Title of each class of securities to be registered
|
Maximum aggregate offering price
|
Amount of registration fee(1) (2)
|
Medium-Term Senior Notes, Series G
|
$7,575,000
|
$880.22
|
(1)
|
Calculated in accordance with Rule 457(r) of the Securities Act.
|
(2)
|
Pursuant to Rule 457(p) under the Securities Act, the $2,321,355.31 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 $880.22 is offset against the registration fee due for this offering and of which $2,320,475.09 remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering.
|
Citigroup Inc.
|
January 23, 2015
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2015-CMTNG0346
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
▪
|
The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance of the S&P GSCITM Crude Oil Index Excess Return (the “underlying index”) from the initial index level to the final index level. The underlying index tracks the value of a hypothetical position in the nearest-to-expiration West Texas Intermediate crude oil futures contract traded on the NYMEX (“WTI futures”), where the position is notionally “rolled” each month from the WTI futures expiring that month into the WTI futures expiring in the next month.
|
▪
|
The securities offer leveraged exposure to a limited range of potential appreciation of the underlying index. However, if the underlying index depreciates, investors in the securities will have full downside exposure to that depreciation. If the final index level is less than the initial index level, you will lose 1% of the stated principal amount of your securities for every 1% of that decline. In exchange for leveraged upside exposure within a limited range if the underlying index appreciates, investors in the securities must be willing to forgo interest and any appreciation of the underlying index in excess of the maximum return at maturity. In addition, investors must be willing to accept a means of gaining exposure to WTI crude oil that may be adversely affected by “negative roll yields” in “contango” markets. See “Risk Factors Relating to the Securities—The securities may be adversely affected by “negative roll yields” in “contango” markets” in this pricing supplement for important information about the exposure to WTI crude oil that the underlying index provides.
|
▪
|
In order to obtain the modified exposure to the underlying index that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we default on our obligations. All payments on the securities are subject to the credit risk of Citigroup Inc.
|
KEY TERMS
|
|||
Underlying index:
|
The S&P GSCITM Crude Oil Index Excess Return (ticker symbol: “SPGCCLP”)
|
||
Aggregate stated principal amount:
|
$7,575,000
|
||
Stated principal amount:
|
$1,000 per security
|
||
Pricing date:
|
January 23, 2015
|
||
Issue date:
|
January 28, 2015
|
||
Valuation date:
|
February 17, 2016, subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
||
Maturity date:
|
February 22, 2016
|
||
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity, you will receive the following amount:
▪ If the final index level is greater than the initial index level:
$1,000 + the leveraged return amount, subject to the maximum return at maturity
▪ If the final index level is less than or equal to the initial index level:
$1,000 × the index performance factor
If the underlying index declines from the initial index level to the final index level, your payment at maturity will be less, and possibly significantly less, than the $1,000 stated principal amount. You may lose up to all of your investment.
|
||
Initial index level:
|
247.9051, the closing level of the underlying index on the pricing date
|
||
Final index level:
|
The closing level of the underlying index on the valuation date
|
||
Index performance factor:
|
The final index level divided by the initial index level
|
||
Index percent increase:
|
The final index level minus the initial index level, divided by the initial index level
|
||
Leveraged return amount:
|
$1,000 × the index percent increase × the leverage factor
|
||
Leverage factor:
|
500.00%
|
||
Maximum return at maturity:
|
$290.00 per security (29.00% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,290.00 per security.
|
||
Listing:
|
The securities will not be listed on any securities exchange
|
||
CUSIP / ISIN:
|
1730T04D8 / US1730T04D88
|
||
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
||
Underwriting fee and issue price:
|
Issue price(1)(2)
|
Underwriting fee
|
Proceeds to issuer
|
Per security:
|
$1,000
|
$17.50(2)
|
$977.50
|
$5.00(3)
|
|||
Total:
|
$7,575,000
|
$170,437.50
|
$7,404,562.50
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns, subject to the maximum return at maturity, for a limited range of potential appreciation of the underlying index;
|
|
§
|
To enhance returns and potentially outperform the underlying index in a moderately bullish scenario; and
|
|
§
|
To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum return at maturity, while using fewer dollars by taking advantage of the leverage factor.
