Obbligazione Citigroup 0% ( US17323P1811 ) in USD

Emittente Citigroup
Prezzo di mercato 100 USD  ⇌ 
Paese  Stati Uniti
Codice isin  US17323P1811 ( in USD )
Tasso d'interesse 0%
Scadenza 26/02/2021 - Obbligazione č scaduto



Prospetto opuscolo dell'obbligazione Citigroup US17323P1811 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 2 174 000 USD
Cusip 17323P181
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata Citigroup č una multinazionale statunitense operante nel settore dei servizi finanziari, con attivitā che includono la gestione patrimoniale, l'investment banking e le operazioni di credito al consumo.

The Obbligazione issued by Citigroup ( United States ) , in USD, with the ISIN code US17323P1811, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 26/02/2021







424B2 1 dp63780_424b2-141.htm PRICING SUPPLEMENT
CALCULATION OF REGISTRATION FEE

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
$2,173,900
$218.91

(1) Calculated in accordance with Rule 457(r) of the Securities Act.
(2) Pursuant to Rule 457(p) under the Securities Act, the $131,821.51 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 $218.91 is offset against the registration fee due for this offering and of which $131,602.60 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.

Pricing Supplement No. 2016--CMTNG0853 to Product Supplement No. EA-02-03 dated November 13, 2013, Prospectus Supplement and Prospectus
each dated November 13, 2013
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
Dated February 24, 2016
Citigroup Inc. $2,173,900 Trigger Performance Securities
Link e d t o Sha re s of t he V a ngua rd FT SE Em e rging M a rk e t s ET F Due Fe brua ry 2 6 , 2 0 2 1
I nve st m e nt De sc ript ion
The Trigger Performance Securities (the "Se c urit ie s ") are unsecured, unsubordinated debt obligations of Citigroup Inc. (the "I ssue r ") with a return at maturity linked to the performance of
shares of the Vanguard FTSE Emerging Markets ETF (the "ET F " or the "U nde rlying Sha re s ") from their Initial Share Price to their Final Share Price. If the Share Return is positive, the
Issuer will repay the Stated Principal Amount of the Securities at maturity and pay a return equal to the Share Return multiplied by the Participation Rate of 155.00%. If the Share Return is zero
or negative and the Final Share Price is greater than or equal to the Trigger Price, the Issuer will repay the Stated Principal Amount of the Securities at maturity. However, if the Share Return is
negative and the Final Share Price is less than the Trigger Price, you will be fully exposed to the negative Share Return and the Issuer will pay you less than the Stated Principal Amount at
maturity, resulting in a loss on the Stated Principal Amount to investors that is proportionate to the percentage decline in the price of the Underlying Shares. I nve st ing in t he Se c urit ie s
involve s signific a nt risk s. Y ou w ill not re c e ive c oupon pa ym e nt s during t he 5 -ye a r t e rm of t he Se c urit ie s. Y ou m a y lose a subst a nt ia l port ion or a ll of your
init ia l inve st m e nt . Y ou w ill not re c e ive divide nds or ot he r dist ribut ions pa id on t he U nde rlying Sha re s or t he st oc k s he ld by t he ET F. T he c ont inge nt re pa ym e nt
of t he St a t e d Princ ipa l Am ount a pplie s only if you hold t he Se c urit ie s t o m a t urit y. Any pa ym e nt on t he Se c urit ie s, inc luding a ny re pa ym e nt of t he St a t e d
Princ ipa l Am ount provide d a t m a t urit y, is subje c t t o t he c re dit w ort hine ss of t he I ssue r. I f t he I ssue r w e re t o de fa ult on it s pa ym e nt obliga t ions, you m ight not
re c e ive a ny a m ount s ow e d t o you unde r t he Se c urit ie s a nd you c ould lose your e nt ire inve st m e nt .
Fe a t ure s

K e y Da t e s
Participation in Positive Share Return -- If the Share Return is positive, the Issuer will repay the Stated

Trade Date
February 24, 2016
Principal Amount of the Securities at maturity and pay a return equal to the Share Return multiplied by the Participation
Settlement Date
February 29, 2016
Rate. If the Share Return is negative, investors may be exposed to the decline in the Underlying Shares at maturity.
Final Valuation Date1
February 22, 2021

Maturity Date
February 26, 2021
Dow nside Exposure w ith Contingent Repayment of the Stated Principal Amount at Maturity -- If


the Share Return is zero or negative and the Final Share Price is greater than or equal to the Trigger Price, the Issuer
1 See page PS-3 for additional details.
will repay the Stated Principal Amount of the Securities at maturity. However, if the Share Return is negative and the
Final Share Price is less than the Trigger Price, the Issuer will pay less than the Stated Principal Amount of the
Securities at maturity, resulting in a loss on the Stated Principal Amount to investors that is proportionate to the
percentage decline in the price of the Underlying Shares. T he c ont inge nt re pa ym e nt of t he St a t e d Princ ipa l
Am ount a pplie s only if you hold t he Se c urit ie s t o m a t urit y. Y ou m ight lose som e or a ll of your
init ia l inve st m e nt . Any pa ym e nt on t he Se c urit ie s is subje c t t o t he c re dit w ort hine ss of t he
I ssue r. I f t he I ssue r w e re t o de fa ult on it s pa ym e nt obliga t ions, you m ight not re c e ive a ny
a m ount s ow e d t o you unde r t he Se c urit ie s a nd you c ould lose your e nt ire inve st m e nt .
N OT I CE T O I N V EST ORS: T H E SECU RI T I ES ARE SI GN I FI CAN T LY RI SK I ER T H AN CON V EN T I ON AL DEBT SECU RI T I ES. T H E I SSU ER I S N OT N ECESSARI LY OBLI GAT ED T O
REPAY Y OU R I N I T I AL I N V EST M EN T I N T H E SECU RI T I ES AT M AT U RI T Y , AN D T H E SECU RI T I ES CAN H AV E T H E FU LL DOWN SI DE M ARK ET RI SK OF T H E U N DERLY I N G
SH ARES. T H I S M ARK ET RI SK I S I N ADDI T I ON T O T H E CREDI T RI SK I N H EREN T I N PU RCH ASI N G AN OBLI GAT I ON OF CI T I GROU P I N C. Y OU SH OU LD N OT PU RCH ASE T H E
SECU RI T I ES I F Y OU DO N OT U N DERST AN D OR ARE N OT COM FORT ABLE WI T H T H E SI GN I FI CAN T RI SK S I N V OLV ED I N I N V EST I N G I N T H E SECU RI T I ES. T H E SECU RI T I ES
WI LL N OT BE LI ST ED ON AN Y SECU RI T I ES EX CH AN GE AN D, ACCORDI N GLY , M AY H AV E LI M I T ED OR N O LI QU I DI T Y .
Y OU SH OU LD CAREFU LLY CON SI DER T H E RI SK S DESCRI BED U N DER "SU M M ARY RI SK FACT ORS" BEGI N N I N G ON PAGE PS -4 OF T H I S PRI CI N G SU PPLEM EN T AN D U N DER
"RI SK FACT ORS RELAT I N G T O T H E SECU RI T I ES" BEGI N N I N G ON PAGE EA-6 OF T H E ACCOM PAN Y I N G PRODU CT SU PPLEM EN T I N CON N ECT I ON WI T H Y OU R PU RCH ASE
OF T H E SECU RI T I ES. EV EN T S RELAT I N G T O AN Y OF T H OSE RI SK S, OR OT H ER RI SK S AN D U N CERT AI N T I ES, COU LD ADV ERSELY AFFECT T H E V ALU E OF, AN D T H E
RET U RN ON , Y OU R SECU RI T I ES. Y OU M AY LOSE SOM E OR ALL OF Y OU R I N I T I AL I N V EST M EN T I N T H E SECU RI T I ES.
Se c urit y Offe ring
We are offering Trigger Performance Securities Linked to Shares of the Vanguard FTSE Emerging Markets ETF. Any return at maturity will be determined by the performance of the Underlying
Shares. The Securities are our unsecured, unsubordinated debt obligations and are offered for a minimum investment of 100 Securities at the issue price described below.
U nde rlying Sha re s
I nit ia l Sha re Pric e
Pa rt ic ipa t ion Ra t e
T rigge r Pric e
CU SI P/ I SI N
Vanguard FTSE Emerging Markets ETF (Ticker: VWO) (the
$23.07, 75.00% of the Initial Share
$30.76
155.00%
17323P181 / US17323P1811
"ETF" or "Underlying Share Issuer")
Price
Se e "Addit iona l T e rm s Spe c ific t o t he Se c urit ie s" in t his pric ing supple m e nt . T he Se c urit ie s w ill ha ve t he t e rm s spe c ifie d in t he a c c om pa nying produc t
supple m e nt , prospe c t us supple m e nt a nd prospe c t us, a s supple m e nt e d by t his pric ing supple m e nt .
Concurrent with this offering of the Securities, the Issuer is offering other securities that are similar to the Securities but that have economic terms that differ from those provided by the
Securities. The differences in the economic terms reflect differences in costs to the Issuer in connection with the distribution of the Securities and such other securities.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy
of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense. The Securities are not
bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency.

