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
|
$10,000,000
|
$1,162.00
|
(1)
|
Calculated in accordance with Rule 457(r) of the Securities Act.
|
(2)
|
Pursuant to Rule 457(p) under the Securities Act, the $258,524.14 remaining of the relevant portion of the 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 $1,162.00 is offset against the registration fee due for this offering and of which $257,362.14 remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering. See the “Calculation of Registration Fee” table accompanying the filing of Pricing Supplement No. 2015-CMTNG0369 dated February 12, 2015, filed by Citigroup Inc. on February 17, 2015, for information regarding the registration fees that are being carried forward.
|
Citigroup Inc.
|
April 27, 2015
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2015-CMTNG0498
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
|
·
|
The notes offered by this pricing supplement will pay interest in Year 1 at a fixed rate of 10.00% per annum. In Year 2 to maturity, interest will accrue on the notes during each monthly accrual period at the relevant contingent rate for that accrual period, but only for each day during that accrual period on which the accrual condition is satisfied. We have the right to call the notes for mandatory redemption quarterly beginning one year after issuance.
|
|
·
|
The relevant contingent rate for each monthly accrual period will be based on the modified CMS spread as determined on the CMS spread determination date for that accrual period multiplied by a leverage factor, subject to a maximum of 10.00% per annum and a minimum of 0.00% per annum. The CMS spread is the 30-year constant maturity swap rate (“CMS30”) minus the 2-year constant maturity swap rate (“CMS2”), and the modified CMS spread is the CMS spread minus 0.875%. The relevant contingent rate is referred to as “contingent” because the notes will accrue interest at that rate only on days when the accrual condition is satisfied. The accrual condition will be satisfied on a given day only if the closing levels of both the S&P 500® Index and the Russell 2000® Index (the “underlying indices”) on that day are greater than or equal to the respective accrual barrier levels specified below. Investors in the notes will therefore be subject to risks associated with fluctuations in the CMS spread and in each of the underlying indices. Investors in the notes may be negatively affected by adverse movements in any one of the CMS spread, the level of the S&P 500® Index or the level of the Russell 2000® Index, regardless of the performance of the others.
|
|
·
|
The notes are unsecured senior debt securities issued by Citigroup Inc. Investors in the notes 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.
|
KEY TERMS
|
|||||
Aggregate stated principal amount:
|
$10,000,000
|
||||
Stated principal amount:
|
$1,000 per note
|
||||
CMS spread:
|
On any CMS spread determination date, CMS30 minus CMS2, each as determined on that CMS spread determination date
|
||||
Modified CMS spread:
|
The CMS spread minus 0.875%
|
||||
Underlying indices:
|
S&P 500® Index and Russell 2000® Index
|
||||
Pricing date:
|
April 27, 2015
|
||||
Issue date:
|
April 30, 2015
|
||||
Maturity date:
|
Unless earlier redeemed, April 30, 2035
|
||||
Payment at maturity:
|
Unless earlier redeemed, $1,000 per note plus the coupon payment due at maturity, if any
|
||||
Coupon payments:
|
On each coupon payment date during the first year following issuance of the notes (ending in April 2016), the notes will pay a fixed coupon at a rate of 10.00% per annum, regardless of the CMS spread or the levels of the underlying indices.
On each coupon payment date after the first year (beginning in May 2016), you will receive a coupon payment at an annual rate equal to the variable coupon rate for that coupon payment date. The variable coupon rate for any coupon payment date after the first year will be determined as follows:
|
||||
relevant contingent rate per annum ×
|
number of accrual days during the related accrual period
|
||||
number of elapsed days during the related accrual period
|
|||||
If the number of accrual days in a given accrual period is less than the number of elapsed days in that accrual period, the variable coupon rate for the related coupon payment date will be less than the full relevant contingent rate, and if there are no accrual days in a given accrual period, the variable coupon rate for the related coupon payment date will be 0.00%.