|
Maturity:
|
Approximately 13 months
|
Leverage factor:
|
500.00%, subject to the maximum return at maturity. The leverage factor applies only if the final index level is greater than the initial index level.
|
Maximum return at maturity:
|
$290.00 per security (29.00% of the stated principal amount)
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the securities.
|
Interest:
|
None
|
Leveraged Upside Performance:
|
The securities offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index within a limited range of positive performance
|
Upside Scenario:
|
If the final index level is greater than the initial index level, the payment at maturity for each security will be equal to the $1,000 stated principal amount plus the leveraged return amount, subject to the maximum return at maturity of $1,290.00 per security (29.00% of the stated principal amount). For example, if the final index level is 3% greater than the initial index level, the securities will provide a total return of 15% at maturity.
|
Downside Scenario:
|
If the final index level is less than the initial index level, you will lose 1% for every 1% decline in the value of the underlying index from the initial index level and the payment at maturity will be less than the stated principal amount. For example, if the final index level is 30% less than the initial index level, you will receive a payment at maturity of $700.00 per security, or 70% of the stated principal amount. There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.
|
January 2015
|
PS-2
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
PLUS
Payment at Maturity Diagram
|
|
n The Securities
|
n The Underlying Index
|
January 2015
|
PS-3
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
▪
|
You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the underlying index. If the final index level is less than the initial index level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final index level is less than the initial index level. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
▪
|
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.
|
▪
|
The securities may be adversely affected by “negative roll yields” in “contango” markets. The underlying index tracks the value of a hypothetical position in the nearest-to-expiration WTI futures contract, where the position is notionally “rolled” each month from the WTI futures expiring that month into the WTI futures expiring in the next month. Unlike stocks, which typically entitle the holder to a continuing stake in a corporation, WTI futures specify a certain future date for the physical delivery of WTI crude oil. In order to avoid physical delivery and maintain continuing exposure to WTI futures, the underlying index unwinds its hypothetical position in the nearest-to-expiration WTI futures shortly before its expiration date and replaces that position with a hypothetical position in the WTI futures expiring in the next month. For example, a WTI futures contract entered into in August may specify a September expiration. As the September expiration date approaches, the WTI futures contract expiring in September is replaced with a WTI futures contract expiring in October. We refer to this process as “rolling” exposure to the nearest-to-expiration
|
January 2015
|
PS-4
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
WTI futures each month into the WTI futures expiring in the next month. Through this monthly rolling process, the underlying index is able to reflect continuing exposure to WTI futures.
|
▪
|
Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to the maximum return at maturity of 29.00%, which is equivalent to a maximum return at maturity of $290.00 per security and would result in a maximum payment at maturity of $1,290.00 per security. Taking into account the leverage factor, any increase in the final index level over the initial index level by more than 5.80% will not increase your return on the securities and will progressively reduce the effective amount of leverage provided by the securities.
|
▪
|
Your payment at maturity depends on the closing level of the underlying index on a single day. Because your payment at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested directly in the futures contracts that constitute the underlying index or in another instrument linked to the underlying index that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the underlying index, you might have achieved better returns.
|
▪
|
The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities, you may not receive anything owed to you under the securities. In addition, changes in our actual or perceived creditworthiness are likely to affect the value of the securities prior to maturity.
|
▪
|
The securities will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding rate, is less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs include (i) the selling concessions and structuring fees 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
|
January 2015
|
PS-5
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying index and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities will be less than the issue price.