I ssue Pric e (1)
U nde rw rit ing Disc ount (2)
Proc e e ds t o I ssue r
Per Security
$10.00
$0.35
$9.65
Total
$2,173,900.00
$76,086.50
$2,097,813.50
(1) On the date of this pricing supplement, the estimated value of the Securities is $9.040 per Security, which is less than the issue price. The estimated value of the Securities is based on proprietary pricing models of Citigroup
Global Markets Inc. ("CGM I ") and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to
buy the Securities from you at any time after issuance. See "Valuation of the Securities" in this pricing supplement.
(2) The underwriting discount is $0.35 per Security. CGMI, acting as principal, has agreed to purchase from Citigroup Inc., and Citigroup Inc. has agreed to sell to CGMI, the aggregate Stated Principal Amount of the Securities set
forth above for $9.65 per Security. UBS Financial Services Inc. ("U BS"), acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the Securities for $9.65 per Security. UBS will receive
an underwriting discount of $0.35 per Security for each Security it sells. UBS proposes to offer the Securities to the public at a price of $10.00 per Security. For additional information on the distribution of the Securities, see
"Supplemental Plan of Distribution" in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the Securities declines.
See "Use of Proceeds and Hedging" in the accompanying prospectus.

Cit igroup Globa l M a rk e t s I nc .
U BS Fina nc ia l Se rvic e s I nc .
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Addit iona l T e rm s Spe c ific t o t he Se c urit ie s
The terms of the Securities are set forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement. The accompanying
product supplement, prospectus supplement and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that could
affect your payment at maturity. These events and their consequences are described in the accompanying product supplement in the sections "Description of the Securities--Certain Additional
Terms for Securities Linked to ETF Shares or Company Shares--Consequences of a Market Disruption Event; Postponement of a Valuation Date," "--Dilution and Reorganization Adjustments"
and "--Delisting, Liquidation or Termination of an ETF," and not in this pricing supplement. It is important that you read the accompanying product supplement, prospectus supplement and
prospectus together with this pricing supplement in connection with your investment in the Securities. Certain terms used but not defined in this pricing supplement are defined in the
accompanying product supplement.

You may access the accompanying product supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing
our filings for November 13, 2013 on the SEC website):

¨
Product Supplement No. EA-02-03 dated November 13, 2013:
http://www.sec.gov/Archives/edgar/data/831001/000095010313006626/dp41902_424b2-par.htm

¨
Prospectus Supplement and Prospectus each dated November 13, 2013:
http://www.sec.gov/Archives/edgar/data/831001/000119312513440005/d621350d424b2.htm

References to "Citigroup Inc.," "we," "our" and "us" refer to Citigroup Inc. and not to any of its subsidiaries. In this pricing supplement, "Securities" refers to the Trigger Performance Securities
Linked to Shares of the Vanguard FTSE Emerging Markets ETF that are offered hereby, unless the context otherwise requires.

This pricing supplement, together with the documents listed above, contains the terms of the Securities and supersedes all other prior or contemporaneous oral statements as well as any other
written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours.
The description in this pricing supplement of the particular terms of the Securities supplements, and, to the extent inconsistent with, replaces, the descriptions of the general terms and
provisions of the debt securities set forth in the accompanying product supplement, prospectus supplement and prospectus. You should carefully consider, among other things, the matters set
forth in "Summary Risk Factors" in this pricing supplement and "Risk Factors Relating to the Securities" in the accompanying product supplement, as the Securities involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your decision to invest in the Securities.
I nve st or Suit a bilit y
The suitability considerations identified below are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should
reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Securities in light of
your particular circumstances. You should also review "Summary Risk Factors" beginning on page PS-4 of this pricing supplement, "The Vanguard FTSE Emerging Markets ETF" beginning on
page PS-10 of this pricing supplement and "Risk Factors Relating to the Securities" beginning on page EA-6 of the accompanying product supplement.

T he Se c urit ie s m a y be suit a ble for you if, a m ong ot he r c onside ra t ions:
T he Se c urit ie s m a y not be suit a ble for you if, a m ong ot he r c onside ra t ions:



¨ You fully understand the risks inherent in an investment in the Securities, including the risk
¨ You do not fully understand the risks inherent in an investment in the Securities, including
of loss of your entire initial investment.
the risk of loss of your entire initial investment.


¨ You can tolerate a loss of all or a substantial portion of your initial investment and are willing
¨ You require an investment designed to guarantee a full return of the Stated Principal Amount
to make an investment that may have the full downside market risk of an investment in the
at maturity.
Underlying Shares or in the stocks held by the ETF.


¨ You cannot tolerate the loss of all or a substantial portion of your initial investment, and you
¨ You believe that the price of the Underlying Shares will increase over the term of the
are not willing to make an investment that may have the full downside market risk of an
Securities.
investment in the Underlying Shares or in the stocks held by the ETF.


¨ You are willing to invest in the Securities based on the Participation Rate indicated on the
¨ You believe that the price of the Underlying Shares will decline during the term of the
cover page hereof.
Securities and is likely to close below the Trigger Price on the Final Valuation Date.


¨ You can tolerate fluctuations in the value of the Securities prior to maturity that may be
¨ You are not willing to invest in the Securities based on the Participation Rate indicated on
similar to or exceed the downside fluctuations in the price of the Underlying Shares.
the cover page hereof.


¨ You do not seek current income from your investment and are willing to forgo dividends or
¨ You cannot tolerate fluctuations in the value of the Securities prior to maturity that may be
any other distributions paid on the Underlying Shares or the stocks held by the ETF for the
similar to or exceed the downside fluctuations in the price of the Underlying Shares.
term of the Securities.


¨ You seek current income from this investment or prefer to receive the dividends and any
¨ You understand and accept the risks associated with the Underlying Shares.
other distributions paid on the Underlying Shares or the stocks held by the ETF for the

term of the Securities.
¨ You are willing and able to hold the Securities to maturity, and accept that there may be little

or no secondary market for the Securities and that any secondary market will depend in
¨ You do not understand or accept the risks associated with the Underlying Shares.
large part on the price, if any, at which CGMI is willing to purchase the Securities.


¨ You are unwilling or unable to hold the Securities to maturity, or you seek an investment for
¨ You are willing to assume the credit risk of Citigroup Inc. for all payments under the
which there will be an active secondary market.
Securities, and understand that if Citigroup Inc. defaults on its obligations you might not

receive any amounts due to you, including any repayment of the Stated Principal Amount.
¨ You are not willing to assume the credit risk of Citigroup Inc. for all payments under the

Securities, including any repayment of the Stated Principal Amount.

PS-2






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1 Subject to postponement as described under "Description of the Securities--Certain Additional Terms for Securities Linked to ETF Shares or Company Shares--Consequences of a Market
Fina l T e rm s
I N V EST I N G I N T H E SECU RI T I ES I N V OLV ES SI GN I FI CAN T RI SK S. Y OU M AY
Disruption Event; Postponement of a Valuation Date" in the accompanying product supplement.
LOSE A SU BST AN T I AL PORT I ON OR ALL OF Y OU R I N I T I AL I N V EST M EN T .
Issuer
Citigroup Inc.