|
|||||
Relevant contingent rate:
|
The relevant contingent rate for any coupon payment date after the first year following issuance of the notes means:
· In Years 2 through 5 (beginning with the coupon payment date in May 2016 and ending on the coupon payment date in April 2020):
10.00 × the modified CMS spread as of the CMS spread determination date for the related accrual period, subject to a minimum contingent rate of 0.00% per annum and a maximum contingent rate of 10.00% per annum
· In Year 6 through maturity (beginning with the coupon payment date in May 2020):
20.00 × the modified CMS spread as of the CMS spread determination date for the related accrual period, subject to a minimum contingent rate of 0.00% per annum and a maximum contingent rate of 10.00% per annum
If the CMS spread for any accrual period is less than or equal to 0.875%, the relevant contingent rate for that accrual period will be 0.00% and you will not receive any coupon payment on the related coupon payment date. The relevant contingent rate will in no event exceed 10.00% per annum.
|
||||
Accrual day:
|
An elapsed day on which the accrual condition is satisfied
|
||||
Elapsed day:
|
Calendar day
|
||||
Accrual condition:
|
The accrual condition will be satisfied on an elapsed day only if the closing levels of both underlying indices are greater than or equal to their respective accrual barrier levels on that elapsed day. See “Additional Information” below.
|
||||
Listing:
|
The notes will not be listed on any securities exchange
|
||||
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
||||
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer
|
||
Per note:
|
$1,000
|
$35
|
$965
|
||
Total:
|
$10,000,000
|
$350,000
|
$9,650,000
|
||
(Key Terms continued on next page)
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
KEY TERMS (CONTINUED)
|
|
Determination of coupon payment amounts:
|
On each coupon payment date, the coupon payment amount per note will equal (i) $1,000 multiplied by the applicable fixed or variable coupon rate per annum divided by (ii) 12.
|
Coupon payment dates:
|
The 30th day of each month, or the last day of the month in the case of February, and beginning on May 30, 2015
|
Accrual period:
|
For each coupon payment date after the first year following issuance of the notes, the related accrual period is the period from and including the immediately preceding coupon payment date to but excluding such coupon payment date
|
CMS spread determination date:
|
For any accrual period commencing on or after April 30, 2016, the second U.S. government securities business day prior to the first day of that accrual period
|
Initial index levels:
|
For the S&P 500® Index: 2,108.92, the closing level of the S&P 500® Index on the pricing date
For the Russell 2000® Index: 1,252.70, the closing level of the Russell 2000® Index on the pricing date
|
Accrual barrier levels:
|
For the S&P 500® Index: 1,054.46, 50.00% of the initial index level of the S&P 500® Index
For the Russell 2000® Index: 626.35, 50.00% of the initial index level of the Russell 2000® Index
|
Early redemption:
|
Beginning April 30, 2016, we have the right to redeem the notes, in whole and not in part, on any redemption date upon not less than five business days’ notice for an amount in cash equal to 100% of the stated principal amount of your notes plus the coupon payment due on the date of redemption, if any
|
Redemption dates:
|
The 30th day of each January, April, July and October, beginning April 30, 2016
|
CUSIP / ISIN:
|
1730T07K9 / US1730T07K94
|
April 2015
|
PS-2
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
Hypothetical CMS
Spread*
|
Hypothetical Relevant Contingent Rate per Annum**
|
Hypothetical Variable Coupon Rate per Annum***
|
||||||
Hypothetical Number of Accrual Days in Accrual Period****
|
||||||||
0
|
5
|
10
|
15
|
20
|
25
|
30
|
||
-1.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
-0.750%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
-0.500%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
-0.250%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.250%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.500%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.750%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.875%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
0.000%
|
1.000%
|
1.250%
|
0.000%
|
0.208%
|
0.417%
|
0.625%
|
0.833%
|
1.042%
|
1.250%
|
1.250%
|
3.750%
|
0.000%
|
0.625%
|
1.250%
|
1.875%
|
2.500%
|
3.125%
|
3.750%
|
1.500%
|
6.250%
|
0.000%
|
1.042%
|
2.083%
|
3.125%
|
4.167%
|
5.208%
|
6.250%
|
1.750%
|
8.750%
|
0.000%
|
1.458%
|
2.917%
|
4.375%
|
5.833%
|
7.292%
|
8.750%
|
2.000%
|
10.000%
|
0.000%
|
1.667%
|
3.333%
|
5.000%
|
6.667%
|
8.333%
|
10.000%
|
2.250%
|
10.000%
|
0.000%
|
1.667%
|
3.333%
|
5.000%
|
6.667%
|
8.333%
|
10.000%
|
2.500%
|
10.000%
|
0.000%
|
1.667%
|
3.333%
|
5.000%
|
6.667%
|
8.333%
|
10.000%
|
2.750%
|
10.000%
|
0.000%
|
1.667%
|
3.333%
|
5.000%
|
6.667%
|
8.333%
|
10.000%
|
§
|
