Citigroup Inc.
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Pricing Sheet No. 2015-CMTNG0347 dated January 22, 2015 relating to
Preliminary Pricing Supplement No. 2015-CMTNG0347 dated January 20, 2015
Registration Statement No. 333-192302
Filed Pursuant to Rule 433
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PRICING TERMS—JANUARY 22, 2015
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Underlying index:
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The S&P 500® Index (ticker symbol: “SPX”)
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Aggregate stated principal amount:
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$8,167,000
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Stated principal amount:
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$10 per security
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Pricing date:
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January 22, 2015
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Issue date:
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January 27, 2015
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Valuation dates:
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January 22, 2016 (the “interim valuation date”) and January 22, 2018 (the “final valuation date”), each subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
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Automatic early redemption:
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If, on the interim valuation date, the closing level of the underlying index is greater than or equal to the premium threshold level, the securities will be automatically redeemed on the fifth business day following the interim valuation date for an amount in cash per security equal to $10 plus the premium, and no additional payment will be made on the securities.
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Premium:
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10.00% of the stated principal amount. The premium may be significantly less than the appreciation of the underlying index from the pricing date to the interim valuation date.
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Premium threshold level:
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110% of the initial index level
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Maturity date:
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January 25, 2018
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Payment at maturity:
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If the securities are not redeemed prior to maturity, for each $10 stated principal amount security you hold at maturity:
▪ If the final index level is greater than the initial index level:
$10 + the leveraged return amount
▪ If the final index level is less than or equal to the initial index level but greater than or equal to the trigger level:
$10
▪ If the final index level is less than the trigger level:
$10 × the index performance factor
If the final index level is less than the trigger level, your payment at maturity will be less, and possibly significantly less, than $8.50 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 index level:
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2,063.15, the closing level of the underlying index on the pricing date
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Final index level:
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The closing level of the underlying index on the final valuation date
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Index performance factor:
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The final index level divided by the initial index level
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Index percent increase:
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The final index level minus the initial index level, divided by the initial index level
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Leveraged return amount:
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$10 × the index percent increase × the leverage factor
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Leverage factor:
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126.50%. The leverage factor will be applicable only if the securities are not redeemed prior to maturity and the final index level is greater than or equal to the initial index level.
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Trigger level:
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1,753.68, 85.00% of the initial index 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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17323B109 / US17323B1098
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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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$8,167,000.00
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$245,010.00
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$7,921,990.00
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