AN Y PAY M EN T ON T H E SECU RI T I ES, I N CLU DI N G AN Y REPAY M EN T OF T H E
Issue Price
100% of the Stated Principal Amount per Security

ST AT ED PRI N CI PAL AM OU N T AT M AT U RI T Y , I S SU BJ ECT T O T H E
Stated Principal
$10.00 per Security
CREDI T WORT H I N ESS OF T H E I SSU ER. I F CI T I GROU P I N C. WERE T O
PS-3
Amount
DEFAU LT ON I T S PAY M EN T OBLI GAT I ON S, Y OU M I GH T N OT RECEI V E AN Y
Term
Approximately 5 years

AM OU N T S OWED T O Y OU U N DER T H E SECU RI T I ES AN D Y OU COU LD LOSE
Trade Date
February 24, 2016
Y OU R EN T I RE I N V EST M EN T .
Settlement Date
February 29, 2016


Final Valuation
February 22, 2021
Sum m In
a r v
y e s
R tim
sk e n
F t
a T
c t im
or e
s line
Date1
An


The closing price of the Underlying Shares (Initial Share
Maturity Date
February 26, 2021
T ra de Da t e :
Price) is observed, the Participation Rate is set and the
Underlying
Shares of the Vanguard FTSE Emerging Markets ETF (Ticker: VWO)
Trigger Price is determined.
Shares
(the "ET F " or the "U nde rlying Sha re I ssue r ")



Trigger Price
$23.07, 75.00% of the Initial Share Price
Participation Rate
155.00%


The Final Share Price is determined on the Final Valuation
Payment at
I f t he Sha re Re t urn is posit ive , Citigroup Inc. will pay you a cash
Date and the Share Return is calculated.
Maturity (per
payment per $10.00 Stated Principal Amount of Securities that provides

$10.00 Stated
you with the Stated Principal Amount of $10.00 plus a return equal to
I f t he Sha re Re t urn is posit ive , Citigroup Inc. will pay
Principal Amount
the Share Return multiplied by the Participation Rate, calculated as
you a cash payment per $10.00 Stated Principal Amount of
of Securities)
follows:
Securities that provides you with the Stated Principal Amount

of $10.00 plus a return equal to the Share Return multiplied
$10.00 + ($10.00 × Share Return × Participation Rate)
by the Participation Rate, calculated as follows:


I f t he Sha re Re t urn is ze ro or ne ga t ive a nd t he Fina l Sha re
$10.00 + ($10.00 × Share Return × Participation Rate)
Pric e is gre a t e r t ha n or e qua l t o t he T rigge r Pric e on t he

Fina l V a lua t ion Da t e , Citigroup Inc. will pay you a cash payment of
I f t he Sha re Re t urn is ze ro or ne ga t ive a nd t he
$10.00 per $10.00 Stated Principal Amount of Securities.
Fina l Sha re Pric e is gre a t e r t ha n or e qua l t o t he

T rigge r Pric e on t he Fina l V a lua t ion Da t e , Citigroup
I f t he Sha re Re t urn is ne ga t ive a nd t he Fina l Sha re Pric e is
Inc. will pay you a cash payment of $10.00 per $10.00
le ss t ha n t he T rigge r Pric e on t he Fina l V a lua t ion Da t e ,
Stated Principal Amount of Securities.
Citigroup Inc. will pay you a cash payment at maturity less than the

M a t urit y Da t e :
Stated Principal Amount of $10.00 per Security, resulting in a loss on
I f t he Sha re Re t urn is ne ga t ive a nd t he Fina l
the Stated Principal Amount that is proportionate to the percentage
Sha re Pric e is le ss t ha n t he T rigge r Pric e on t he
decline in the price of the Underlying Shares, calculated as follows:
Fina l V a lua t ion Da t e , Citigroup Inc. will pay you a cash

payment at maturity less than the Stated Principal Amount of
$10.00 + ($10.00 × Share Return)
$10.00 per Security, resulting in a loss on the Stated

Principal Amount that is proportionate to the percentage
I n t his sc e na rio, you w ill be e x pose d t o t he full ne ga t ive
decline in the price of the Underlying Shares, calculated as
Sha re Re t urn, a nd you w ill lose a subst a nt ia l port ion or a ll
follows:
of t he St a t e d Princ ipa l Am ount in a n a m ount proport iona t e

t o t he pe rc e nt a ge de c line in t he U nde rlying Sha re s.
$10.00 + ($10.00 × Share Return)
Share Return
Final Share Price ­ Initial Share Price

Initial Share Price
I n t his sc e na rio, you w ill be e x pose d t o t he full
Initial Share Price
$30.76, the closing price of the Underlying Shares on the Trade Date
ne ga t ive Sha re Re t urn, a nd you w ill lose a
Final Share Price
The closing price of the Underlying Shares on the Final Valuation Date
subst a nt ia l port ion or a ll of t he St a t e d Princ ipa l
Am ount in a n a m ount proport iona t e t o t he
investment in the Securities is significantly riskier than an investment in conventional debt securities.
pe rc e nt a ge de c line in t he U nde rlying Sha re s.
The Securities are subject to all of the risks associated with an investment in our conventional debt

securities, including the risk that we may default on our obligations under the Securities, and are

also subject to risks associated with the Underlying Shares. Accordingly, the Securities are suitable
only for investors who are capable of understanding the complexities and risks of the Securities. You should consult your own financial, tax and legal advisers as to the risks of an investment in
the Securities and the suitability of the Securities in light of your particular circumstances.

The following is a summary of certain key risk factors for investors in the Securities. You should read this summary together with the more detailed description of risks relating to an investment
in the Securities contained in the section "Risk Factors Relating to the Securities" beginning on page EA-6 in the accompanying product supplement. You should also carefully read the risk
factors included in the documents incorporated by reference in the accompanying prospectus, including our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on
Form 10-Q, which describe risks relating to our business more generally.

¨
Y ou m a y lose som e or a ll of your inve st m e nt -- The Securities differ from ordinary debt securities in that we will not necessarily repay the full Stated Principal Amount of your
Securities at maturity. Instead, your return on the Securities is linked to the performance of the Underlying Shares and will depend on whether, and the extent to which, the Share Return is
positive or negative. If the Final Share Price is less than the Trigger Price, you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Share Price is
less than the Initial Share Price. There is no minimum payment at maturity on the Securities, and you may lose up to all of your investment in the Securities.

¨
T he re duc e d m a rk e t risk offe re d by t he Se c urit ie s is c ont inge nt , a nd you w ill ha ve full dow nside e x posure t o t he U nde rlying Sha re s if t he Fina l Sha re Pric e
is le ss t ha n t he T rigge r Pric e -- If the Final Share Price is below the Trigger Price, the contingent reduced market risk with respect to a limited range of potential depreciation of the
Underlying Shares offered by the Securities will not apply and you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Share Price is less than the
Initial Share Price. The Securities will have full downside exposure to the decline of the Underlying Shares if the Final Share Price is below the Trigger Price. As a result, you may lose your
entire investment in the Securities. Further, this contingent reduced market risk applies only if you hold the Securities to maturity. If you are able to sell the Securities prior to maturity you
may have to sell them for a loss even if the Underlying Shares have not declined below the Trigger Price.

¨
T he Se c urit ie s do not pa y int e re st -- 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.

¨
Y ou w ill not ha ve vot ing right s, right s t o re c e ive a ny divide nds or ot he r dist ribut ions or a ny ot he r right s w it h re spe c t t o t he U nde rlying Sha re s -- As of
February 24, 2016, the trailing 12-month dividend yield of the Underlying Shares was approximately 3.47%. While it is impossible to know the future dividend yield of the Underlying Shares,
if this trailing 12-month dividend yield were to remain constant for the term of the Securities, you would be forgoing an aggregate yield of approximately 17.35% (assuming no reinvestment of
dividends) by investing in the Securities instead of investing directly in the Underlying Shares or in another investment linked to the Underlying Shares that provides for a pass-through of
dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the Securities.

¨
Y our pa ym e nt a t m a t urit y de pe nds on t he c losing pric e of t he U nde rlying Sha re s on a single da y -- Because your payment at maturity depends on the closing price of
the Underlying Shares solely on the Final Valuation Date, you are subject to the risk that the closing price of the Underlying Shares on that day may be lower, and possibly significantly
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lower, than on one or more other dates during the term of the Securities. If you had invested directly in the Underlying Shares or in another instrument linked to the Underlying Shares 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 prices of the Underlying Shares, you might have achieved better
returns.

