Citigroup Inc.
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Pricing Sheet No. 2015-CMTNG0365 dated February 20, 2015 relating to
Preliminary Pricing Supplement No. 2015-CMTNG0365 dated February 9, 2015
Registration Statement No. 333-192302
Filed Pursuant to Rule 433
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PRICING TERMS—FEBRUARY 20, 2015
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Basket:
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Basket Components
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Weighting
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Basket Component Starting Level*
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EURO STOXX 50® Index (“SX5E”)
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50%
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3,490.53
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Russell 2000® Index (“RTY”)
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50%
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1,231.79
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* The basket component starting level of each basket component is its closing level on the pricing date
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Aggregate stated principal amount:
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$5,489,440
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Stated principal amount:
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$10 per security
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Pricing date:
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February 20, 2015
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Issue date:
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February 25, 2015
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Valuation date:
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February 20, 2019, subject to postponement if such date is not a scheduled trading day for a basket component or if certain market disruption events occur with respect to a basket component
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Maturity date:
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February 25, 2019
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Payment at maturity:
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For each $10 stated principal amount security you hold at maturity:
▪ If the final basket level is greater than or equal to the initial basket level:
$10 + the greater of (i) the fixed return amount and (ii) $10 × the basket percent increase
▪ If the final basket level is less than the initial basket level by an amount equal to or less than the buffer amount:
$10
▪ If the final basket level is less than the initial basket level by more than the buffer amount:
($10 × the basket performance factor) + $1.00
If the final basket level is less than the initial basket level by more than the buffer amount, your payment at maturity will be less, and possibly significantly less, than the $10 stated principal amount per security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion of your investment.
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Initial basket level:
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1,000
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Final basket level:
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1,000 × [1 + (component return of SX5E × 50%) + (component return of RTY × 50%)]
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Component return:
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For each basket component: (basket component ending level – basket component starting level) / basket component starting level
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Basket component ending level:
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For each basket component, its closing level on the valuation date
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Fixed return amount:
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$1.90 per security (19.00% of the stated principal amount). You will receive the fixed return amount only if the final basket level is greater than or equal to the initial basket level.
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Buffer amount:
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10.00%
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Basket percent increase:
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The final basket level minus the initial basket level, divided by the initial basket level
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Basket performance factor:
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The final basket level divided by the initial basket level
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Listing:
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The securities will not be listed on any securities exchange
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CUSIP / ISIN:
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17323B802 / US17323B8028
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Underwriter:
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Underwriting fee and issue price:
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Issue price(1)
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Underwriting fee
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Proceeds to issuer
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Per security:
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$10.00
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$0.25(2)
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$9.70
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$0.05(3)
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Total:
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$5,489,440.00
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$164,683.20
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$5,324,756.80
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