Title of each class of securities to be registered
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Maximum aggregate offering price
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Amount of registration fee(1) (2)
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Medium-Term Senior Notes, Series G
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$456,000
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$52.99
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Citigroup Inc.
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January 27, 2015
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2015-CMTNG0338
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
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▪
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The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Inc. Unlike conventional debt securities, the notes do not pay interest. Instead, the notes offer the potential for a positive return at maturity based on the performance of the Russell 2000® Index (the “underlying index”) from the initial index level to the final index level.
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▪
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The notes provide 1-to-1 exposure to the performance of the underlying index within a limited range of potential appreciation. If the underlying index appreciates from the initial index level to the final index level, you will receive a positive return at maturity equal to that appreciation, subject to the maximum return at maturity specified below. However, if the underlying index remains the same or depreciates from the initial index level to the final index level, you will be repaid the stated principal amount of your notes at maturity but will not receive any return on your investment. Even if the underlying index appreciates from the initial index level to the final index level, so that you do receive a positive return at maturity, there is no assurance that your total return at maturity on the notes will compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of ours of comparable maturity.
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▪
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Investors in the notes must be willing to forgo (i) any return on the notes in excess of the maximum return at maturity and (ii) any dividends that may be paid on the stocks that constitute the underlying index during the seven-year term of the notes. If the underlying index does not appreciate from the pricing date to the valuation date, you will not receive any return on your investment in the notes.
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▪
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In order to obtain the modified exposure to the underlying index that the notes 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 notes if we default on our obligations. All payments on the notes are subject to the credit risk of Citigroup Inc.
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KEY TERMS
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||||
Underlying index:
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The Russell 2000® Index (ticker symbol: “RTY”)
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|||
Aggregate stated principal amount:
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$456,000
|
|||
Stated principal amount:
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$1,000 per note
|
|||
Pricing date:
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January 27, 2015
|
|||
Issue date:
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January 30, 2015
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|||
Valuation date:
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January 27, 2022, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
|||
Maturity date:
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February 1, 2022
|
|||
Payment at maturity:
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For each note you hold at maturity, the $1,000 stated principal amount plus the note return amount, which will be either zero or positive
|
|||
Note return amount:
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§ If the final index level is greater than the initial index level:
$1,000 x the index return, subject to the maximum return at maturity
§ If the final index level is less than or equal to the initial index level:
$0
|
|||
Initial index level:
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1,194.66, the closing level of the underlying index on the pricing date
|
|||
Final index level:
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The closing level of the underlying index on the valuation date
|
|||
Index return:
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The final index level minus the initial index level, divided by the initial index level
|
|||
Maximum return at maturity:
|
$450.00 per note (45.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,450.00 per note.
|
|||
Listing:
|
The notes will not be listed on any securities exchange
|
|||
CUSIP / ISIN:
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1730T03V9 / US1730T03V95
|
|||
Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
|||
Underwriting fee and issue price:
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Issue price(1)(2)
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Underwriting fee(2)
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Proceeds to issuer
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|
Per note:
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$1,000.00
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$35.00
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$965.00
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|
Total:
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$456,000.00
|
$15,960.00
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$440,040.00
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
Market-Linked Notes Payment at Maturity Diagram
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January 2015
|
PS-2
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
Payment at maturity per note | = $1,000 + the note return amount
= $1,000 + ($1,000 × index return), subject to the maximum return at maturity of $450.00
= $1,000 + ($1,000 × 10.00%), subject to the maximum return at maturity of $450.00
= $1,000 + $100.00, subject to the maximum return at maturity of $450.00
= $1,100.00
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Payment at maturity per note
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= $1,000 + the note return amount
= $1,000 + ($1,000 × index return), subject to the maximum return at maturity of $450.00
= $1,000 + ($1,000 × 70.00%), subject to the maximum return at maturity of $450.00
= $1,000 + $700.00, subject to the maximum return at maturity of $450.00
= $1,450.00
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Payment at maturity per note
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= $1,000 + the note return amount
= $1,000 + 0
= $1,000
|
▪
|
You may not receive any return on your investment in the notes. You will receive a positive return on your investment in the notes only if the underlying index appreciates from the initial index level to the final index level. If the final index level is equal to or less than the initial index level, you will receive only the stated principal amount of $1,000 for each note you hold at maturity. As the notes do not pay any interest, even if the underlying index appreciates from the initial index level to the final index level, there is no assurance that your total return at maturity on the notes will be as great as could have been achieved on conventional debt securities of ours of comparable maturity.
|
▪
|
The notes do not pay interest. Unlike conventional debt securities, the notes do not pay interest or any other amounts prior to maturity. You should not invest in the notes if you seek current income during the term of the notes.
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January 2015
|
PS-3
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
▪
|
Your potential return on the notes is limited. Your potential total return on the notes at maturity is limited to the maximum return at maturity of 45.00%, which is equivalent to a maximum return at maturity of $450.00 per note. Any increase in the final index level over the initial index level by more than 45.00% will not increase your return on the notes.
