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
|
$2,402,000
|
$279.11
|
(1)
|
Calculated in accordance with Rule 457(r) of the Securities Act.
|
(2)
|
Pursuant to Rule 457(p) under the Securities Act, the $2,330,301.22 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 $279.11 is offset against the registration fee due for this offering and of which $2,330,022.11 remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering.
|
Investment Products
|
Not FDIC Insured
|
May Lose Value
|
No Bank Guarantee
|
December 18, 2014
|
Citigroup Inc.
|
December 18, 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0311
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 the American Depositary Shares (“ADSs”) representing ordinary shares of Alibaba Group Holding Limited (the “underlying shares”) from the initial share price to the final share price.
|
▪
|
The securities offer modified exposure to the performance of the underlying shares, with (i) a minimum positive return at maturity so long as the final share price is greater than or equal to 77.00% of the initial share price and (ii) 1-to-1 participation in any appreciation of the underlying shares in excess of that minimum positive return, subject to the maximum return at maturity. In exchange for these features, investors in the securities must be willing to forgo (i) any appreciation of the underlying shares in excess of the maximum 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 underlying shares depreciate by more than 23.00%. If the underlying shares depreciate by more than 23.00% from the pricing date to the valuation date, you will lose 1% of the stated principal amount of your securities for every 1% by which the final share price is less than the initial share price. 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.
|
Underlying shares:
|
American Depositary Shares (“ADSs”), each representing one ordinary share of Alibaba Group Holding Limited (NYSE symbol: “BABA”) (the “underlying share issuer”)
|
||
Aggregate stated principal amount:
|
$2,402,000
|
||
Stated principal amount:
|
$1,000 per security
|
||
Pricing date:
|
December 18, 2014
|
||
Issue date:
|
December 23, 2014
|
||
Valuation date:
|
December 18, 2015, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
||
Maturity date:
|
December 23, 2015
|
||
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 barrier price:
$1,000 + the greater of (i) the fixed return amount and (ii) $1,000 × the share percent increase, subject to the maximum return at maturity
§ If the final share price is less than the barrier price:
$1,000 × the share performance factor
If the final share price is less than the barrier price, your payment at maturity will be less, and possibly significantly less, than $770.00 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:
|
$109.25, 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:
|
$105.00 per security (10.50% 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 barrier price.
|
||
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
|
||
Barrier price:
|
$84.123, 77.00% of the initial share price
|
||
Maximum return at maturity:
|
$150.00 (15.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,150.00 per security.
|
||
Listing:
|
The securities will not be listed on any securities exchange
|
||
CUSIP / ISIN:
|
1730T03L1 / US1730T03L14
|
||
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)(3)
|
Proceeds to issuer(3)
|
Per security:
|
$1,000.00
|
$10.00
|
$990.00
|
Total:
|
$2,402,000.00
|
$24,020.00
|
$2,377,980.00
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
Enhanced Barrier Digital Plus Securities Payment at Maturity Diagram
|
December 2014
|
PS-2
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
December 2014
|
PS-3
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
§
|
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 barrier 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 barrier feature of the securities exposes you to particular risks. If the final share price is less than the barrier 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. Although you will receive a minimum positive return if the underlying shares depreciate by 23.00% or less from the initial share price to the final share price, the securities offer no protection at all if the underlying shares depreciate by more than 23.00%. As a result, you may lose your entire 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 to the maximum return at maturity of 15.00%, which is equivalent to a maximum return at maturity of $150.00 per security. If the underlying shares appreciate by more than 15.00%, the securities will underperform a direct investment in the underlying shares. If the underlying share issuer were to begin paying dividends and those dividends were taken into account, the securities may underperform a direct investment in the underlying shares even if the underlying shares appreciate by less than 15.00%, because holders of the securities will not receive those dividends.
|
§
|
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the underlying shares. As of December 18, 2014, the underlying share issuer does not pay dividends or make other distributions on the underlying shares. However, if the underlying share issuer were to pay dividends or make other distributions on the underlying shares, investors in the securities would not have any rights to receive such dividends or distributions and you would forego the opportunity to receive such payments that you could receive by investing directly in the underlying shares or in another investment linked to the underlying shares that provides for a pass-through of dividends.
|
§
|
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
|
December 2014
|
PS-4
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
§
|
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, the dividend yield on the underlying shares 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 price and volatility of the underlying shares and a number of other factors, including the dividend yield on the underlying shares, 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 in instruments related to the underlying shares 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 have taken positions directly in the underlying shares and other financial instruments related to the underlying shares and may adjust such positions during the term of the securities. Our affiliates also trade the underlying shares and other financial instruments related to the underlying shares 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.
