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
|
$3,132,650
|
$364.01
|
(1)
|
Calculated in accordance with Rule 457(r) of the Securities Act.
|
(2)
|
Pursuant to Rule 457(p) under the Securities Act, the $2,320,475.09 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 $364.01 is offset against the registration fee due for this offering and of which $2,320,111.08 remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering.
|
Pricing Supplement No. 2015—CMTNG0341 to Product Supplement No. EA-02-03 dated November 13, 2013, Prospectus Supplement and Prospectus each dated November 13, 2013
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
Dated January 27, 2015
Citigroup Inc. $3,132,650 Trigger Performance Securities
|
Investment Description
|
Features
|
Key Dates
|
||
q Participation in Positive Share Return — If the Share Return is positive, the Issuer will repay the Stated Principal Amount of the Securities at maturity and pay a return equal to the Share Return multiplied by the Participation Rate. If the Share Return is negative, investors may be exposed to the decline in the Underlying Shares at maturity.
q Downside Exposure with Contingent Repayment of the Stated Principal Amount at Maturity — If the Share Return is zero or negative and the Final Share Price is greater than or equal to the Trigger Price, the Issuer will repay the Stated Principal Amount of the Securities at maturity. However, if the Share Return is negative and the Final Share Price is less than the Trigger Price, the Issuer will pay less than the Stated Principal Amount of the Securities at maturity, resulting in a loss on the Stated Principal Amount to investors that is proportionate to the percentage decline in the price of the Underlying Shares. The contingent repayment of the Stated Principal Amount applies only if you hold the Securities to maturity. You might lose some or all of your initial investment. Any payment on the Securities is subject to the creditworthiness of the Issuer. If the Issuer were to default on its payment obligations, you might not receive any amounts owed to you under the Securities and you could lose your entire investment.
|
Trade Date
|
January 27, 2015
|
|
Settlement Date
|
January 30, 2015
|
||
Final Valuation Date1
|
January 27, 2020
|
||
Maturity Date
|
January 31, 2020
|
||
1See page PS-3 for additional details.
|
|||
Security Offering
|
Underlying Shares
|
Initial Share Price
|
Participation Rate
|
Trigger Price
|
CUSIP/ ISIN
|
iShares® MSCI EAFE ETF (Ticker: EFA) (the
“ETF” or “Underlying Share Issuer”)
|
$62.29
|
156.50%
|
$46.72, 75% of the Initial
Share Price
|
17322X268 /
US17322X2687
|
Issue Price(1)
|
Underwriting Discount(2)
|
Proceeds to Issuer
|
|
Per Security
|
$10.00
|
$0.35
|
$9.65
|
Total
|
$3,132,650.00
|
$109,642.75
|
$3,023,007.25
|
(1)
|
On the date of this pricing supplement, the estimated value of the Securities is $9.386 per Security, which is less than the issue price. The estimated value of the Securities is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”) and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the Securities from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
|
(2)
|
The underwriting discount is $0.35 per Security. CGMI, acting as principal, has agreed to purchase from Citigroup Inc., and Citigroup Inc. has agreed to sell to CGMI, the aggregate Stated Principal Amount of the Securities set forth above for $9.65 per Security. UBS Financial Services Inc.(“UBS”), acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the Securities for $9.65 per Security. UBS will receive an underwriting discount of $0.35 per Security for each Security it sells. UBS proposes to offer the Securities to the public at a price of $10.00 per Security. For additional information on the distribution of the Securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the Securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
|
Citigroup Global Markets Inc.
|
UBS Financial Services Inc.
|
Additional Terms Specific to the Securities
|
¨
|
Product Supplement No. EA-02-03 dated November 13, 2013:
|
¨
|
Underlying Supplement No. 3 dated November 13, 2013:
|
¨
|
Prospectus Supplement and Prospectus each dated November 13, 2013:
|
Investor Suitability
|
The Securities may be suitable for you if, among other considerations:
|
The Securities may not be suitable for you if, among other considerations:
|
|
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have the full downside market risk of an investment in the Underlying Shares or in the stocks held by the ETF.
¨ You believe that the price of the Underlying Shares will increase over the term of the Securities.
¨ You are willing to invest in the Securities based on the Participation Rate indicated on the cover page hereof.
¨ You can tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying Shares.
¨ You do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on the Underlying Shares or the stocks held by the ETF for the term of the Securities.
¨ You seek an investment with exposure to foreign equity markets.
¨ You are willing and able to hold the Securities to maturity, and accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the Securities.
