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 $2,345,657.50 remaining of 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 $2,345,541.30 remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering.
|
Citigroup Inc.
|
November 4, 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0289
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 an equally weighted basket consisting of the S&P 500® Index and the EURO STOXX 50® Index from the initial basket level to the final basket level.
|
§
|
The securities offer exposure to a limited range of potential appreciation of the basket and a limited buffer against the potential depreciation of the basket as described below. In exchange, investors in the securities must be willing to forgo (i) any appreciation of the basket in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on the stocks included in the basket components. In addition, investors in the securities must be willing to accept downside exposure to any depreciation of the basket in excess of the 10.00% buffer amount. If the basket depreciates by more than the buffer amount from the initial basket level to the final basket level, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation exceeds the buffer amount.
|
§
|
In order to obtain the modified exposure to the basket 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
|
||||
Basket:
|
Basket Components
|
Weighting
|
Basket Component Starting Level*
|
|
S&P 500® Index (“SPX”)
|
50%
|
2,017.81
|
||
EURO STOXX 50® Index (“SX5E”)
|
50%
|
3,082.32
|
||
* The basket component starting level of each basket component is its closing level on the strike date.
|
||||
Aggregate stated principal amount:
|
$1,000,000
|
|||
Stated principal amount:
|
$1,000 per security
|
|||
Strike date:
|
November 3, 2014
|
|||
Pricing date:
|
November 4, 2014
|
|||
Issue date:
|
November 7, 2014
|
|||
Valuation date:
|
November 4, 2016, subject to postponement if such date is not a scheduled trading day for a basket component or if certain market disruption events occur with respect to a basket component
|
Maturity date:
|
November 9, 2016
|
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity:
|
§ |
If the final basket level is greater than the initial basket level:
|
|
$1,000 + ($1,000 × the basket percent increase), subject to the maximum return at maturity
|
||
§ |
If the final basket level is equal to the initial basket level or less than the initial basket level by less than the buffer amount:
|
|
$1,000
|
||
§ |
If the final basket level is less than the initial basket level by more than the buffer amount:
|
|
($1,000 × the basket performance factor) + $100.00
|
If the final basket level is less than the initial basket level by more than the buffer amount, 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 basket level:
|
1,000
|
|||
Final basket level:
|
1,000 × [1 + (component return of SPX × 50%) + (component return of SX5E × 50%)]
|
|||
Component return:
|
For each basket component: (basket component ending level – basket component starting level) / basket component starting level
|
|||
Basket component ending level:
|
For each basket component, its closing level on the valuation date
|
|||
Maximum return at maturity:
|
$165.00 per security (16.50% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,165.00 per security.
|
|||
Buffer amount:
|
10.00%
|
|||
Basket percent increase:
|
(final basket level – initial basket level) / initial basket level
|
|||
Basket performance factor:
|
final basket level / initial basket level
|
|||
Listing:
|
The securities will not be listed on any securities exchange
|
|||
CUSIP / ISIN:
|
1730T02Z1 / US1730T02Z19
|
|||
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
|
$25
|
$975
|
|
Total:
|
$1,000,000
|
$25,000
|
$975,000
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
Buffer Securities
Payment at Maturity Diagram
|
|
n The Securities
|
n The Basket
|
November 2014
|
PS-2
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
Basket Component
|
Basket Component Starting Level
|
Hypothetical Basket Component Ending Level
|
Hypothetical Basket Component Return
|
SPX
|
2,017.81
|
2,179.23
|
8.00%
|
SX5E
|
3,082.32
|
3,452.20
|
12.00%
|
Hypothetical Final Basket Level:
|
1,000.00 × [1 + (8.00% × 50%) + (12.00% × 50%)] = 1,100.00
|
Payment at maturity per security | = | $1,000 + ($1,000 × the basket percent increase), subject to the maximum return at maturity of $165.00 |
= | $1,000 + ($1,000 × 10.00%), subject to the maximum return at maturity of $165.00 | |
= | $1,000 + $100, subject to the maximum return at maturity of $165.00 | |
= | $1,100 |
Basket Component
|
Basket Component Starting Level
|
Hypothetical Basket Component Ending Level
|
Hypothetical Basket Component Return
|
SPX
|
2,017.81
|
2,925.82
|
45.00%
|
SX5E
|