The notes offer a variable coupon rate after the first year following issuance, and you may not receive any coupon payment on one or more coupon payment dates. Any variable coupon payment you receive will be paid at a per annum rate equal to the relevant contingent rate for the applicable coupon payment date only if the accrual condition is satisfied on each elapsed day during the related accrual period. The accrual condition will be satisfied on any elapsed day only if the closing level of each underlying index on that elapsed day is greater than or equal to its respective accrual barrier level. If, on any elapsed day during an accrual period, the accrual condition is not satisfied, the applicable variable coupon payment will be paid at a rate that is
|
April 2015
|
PS-3
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
|
less, and possibly significantly less, than the relevant contingent rate. If, on each elapsed day during an accrual period, the accrual condition is not satisfied, no variable coupon payment will be made on the related coupon payment date. Accordingly, there can be no assurance that you will receive a variable coupon payment on any coupon payment date or that any variable coupon payment you do receive will be calculated at the full relevant contingent rate. Furthermore, because the relevant contingent rate is itself a floating rate determined by reference to the CMS spread, the notes are subject to an additional contingency associated with the CMS spread. The relevant contingent rate will vary based on fluctuations in the CMS spread. If the CMS spread narrows, the relevant contingent rate will be reduced. The relevant contingent rate may be as low as zero for any coupon payment date. If the relevant contingent rate is zero for any coupon payment date, you will not receive any variable coupon payment on that coupon payment date even if the accrual condition is satisfied on each elapsed day in the related accrual period. Thus, the notes are not a suitable investment for investors who require regular fixed income payments.
|
§
|
Although the notes provide for the repayment of the stated principal amount at maturity, you may nevertheless suffer a loss on your investment in the notes, in real value terms, if you receive below-market or no variable coupon payments after the first year of the term of the notes. 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. 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.
|
§
|
The relevant contingent rate may decline, possibly to 0.00%, if short-term interest rates rise. The relevant contingent rate will depend on the difference, or “spread”, between the 30-year constant maturity swap rate and the 2-year constant maturity swap rate. Although there is no single factor that determines the spread between two constant maturity swap rates, the spread has historically tended to fall when short-term interest rates rise. Short-term interest rates have historically been highly sensitive to the monetary policy of the Federal Reserve Board. Accordingly, one significant risk assumed by investors in the notes is that the Federal Reserve Board may pursue a policy of raising short-term interest rates, which, if historical patterns hold, would lead to a decrease in the CMS spread. In that event, the relevant contingent rate would be reduced, and may be 0.00%, and the floating rate payable on the notes would also decline significantly, possibly to 0.00%. It is important to understand, however, that short-term interest rates are affected by many factors and may increase even in the absence of a Federal Reserve Board policy to increase short-term interest rates. Furthermore, it is important to understand that the CMS spread may decrease even in the absence of an increase in short-term interest rates because it, too, is influenced by many complex factors.
|
§
|
The CMS spread applicable to any interest period will be reduced by 0.875%. When determining the floating interest rates payable after the first year, 0.875% will be deducted from the level of the CMS spread on the relevant CMS spread determination date to determine the modified CMS spread. The calculation of the relevant contingent rate is based on the modified CMS spread, not the CMS spread. At any time when the CMS spread is less than or equal to 0.875%, the modified CMS spread will be less than or equal to 0.00%, and no interest will be payable on the notes.
|
§
|
The relevant contingent rate on the notes may be lower than other market interest rates. The relevant contingent rate on the notes will not necessarily move in line with general U.S. market interest rates or even CMS rates and, in fact, may move inversely with general U.S. market interest rates. For example, if there is a general increase in CMS rates but shorter-term rates rise more than longer-term rates, the CMS spread will decrease, as will the relevant contingent rate. Accordingly, the notes are not appropriate for investors who seek floating interest payments based on general market interest rates.
