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
|
$7,661,000
|
$986.74
|
Citigroup Inc.
|
August 29, 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0222
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
▪
|
The securities offered by this pricing supplement are unsecured 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 S&P 500® Index (the “underlying index”) from the initial index level to the final index level.
|
▪
|
The securities offer the potential for a positive return at maturity based on the absolute value of the percentage change, within a limited range, in the level of the underlying index from the initial index level to the final index level. If the underlying index appreciates, the securities offer a minimum positive return at maturity and 1-to-1 participation in any appreciation of the underlying index in excess of that minimum positive return. In addition, if the underlying index depreciates, the securities provide positive exposure to a limited range of that depreciation. In exchange for the minimum positive return feature and the potential for a positive return at maturity even if the underlying index depreciates, investors in the securities must be willing to forgo (i) positive participation in the depreciation of the underlying index outside of the limited range offered by the securities and (ii) any dividends that may be paid on the stocks that constitute the underlying index. In addition, investors in the securities must be willing to accept full downside exposure to the underlying index if it depreciates by more than 29%. If the final index level is less than the trigger level, you will lose 1% of the stated principal amount of your securities for every 1% by which the final index level is less than the initial index level. There is no minimum payment at maturity.
|
▪
|
In order to obtain the modified exposure to the underlying index 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.
|
KEY TERMS
|
||||
Underlying index:
|
The S&P 500® Index (ticker symbol: “SPX”) (the “underlying index”)
|
|||
Pricing date:
|
August 29, 2014
|
|||
Issue date:
|
September 4, 2014
|
|||
Valuation date:
|
August 31, 2020, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
|||
Maturity date:
|
September 3, 2020
|
|||
Aggregate stated principal amount:
|
$7,661,000
|
|||
Stated principal amount:
|
$10 per security
|
|||
Payment at maturity:
|
For each $10 stated principal amount security you hold at maturity:
§ If the final index level is equal to or greater than the initial index level:
$10 + the greater of (i) the fixed return amount and (ii) $10 × the index percent change
§ If the final index level is less than the initial index level but greater than or equal to the trigger level:
$10 + ($10 × the absolute index return)
§ If the final index level is less than the trigger level:
$10 × the index performance factor
If the final index level is less than the trigger level, your payment at maturity will be less, and possibly significantly less, than $7.10 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 index level:
|
2,003.37 (the closing level of the underlying index on the pricing date)
|
|||
Final index level:
|
The closing level of the underlying index on the valuation date
|
|||
Fixed return amount:
|
$3.00 per security (equal to a fixed return at maturity of 30.00% of the stated principal amount). You will receive the fixed return amount only if the final index level is greater than or equal to the initial index level.
|
|||
Absolute index return:
|
The absolute value of the index percent change
|
|||
Index percent change:
|
The final index level minus the initial index level, divided by the initial index level
|
|||
Index performance factor:
|
The final index level divided by the initial index level
|
|||
Trigger level:
|
1,422.393, 71% of the initial index level
|
|||
Listing:
|
The securities will not be listed on any securities exchange
|
|||
CUSIP / ISIN:
|
17322H198 / US17322H1986
|
|||
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
|||
Underwriting fee and issue price:
|
Issue price(1)(2)
|
Underwriting fee
|
Proceeds to issuer
|
|
Per security:
|
$10.00
|
$0.30(2)
|
||
$0.05(3)
|
$9.65
|
|||
Total:
|
$7,661,000.00
|
$268,135.00
|
$7,392,865.00
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
|
·
|
As an alternative to direct exposure to the underlying index that provides a minimum positive return of 30% if the underlying index has appreciated at all as of the valuation date and offers an uncapped 1-to-1 participation in the appreciation of the underlying index of greater than 30%;
|
|
·
|
To obtain a positive return for a limited range of negative performance of the underlying index; and
|
|
·
|
To potentially outperform the underlying index in a moderately bullish or moderately bearish scenario, without taking into account lost dividend yield.
|
Maturity:
|
Approximately 6 years
|
|
Fixed return amount:
|
$3.00 per security (30% of the stated principal amount)
|
|
Minimum payment at maturity:
|
None
|
|
Trigger level:
|
71% of the initial index level
|
|
Coupon:
|
None
|
August 2014
|
PS-2
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
Absolute Return Feature:
|
The securities enable investors to obtain a positive return if the final index level is less than or equal to the initial index level but is greater than or equal to the trigger level.
