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
|
$1,489,000
|
$191.78
|
Citigroup Inc.
|
January 22, 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0044
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, equal to or less than the stated principal amount, depending on the performance of shares of the iShares® MSCI EAFE ETF (the “underlying shares”) from their initial share price to their final share price.
|
▪
|
The securities offer exposure to a limited range of potential appreciation of the underlying shares and a limited buffer against the potential depreciation of the underlying shares as described below. In exchange, investors in the securities must be willing to forgo (i) any appreciation of the underlying shares in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on the underlying shares. In addition, investors in the securities must be willing to accept downside exposure to any depreciation of the underlying shares in excess of the 10% buffer. If the underlying shares depreciate by more than 10% from the strike date to the valuation date, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds 10%.
|
▪
|
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.
|
Underlying shares:
|
Shares of the iShares® MSCI EAFE ETF (NYSE Arca symbol: “EFA”) (the “ETF” or “underlying share issuer”)
|
||
Aggregate stated principal amount:
|
$1,489,000
|
||
Stated principal amount:
|
$1,000 per security
|
||
Strike date:
|
January 21, 2014
|
||
Pricing date:
|
January 22, 2014
|
||
Issue date:
|
January 27, 2014
|
||
Valuation date:
|
January 21, 2016, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
||
Maturity date:
|
January 26, 2016
|
||
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity:
§ If the final share price is greater than the initial share price:
$1,000 + the return amount, subject to the maximum return at maturity
§ If the final share price is equal to or less than the initial share price by an amount equal to or less than the buffer amount:
$1,000
§ If the final share price is less than the initial share price by an amount greater than the buffer amount:
($1,000 × the share performance factor) + $100
If the final share price declines from the initial share price by more than 10%, 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 of your investment.
|
||
Initial share price:
|
$67.13 (the closing price of the underlying shares on the strike date)
|
||
Final share price:
|
The closing price of the underlying shares on the valuation date
|
||
Share performance factor:
|
The final share price divided by the initial share price
|
||
Share percent increase:
|
The final share price minus the initial share price, divided by the initial share price
|
||
Return amount:
|
$1,000 × share percent increase
|
||
Maximum return at maturity:
|
$170 per security (17% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,170 per security.
|
||
Buffer amount:
|
10%
|
||
Listing:
|
The securities will not be listed on any securities exchange.
|
||
CUSIP / ISIN:
|
1730T0G94 / US1730T0G943
|
||
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
|
$22.50
|
$977.50
|
Total:
|
$1,489,000.00
|
$33,502.50
|
$1,455,497.50
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
Buffer Securities Payment at Maturity Diagram
|
|
n The Securities
|
n The Underlying Shares
|
January 2014
|
PS-2
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
January 2014
|
PS-3
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
§
|
You may lose up to 90% 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 underlying shares depreciate by more than the buffer amount, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer amount.
|
§
|
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 maximum return at maturity of 17%, which is equivalent to a maximum return at maturity of $170 per security. Any increase in the final share price over the initial share price by more than 17% will not increase your return on the securities.
|
§
|
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 January 22, 2014, the trailing 12-month dividend yield of the underlying shares was 2.54%. 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 5.08% (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 (1) the selling concessions paid in connection with the offering of the securities, (2) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (3) 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
|
January 2014
|
PS-4
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
|
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 the securities 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 securities 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 securities than if our internal funding rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities 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 securities will be less than the issue price.
|
§
|
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, the exchange rate and the volatility of the exchange rate between the U.S. dollar and each of the currencies in which the stocks held by the ETF trade, the correlation between those rates and the price of the underlying shares, interest rates in the United States and in each of the markets of the stocks held by the ETF, 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 is not 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.
|
§
|
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 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 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.
|
§
|
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 underlying shares. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends
|
January 2014
|
PS-5
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
|
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.
|
§
|
There are risks associated with investments in securities linked to the value of foreign equity securities. Investments in securities linked to the value of foreign equity securities 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 foreign companies than about U.S. companies that are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued 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.
|
§
|
Fluctuations in exchange rates will affect the price of the ETF. Because the ETF invests in non-U.S. companies and the net asset value of the ETF is based on the U.S. dollar value of the stocks held by the ETF, holders of the securities will be exposed to currency exchange rate risk with respect to each of the currencies in which such stocks trade. 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. If, taking into account such weighting, the dollar strengthens against the currencies of the stocks held by the ETF, the price of the ETF will be adversely affected for that reason alone and the payment at maturity on the securities may be reduced. 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 various component countries and the United States. and other countries important to international trade and finance.
|
§
|
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
|
January 2014
|
PS-6
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
|
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.
|
January 2014
|
PS-7
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
iShares® MSCI EAFE ETF – Historical Closing Prices
January 2, 2009 to January 22, 2014
|
iShares® MSCI EAFE ETF
|
High
|
Low
|
Dividends
|
|||
2009
|
||||||
First Quarter
|
$
|
45.44
|
$
|
31.69
|
$
|
0.00000
|
Second Quarter
|
$
|
49.04
|
$
|
38.57
|
$
|
0.94519
|
Third Quarter
|
$
|
55.81
|
$
|
43.91
|
$
|
0.00000
|
Fourth Quarter
|
$
|
57.28
|
$
|
52.66
|
$
|
0.49574
|
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
|
January 2014
|
PS-8
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
iShares® MSCI EAFE ETF
|
High
|
Low
|
Dividends
|
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 (through January 22, 2014)
|
$
|
67.13
|
$
|
65.90
|
$
|
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 the securities, or retirement of the securities at maturity, you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the securities. 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, exchange or retirement of the securities should be long-term capital gain or loss if you held the securities for more than one year.
|
January 2014
|
PS-9
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
January 2014
|
PS-10
|
Citigroup Inc.
|
Buffer Securities Based on Shares of the iShares® MSCI EAFE ETF Due January 26, 2016
|
January 2014
|
PS-11
|