|
§
|
The higher potential yield offered by the notes is associated with greater risk that the notes will pay a low or no coupon on one or more coupon payment dates. After the first year following issuance of the notes, the notes offer variable coupon payments with the potential to result in a higher yield than the yield on our conventional debt securities of the same maturity. You should understand that, in exchange for this potentially higher yield, you will be exposed to significantly greater risks than investors in our conventional debt securities. These risks include the risk that the variable coupon payments you receive, if any, will result in a yield on the notes that is lower, and perhaps significantly lower, than the yield on our conventional debt securities of the same maturity. The volatility of the CMS spread and the underlying indices are important factors affecting this risk. Greater expected volatility of the CMS spread and/or the underlying indices as of the pricing date may contribute to the higher yield potential, but would also represent a greater expected likelihood as of the pricing date that, after the first year, you will receive low or no coupon payments on the notes.
|
§
|
The notes are subject to risks associated with the CMS spread and each of the underlying indices and may be negatively affected by adverse movements in any one of the CMS spread or either underlying index, regardless of the performance of the others. The amount of any variable coupon payments you receive will depend on the performance of the CMS spread and each of the underlying indices. If the CMS spread is low, causing the relevant contingent rate to be low or zero, the notes will pay a low or no coupon even if the closing levels of the underlying indices are consistently greater than their respective accrual barrier levels. Conversely, even if the CMS spread is high, causing the relevant contingent rate to be high, the notes will pay no coupon if the closing level of either of the underlying indices is less than its respective accrual barrier level. Moreover, if the closing level of either one of the underlying indices is less than its respective accrual barrier level, the accrual condition will not be satisfied, and no interest will accrue on the notes, even if the closing level of the other underlying index is significantly greater than its accrual barrier level. Accordingly, you will be subject to risks associated with the CMS spread and each of the underlying indices, and your return on the notes will depend significantly on the relationship between such risks over the term of the notes. If any one performs
|
April 2015
|
PS-4
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
|
sufficiently poorly, you may receive low or no variable coupon payments for an extended period of time, or even throughout the entire period following the first year of the term of the notes, even if the others perform favorably.
|
§
|
Because the accrual condition depends on the performance of the worst performing underlying index, you are exposed to greater risks of receiving no variable coupon payments after the first year than if the notes were linked to just one underlying index. The risk that you will receive no variable coupon payment on one or more coupon payment dates after the first year is greater if you invest in the notes as opposed to substantially similar securities that are linked to the performance of just one underlying index. With two underlying indices, it is more likely that either underlying index will close below its respective accrual barrier level on any day during an accrual period than if the notes were linked to only one underlying index.
|
§
|
The notes may be called for mandatory redemption at our option after the first year of their term, which limits your ability to receive variable coupon payments if the CMS spread and the underlying indices perform favorably. In determining whether to redeem the notes, we will consider various factors, including then current market interest rates and our expectations about payments we will be required to make on the notes in the future. If we call the notes for mandatory redemption, we will do so at a time that is advantageous to us and without regard to your interests. We are more likely to redeem the notes at a time when the CMS spread and underlying indices are performing favorably from your perspective and when we expect them to continue to do so. Therefore, although the notes offer variable coupon payments after the first year following issuance of the notes with the potential to result in a higher yield than the yield on our conventional debt securities of the same maturity, if the notes are paying that higher rate and we expect them to continue to do so, it is more likely that we would redeem the notes. Accordingly, the redemption feature of the notes is likely to limit the benefits you receive from the variable coupon payments. If we exercise our redemption right prior to maturity, you may not be able to reinvest your funds in another investment that provides a similar yield with a similar level of risk. Alternatively, if the CMS spread and/or either underlying index is performing unfavorably from your perspective or when we expect it to do so in the future, we are less likely to call the notes, so that you may continue to hold notes paying below-market or no interest for an extended period of time.
