.62
|
$52.71
|
$0.59160
|
2011
|
|||
First Quarter
|
$60.58
|
$55.59
|
$0.50347
|
Second Quarter
|
$62.80
|
$58.17
|
$0.53569
|
Third Quarter
|
$62.92
|
$49.14
|
$0.54943
|
Fourth Quarter
|
$58.00
|
$48.19
|
$0.58691
|
2012
|
|||
First Quarter
|
$62.57
|
$56.52
|
$0.53317
|
Second Quarter
|
$64.47
|
$59.25
|
$0.55051
|
Third Quarter
|
$67.80
|
$64.07
|
$0.00000
|
Fourth Quarter
|
$65.42
|
$61.15
|
$1.31358
|
2013
|
|||
First Quarter
|
$69.48
|
$65.66
|
$0.00000
|
Second Quarter
|
$75.54
|
$63.55
|
$0.58442
|
Third Quarter
|
$69.42
|
$60.92
|
$1.21039
|
Fourth Quarter
|
$68.18
|
$62.01
|
$0.58888
|
2014
|
|||
First Quarter
|
$69.24
|
$62.98
|
$0.76948
|
Second Quarter
|
$72.90
|
$67.52
|
$0.60273
|
Third Quarter
|
$74.82
|
$68.88
|
$0.62910
|
Fourth Quarter (through October 28, 2014)
|
$74.34
|
$69.14
|
$0.00000
|
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the security. Subject to the discussion below concerning the potential application of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), any gain or loss recognized upon a sale or exchange (including retirement at maturity) of a security should be long-term capital gain or loss if you held the security for more than one year.
|
October 2014
|
PS-8
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
October 2014
|
PS-9
|
Citigroup Inc.
|
Digital Securities Based on Shares of the iShares® U.S. Real Estate ETF Due November 2, 2016
|
October 2014
|
PS-10
|