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the level and volatility of the underlying index and a number of other factors, including those described below. Some of these factors are interrelated in complex ways. As a result, the effect of any one factor may be offset or magnified by the effect of one or more other factors. The paragraphs below describe what we expect to be the impact on the value of the securities of a change in a specific factor, assuming all other conditions remain constant. You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
|
|
▪
|
Level of the underlying index. We expect that the value of the securities at any time prior to maturity will depend substantially on the level of the underlying index at that time. If the level of the underlying index decreases following the pricing date, the value of your securities will also likely decline, perhaps significantly. Even at a time when the level of the underlying index is greater than the initial index level, the value of your securities may nevertheless be significantly less than the stated principal amount of your securities because of expectations that the level will continue to fluctuate over the term of the securities, among other reasons.
|
|
▪
|
Volatility of the level of the underlying index. Volatility refers to the magnitude and frequency of changes in the level of the underlying index over any given period. Any increase in the expected volatility of the level of the underlying index may adversely affect the value of the securities.
|
|
▪
|
Interest rates. We expect that the value of the securities will be affected by changes in U.S. interest rates. In general, an increase in U.S. interest rates is likely to adversely affect the value of the securities.
|
|
▪
|
Time remaining to maturity. At any given time, the value of the securities may reflect a discount based on the amount of time then remaining to maturity, which will reflect uncertainty about the change in the level of the underlying index over that period.
|
January 2015
|
PS-6
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
▪
|
Creditworthiness of Citigroup Inc. The securities are subject to the credit risk of Citigroup Inc. Therefore, actual or anticipated adverse changes in the creditworthiness of Citigroup Inc. may adversely affect the value of the securities.
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
|
▪
|
If a commodity hedging disruption event occurs during the term of the securities, we may redeem the securities early for an amount that may result in a significant loss on your investment. See “Additional Terms of the Securities—Commodity Hedging Disruption Event” in this pricing supplement for information about the events that may constitute a commodity hedging disruption event. If a commodity hedging disruption event occurs, we may redeem the securities prior to the maturity date for an amount equal to the early redemption amount determined as of the early redemption notice date. The early redemption amount will be determined in a manner based upon (but not necessarily identical to) CGMI’s then contemporaneous practices for determining secondary market bid prices for the securities and similar instruments, subject to the exceptions and more detailed provisions set forth under “Additional Terms of the Securities—Commodity Hedging Disruption Event” below. As discussed above, any secondary market bid price is likely to be less than the issue price and, absent favorable changes in market conditions and other relevant factors, is also likely to be less than the estimated value of the securities set forth on the cover page of this pricing supplement. Accordingly, if a commodity hedging disruption event occurs, there is a significant likelihood that the early redemption amount you receive will result in a loss on your investment in the securities. Moreover, in determining the early redemption amount, the calculation agent will take into account the relevant event that has occurred, which may have a significant adverse effect on the crude oil markets and/or commodity markets generally, resulting in an early redemption amount that is significantly less than the amount you paid for your securities. You may lose up to all of your investment.
|
▪
|
The calculation agent may make discretionary determinations in connection with a commodity hedging disruption event and the early redemption amount that could adversely affect your return upon early redemption. The calculation agent will be required to exercise discretion in determining whether a commodity hedging disruption event has occurred. If the calculation agent determines that a commodity hedging disruption event has occurred and as a result we elect to redeem the securities upon the occurrence of a commodity hedging disruption event, you may incur a significant loss on your investment in the securities.
|
▪
|
Prices of commodity futures contracts are characterized by high and unpredictable volatility, which could lead to high and unpredictable volatility in the underlying index. Market prices of the commodity futures contracts included in the underlying index tend to be highly volatile and may fluctuate rapidly based on numerous factors, including the factors that affect the price of the commodity underlying the commodity futures contracts included in the underlying index. See “ — The market price of WTI crude oil will affect the value of the securities” below. The prices of commodities and commodity futures contracts are subject to variables that may be less significant to the values of traditional securities, such as stocks and bonds. These variables may create additional investment risks that cause the value of the securities to be more volatile than the values of traditional securities. As a general matter, the risk of low liquidity or volatile pricing around the maturity date of a commodity futures contract is greater than in the case of other futures contracts because (among other factors) a number of market participants take physical delivery of the underlying commodities. Many commodities are also highly cyclical. The high volatility and cyclical nature of commodity markets may render such an investment inappropriate as the focus of an investment portfolio.