¨ You are willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, and understand that if Citigroup Inc. defaults on its obligations you might not receive any amounts due to you, including any repayment of the Stated Principal Amount.
|
¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You require an investment designed to guarantee a full return of the Stated Principal Amount at maturity.
¨ You cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an investment that may have the full downside market risk of an investment in the Underlying Shares or in the stocks held by the ETF.
¨ You believe that the price of the Underlying Shares will decline during the term of the Securities and is likely to close below the Trigger Price on the Final Valuation Date.
¨ You are not willing to invest in the Securities based on the Participation Rate indicated on the cover page hereof.
¨ You cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the price of the Underlying Shares.
¨ You seek current income from this investment or prefer to receive the dividends and any other distributions paid on the Underlying Shares or the stocks held by the ETF for the term of the Securities.
¨ You do not seek an investment with exposure to foreign equity markets.
¨ You are unwilling or unable to hold the Securities to maturity, or you seek an investment for which there will be an active secondary market.
¨ You are not willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, including any repayment of the Stated Principal Amount.
|
Final Terms
|
|
Issuer
|
Citigroup Inc.
|
Issue Price
|
100% of the Stated Principal Amount per Security
|
Stated Principal Amount
|
$10.00 per Security
|
Term
|
Approximately 5 years
|
Trade Date
|
January 27, 2015
|
Settlement Date
|
January 30, 2015
|
Final Valuation Date1
|
January 27, 2020
|
Maturity Date
|
January 31, 2020
|
Underlying Shares
|
Shares of the iShares® MSCI EAFE ETF (Ticker: EFA) (the “ETF” or the “Underlying Share Issuer”)
|
Trigger Price
|
$46.72, 75% of the Initial Share Price
|
Participation Rate
|
156.50%
|
Payment at Maturity (per $10.00 Stated Principal Amount of Securities)
|
If the Share Return is positive, Citigroup Inc. will pay you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount of $10.00 plus a return equal to the Share Return multiplied by the Participation Rate, calculated as follows:
$10.00 + ($10.00 × Share Return × Participation Rate)
If the Share Return is zero or negative and the Final Share Price is greater than or equal to the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment of $10.00 per $10.00 Stated Principal Amount of Securities.
If the Share Return is negative and the Final Share Price is less than the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment at maturity less than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate to the percentage decline in the price of the Underlying Shares, calculated as follows:
$10.00 + ($10.00 × Share Return)
In this scenario, you will be exposed to the full negative Share Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate to the percentage decline in the Underlying Shares.
|
Share Return
|
Final Share Price – Initial Share Price
Initial Share Price
|
Initial Share Price
|
$62.29, the closing price of the Underlying Shares on the Trade Date
|
Final Share Price
|
The closing price of the Underlying Shares on the Final Valuation Date
|
Investment Timeline
|
Trade Date:
|
The closing price of the Underlying Shares (Initial Share Price) is observed, the Participation Rate is set and the Trigger Price is determined.
|
||
Maturity
Date:
|
The Final Share Price is determined on the Final Valuation Date and the Share Return is calculated.
If the Share Return is positive, Citigroup Inc. will pay you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount of $10.00 plus a return equal to the Share Return multiplied by the Participation Rate, calculated as follows:
$10.00 + ($10.00 × Share Return × Participation Rate)
If the Share Return is zero or negative and the Final Share Price is greater than or equal to the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment of $10.00 per $10.00 Stated Principal Amount of Securities.
If the Share Return is negative and the Final Share Price is less than the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment at maturity less than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate to the percentage decline in the price of the Underlying Shares, calculated as follows:
$10.00 + ($10.00 × Share Return)
In this scenario, you will be exposed to the full negative Share Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate to the percentage decline in the Underlying Shares.
|
1
|
Subject to postponement as described under “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product supplement.
|
Summary Risk Factors
|
¨
|
You may lose some or all of your investment — The Securities differ from ordinary debt securities in that we will not necessarily repay the full Stated Principal Amount of your Securities at maturity. Instead, your return on the Securities is linked to the performance of the Underlying Shares and will depend on whether, and the extent to which, the Share Return is positive or negative. If the Final Share Price is less than the Trigger 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 in the Securities.
|
¨
|
The reduced market risk offered by the Securities is contingent, and you will have full downside exposure to the Underlying Shares if the Final Share Price is less than the Trigger Price — If the Final Share Price is below the Trigger Price, the contingent reduced market risk with respect to a limited range of potential depreciation of the Underlying Shares offered by the Securities will not apply and 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. The Securities will have full downside exposure to the decline of the Underlying Shares if the Final Share Price is below the Trigger Price. As a result, you may lose your entire investment in the Securities. Further, this contingent reduced market risk applies only if you hold the Securities to maturity. If you are able to sell the Securities prior to maturity you may have to sell them for a loss even if the Underlying Shares have not declined below the Trigger Price.