¨
T he Se c urit ie s a re subje c t t o t he c re dit risk of Cit igroup I nc . -- Any payment on the Securities will be made by Citigroup Inc. and therefore is subject to the credit risk of
Citigroup Inc. If we default on our obligations under the Securities, you may not receive any payments that become due under the Securities. As a result, the value of the Securities prior to
maturity will be affected by changes in the market's view of our creditworthiness. Any decline, or anticipated decline, in our credit ratings or increase, or anticipated increase, in the credit
spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Securities.

¨
T he Se c urit ie s w ill not be list e d on a se c urit ie s e x c ha nge a nd you m a y not be a ble t o se ll t he m prior t o m a t urit y -- 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.

¨
T he e st im a t e d va lue of t he Se c urit ie s on t he T ra de Da t e , ba se d on CGM I 's proprie t a ry pric ing m ode ls a nd our int e rna l funding ra t e , is le ss t ha n t he issue
pric e -- 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 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 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.

¨
T he e st im a t e d va lue of t he Se c urit ie s w a s de t e rm ine d for us by our a ffilia t e using proprie t a ry pric ing m ode ls -- CGMI derived the estimated value disclosed on the
cover page of this pricing supplement from its proprietary pricing models. In doing so, it

PS-4

may have made discretionary judgments about the inputs to its models, such as the volatility of the Underlying Shares, dividend yields on the Underlying Shares and the stocks held by the
ETF 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.

¨
T he e st im a t e d va lue of t he Se c urit ie s w ould be low e r if it w e re c a lc ula t e d ba se d on our se c onda ry m a rk e t ra t e -- 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.

¨
T he e st im a t e d va lue of t he Se c urit ie s is not a n indic a t ion of t he pric e , if a ny, a t w hic h CGM I or a ny ot he r pe rson m a y be w illing t o buy t he Se c urit ie s from
you in t he se c onda ry m a rk e t -- 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.

¨
T he va lue of t he Se c urit ie s prior t o m a t urit y w ill fluc t ua t e ba se d on m a ny unpre dic t a ble fa c t ors -- The value of your Securities prior to maturity will fluctuate based on
the price and volatility of the Underlying Shares and a number of other factors, including the price and volatility of the stocks held by the ETF, the dividend yields on the Underlying Shares
and the stocks held by the ETF, the exchange rate and the volatility of the exchange rate between the U.S. dollar and each of the currencies in which the stocks held by the ETF trade, the
correlation between those rates and the price of the Underlying Shares, interest rates in the United States and in each of the markets of the stocks held by the ETF, the time remaining to
maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your Securities at any time prior to maturity may be significantly less
than the issue price. The stated payout from the Issuer, including the potential application of the Participation Rate and the Trigger Level, only applies if you hold the Securities to maturity.

¨
I m m e dia t e ly follow ing issua nc e , a ny se c onda ry m a rk e t bid pric e provide d by CGM I , a nd t he va lue t ha t w ill be indic a t e d on a ny brok e ra ge a c c ount
st a t e m e nt s pre pa re d by CGM I or it s a ffilia t e s, w ill re fle c t a t e m pora ry upw a rd a djust m e nt -- The amount of this temporary upward adjustment will decline to zero over the
temporary adjustment period. See "Valuation of the Securities" in this pricing supplement.

¨
T he U nde rlying Sha re s re c e nt ly c om ple t e d a t ra nsit ion t o t ra c k ing a ne w unde rlying inde x a nd w ill soon t ra nsit ion t o t ra c k ing a not he r ne w unde rlying inde x
-- Prior to January 2013, the Underlying Shares tracked the MSCI Emerging Markets Index. In January 2013, The Vanguard Group, Inc. announced that the Underlying Shares would instead
track the FTSE Emerging Index. The principal difference between the two indices is that the FTSE Emerging Index does not contain South Korean companies because those companies are
included in FTSE's various developed country indices. Beginning January 10, 2013 the Underlying Shares ceased tracking the MSCI Emerging Markets Index and began temporarily tracking
the FTSE Emerging Transition Index. The FTSE Emerging Transition Index was a "dynamic" index representing the components of the FTSE Emerging Index plus South Korean equity
exposure. The FTSE Emerging Transition Index was designed to gradually reduce South Korean equity exposure by approximately 4% each week over a period of 25 weeks while
proportionately adding exposure to stocks of companies located in other countries based on their weightings in the FTSE Emerging Index. On June 28, 2013, the Underlying Shares ceased
tracking the FTSE Emerging Transition Index and began tracking the FTSE Emerging Index. As a result of this transition, the Underlying Shares will no longer seek to track, and therefore
will not benefit from any potential future appreciation in, the South Korean equity markets.

Additionally, on November 2, 2015, the Underlying Shares ceased to track the FTSE Emerging Index and began to temporarily track the FTSE Emerging Markets All Cap China A Transition
Index. By using this transition index, the Underlying Shares will move gradually from tracking the FTSE Emerging Index to tracking the FTSE Emerging Markets All Cap China A Inclusion
Index. As part of the transition, China A-shares and small capitalization companies will gradually increase in weight by an equal amount after the third Friday each month over an
approximately 12-month period, while the weights of the stocks already in the index will be proportionately reduced. The FTSE Emerging Markets All Cap China A Inclusion Index is a
market-capitalization weighted index representing the performance of large-, mid- and small-capitalization stocks in emerging markets. The FTSE Emerging Markets All Cap China A
Inclusion Index is comprised of approximately 3350 securities from 21 countries, and is part of the FTSE China A Inclusion Indexes. The principal differences between the FTSE Emerging
Index and the FTSE Emerging Markets All Cap China A Inclusion Index are that the former represents the performance of large- and mid-capitalization companies in emerging markets,
excluding China A-Shares, whereas the latter also represents the performance of small-capitalization companies in emerging markets and includes China A-Shares. As a result of this
transition, the ETF will be exposed to risks associated with investing both in mainland China and in small-capitalization stocks.
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When evaluating the historical performance of the Underlying Shares contained in this pricing supplement, you should bear in mind that the underlying index tracked by the Underlying
Shares during the historical period differed in the ways described above from the underlying index that the Underlying Shares will track going forward.

¨
T he Se c urit ie s w ill be subje c t t o risk s a ssoc ia t e d w it h sm a ll c a pit a liza t ion st oc k s -- Some of the stocks that constitute the FTSE Emerging Markets All Cap China A
Inclusion 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,

PS-5

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.

¨
Our offe ring of t he Se c urit ie s is not a re c om m e nda t ion of t he U nde rlying Sha re s -- The fact that we are offering the Securities does not mean that we believe that investing
in an instrument linked to the Underlying Shares 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 Underlying Shares or the stocks held by the ETF or in instruments related to the Underlying Shares or such stocks, and may publish research or express opinions, that in
each case are inconsistent with an investment linked to the Underlying Shares. These and other activities of our affiliates may affect the price of the Underlying Shares in a way that has a
negative impact on your interests as a holder of the Securities.

¨
Our a ffilia t e s, or U BS or it s a ffilia t e s, m a y publish re se a rc h, e x pre ss opinions or provide re c om m e nda t ions t ha t a re inc onsist e nt w it h inve st ing in or holding
t he Se c urit ie s -- Any such research, opinions or recommendations could affect the closing price of the Underlying Shares and the value of the Securities. Our affiliates, and UBS and its
affiliates, publish research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that may
be inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by our affiliates or by UBS or its affiliates may not be consistent with each
other and may be modified from time to time without notice. These and other activities of our affiliates or UBS or its affiliates may adversely affect the price of the Underlying Shares and may
have a negative impact on your interests as a holder of the Securities. Investors should make their own independent investigation of the merits of investing in the Securities and the
Underlying Shares to which the Securities are linked.

¨
T ra ding a nd ot he r t ra nsa c t ions by our a ffilia t e s, or by U BS or it s a ffilia t e s, in t he e quit y a nd e quit y de riva t ive m a rk e t s m a y im pa ir t he va lue of t he
Se c urit ie s -- We have hedged our exposure under the Securities through CGMI or other of our affiliates, who have entered into equity and/or equity derivative transactions, such as over-
the-counter options or exchange-traded instruments, relating to the Underlying Shares or the stocks held by the ETF and other financial instruments related to the Underlying Shares or such
stocks and may adjust such positions during the term of the Securities. It is possible that our affiliates could receive substantial returns from these hedging activities while the value of the
Securities declines. Our affiliates and UBS and its affiliates may also engage in trading in instruments linked to the Underlying Shares on a regular basis as part of their respective general
broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may affect the closing price of the Underlying Shares and reduce the return on your investment in the Securities. Our affiliates or UBS or its affiliates may also issue or
underwrite other securities or financial or derivative instruments with returns linked or related to the Underlying Shares. By introducing competing products into the marketplace in this manner,
our affiliates or UBS or its affiliates could adversely affect the value of the Securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from,
or are in direct opposition to, investors' trading and investment strategies relating to the Securities.