|
▪
|
The market price of WTI crude oil will affect the value of the securities. Because the securities are linked to the performance of the underlying index, which is composed of futures contracts on WTI crude oil, we expect that generally the market value of the securities will depend in part on the market price of WTI crude oil. The price of WTI crude oil is primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Crude oil prices are volatile and subject to dislocation. Demand for refined petroleum products by consumers, as
|
January 2015
|
PS-7
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
|
well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations, including relative cost, often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the Organization of the Petroleum Exporting Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with significant influence by OPEC. OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of the world’s oil supply. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities. Crude oil prices may also be affected by short-term changes in supply and demand because of trading activities in the oil market and seasonality (e.g., weather conditions such as hurricanes). It is not possible to predict the aggregate effect of all or any combination of these factors.
|
▪
|
WTI futures prices differ from other benchmark measures of crude oil prices. In particular, WTI futures differ from Brent crude oil futures. Brent crude oil futures may be more indicative of global crude oil prices, while WTI futures may be more indicative of the North American market for crude oil. Events and circumstances specific to the market for WTI crude oil may have a negative impact on WTI futures without necessarily having a significant effect on Brent crude oil futures prices. The performance of WTI futures over the term of the securities may differ significantly from, and may be significantly less favorable than, the performance of Brent crude oil futures. Accordingly, the underlying index may significantly underperform an alternative index linked to Brent crude oil futures rather than WTI futures.
|
▪
|
Holders of the securities will not benefit from regulatory protections of the Commodity Futures Trading Commission. The securities are our direct obligations. The net proceeds to be received by us from the sale of the securities will not be used to purchase or sell WTI futures or options contracts on WTI futures for the benefit of the holders of securities. An investment in the securities does not constitute an investment in WTI futures or options contracts on WTI futures, and holders of the securities will not benefit from the regulatory protections of the Commodity Futures Trading Commission (the “CFTC”) afforded to persons who trade in such contracts.
|
▪
|
Legal and regulatory changes could adversely affect the return on and value of the securities. Futures contracts and options on futures contracts, including the WTI futures contracts tracked by the underlying index, are subject to extensive statutes, regulations, and margin requirements. The CFTC and the exchanges on which such futures contracts trade are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, the NYMEX has regulations designed to limit the amount of fluctuations in futures contract prices. These limits could adversely affect the market prices of WTI futures.
|
▪
|
Changes in exchange methodology may affect the value of your securities. The level of the underlying index depends on the settlement price of WTI futures as determined by NYMEX. NYMEX may from time to time change any rule or bylaw or take emergency action under its rules, any of which could adversely affect the settlement price of WTI futures and, in turn, your investment in the securities.
|
▪
|
Investing in the securities is not equivalent to investing in WTI futures. The return on the securities may not reflect the return you would realize if you actually owned WTI futures. You will not have any entitlement to WTI futures or WTI crude oil by virtue of your investment in the securities.
|
January 2015
|
PS-8
|
Citigroup Inc.
|
PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
▪
|
Distortions or disruptions of market trading in WTI futures could adversely affect the value of and return on the securities. The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These circumstances could adversely affect the settlement price of WTI futures and, therefore, the level of the underlying index and the value of and return on the securities. In addition, if the scheduled valuation date is not a scheduled trading day or is a disrupted day, the valuation date will be subject to postponement, as described under “Additional Terms of the Securities” in this pricing supplement. If the valuation date is a disrupted day and it is not postponed, the calculation agent will determine the level of the underlying index on the valuation date in its discretion. The calculation agent’s determination of the level of the underlying index in this circumstance may result in an unfavorable return on the securities.
|
▪
|
The securities do not offer direct exposure to WTI crude oil spot prices. The securities are linked to the underlying index, which tracks WTI futures contracts, not physical WTI crude oil (or its spot price). The price of a WTI futures contract reflects the expected value of WTI crude oil upon delivery in the future, whereas the spot price of WTI crude oil reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the expected future price of a commodity and the spot price at a given point in time, such as the cost of storing the commodity for the term of the futures contract, interest charges incurred to finance the purchase of the commodity and expectations concerning supply and demand for the commodity. The price movements of a futures contract are typically correlated with the movements of the spot price of the referenced commodity, but the correlation is generally imperfect and price movements in the spot market may not be reflected in the futures market (and vice versa). Accordingly, the securities may underperform a similar investment that is linked to WTI crude oil spot prices.