|
¨
|
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.
|
¨
|
You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to the Underlying Shares — As of January 27, 2015 the trailing 12-month dividend yield of the Underlying Shares was approximately 3.63%. 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 18.15% (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 Final 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. — Any payment on the Securities will be made by Citigroup Inc. and therefore is subject to the credit risk of Citigroup Inc. If we default on our obligations under the Securities, you may not receive any payments that become due under the Securities. As a result, the value of the Securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any decline, or anticipated decline, in our credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of 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 Trade 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
|
¨
|
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 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. The stated payout from the Issuer, including the potential application of the Participation Rate and the Trigger Level, only applies if you hold the Securities to maturity.
|
¨
|
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 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.
|
¨
|
Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities — Any such research, opinions or recommendations could affect the closing price of the Underlying Shares and the value of the Securities. Our affiliates, and UBS and its affiliates, publish research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that may be inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or UBS or its affiliates may adversely affect the price of the Underlying Shares and may have a negative impact on your interests as a holder of the Securities. Investors should make their own independent investigation of the merits of investing in the Securities and the Underlying Shares to which the Securities are linked.
|
¨
|
Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets may impair the value of the Securities — We have hedged our exposure under the Securities through CGMI or other of our affiliates, who have entered into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to the Underlying Shares or the stocks held by the ETF and other financial instruments related to the Underlying Shares or such stocks and may adjust such positions during the term of the Securities. It is possible that our affiliates could receive substantial returns from these hedging activities while the value of the Securities declines. Our affiliates and UBS and its affiliates may also engage in trading in instruments linked to the Underlying Shares on a regular basis as part of their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities may affect the closing price of the Underlying Shares and reduce the return on your investment in the Securities. Our affiliates or UBS or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlying Shares. By introducing competing products into the marketplace in this manner, our affiliates or UBS or its affiliates could adversely affect the value of the Securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment strategies relating to the Securities.
|
¨
|
Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective business activities — Our affiliates or UBS or its affiliates may currently or from time to time engage in business with the Underlying
|
¨
|
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 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.
|
¨
|
An adjustment is not required to 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, an adjustment will not be made for ordinary dividends or extraordinary dividends that do not meet the criteria described above. Moreover, the adjustments that are made 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 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. Such judgments could include, among other things:
|
¨
|
determining whether a market disruption event has occurred;
|
¨
|
if a market disruption event occurs on the Final Valuation Date, determining whether to postpone the Final Valuation Date;
|
¨
|
determining the price of the Underlying Shares if the price of the Underlying Shares is not otherwise available or a market disruption event has occurred;
|
¨
|
determining the appropriate adjustments to be made to the Initial Share Price upon the occurrence of an event described under “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying product supplement; and
|
¨
|