|
Upside Scenario if the Underlying Index Appreciates:
|
The final index level is greater than or equal to the initial index level. In this case, you receive for each security that you hold $10 plus the greater of (i) the fixed return amount and (ii) $10 multiplied by the index percent change. There is no maximum payment at maturity.
|
Absolute Return Scenario:
|
The final index level is less than or equal to the initial index level but is greater than or equal to the trigger level, which is 71% of the initial index level. In this case, you receive a 1% positive return on the securities for each 1% negative return on the underlying index. For example, if the final index level is 5% less than the initial index level, the securities will provide a positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 29% return at maturity.
|
Downside Scenario:
|
The final index level is less than the trigger level. In this case, you would receive at least 29% less than the stated principal amount, and this decrease will be by an amount proportionate to the decline in the level of the underlying index over the term of the securities. Under these circumstances, the payment at maturity will be less than $7.10 per security. For example, if the final index level is 50% less than the initial index level, you would receive at maturity 50% of the stated principal amount. There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.
|
August 2014
|
PS-3
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
Dual Directional Trigger Jump Securities Payment at Maturity Diagram
|
|
August 2014
|
PS-4
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
§
|
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 index. If the final index level is less than the trigger level, the absolute return feature will no longer be available and the payout at maturity will be at least
|
August 2014
|
PS-5
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk 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 for positive participation in any depreciation of the underlying index is limited. The return potential of the securities in the event that the final index level is less than the initial index level is limited to 29%. Any decline in the final index level from the initial index level by more than 29% will result in a loss, rather than a positive return, on the securities.
|
§
|
Investing in the securities is not equivalent to investing in the underlying index or the stocks that constitute the underlying index. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute the underlying index. As of August 29, 2014, the average dividend yield of the underlying index was approximately 1.90% per year. While it is impossible to know the future dividend yield of the underlying index, if this average dividend yield were to remain constant for the term of the securities, you would be forgoing an aggregate yield of approximately 11.40% (assuming no reinvestment of dividends) by investing in the securities instead of investing directly in the stocks that constitute the underlying index or in another investment linked to the underlying index 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 level of the underlying index on a single day. Because your payment at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that the closing level of the underlying index 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 in another instrument linked to the underlying index 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 levels of the underlying index, 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 and structuring fees 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 index, dividend yields on the stocks that constitute the underlying index 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
|
August 2014
|
PS-6
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
§
|
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 and volatility of the underlying index and a number of other factors, including the price and volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute the underlying index, 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 is not a recommendation of the underlying index. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the underlying index 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 that constitute the underlying index or in instruments related to the underlying index or such stocks, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates may affect the level of the underlying index in a way that has a negative impact on your interests as a holder of the securities.
|
§
|
The level of the underlying index 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 stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks. Our affiliates also trade the stocks that constitute the underlying index and other financial instruments related to the underlying index 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 level of the underlying index 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 issuers of the stocks that constitute the underlying index, 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 such issuer 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 the underlying index, 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.
|
§
|
Adjustments to the underlying index may affect the value of your securities. S&P Dow Jones Indices LLC (the “underlying index publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the underlying index at any time without regard to your interests as holders 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
|
August 2014
|
PS-7
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
S&P 500® Index – Historical Closing Levels
January 2, 2009 to August 29, 2014
|
August 2014
|
PS-8
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
|
·
|
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 (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 securities. Such gain or loss should be long-term capital gain or loss if you held the securities for more than one year.
|
August 2014
|
PS-9
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
Aggregate Principal Amount of Securities for Any Single Investor
|
Issue Price
per Security
|
Underwriting Fee
per Security
|
Selling Concession
per Security
|
< $1,000,000
|
$10.000
|
$0.350
|
$0.300
|
≥ $1,000,000 and < $3,000,000
|
$9.950
|
$0.300
|
$0.250
|
≥ $3,000,000 and < $5,000,000
|
$9.925
|
$0.275
|
$0.225
|
≥ $5,000,000
|
$9.900
|
$0.250
|
$0.200
|
August 2014
|
PS-10
|
Citigroup Inc.
|
766,100 Dual Directional Trigger Jump Securities Based on the S&P 500® Index Due September 3, 2020
Principal at Risk Securities
|
August 2014
|
PS-11
|