|
▪
|
The underlying index may be more volatile and susceptible to price fluctuations of commodities than a broader commodities index. The underlying index may be more volatile and susceptible to price fluctuations than a broader commodities index, such as the S&P GSCI™. In contrast to the S&P GSCI™, which includes contracts on the principal physical commodities that are actively traded, the underlying index is composed of contracts covering only a single physical commodity. As a result, price volatility in the contracts included in the underlying index will likely have a greater impact on the underlying index than it would on the broader S&P GSCI™, and the underlying index individually will be more susceptible to fluctuations and declines in value of the physical commodities included in such index. In addition, the underlying index may be less representative of the economy and commodity markets as a whole and might therefore not serve as a reliable benchmark for commodity market performance generally.
|
▪
|
The securities are linked to an excess return index and not a total return index. The securities are linked to an excess return index and not a total return index. An excess return index, such as the underlying index, reflects the returns that are potentially available through an unleveraged investment in the contracts composing that index. By contrast, a “total return” index, in addition to reflecting those returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures contracts.
|
▪
|
The offering of the securities does not constitute a recommendation of the underlying index by CGMI or its affiliates. You should not take the offering of the securities as an expression of our views or the views of our affiliates regarding how the underlying index will perform in the future or as a recommendation to invest in the underlying index, including through an investment in the securities. As we are part of a global financial institution, our affiliates may, and often do, have positions that conflict with an investment in the securities, including short positions with respect to the underlying index or WTI futures. You should undertake an independent determination of whether an investment in the securities is suitable for you in light of your specific investment objectives and financial resources.
|
▪
|
Our affiliates may have published research, expressed opinions or provided recommendations that are inconsistent with investing in the securities and may do so in the future, and any such research, opinions or recommendations could adversely affect the closing level of the underlying index. CGMI and other of our affiliates may publish research from time to time relating to the underlying index and/or WTI futures. Any research, opinions or recommendations provided by CGMI and other of our affiliates may influence the closing level of the underlying index, and they may be inconsistent with purchasing or holding the securities. CGMI and other of our affiliates may have published or may publish research or other opinions that call into question the investment view implicit in an investment in the securities. Investors should make their own independent investigation of the underlying index and the merits of investing in the securities.
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The level of the underlying index may be affected by our or our affiliates’ hedging and other trading activities. In anticipation of the sale of the securities, we have hedged our obligations under the securities through CGMI or other of our affiliates, who have taken positions in WTI futures or in instruments linked to the underlying index or WTI futures and may adjust such positions during the term of the securities. We or our counterparties may also adjust this hedge during the term of the securities and close out or unwind this hedge on or before the valuation date, which may involve, among other things, our counterparties purchasing or selling such WTI futures or other instruments. This hedging activity on or prior to the pricing date could potentially affect the level of the underlying index on the pricing date and, accordingly, potentially increase the initial index level, which may adversely affect your return on the securities. Additionally, this hedging activity during the term of the securities,
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January 2015
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PS-9
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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including on or near the valuation date, could negatively affect the closing level of the underlying index on the valuation date and, therefore, adversely affect your payment at maturity. This hedging activity may present a conflict of interest between your interests as a holder of the securities and the interests we and/or our counterparties, which may be our affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities could also affect the price, if any, at which CGMI may be willing to purchase your securities in a secondary market transaction.
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Adjustments to the underlying index could adversely affect the value of the securities. The index sponsor may add, delete or substitute the futures contracts that constitute the underlying index or make other methodological changes that could affect the level of the underlying index. Moreover, the index sponsor may discontinue or suspend calculation or publication of the underlying index at any time. In this latter case, the calculation agent will have the sole discretion to substitute a successor index as described under “Additional Terms of the Securities—Discontinuance or Material Modification of the Underlying Index” below, and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.