¨
Our a ffilia t e s, or U BS or it s a ffilia t e s, m a y ha ve e c onom ic int e re st s t ha t a re a dve rse t o yours a s a re sult of t he ir re spe c t ive busine ss a c t ivit ie s -- Our affiliates
or UBS or its affiliates may currently or from time to time engage in business with the Underlying Share Issuer or the issuers of the stocks held by the ETF, including extending loans to,
making equity investments in or providing advisory services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may acquire non-public information about those
issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS or any of its affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against
that issuer that are available to them without regard to your interests.

¨
Eve n if t he U nde rlying Sha re I ssue r pa ys a divide nd t ha t it ide nt ifie s a s spe c ia l or e x t ra ordina ry, no a djust m e nt w ill be re quire d unde r t he Se c urit ie s for
t ha t divide nd unle ss it m e e t s t he c rit e ria spe c ifie d in t he a c c om pa nying produc t supple m e nt -- In general, an adjustment will not be made under the terms of the
Securities for any cash dividend paid on the Underlying Shares unless the amount of the dividend per share, together with any other dividends paid in the same quarter, exceeds the
dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing price of the Underlying Shares on the date of declaration of the dividend. Any dividend
will reduce the closing price of the Underlying Shares by the amount of the dividend per share. If the Underlying Share Issuer pays any dividend for which an adjustment is not made under
the terms of the Securities, holders of the Securities will be adversely affected. See "Description of the Securities--Certain Additional Terms for Securities Linked to ETF Shares or Company
Shares--Dilution and Reorganization Adjustments--Certain Extraordinary Cash Dividends" in the accompanying product supplement.

¨
T he Se c urit ie s m a y be c om e link e d t o sha re s of a n issue r ot he r t ha n t he origina l U nde rlying Sha re I ssue r upon t he oc c urre nc e of a re orga niza t ion e ve nt or
upon t he de list ing of t he U nde rlying Sha re s -- For example, if the Underlying Share Issuer enters into a merger agreement that provides for holders of the Underlying Shares to
receive shares of another entity, the shares of such other entity will become the Underlying Shares for all purposes of the Securities upon consummation of the merger. Additionally, if the
Underlying Shares are delisted or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another ETF to be the Underlying Shares. See
"Description of the Securities--Certain Additional Terms for Securities Linked to ETF Shares or Company Shares--Dilution and Reorganization Adjustments" and "--Delisting, Liquidation or
Termination of an ETF" in the accompanying product supplement.

¨
An a djust m e nt is not re quire d t o be m a de for a ll e ve nt s t ha t m a y ha ve a dilut ive e ffe c t on or ot he rw ise a dve rse ly a ffe c t t he m a rk e t pric e of t he U nde rlying
Sha re s -- For example, an adjustment will not be made for ordinary dividends or extraordinary dividends that do not meet the criteria described above. Moreover, the adjustments that are
made may not fully offset the dilutive or adverse effect of the particular event. Investors in the Securities may be adversely affected by such an event in a circumstance in which a direct
holder of the Underlying Shares would not.

¨
T he c a lc ula t ion a ge nt , w hic h is a n a ffilia t e of ours, w ill m a k e im port a nt de t e rm ina t ions w it h re spe c t t o t he Se c urit ie s -- If certain events occur, such as market
disruption events, events with respect to the Underlying Share Issuer that may require a dilution adjustment or the delisting of the Underlying Shares, CGMI, as calculation agent, will be
required to make discretionary judgments that could significantly affect your payment at maturity. Such judgments could include, among other things:

¨
determining whether a market disruption event has occurred;

PS-6

¨
if a market disruption event occurs on the Final Valuation Date, determining whether to postpone the Final Valuation Date;

¨
determining the price of the Underlying Shares if the price of the Underlying Shares is not otherwise available or a market disruption event has occurred;

¨
determining the appropriate adjustments to be made to the Initial Share Price upon the occurrence of an event described under "Description of the Securities--Certain Additional Terms
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for Securities Linked to ETF Shares or Company Shares--Delisting, Liquidation or Termination of an Underlying ETF" in the accompanying product supplement; and

¨
selecting a successor ETF or performing an alternative calculation of the price of the Underlying Shares if the Underlying Shares are discontinued or materially modified (see
"Description of the Securities--Certain Additional Terms for Securities Linked to ETF Shares or Company Shares--Delisting, Liquidation or Termination of an Underlying ETF" in the
accompanying product supplement).

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 Securities.

¨
T he pric e a nd pe rform a nc e of t he U nde rlying Sha re s m a y not c om ple t e ly t ra c k t he pe rform a nc e of t he inde x unde rlying t he ET F or t he ne t a sse t va lue pe r
sha re of t he ET F -- The ETF does not fully replicate the underlying index that it seeks to track and may hold securities different from those included in its underlying index. In addition, the
performance of the Underlying Shares will reflect transaction costs and fees of the Underlying Share Issuer that are not included in the calculation of the index underlying the ETF. In
addition, the Underlying Share Issuer may not hold all of the shares included in, and may hold securities and derivative instruments that are not included in, the index underlying the ETF. All
of these factors may lead to a lack of correlation between the performance of the Underlying Shares and the ETF's underlying index. In addition, corporate actions with respect to the equity
securities constituting the ETF's underlying index or held by the ETF (such as mergers and spin-offs) may impact the variance between the performances of the Underlying Shares and the
ETF's underlying index. Finally, because the Underlying Shares are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of the Underlying
Shares may differ from the net asset value per share of the Underlying Shares.

During periods of market volatility, securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value
per share of the Underlying Shares and the liquidity of the Underlying Shares may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to
create and redeem shares of the ETF. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the Underlying
Shares. As a result, under these circumstances, the market value of the Underlying Shares may vary substantially from the net asset value per share of the Underlying Shares. For all of the
foregoing reasons, the performance of the Underlying Shares may not correlate with the performance of the ETF's underlying index and/or the net asset value per share of the Underlying
Shares, which could materially and adversely affect the value of the Securities in the secondary market and/or reduce your payment at maturity.

¨
Cha nge s m a de by t he inve st m e nt a dvise r t o t he U nde rlying Sha re I ssue r or by t he sponsor of t he inde x unde rlying t he ET F m a y a dve rse ly a ffe c t t he
U nde rlying Sha re s -- We are not affiliated with the investment adviser to the Underlying Share Issuer or with the sponsor of the index underlying the ETF. Accordingly, we have no
control over any changes such investment adviser or sponsor may make to the Underlying Share Issuer or the index underlying the ETF. Such changes could be made at any time and could
adversely affect the performance of the Underlying Shares.

¨
T he ET F ut ilize s a pa ssive inde x ing inve st m e nt a pproa c h t o t ra c k t he pe rform a nc e of t he inde x unde rlying t he ET F -- The ETF is not managed according to
traditional methods of "active" investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead,
the ETF, utilizing a "passive" or indexing investment approach, attempts to approximate the investment performance of its index underlying the ETF by investing in a portfolio of stocks that
generally replicate that index. Therefore, unless a specific stock is removed from the index underlying the ETF, the ETF generally would not sell a stock because the stock's issuer was in
financial trouble. In addition, the ETF is subject to the risk that the investment strategy of the ETF's investment adviser may not produce the intended results.

¨
I nve st ing in t he Se c urit ie s e x pose s inve st ors t o risk s a ssoc ia t e d w it h e m e rging m a rk e t s e quit y se c urit ie s -- The stocks composing the index underlying the ETF and
that are generally tracked by the Underlying Shares have been issued by companies in various emerging markets. Investments in securities linked to the value of foreign equity securities
involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in
companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements
of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The
prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange laws. Countries with emerging markets may have relatively unstable governments, present the risks of nationalization of businesses,
have restrictions on foreign ownership and prohibitions on the repatriation of assets and have less protection of property rights than more developed countries. The economies of countries
with emerging markets may be based on only a few industries, be highly vulnerable to changes in local or global trade conditions and suffer from extreme and volatile debt burdens or
inflation rates. Local securities markets may trade a small number of securities and be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of
holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth of
gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.