3,082.32
|
4,161.13
|
35.00%
|
Hypothetical Final Basket Level:
|
1,000.00 × [1 + (45.00% × 50%) + (35.00% × 50%)] = 1,400.00
|
Payment at maturity per security | = |
$1,000 + ($1,000 × the basket percent increase), subject to the maximum return at maturity of $165.00
|
= |
$1,000 + ($1,000 × 40%), subject to the maximum return at maturity of $165.00
|
|
= |
$1,000 + $400, subject to the maximum return at maturity of $165.00
|
|
= |
$1,165
|
Basket Component
|
Basket Component Starting Level
|
Hypothetical Basket Component Ending Level
|
Hypothetical Basket Component Return
|
SPX
|
2,017.81
|
2,118.70
|
5.00%
|
SX5E
|
3,082.32
|
2,619.97
|
-15.00%
|
Hypothetical Final Basket Level:
|
1,000.00 × [1 + (5.00% × 50%) + (-15.00% × 50%)] = 950.00
|
Payment at maturity per security | = |
$1,000
|
November 2014
|
PS-3
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
Basket Component
|
Basket Component Starting Level
|
Hypothetical Basket Component Ending Level
|
Hypothetical Basket Component Return
|
SPX
|
2,017.81
|
706.23
|
-65.00%
|
SX5E
|
3,082.32
|
770.58
|
-75.00%
|
Hypothetical Final Basket Level:
|
1,000.00 × [1 + (-65.00% × 50%) + (-75.00% × 50%)] = 300.00
|
Payment at maturity per security | = |
($1,000 × the basket performance factor) + $100.00
|
= |
$1,000 × (300.00 / 1,000.00) + $100
|
|
= |
$400.00
|
§
|
You may lose up to 90.00% 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 basket. If the basket depreciates 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, and you may lose up to 90% of your investment in the securities.
|
§
|
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 by the maximum return at maturity of 16.50%, which is equivalent to a maximum payment at maturity of $1,165 per security. Any increase in the final basket level over the initial basket level by more than the maximum return at maturity will not increase your return on the securities. As a result of the maximum return at maturity, the return on an investment in the securities may be less than the return on a similarly weighted, direct investment in the basket components.
|
§
|
Investing in the securities is not equivalent to investing in the basket components. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the basket components or the stocks included in the basket components. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield, which could be substantial, over the term of the securities.
|
§
|
Your payment at maturity depends on the closing levels of the basket components on a single day. Because your payment at maturity depends solely on the closing levels of the basket components on the valuation date, you are subject to the risk that the closing level 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 basket components, or if the payment at maturity were based on an average of the closing levels of the basket components throughout the term of the securities, you might have achieved better returns.
|
§
|
The basket component starting levels were the closing levels of the basket components on the strike date and exceed the closing levels of the basket components on the pricing date. Since the closing levels of the basket components on the pricing date are lower than the basket component starting levels that were set on the strike date, the terms of the securities are less favorable to you than they would have been if the basket component starting levels were equal to the closing levels of the basket components on the pricing date. The higher the basket component starting level is for the basket components, the lower the component return will be. Because the closing level of each basket component on the pricing date is less than the applicable basket component starting level that was set on the strike date, the terms of the securities may be less favorable to you than the terms of an alternative investment that may be available to you that offers a similar payout as the securities but with the basket component starting levels set on the pricing date.
|
§
|
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.
|
November 2014
|
PS-4
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
§
|
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 basket components, the correlation between those basket components, dividend yields on the stocks included in the basket components and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the 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 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 level of the basket components and a number of other factors, including the volatility of the basket components, the correlation between the basket components, the dividend yields on the stocks included in the basket components, 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.