selecting a successor ETF or performing an alternative calculation of the price of the Underlying Shares if the Underlying Shares are discontinued or materially modified (see “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying product supplement).
|
¨
|
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.
|
Investing in the Securities exposes investors to risks associated with 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 SEC, 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 Underlying Shares — 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
|
¨
|
The U.S. federal tax consequences of an investment in the Securities are unclear — There is no direct legal authority regarding the proper U.S. federal tax treatment of the Securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Securities are uncertain, and the IRS or a court might not agree with the treatment of the Securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the Securities, the tax consequences of the ownership and disposition of the Securities might be materially and adversely affected. Even if the treatment of the Securities as prepaid forward contracts is respected, a Security may be treated as a “constructive ownership transaction,” with consequences described below under “United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the Securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
Hypothetical Examples
|
Final Share Price
|
Share Return
|
Payment at Maturity
|
Total Return on Securities at Maturity(1)
|
$120.00
|
100.00%
|
$24.800
|
148.00%
|
$114.00
|
90.00%
|
$23.320
|
133.20%
|
$108.00
|
80.00%
|
$21.840
|
118.40%
|
$102.00
|
70.00%
|
$20.360
|
103.60%
|
$96.00
|
60.00%
|
$18.880
|
88.80%
|
$90.00
|
50.00%
|
$17.400
|
74.00%
|
$84.00
|
40.00%
|
$15.920
|
59.20%
|
$78.00
|
30.00%
|
$14.440
|
44.40%
|
$72.00
|
20.00%
|
$12.960
|
29.60%
|
$66.00
|
10.00%
|
$11.480
|
14.80%
|
$60.00
|
0.00%
|
$10.000
|
0.00%
|
$54.00
|
-10.00%
|
$10.000
|
0.00%
|
$48.00
|
-20.00%
|
$10.000
|
0.00%
|
$45.00
|
-25.00%
|
$10.000
|
0.00%
|
$44.99
|
-25.01%
|
$7.499
|
-25.01%
|
$42.00
|
-30.00%
|
$7.000
|
-30.00%
|
$36.00
|
-40.00%
|
$6.000
|
-40.00%
|
$29.99
|
-50.00%
|
$5.000
|
-50.00%
|
$24.00
|
-60.00%
|
$4.000
|
-60.00%
|
$18.00
|
-70.00%
|
$3.000
|
-70.00%
|
$12.00
|
-80.00%
|
$2.000
|
-80.00%
|
$6.00
|
-90.00%
|
$1.000
|
-90.00%
|
$0.00
|
-100.00%
|
$0.000
|
-100.00%
|
1 The “Total Return on Securities at Maturity” is calculated as (a) the Payment at Maturity per Security minus the $10.00 Issue Price per Security divided by (b) the $10.00 Issue Price per Security. |
The iShares® MSCI EAFE ETF
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Dividends
|
1/2/2008
|
3/31/2008
|
$78.35
|
$68.31
|
$0.000
|
4/1/2008
|
6/30/2008
|
$78.52
|
$68.10
|
$1.308
|
7/1/2008
|
9/30/2008
|
$68.04
|
$53.08
|
$0.000
|
10/1/2008
|
12/31/2008
|
$55.88
|
$35.71
|
$0.541
|
1/2/2009
|
3/31/2009
|
$45.44
|
$31.69
|
$0.000
|
4/1/2009
|
6/30/2009
|
$49.04
|
$38.57
|
$0.945
|
7/1/2009
|
9/30/2009
|
$55.81
|
$43.91
|
$0.000
|
10/1/2009
|
12/31/2009
|
$57.28
|
$52.66
|
$0.496
|
1/4/2010
|
3/31/2010
|
$57.96
|
$50.45
|
$0.000
|
4/1/2010
|
6/30/2010
|
$58.03
|
$46.29
|
$0.859
|
7/1/2010
|
9/30/2010
|
$55.42
|
$47.09
|
$0.000
|
10/1/2010
|
12/31/2010
|
$59.46
|
$54.25
|
$0.538
|
1/3/2011
|
3/31/2011
|
$61.91
|
$55.31
|
$0.000
|
4/1/2011
|
6/30/2011
|
$63.87
|
$57.10
|
$1.141
|
7/1/2011
|
9/30/2011
|
$60.80
|
$46.66
|
$0.000
|
10/3/2011
|
12/30/2011
|
$55.57
|
$46.45
|
$0.569
|
1/3/2012
|
3/30/2012
|
$55.80
|
$49.15
|
$0.000
|
4/2/2012
|
6/29/2012
|
$55.51
|
$46.55
|
$1.149
|
7/2/2012
|
9/28/2012
|
$55.15
|
$47.62
|
$0.000
|
10/1/2012
|
12/31/2012
|
$56.88
|
$51.96
|
$0.610
|
1/2/2013
|
3/28/2013
|
$59.89
|
$56.90
|
$0.000
|
4/1/2013
|
6/28/2013
|
$63.53
|
$57.03
|
$0.000
|
7/1/2013
|
9/30/2013
|
$65.05
|
$57.55
|
$1.152
|
10/1/2013
|
12/31/2013
|
$67.06
|
$62.71
|
$0.552
|
1/2/2014
|
3/31/2014
|
$68.03
|
$62.31
|
$0.000
|
4/1/2014
|
6/30/2014
|
$70.67
|
$66.26
|
$0.000
|
7/1/2014
|
9/30/2014
|
$69.25
|
$64.12
|
$1.676
|
10/1/2014
|
12/31/2014
|
$64.51
|
$59.53
|
$0.585
|
1/2/2015
|
1/27/2015*
|
$62.29
|
$58.48
|
$0.000
|
United States Federal Tax Considerations
|
|
¨
|
You should not recognize taxable income over the term of the Securities prior to maturity, other than pursuant to a sale or exchange.
|
|
¨
|
Upon a sale or exchange of a Security (including retirement at maturity), you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the Security. Subject to the discussion below concerning the potential application of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), any gain or loss recognized upon a sale, exchange or retirement of a Security should be long-term capital gain or loss if you held the Security for more than one year.
|
Supplemental Plan of Distribution
|
Valuation of the Securities
|
Validity of the Securities
|