Moreover, it is important to understand that, as part of its transition to tracking the FTSE Emerging Markets All Cap China A Inclusion Index, the ETF will begin to hold shares that are traded
on mainland Chinese exchanges (as distinct from exchanges in Hong Kong). Shares traded on mainland Chinese exchanges, referred to as A-Shares, are subject to regulation by Chinese
authorities, including regulations that limit the amount of shares that may be held by foreign investors. These regulations may adversely affect the price of A-Shares. Trading in A-Shares
may be less liquid and subject to greater volatility, including as a result of actions by the Chinese government, than trading on international exchanges outside of mainland China.

PS-7

¨
Fluc t ua t ions in e x c ha nge ra t e s w ill a ffe c t t he pric e of t he U nde rlying Sha re s -- Because the ETF invests in non-U.S. companies and the net asset value of the ETF is
based on the U.S. dollar value of the stocks held by the ETF, holders of the Securities will be exposed to currency exchange rate risk with respect to each of the currencies in which such
stocks trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the demand
for, those currencies, as well as government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by
macroeconomic factors and speculative actions related to each applicable region. An investor's net exposure will depend on the extent to which the currencies of the applicable countries
strengthen or weaken against the U.S. dollar and the relative weight of each currency. If, taking into account such weighting, the dollar strengthens against the currencies of the stocks held
by the ETF, the price of the Underlying Shares will be adversely affected for that reason alone and the payment at maturity on the Securities may be reduced. Of particular importance to
potential currency exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and the extent of governmental surpluses or
deficits in the applicable countries and the United States. All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various component
countries and the United States. and other countries important to international trade and finance.

¨
T he U .S. fe de ra l t a x c onse que nc e s of a n inve st m e nt in t he Se c urit ie s a re unc le a r -- 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 of the Securities, the tax
consequences of the ownership and disposition of the Securities might be materially and adversely affected. Even if the treatment of the Securities as prepaid forward contracts is respected,
a Security may be treated as a "constructive ownership transaction," with potentially adverse consequences described below under "United States Federal Tax Considerations." In addition, 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, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with
retroactive effect. You should read carefully the discussion under "United States Federal Tax Considerations" and "Risk Factors Relating to the Securities" in the accompanying product
supplement and "United States Federal Tax Considerations" in this pricing supplement. 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.

H ypot he t ic a l Ex a m ple s
The diagram below illustrates your hypothetical payment at maturity for a range of hypothetical percentage changes from the Initial Share Price to the Final Share Price. The diagram below is
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based on a hypothetical Participation Rate of 150.00% and does not reflect the actual terms of the Securities.

Investors in the Securities will not receive any dividends paid on the Underlying Shares or the stocks held by the ETF. The diagram and examples below do not show any effect of lost dividend
yield over the term of the Securities. See "Summary Risk Factors-- You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect to the
Underlying Shares" above.


The following table and hypothetical examples below illustrate the Payment at Maturity per $10.00 Stated Principal Amount of Securities for a hypothetical range of performances for the
Underlying Shares from -100.00% to +100.00% and assume an Initial Share Price of $30.00, a Trigger Price of $22.50 (75.00% of the Initial Share Price) and a Participation Rate of 150.00%.
The actual Initial Share Price, Trigger Price and Participation Rate are listed on the cover page of this pricing supplement. The hypothetical Payment at Maturity examples set forth below are for
illustrative purposes only and are not the actual returns applicable to a purchaser of the Securities. The actual Payment at Maturity will be determined based on the Final Share Price on the
Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment goals. The numbers appearing in the table and in the examples below have been
rounded for ease of analysis and do not reflect the actual terms of the Securities, which are provided on the cover page of this pricing supplement.

PS-8

Fina l Sha re Pric e
Sha re Re t urn
Pa ym e nt a t M a t urit y
T ot a l Re t urn on Se c urit ie s a t M a t urit y (1)
$60.00
100.00%
$25.000
150.00%
$57.00
90.00%
$23.500
135.00%
$54.00
80.00%
$22.000
120.00%
$51.00
70.00%
$20.500
105.00%
$48.00
60.00%
$19.000
90.00%
$45.00
50.00%
$17.500
75.00%
$42.00
40.00%
$16.000
60.00%
$39.00
30.00%
$14.500
45.00%
$36.00
20.00%
$13.000
30.00%
$33.00
10.00%
$11.500
15.00%
$30.00
0.00%
$10.000
0.00%
$27.00
-10.00%
$10.000
0.00%
$24.00
-20.00%
$10.000
0.00%
$22.50
-25.00%
$10.000
0.00%
$22.49
-25.01%
$7.499
-25.01%
$21.00
-30.00%
$7.000
-30.00%
$18.00
-40.00%
$6.000
-40.00%
$15.00
-50.00%
$5.000
-50.00%
$12.00
-60.00%
$4.000
-60.00%
$9.00
-70.00%
$3.000
-70.00%
$6.00
-80.00%
$2.000
-80.00%
$3.00
-90.00%
$1.000
-90.00%
$0.00
-100.00%
$0.000
-100.00%
1 The "Total Return on Securities at Maturity" is calculated as (a) the Payment at Maturity per Security minus the $10.00 Issue Price per Security divided by (b) the $10.00 Issue Price per Security.

Ex a m ple 1 -- T he Fina l Sha re Pric e of $ 3 3 .0 0 is gre a t e r t ha n t he I nit ia l Sha re Pric e of $ 3 0 .0 0 , re sult ing in a Sha re Re t urn of 1 0 .0 0 % . Because the Share Return is
10.00%, Citigroup Inc. would pay you a Payment at Maturity of $11.500 per $10.00 Stated Principal Amount of Securities (a total return at maturity of 15.00%), calculated as follows:

$10.00 + ($10.00 × Share Return × Participation Rate)
$10.00 + ($10.00 × 10.00% × 150.00%) = $11.500

Ex a m ple 2 -- T he Fina l Sha re Pric e of $ 2 7 .0 0 is le ss t ha n t he I nit ia l Sha re Pric e of $ 3 0 .0 0 (re sult ing in a Sha re Re t urn of
-1 0 .0 0 % ) but gre a t e r t ha n t he T rigge r Pric e of $ 2 2 .5 0 . Because the Share Return is negative and the Final Share Price is greater than the Trigger Price, Citigroup Inc. will pay you a
Payment at Maturity of $10.00 per $10.00 Stated Principal Amount of Securities (a total return at maturity of 0.00%).

Ex a m ple 3 -- T he Fina l Sha re Pric e of $ 9 .0 0 is le ss t ha n t he I nit ia l Sha re Pric e of $ 3 0 .0 0 (re sult ing in a Sha re Re t urn of
-7 0 .0 0 % ) a nd le ss t ha n t he T rigge r Pric e of $ 2 2 .5 0 . Because the Share Return is negative and the Final Share Price is less than the Trigger Price, Citigroup Inc. will pay you a
Payment at Maturity of $3.00 per $10.00 Stated Principal Amount of Securities (a total return at maturity of -70.00%), calculated as follows:

$10.00 + ($10.00 × Share Return)
$10.00 + ($10.00 × -70.00%) = $3.00

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If the Final Share Price is less than the Trigger Price, you will be fully exposed to the negative Share Return, resulting in a loss on the Stated Principal Amount that is proportionate
to the percentage decline in the price of the Underlying Shares. Under these circumstances, you will lose a significant portion or all of the Stated Principal Amount at maturity. Any
payment on the Securities, including any repayment of the Stated Principal Amount at maturity, is subject to the creditworthiness of the Issuer and if the Issuer were to default on
its payment obligations, you could lose your entire investment.

* The total return at maturity is calculated as (a) the Payment at Maturity per Security minus the $10.00 Issue Price per Security divided by (b) the $10.00 Issue Price per Security.