|
§
|
If the closing level of either underlying index is not available for any reason on an elapsed day (including weekends and holidays), the closing level of that underlying index will be the same as on the immediately preceding elapsed day. With respect to an elapsed day on which the closing level of either underlying index is not available, the closing level of that underlying index for that day will be deemed to be the closing level of that underlying index for the immediately preceding elapsed day on which the closing level of that underlying index is available and the relative weighting of such immediately preceding elapsed day will be magnified for purposes of determining whether such elapsed day qualifies as an accrual day. Under these circumstances, if an immediately preceding elapsed day is not an accrual day, each successive day on which the closing level of that underlying index is not available will also not qualify as an accrual day. As a result, to the extent that such preceding elapsed day is not an accrual day, such preceding elapsed day will have a greater weight in determining the number of accrual days during an accrual period. This could adversely affect the amount of any variable coupon payment.
|
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.
|
§
|
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 notes may be riskier than notes with a shorter term. The notes have a 20-year term, subject to our right to call the notes for mandatory redemption after the first year of the term of the notes. By purchasing notes with a longer term, you are more exposed to fluctuations in market interest rates and equity markets than if you purchased notes with a shorter term. Specifically, after the first year following issuance of the notes, you will be negatively affected if the CMS spread decreases or if the closing levels of the underlying indices fall below their respective accrual barrier levels. If either (i) the CMS spread decreases to a value that is less than 0.875% per annum or (ii) the closing level of either underlying index is less than its respective accrual barrier level on each day during an entire accrual period, you will be holding a long-dated security that does not pay any coupon.
|
§
|
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 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
|
April 2015
|
PS-5
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
|
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 indices and the CMS spread, the correlation among the underlying indices and the CMS spread, dividend yields on the stocks that constitute the underlying indices 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 notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You should not invest in the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial estimated value.
|
§
|
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 the same as the coupon that is payable on the notes.
|
§
|
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 indices and the CMS spread and a number of other factors, including the dividend yields on the stocks that constitute the underlying indices, expectations of future values of CMS30 and CMS2, the level of general market interest rates, the positive or negative correlation among the CMS spread and the underlying indices, the time remaining to maturity of the notes 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 Russell 2000® 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.
|
§
|
The relevant contingent rate is subject to risks affecting the CMS spread. The relevant contingent rate will vary based on fluctuations in CMS30, CMS2 and the CMS spread. Accordingly, you may not receive any coupon payment on one or more coupon payment dates. CMS rates, such as CMS30 and CMS2, are influenced by many factors, including:
|
|
·
|
the monetary policies of the Federal Reserve Board;
|
|
·
|
current market expectations about future interest rates over the period of time covered by CMS30 and CMS2;
|
|
·
|
current market expectations about inflation over the period of time relevant to the applicable CMS30 and CMS2;
|
|
·
|
the volatility of the foreign exchange markets;
|
|
·
|
the availability of relevant hedging instruments;
|
April 2015
|
PS-6
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
|
·
|
the perceived general creditworthiness of the banks that participate in the interest rate swap market and the London interbank loan market; and
|
|
·
|
general credit and economic conditions in global markets, and particularly in the United States.
|
§
|
The manner in which CMS rates are calculated may change in the future. The method by which CMS30 and CMS2 are calculated may change in the future, as a result of governmental actions, actions by the publisher of CMS30 and CMS2 or otherwise. We cannot predict whether the method by which CMS30 or CMS2 is calculated will change or what the impact of any such change might be. Any such change could affect the value of the CMS spread in a way that has a significant adverse effect on the notes.
|
§
|
Our offering of the notes is not a recommendation of the CMS spread or the underlying indices. The fact that we are offering the notes does not mean that we believe that investing in an instrument linked to the CMS spread and the underlying indices 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 indices or in instruments related to the CMS spread or the underlying indices or the stocks that constitute the underlying indices, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the CMS spread and the underlying indices. These and other activities of our affiliates may affect the CMS spread or the level of the underlying indices in a way that has a negative impact on your interests as a holder of the notes.
|
§
|
Investing in the notes is not equivalent to investing in either underlying index or the stocks that constitute either 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 either underlying index. You will not participate in any appreciation of either underlying index over the term of the notes.
|
§
|
Adjustments to either underlying index may affect the value of your notes. S&P Dow Jones Indices LLC, as publisher of the S&P 500® Index, or Russell Investment Group, as publisher of the Russell 2000® Index, may add, delete or substitute the stocks that constitute the respective underlying index or make other methodological changes that could affect the level of the respective underlying index. S&P Dow Jones Indices LLC or Russell Investment Group may discontinue or suspend calculation or publication of the respective underlying index at any time without regard to your interests as a holder of the notes.