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We have no affiliation with the index sponsor and are not responsible for its public disclosures. We are not affiliated with the index sponsor, which is not involved in our offering of the securities in any way. Consequently, we have no control over the actions of such index sponsor, including any actions that could adversely affect the level of the underlying index. The index sponsor has no obligation to consider your interests as an investor in the securities in taking any such actions. None of the money you pay for the securities will go to the index sponsor. In addition, as we are not affiliated with the index sponsor, we do not assume any responsibility for the accuracy or adequacy of any information about the underlying index contained in the public disclosures of the index sponsor. We have made no “due diligence” or other investigation into the index sponsor in connection with the offering of the securities. As an investor in the securities, you should make your own investigation into the underlying index.
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The calculation agent, which is an affiliate of the issuer, will make important determinations with respect to the securities. CGMI, the calculation agent for the securities, is an affiliate of ours and will determine the level of the underlying index on the valuation date and the amount owed to you at maturity. In addition, in certain circumstances CGMI may be required to exercise judgments in its capacity as calculation agent. In making these judgments, CGMI’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. Such judgments could include, among other things:
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▪
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determining whether the scheduled valuation date is a disrupted day or whether a commodity hedging disruption event has occurred;
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if the scheduled valuation date is a disrupted day, determining whether to postpone the scheduled valuation date;
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if the valuation date is a disrupted day and it is not postponed, determining the level of the underlying index on that day;
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if a commodity hedging disruption event occurs, determining the early redemption amount; or
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selecting a successor underlying index or performing an alternative calculation of the level of the underlying index if the underlying index is discontinued or materially modified.
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The U.S. federal tax consequences of an investment in the securities are uncertain. 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 for the securities, the tax consequences of ownership and disposition of the securities might be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should review carefully the section of this pricing supplement entitled “United States Federal Tax Considerations.” 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.
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January 2015
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PS-10
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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S&P GSCITM Crude Oil Index Excess Return – Historical Closing Levels
January 4, 2010 to January 23, 2015
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January 2015
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PS-11
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
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·
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any suspension of or limitation imposed on trading in any relevant index contract on the relevant exchange or any other event that disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, any relevant index contract on the relevant exchange, in each case which the calculation agent determines is material;
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·
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all trading in any relevant index contract is suspended for the entire day;
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·
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all trading in any relevant index contract is suspended (which term, for the avoidance of doubt, will not include, for purposes of this bullet point, a relevant index contract being bid or offered at the limit price) subsequent to the opening of trading on that day, and trading does not recommence at least ten minutes prior to the actual closing time of the regular trading session of that relevant index contract on that day; or
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·
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if the relevant exchange establishes limits on the range within which the price of any relevant index contract may fluctuate, the official settlement price of any relevant index contract is at the upper or lower limit of that range on that day,
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January 2015
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PS-12
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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January 2015
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PS-13
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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·
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a financial institution;
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a “regulated investment company”;
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·
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a tax-exempt entity, including an “individual retirement account” or “Roth IRA”;
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·
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a dealer or trader subject to a mark-to-market method of tax accounting with respect to the securities;
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·
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a person holding a security as part of a “straddle” or conversion transaction or one who enters into a “constructive sale” with respect to a security;
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·
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a person subject to the alternative minimum tax;
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·
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a U.S. Holder (as defined below) whose functional currency is not the U.S. dollar; or
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·
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an entity classified as a partnership for U.S. federal income tax purposes.
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January 2015
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PS-14
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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·
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a citizen or individual resident of the United States;
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·
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a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state therein or the District of Columbia; or
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·
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an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
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January 2015
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PS-15
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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January 2015
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PS-16
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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FATCA Legislation
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January 2015
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PS-17
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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(i)
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the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities, or (C) the exercise of or failure to exercise any rights we have under or with respect to the securities;
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(ii)
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we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the securities and (B) all hedging transactions in connection with our obligations under the securities;
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(iii)
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any and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder;
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(iv)
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our interests are adverse to the interests of the purchaser or holder; and
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(v)
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neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment advice.
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January 2015
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PS-18
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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January 2015
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PS-19
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Citigroup Inc.
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PLUS Based on the S&P GSCITM Crude Oil Index Excess Return Due February 22, 2016
Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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January 2015
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PS-20
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