PS-9

T he V a ngua rd FT SE Em e rging M a rk e t s ET F
The Vanguard FTSE Emerging Markets ETF (the "ET F " or the "U nde rlying Sha re I ssue r ") is an exchange-traded fund that seeks to track the performance of a benchmark index that
measures the investment return of stocks issued by companies located in certain emerging market countries. The ETF employs an indexing investment approach by investing substantially all of
its assets (approximately 95%) in the common stocks included in the FTSE Emerging Markets All Cap China A Transition Index, while employing a form of sampling to reduce risk. The FTSE
Emerging Markets All Cap China A Transition Index is an interim index that will gradually increase exposure to small-capitalization stocks and China A-shares while proportionately reducing
exposure to other stocks based on their weightings in the FTSE Emerging Markets All Cap China A Inclusion Index. As of December 31, 2015, the FTSE Emerging Markets All Cap China A
Transition Index includes approximately 3,500 common stocks of companies located in emerging markets around the world. As of December 31, 2015, the largest markets covered in the FTSE
Emerging Markets All Cap China A Transition Index were China, Taiwan, India and South Africa (which made up approximately 29.6%, 14.8%, 13.2% and 8.1%, respectively, of the FTSE
Emerging Markets All Cap China A Transition Index's market capitalization).

We have derived all information contained in this pricing supplement regarding the ETF from publicly available information. We have not independently verified such information. Such
information reflects the policies of, and is subject to change by, The Vanguard Group, Inc.

Prior to January 2013, the ETF tracked the MSCI Emerging Markets Index. In January 2013, the ETF began to transition from tracking the MSCI Emerging Markets Index to tracking the FTSE
Emerging Index. In order to accomplish that transition, from January 10, 2013 to June 28, 2013 the ETF employed an indexing investment approach by investing substantially all of its assets
(approximately 95%) in the common stocks included in the FTSE Emerging Transition Index. The FTSE Emerging Transition Index differed from FTSE's Emerging Index prior to March 18,
2013, in that it contained "P Chip" and South Korean companies, used actual free float in the calculation of the FTSE Emerging Index, and incorporated the indicative additions and deletions
that were projected to be applied at the March 2013 index review. A "P Chip" company is one that is controlled by mainland China individuals, with the establishment and origin of the company
in mainland China. The company must be incorporated outside of the People's Republic of China and traded on the Stock Exchange of Hong Kong, with a majority of its revenue or assets
derived from mainland China.

At the March 2013 FTSE Emerging Index review, the majority of these differences were removed, and the primary difference was that the FTSE Emerging Transition Index contained South
Korean companies. FTSE, the publisher of the FTSE Emerging Index and the FTSE Emerging Transition Index, classified South Korea as a Developed Market in September 2009 and since
then it has not been a member of FTSE's emerging indices. As the MSCI Emerging Markets Index included South Korea in its portfolio, constituents of the FTSE Korea Index were initially
included in the transition index universe and then over a 25-week time horizon weight of South Korea within the index was gradually reduced. The FTSE Emerging Transition Index was a
"dynamic" index that represented the components of the FTSE Emerging Index plus South Korean equity exposure. The FTSE Emerging Transition Index was designed to gradually reduce
South Korean equity exposure by approximately 4% each week over a period of 25 weeks while proportionately adding exposure to stocks of companies located in other countries based on their
weightings in the FTSE Emerging Index. As of June 28, 2013, the ETF completed its transition and began tracking the performance of the FTSE Emerging Index.

Additionally, on November 2, 2015, the ETF ceased to track the FTSE Emerging Index and began to temporarily track the FTSE Emerging Markets All Cap China A Transition Index. By using
this transition index, the ETF will gradually move from tracking the FTSE Emerging Index to tracking the FTSE Emerging Markets All Cap China A Inclusion Index. As part of the transition,
China A-shares and small capitalization companies will gradually increase in weight by an equal amount after the third Friday of each month over an approximately 12-month period, while the
weights of the stocks already in the index will be proportionately reduced. The FTSE Emerging Markets All Cap China A Inclusion Index is a market-capitalization weighted index representing
the performance of large-, mid- and small-capitalization stocks in emerging markets, with market-capitalization adjustments in the case of China A-Shares to take into account the quota amount
allocated to foreign investors by the Chinese regulator. The FTSE Emerging Markets All Cap China A Inclusion Index is comprised of approximately 3350 securities form 21 countries, and is part
of the FTSE China A Inclusion Indexes. The principal differences between the FTSE Emerging Index and the FTSE Emerging Markets All Cap China A Inclusion Index are that the former
represents the performance of large- and mid-cap companies in emerging markets, excluding China A-Shares, whereas the latter also represents the performance of small-cap stocks in
emerging markets and includes China A-Shares. As a result of this transition, the ETF will be exposed to risks associated with investing both in mainland China and in small-capitalization
stocks.

The ETF is one of the investment portfolios of The Vanguard Group, Inc., a registered investment company that consists of numerous separate mutual fund and other fund portfolios. Information
provided to or filed with the SEC by Vanguard pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to SEC file numbers 033-32548 and
811-05972, respectively, through the SEC's website at.www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. N e it he r t he I ssue r nor t he a ge nt m a k e s
a ny re pre se nt a t ion t ha t suc h public ly a va ila ble doc um e nt s or a ny ot he r public ly a va ila ble inform a t ion re ga rding t he ET F is a c c ura t e or c om ple t e .

The following table sets forth, for each of the quarterly periods indicated, the high and low closing prices of, and dividends paid, on the Underlying Shares from January 2, 2008 through
February 24, 2016. The closing price of the Underlying Shares on February 24, 2016 was $30.76. We obtained the closing prices and other information below from Bloomberg, L.P., without
independent verification. The Closing Prices and this other information may be adjusted by Bloomberg, L.P. for corporate actions such as stock splits, public offerings, mergers and acquisitions,
spin-offs, delistings and bankruptcy. The closing prices and other information below reflects the historical performance of the Underlying Shares during a period that the ETF sought to track the
performance of four different indices, as discussed above, and may not be indicative of the performance of the Underlying Shares had the ETF sought to track only the FTSE Emerging Markets
All Cap China A Transition Index for the entire period. Since its inception, the price of the Underlying Shares has experienced significant fluctuations. The historical performance of the
Underlying Shares should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the Underlying Shares during the term of the
Securities. We cannot give you assurance that the performance of the Underlying Shares will result in the return of any of your initial investment. We make no representation as to the amount of
dividends, if any, that the Underlying Shares will pay in the future. In any event, as an investor in the Securities, you will not be entitled to receive dividends, if any, that may be payable on the
Underlying Shares.

PS-10

Qua rt e r Be gin
Qua rt e r End
Qua rt e rly H igh
Qua rt e rly Low
Divide nds
1/2/2008
3/31/2008
$52.90
$44.01
$0.000
4/1/2008
6/30/2008
$53.45
$46.21
$0.000
7/1/2008
9/30/2008
$45.63
$32.10
$0.000
10/1/2008
12/31/2008
$34.22
$18.60
$1.178
1/2/2009
3/31/2009
$25.68
$19.04
$0.000
4/1/2009
6/30/2009
$33.89
$24.39
$0.000
7/1/2009
9/30/2009
$39.01
$30.57
$0.000
10/1/2009
12/31/2009
$41.71
$37.54
$0.545
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1/4/2010
3/31/2010
$42.80
$36.85
$0.000
4/1/2010
6/30/2010
$43.98
$36.38
$0.000
7/1/2010
9/30/2010
$45.40
$38.22
$0.000
10/1/2010
12/31/2010
$49.32
$45.54
$0.815
1/3/2011
3/31/2011
$48.92
$45.00
$0.000
4/1/2011
6/30/2011
$50.71
$46.44
$0.000
7/1/2011
9/30/2011
$49.52
$35.89
$0.000
10/3/2011
12/30/2011
$43.47
$35.20
$0.906
1/3/2012
3/30/2012
$45.09
$38.57
$0.000
4/2/2012
6/29/2012
$43.99
$37.08
$0.000
7/2/2012
9/28/2012
$43.25
$38.28
$0.525
10/1/2012
12/31/2012
$44.53
$40.44
$0.450
1/2/2013
3/28/2013
$45.45
$42.24
$0.058
4/1/2013
6/28/2013
$44.79
$36.53
$0.506
7/1/2013
9/30/2013
$42.94
$37.16
$0.345
10/1/2013
12/31/2013
$42.91
$39.96
$0.216
1/2/2014
3/31/2014
$40.58
$36.67
$0.105
4/1/2014
6/30/2014
$43.86
$40.46
$0.418
7/1/2014
9/30/2014
$46.49
$41.62
$0.446
10/1/2014
12/31/2014
$43.09
$37.71
$0.174
1/2/2015
3/31/2015
$42.02
$38.74
$0.071
4/1/2015
6/30/2015
$44.97
$40.34
$0.000
7/1/2015
9/30/2015
$41.07
$31.96
$0.386
10/1/2015
12/31/2015
$36.41
$31.56
$0.609
1/4/2016
2/24/2016*
$31.85
$28.55
$0.000
* As of the date of this pricing supplement, available information for the first calendar quarter of 2016 includes data for the period from January 4, 2016 through February 24, 2016. Accordingly,
the "Quarterly High," "Quarterly Low" and "Close" data indicated are for this shortened period only and do not reflect complete data for the first calendar quarter of 2016.