|
§
|
The CMS spread and the levels of the underlying indices 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 interest rate swaps that are used to determine CMS30 and CMS2 and/or in stocks that constitute the underlying indices and other financial instruments related to such interest rate swaps, the underlying indices or such stocks and may adjust such positions during the term of the notes. Our affiliates also trade the interest rate swaps that are used to determine CMS30 and CMS2 and the stocks that constitute the underlying indices and other financial instruments related to such interest rate swaps, the underlying indices 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 CMS spread and/or the levels of the underlying indices 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.
|
§
|
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 indices, 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 the discontinuance of either underlying index or the unavailability of CMS30 or CMS2, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect any coupon payment you receive. 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.
|
April 2015
|
PS-7
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
Information About the CMS Spread
|
|
·
|
the monetary policies of the Federal Reserve Board;
|
|
·
|
current market expectations about future interest rates over the period of time covered by the applicable CMS rate;
|
|
·
|
current market expectations about inflation over the period of time relevant to the applicable CMS rate;
|
|
·
|
the volatility of the foreign exchange markets;
|
|
·
|
the availability of relevant hedging instruments;
|
|
·
|
the perceived creditworthiness of the banks that participate in the interest rate swap market and the London interbank loan market; and
|
|
·
|
general credit and economic conditions in global markets, and particularly in the United States.
|
April 2015
|
PS-8
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
April 2015
|
PS-9
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
Historical CMS Spread (%)
January 4, 2005 to April 27, 2015
|
April 2015
|
PS-10
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
S&P 500® Index — Historical Closing Levels
January 4, 2005 to April 27, 2015
|
April 2015
|
PS-11
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
Russell 2000® Index — Historical Closing Levels
January 4, 2005 to April 27, 2015
|
May 30, 2015
|
$8.333
|
May 30, 2019
|
$3.762
|
May 30, 2023
|
$3.051
|
May 30, 2027
|
$2.559
|
May 30, 2031
|
$2.114
|
June 30, 2015
|
$8.333
|
June 30, 2019
|
$3.762
|
June 30, 2023
|
$3.051
|
June 30, 2027
|
$2.559
|
June 30, 2031
|
$2.114
|
July 30, 2015
|
$8.333
|
July 30, 2019
|
$3.762
|
July 30, 2023
|
$3.051
|
July 30, 2027
|
$2.559
|
July 30, 2031
|
$2.114
|
August 30, 2015
|
$8.333
|
August 30, 2019
|
$3.702
|
August 30, 2023
|
$3.014
|
August 30, 2027
|
$2.531
|
August 30, 2031
|
$2.086
|
September 30, 2015
|
$8.333
|
September 30, 2019
|
$3.702
|
September 30, 2023
|
$3.014
|
September 30, 2027
|
$2.531
|
September 30, 2031
|
$2.086
|