|
§
|
The basket components may offset each other. The performance of one basket component may not correlate with the performance of the other basket component. If one of the basket components appreciates, the other basket component may not
|
November 2014
|
PS-5
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
§
|
The basket components may be highly correlated in decline. The performances of the basket components may become highly correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or on the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one basket component will not be offset by the performance of the other basket component and, in fact, both basket components may contribute to an overall decline from the initial basket level to the final basket level.
|
§
|
An investment in the securities is not a diversified investment. The fact that the securities are linked to a basket does not mean that the securities represent a diversified investment. First, although the basket components differ in important respects, they both track the performance of equity markets, and they may both perform poorly if there is a global downturn in equity markets. Second, the securities are subject to the credit risk of Citigroup Inc. No amount of diversification that may be represented by the basket components will offset the risk that we may default on our obligations.
|
§
|
Changes that affect the basket components may affect the value of your securities. The sponsor of SPX or SX5E may add, delete or substitute the stocks that constitute those indexes or make other methodological changes that could affect the levels of those indexes. Such changes could be made at any time and could adversely affect the performance of the basket components and the value of and your payment at maturity on the securities.
|
§
|
One of the basket components is subject to risks associated with the Eurozone. The companies whose stocks constitute SX5E are leading companies in the Eurozone. A number of countries in the Eurozone are undergoing a financial crisis affecting their economies, their ability to meet their sovereign financial obligations and their financial institutions. Countries in the Eurozone that are not currently experiencing a financial crisis may do so in the future as a result of developments in other Eurozone countries. The economic ramifications of this financial crisis, and its effects on the companies that make up SX5E, are impossible to predict. This uncertainty may contribute to significant volatility in SX5E and adverse developments affecting the Eurozone may affect SX5E in a way that adversely affects the value of and return on the securities. Furthermore, you should understand that there is generally less publicly available information about non-U.S. companies than about U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S. reporting companies.
|
§
|
The performance of SX5E will not be adjusted for changes in the exchange rate between the Euro and the U.S. dollar. SX5E is composed of stocks traded in Euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance of SX5E and the value of your securities will not be adjusted for exchange rate fluctuations. If the Euro appreciates relative to the U.S. dollar over the term of the securities, the performance of SX5E as a basket component would underperform an alternative basket component whose performance included that appreciation in addition to the change in the level of SX5E.
|
§
|
Our offering of the securities is not a recommendation of the basket or the basket components. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the basket or either of the basket components is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the stocks included in the basket components or in instruments related to the basket components or such stocks, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the basket components. These and other activities of our affiliates may affect the levels of the basket components in a way that has a negative impact on your interests as a holder of the securities.
|
§
|
The level of a basket component may be adversely affected by our or our affiliates’ hedging and other trading activities. We have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions directly in the stocks included in the basket components and other financial instruments related to the basket components or the stocks included in the basket components and may modify such positions during the term of the securities. Our affiliates also trade the stocks included in the basket components and other related financial instruments 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 levels of the basket components 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 companies included in the basket components, including extending loans to, making equity investments in or providing advisory services to such companies. In the course of this business, we or our affiliates may acquire non-public information which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such company, they may exercise any remedies against such company that are available to them without regard to your interests.
|
§
|
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 or the discontinuance of a basket component, CGMI, as calculation agent,
|
November 2014
|
PS-6
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
§
|
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. As described below under “United States Federal Tax Considerations,” 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.
|
Hypothetical Historical Basket
January 2, 2009 to November 4, 2014
|
November 2014
|
PS-7
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
S&P 500® Index – Historical Closing Levels
January 2, 2009 to November 4, 2014
|
November 2014
|
PS-8
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
EURO STOXX 50® Index – Historical Closing Levels
January 2, 2009 to November 4, 2014
|
November 2014
|
PS-9
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
|
·
|
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 capital gain or loss equal to the difference between the amount realized and your tax basis in the security. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.
|
November 2014
|
PS-10
|
Citigroup Inc.
|
Buffer Securities Based on a Basket Consisting of the S&P 500® Index and the EURO STOXX 50® Index Due November 9, 2016
|
November 2014
|
PS-11
|