|
December 2014
|
PS-5
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
§
|
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, including extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies against the underlying share 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.
|
§
|
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, partial tender offers or additional public offerings of the underlying shares. 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.
|
§
|
If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than the stated principal amount. If we exercise this call right, you will receive the amount described under “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting of Company Shares” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated principal amount of the securities.
|
§
|
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 stock of another entity, the stock 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 and we do not exercise our call right, the calculation agent may, in its sole discretion, select shares of another issuer 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 of Company Shares” in the accompanying product supplement.
|
§
|
The securities may be subject to risks associated with non-U.S. companies. An investment linked to the value of ADSs representing ordinary shares of Alibaba Group Holding Limited, a Chinese issuer, involves risks associated with China. The price of Alibaba Group Holding Limited’s ordinary shares and ADSs representing its ordinary shares, therefore, may be affected by political, economic, financial and social factors in China, including changes in China’s governmental, economic and fiscal policies, currency exchange laws or other laws or restrictions. Also, there is generally less publicly available information about non-U.S. companies than U.S. companies, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. companies. In addition, share prices of companies located in emerging markets, such as China, or whose principal operations are located in emerging markets, are subject to political, economic, financial and social factors that affect emerging markets. These factors, which could negatively affect the value of the securities, include the possibility of changes in local or national economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to such companies or to investments in equity securities of companies located, or whose principal operations are located, in emerging markets. Specifically, political and/or legal developments in emerging markets could include forced divestiture of assets; restrictions on production, imports and exports; war or other international conflicts; civil unrest and local security concerns that threaten the safe operation of company facilities; price controls; tax increases and other retroactive tax claims; expropriation of property; cancellation of contract rights; and environmental regulations. Moreover, the economies of emerging nations may differ unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital investment, resources and self-sufficiency.
|
§
|
Fluctuations in exchange rates will affect the price of the underlying shares. There are significant risks related to an investment linked to ADSs, such as the underlying shares, that are quoted and traded in U.S. dollars and represent ordinary shares of Alibaba Group Holding Limited (the “underlying equity”) that are quoted and traded in a foreign currency. Such ADSs will trade differently from the ordinary shares they represent as a result of fluctuations in the currency exchange rate between the U.S. dollar and the applicable foreign currency. In recent years, the rates of exchange between the U.S. dollar and some other currencies have been highly volatile and this volatility may continue in the future. These risks generally depend on economic and political events over which we have no control. You should understand that, if the U.S. dollar strengthens relative to the currency in which the applicable ordinary shares trade, the price of the ADSs will likely decline for that reason alone.
|
December 2014
|
PS-6
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
§
|
There are important differences between the rights of holders of ADSs and the rights of holders of the ordinary shares represented by the ADSs. Because the securities are linked to the performance of ADSs representing ordinary shares of Alibaba Group Holding Limited, you should be aware that the securities are linked to the price of the ADSs and not underlying equity and there exist important differences between the rights of holders of ADSs and the underlying equity. Each ADS is a security evidenced by American Depositary Shares that represents a share of the underlying equity. The ADSs are issued under a deposit agreement, which sets forth the rights and responsibilities of the ADS depositary, the applicable issuer and holders of the ADSs, which may be different from the rights of holders of the underlying equity. For example, the applicable issuer may make distributions in respect of the underlying equity that are not passed on to the holders of its ADSs. Any such differences between the rights of holders of the ADSs and holders of the underlying equity may be significant and may materially and adversely affect the value of the securities.
|
§
|
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, corporate 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 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.
|
December 2014
|
PS-7
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
ADSs Representing Ordinary Shares of Alibaba Group Holding Limited – Historical Closing Prices
September 19, 2014 to December 18, 2014
|
ADSs Representing Ordinary Shares of Alibaba Group Holding Limited
|
High
|
Low
|
Dividends
|
2014
|
|||
Third Quarter (beginning September 19, 2014)
|
$93.89
|
$87.17
|
$0.00000
|
Fourth Quarter (through December 18, 2014)
|
$119.15
|
$84.95
|
$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 short-term capital gain or loss equal to the difference between the amount realized and your tax basis in the security.
|
December 2014
|
PS-8
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
December 2014
|
PS-9
|
Citigroup Inc.
|
Enhanced Barrier Digital Plus Securities Based on American Depositary Shares Representing Ordinary Shares of Alibaba Group Holding Limited Due December 23, 2015
|
December 2014
|
PS-10
|