October 30, 2015
|
$8.333
|
October 30, 2019
|
$3.702
|
October 30, 2023
|
$3.014
|
October 30, 2027
|
$2.531
|
October 30, 2031
|
$2.086
|
November 30, 2015
|
$8.333
|
November 30, 2019
|
$3.648
|
November 30, 2023
|
$2.980
|
November 30, 2027
|
$2.503
|
November 30, 2031
|
$2.058
|
December 30, 2015
|
$8.333
|
December 30, 2019
|
$3.648
|
December 30, 2023
|
$2.980
|
December 30, 2027
|
$2.503
|
December 30, 2031
|
$2.058
|
January 30, 2016
|
$8.333
|
January 30, 2020
|
$3.648
|
January 30, 2024
|
$2.980
|
January 30, 2028
|
$2.503
|
January 30, 2032
|
$2.058
|
February 29, 2016
|
$8.333
|
February 29, 2020
|
$3.594
|
February 29, 2024
|
$2.943
|
February 29, 2028
|
$2.475
|
February 29, 2032
|
$2.030
|
March 30, 2016
|
$8.333
|
March 30, 2020
|
$3.594
|
March 30, 2024
|
$2.943
|
March 30, 2028
|
$2.475
|
March 30, 2032
|
$2.030
|
April 30, 2016
|
$8.333
|
April 30, 2020
|
$3.594
|
April 30, 2024
|
$2.943
|
April 30, 2028
|
$2.475
|
April 30, 2032
|
$2.030
|
April 2015
|
PS-12
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
May 30, 2016
|
$4.796
|
May 30, 2020
|
$3.540
|
May 30, 2024
|
$2.907
|
May 30, 2028
|
$2.448
|
May 30, 2032
|
$2.003
|
|
June 30, 2016
|
$4.796
|
June 30, 2020
|
$3.540
|
June 30, 2024
|
$2.907
|
June 30, 2028
|
$2.448
|
June 30, 2032
|
$2.003
|
|
July 30, 2016
|
$4.796
|
July 30, 2020
|
$3.540
|
July 30, 2024
|
$2.907
|
July 30, 2028
|
$2.448
|
July 30, 2032
|
$2.003
|
|
August 30, 2016
|
$4.664
|
August 30, 2020
|
$3.490
|
August 30, 2024
|
$2.871
|
August 30, 2028
|
$2.420
|
August 30, 2032
|
$1.975
|
|
September 30, 2016
|
$4.664
|
September 30, 2020
|
$3.490
|
September 30, 2024
|
$2.871
|
September 30, 2028
|
$2.420
|
September 30, 2032
|
$1.975
|
|
October 30, 2016
|
$4.664
|
October 30, 2020
|
$3.490
|
October 30, 2024
|
$2.871
|
October 30, 2028
|
$2.420
|
October 30, 2032
|
$1.975
|
|
November 30, 2016
|
$4.550
|
November 30, 2020
|
$3.441
|
November 30, 2024
|
$2.837
|
November 30, 2028
|
$2.392
|
November 30, 2032
|
$1.947
|
|
December 30, 2016
|
$4.550
|
December 30, 2020
|
$3.441
|
December 30, 2024
|
$2.837
|
December 30, 2028
|
$2.392
|
December 30, 2032
|
$1.947
|
|
January 30, 2017
|
$4.550
|
January 30, 2021
|
$3.441
|
January 30, 2025
|
$2.837
|
January 30, 2029
|
$2.392
|
January 30, 2033
|
$1.947
|
|
February 28, 2017
|
$4.439
|
February 28, 2021
|
$3.396
|
February 28, 2025
|
$2.809
|
February 28, 2029
|
$2.364
|
February 28, 2033
|
$1.919
|
|
March 30, 2017
|
$4.439
|
March 30, 2021
|
$3.396
|
March 30, 2025
|
$2.809
|
March 30, 2029
|
$2.364
|
March 30, 2033
|
$1.919
|
|
April 30, 2017
|
$4.439
|
April 30, 2021
|
$3.396
|
April 30, 2025
|
$2.809
|
April 30, 2029
|
$2.364
|
April 30, 2033
|
$1.919
|
|
May 30, 2017
|
$4.340
|
May 30, 2021
|
$3.353
|
May 30, 2025
|
$2.781
|
May 30, 2029
|
$2.336
|
May 30, 2033
|
$1.891
|
|
June 30, 2017
|
$4.340
|
June 30, 2021
|
$3.353
|
June 30, 2025
|
$2.781
|
June 30, 2029
|
$2.336
|
June 30, 2033
|
$1.891
|
|
July 30, 2017
|
$4.340
|
July 30, 2021
|
$3.353
|
July 30, 2025
|
$2.781
|
July 30, 2029
|
$2.336
|
July 30, 2033
|
$1.891
|
|
August 30, 2017
|