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▪
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Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss on your investment in real value terms if the underlying index declines or does not appreciate sufficiently from the initial index level to the final index level. This is because inflation may cause the real value of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone opportunity to invest in an alternative asset that does generate a positive real return. This potential loss in real value terms is significant given the 7-year term of the notes. You should carefully consider whether an investment that may not provide for any return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate for you.
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▪
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Investing in the notes 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 January 27, 2015, the average dividend yield of the underlying index was approximately 1.35% 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 notes, you would be forgoing an aggregate yield of approximately 9.45% (assuming no reinvestment of dividends) by investing in the notes 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 notes. If the underlying index appreciates, this lost dividend yield will cause the notes to underperform an alternative investment providing for a pass-through of dividends and 1-to-1 exposure to the performance of the underlying index.
|
▪
|
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 notes. 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 notes are subject to the credit risk of Citigroup Inc. If we default on our obligations under the notes, you may not receive anything owed to you under the notes.
|
▪
|
The notes will not be listed on a securities exchange and you may not be able to sell them prior to maturity. The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative bid price for the notes 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 notes 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 notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.
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▪
|
Sale of the notes prior to maturity may result in a loss of principal. You will be entitled to receive at least the full stated principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity. The value of the notes may fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity, you may receive less than the full stated principal amount of your notes.
|
▪
|
The estimated value of the notes 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 notes that are included in the issue price. These costs include (i) the selling concessions and other fees paid in connection with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes 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 notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic terms of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the notes. See “The estimated value of the notes would be lower if it were calculated based on our secondary market rate” below.
|
▪
|
The estimated value of the notes 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,
|
January 2015
|
PS-4
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
▪
|
The estimated value of the notes would be lower if it were calculated based on our secondary market rate. The estimated value of the notes 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 notes. 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 notes, 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 notes, which do not bear interest.
|
▪
|
The estimated value of the notes is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the notes from you in the secondary market. Any such secondary market price will fluctuate over the term of the notes 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 notes 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 notes than if our internal funding rate were used. In addition, any secondary market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the notes 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 notes will be less than the issue price.
|
▪
|
The value of the notes prior to maturity will fluctuate based on many unpredictable factors. The value of your notes 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 notes 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 Notes” in this pricing supplement.
|
▪
|
The notes will be subject to risks associated with small capitalization stocks. The stocks that constitute the underlying index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
|
▪
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Our offering of the notes does not constitute a recommendation of the underlying index. The fact that we are offering the notes 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 notes.
|
▪
|
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 notes through CGMI or other of our affiliates, who have taken positions directly in the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks and may adjust such positions during the term of the notes. 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 notes. They could also result in substantial returns for us or our affiliates while the value of the notes declines.
|
January 2015
|
PS-5
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
▪
|
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 notes. 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 notes.
|
▪
|
Adjustments to the underlying index may affect the value of your notes. Russell Investments (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 notes.
|
Russell 2000® Index – Historical Closing Levels
January 4, 2010 to January 27, 2015
|
January 2015
|
PS-6
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
ACCRUAL PERIOD
|
OID DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER NOTE)
|
TOTAL OID DEEMED TO HAVE ACCRUED FROM ISSUE DATE (PER NOTE) AS OF END OF ACCRUAL PERIOD
|
Issue date through June 30, 2015
|
$11.833
|
$11.833
|
July 1, 2015 through December 31, 2015
|
$14.368
|
$26.201
|
January 1, 2016 through June 30, 2016
|
$14.572
|
$40.773
|
July 1, 2016 through December 31, 2016
|
$14.779
|
$55.552
|
January 1, 2017 through June 30, 2017
|
$14.989
|
$70.541
|
July 1, 2017 through December 31, 2017
|
$15.202
|
$85.743
|
January 1, 2018 through June 30, 2018
|
$15.418
|
$101.160
|
July 1, 2018 through December 31, 2018
|
$15.636
|
$116.797
|
January 1, 2019 through June 30, 2019
|
$15.859
|
$132.655
|
July 1, 2019 through December 31, 2019
|
$16.084
|
$148.739
|
January 1, 2020 through June 30, 2020
|
$16.312
|
$165.051
|
July 1, 2020 through December 31, 2020
|
$16.544
|
$181.595
|
January 1, 2021 through June 30, 2021
|
$16.779
|
$198.374
|
July 1, 2021 through December 31, 2021
|
$17.017
|
$215.391
|
January 1, 2022 through the maturity date
|
$2.972
|
$218.363
|
January 2015
|
PS-7
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
January 2015
|
PS-8
|
Citigroup Inc.
|
Market-Linked Notes Based on the Russell 2000® Index Due February 1, 2022
|
January 2015
|
PS-9
|