The graph below illustrates the performance of the Underlying Shares from January 2, 2008 to February 24, 2016. The closing price of the Underlying Shares on February 24, 2016
was $30.76. We obtained the closing prices of the Underlying Shares from Bloomberg, and we have not participated in the preparation of or verified such information. The
historical closing prices of the Underlying Shares should not be taken as an indication of future performance and no assurance can be given as to the Final Share Price or any
future closing price of the Underlying Shares. We cannot give you assurance that the performance of the Underlying Shares will result in a positive return on your initial investment
and you could lose a significant portion or all of the Stated Principal Amount at maturity.

PS-11


De sc ript ion of t he FT SE Em e rging M a rk e t s All Ca p China A T ra nsit ion I nde x

We have derived all information contained in this pricing supplement regarding the FTSE Emerging Markets All Cap China A Transition Index including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information. We have not independently verified such information. Such information reflects the policies of, and is subject to
change by, FTSE International Limited.

The FTSE Emerging Markets All Cap China A Transition Index will be calculated over twelve months and at the start of the transition on November 2, 2015 will contain only constituents of the
FTSE Emerging Index. On a monthly basis, a proportion of small-capitalization and China A-share companies will be added until at the end of the year-long transition, the composition is aligned
with the FTSE Emerging Markets All Cap China A Inclusion Index. The weight of China A-shares and small-capitalization companies will be adjusted after the third Friday of each month using
a factor approach. At the start of the index calculation, China A-shares and small-capitalization companies will have a factor of 0 applied to their free-float adjusted market capitalizations. Each
month, the factor will be increased by 8.33%. At month 12, the full weight of China A-shares and small cap companies will have been added to the FTSE Emerging Markets All Cap China A
Transition Index and the index constituents and weightings will be aligned with the FTSE Emerging Markets All Cap China A Inclusion Index.

The constituents' weights in the FTSE Emerging Markets All Cap China A Transition Index are neutralized between transition reviews when a corporate event leads to a rise or fall in index
weighting for a constituent could potentially be reversed at the next monthly transition review. This may cause FTSE to adjust the factor applied to an index constituent's market capitalization.

De sc ript ion of t he FT SE Em e rging M a rk e t s All Ca p China A I nc lusion I nde x

We have derived all information contained in this pricing supplement regarding the FTSE Emerging Markets All Cap China A Inclusion Index including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information. We have not independently verified such information. Such information reflects the policies of, and is subject to
change by, FTSE International Limited.

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The FTSE Emerging Markets All Cap China A Inclusion Index is a market-capitalization weighted index representing the performance of large, mid and small-cap companies in emerging
markets. The FTSE Emerging Markets All Cap China A Inclusion Index was launched on June 5, 2015, with a base date of December 31, 2005 and a base value of 1,000.

The FTSE Emerging Markets All Cap China A Inclusion Index will apply the same methodology as the FTSE Emerging Index, except the FTSE Emerging Markets All Cap China A Inclusion
Index will include small capitalization stocks and China A-shares at a weighting equivalent to the aggregate QFII and/or Renminbi QFII ("RQFII") approved quota for international investors. The
China A-shares weighting will increase as total QFII and RQFII allocations increase. A built-in mechanism ensures that the allocation of China A-shares is adjusted proportional to the changes
in the approved quota and is in line with the accessibility available to international investors.

De sc ript ion of t he FT SE Em e rging I nde x

We have derived all information contained in this pricing supplement regarding the FTSE Emerging Index including, without limitation, its make-up, method of calculation and changes in its
components, from publicly available information. We have not independently verified such information. Such information reflects the policies of, and is subject to change by, FTSE International
Limited.

The FTSE Emerging Index is a market-capitalization weighted index representing the performance of around 953 large- and mid-cap companies in 21 emerging markets, and is calculated,
published and disseminated by FTSE International Limited ("FT SE"). FTSE Emerging Markets indices are part of the FTSE Global Equity Index Series (GEIS). The FTSE Global Equity Index
Series (each index included in the GEIS, and for the purposes of this section, an "I nde x ") draws from a universe of over 7,400 securities in 47 different countries. It attempts to represent every
equity and sector relevant to international investors' needs and has a modular structure. The universe is divided into "Developed," "Advanced Emerging" and "Secondary Emerging" segments,
with indexes calculated at regional, national and sector level. The FTSE Emerging Index is the aggregate of the Advanced Emerging and Secondary Emerging markets.

PS-12

On November 2, 2015, the ETF began its transition away from the FTSE Emerging Index to track a new underlying index, the FTSE Emerging Markets All Cap China A Inclusion Index.
According to The Vanguard Group, Inc., the transition to the new underlying index will take place over a period of approximately 12 months, with the ETF ceasing to track the FTSE Emerging
Index and beginning to temporarily track the FTSE Emerging Markets All Cap China A Transition Index. See the discussion above for information about the differences between the FTSE
Emerging Index, the FTSE Emerging Markets All Cap China A Transition Index and the FTSE Emerging Markets All Cap China A Inclusion Index.

Country Selection Criteria

The following criteria must be met before a country can be included:

ˇ
Permission for direct equity investment by non-nationals

ˇ
Availability of accurate and timely data

ˇ
Non-existence of any significant exchange controls which would prevent the timely repatriation of capital or dividends

ˇ
The demonstration of significant international investor interest in the local equity market

ˇ
Existence of adequate liquidity in the market

A country's classification as Developed, Advanced Emerging or Secondary Emerging is largely dependent on the following factors:

ˇ
Wealth (Gross National Income per capita)

ˇ
Total stock market capitalization

ˇ
Breadth and depth of market

ˇ
Any restrictions on foreign investment

ˇ
Free flow of foreign exchange

ˇ
Reliable and transparent price discovery

ˇ
Efficient market infrastructure (trading, reporting and settlement systems, derivatives market, etc.)

ˇ
Oversight by independent regulator

The FTSE Regional Committees will review the classification of countries between Developed, Advanced Emerging and Secondary Emerging on a regular basis. The FTSE Policy Group will
publish a watch list of countries being monitored for promotion or demotion and will normally give notice of at least six months before changing the classification of any country.

New countries, which in the view of the FTSE Policy Group and FTSE Regional Committees comply with these rules, may be added at any time after a prior announcement. After such an
announcement, new regional indices may be added at any time and new companies in the new countries will be reviewed in line with the relevant regional review and implemented. Once a
country has met the criteria, it will be eligible for inclusion in the FTSE Global Equity Index Series. However, for the country index to be constructed and included in the FTSE Global Equity
Index Series, it must have a minimum of 3 companies which pass all the eligibility criteria. An existing country index will remain in the FTSE Global Equity Index Series while any eligible
constituents representing the country remain within the index. On the deletion of the last eligible constituent, the country will continue to be eligible, but the country index will be immediately
removed from the FTSE Global Equity Index Series and will only be reconsidered for inclusion if it meets the minimum requirement of 3 eligible companies.

Determining Nationality

A company will be allocated to a single country. If a company is incorporated in one country and has its sole listing in the same country, FTSE will allocate the company to that country. In all
other circumstances, FTSE will refer the company to the FTSE Nationality Committee who will decide the appropriate nationality for the company. The FTSE Nationality Committee will base its
decision according to its assessment of various factors including, but not necessarily limited to, the following:

ˇ
The investor protection regulations present in the country of incorporation;

ˇ
The country in which the company is domiciled for tax purposes;
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