$4.247
|
August 30, 2021
|
$3.311
|
August 30, 2025
|
$2.754
|
August 30, 2029
|
$2.309
|
August 30, 2033
|
$1.864
|
|
September 30, 2017
|
$4.247
|
September 30, 2021
|
$3.311
|
September 30, 2025
|
$2.754
|
September 30, 2029
|
$2.309
|
September 30, 2033
|
$1.864
|
|
October 30, 2017
|
$4.247
|
October 30, 2021
|
$3.311
|
October 30, 2025
|
$2.754
|
October 30, 2029
|
$2.309
|
October 30, 2033
|
$1.864
|
|
November 30, 2017
|
$4.169
|
November 30, 2021
|
$3.270
|
November 30, 2025
|
$2.726
|
November 30, 2029
|
$2.281
|
November 30, 2033
|
$1.836
|
|
December 30, 2017
|
$4.169
|
December 30, 2021
|
$3.270
|
December 30, 2025
|
$2.726
|
December 30, 2029
|
$2.281
|
December 30, 2033
|
$1.836
|
|
January 30, 2018
|
$4.169
|
January 30, 2022
|
$3.270
|
January 30, 2026
|
$2.726
|
January 30, 2030
|
$2.281
|
January 30, 2034
|
$1.836
|
|
February 28, 2018
|
$4.090
|
February 28, 2022
|
$3.231
|
February 28, 2026
|
$2.698
|
February 28, 2030
|
$2.253
|
February 28, 2034
|
$1.808
|
|
March 30, 2018
|
$4.090
|
March 30, 2022
|
$3.231
|
March 30, 2026
|
$2.698
|
March 30, 2030
|
$2.253
|
March 30, 2034
|
$1.808
|
|
April 30, 2018
|
$4.090
|
April 30, 2022
|
$3.231
|
April 30, 2026
|
$2.698
|
April 30, 2030
|
$2.253
|
April 30, 2034
|
$1.808
|
|
May 30, 2018
|
$4.018
|
May 30, 2022
|
$3.193
|
May 30, 2026
|
$2.670
|
May 30, 2030
|
$2.225
|
May 30, 2034
|
$1.780
|
|
June 30, 2018
|
$4.018
|
June 30, 2022
|
$3.193
|
June 30, 2026
|
$2.670
|
June 30, 2030
|
$2.225
|
June 30, 2034
|
$1.780
|
|
July 30, 2018
|
$4.018
|
July 30, 2022
|
$3.193
|
July 30, 2026
|
$2.670
|
July 30, 2030
|
$2.225
|
July 30, 2034
|
$1.780
|
|
August 30, 2018
|
$3.946
|
August 30, 2022
|
$3.156
|
August 30, 2026
|
$2.642
|
August 30, 2030
|
$2.197
|
August 30, 2034
|
$1.752
|
|
September 30, 2018
|
$3.946
|
September 30, 2022
|
$3.156
|
September 30, 2026
|
$2.642
|
September 30, 2030
|
$2.197
|
September 30, 2034
|
$1.752
|
|
October 30, 2018
|
$3.946
|
October 30, 2022
|
$3.156
|
October 30, 2026
|
$2.642
|
October 30, 2030
|
$2.197
|
October 30, 2034
|
$1.752
|
|
November 30, 2018
|
$3.885
|
November 30, 2022
|
$3.121
|
November 30, 2026
|
$2.615
|
November 30, 2030
|
$2.169
|
November 30, 2034
|
$1.724
|
|
December 30, 2018
|
$3.885
|
December 30, 2022
|
$3.121
|
December 30, 2026
|
$2.615
|
December 30, 2030
|
$2.169
|
December 30, 2034
|
$1.724
|
|
January 30, 2019
|
$3.885
|
January 30, 2023
|
$3.121
|
January 30, 2027
|
$2.615
|
January 30, 2031
|
$2.169
|
January 30, 2035
|
$1.724
|
|
February 28, 2019
|
$3.822
|
February 28, 2023
|
$3.086
|
February 28, 2027
|
$2.587
|
February 28, 2031
|
$2.142
|
February 28, 2035
|
$1.697
|
|
March 30, 2019
|
$3.822
|
March 30, 2023
|
$3.086
|
March 30, 2027
|
$2.587
|
March 30, 2031
|
$2.142
|
March 30, 2035
|
$1.697
|
|
April 30, 2019
|
$3.822
|
April 30, 2023
|
$3.086
|
April 30, 2027
|
$2.587
|
April 30, 2031
|
$2.142
|
April 30, 2035
|
$1,001.697
|
April 2015
|
PS-13
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
April 2015
|
PS-14
|
Citigroup Inc.
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
April 2015
|
PS-15
|