Obligation Citigroup 0.25% ( US17298C3Z95 ) en USD

Citigroup

100 % ⇌

Etas-Unis

US17298C3Z95 ( en USD )

0.25% par an ( paiement semestriel )

27/05/2021 - Obligation échue

Prospectus brochure de l'obligation Citigroup US17298C3Z95 en USD 0.25%, échue

1 000 USD

3 070 000 USD

17298C3Z9

N/A

Citigroup est une société financière multinationale américaine offrant une large gamme de services financiers, notamment des services bancaires de détail, des services bancaires d'investissement, la gestion d'actifs et les services de cartes de crédit, à travers le monde.

L'Obligation émise par Citigroup ( Etas-Unis ) , en USD, avec le code ISIN US17298C3Z95, paye un coupon de 0.25% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 27/05/2021

424B2 1 dp61501_424b2-2030.htm PRICING SUPPLEMENT
CALCU LAT I ON OF REGI ST RAT I ON FEE

T it le of e a c h c la ss of se c urit ie s t o be re gist e re d
M a x im um a ggre ga t e offe ring pric e
Am ount of re gist ra t ion fe e (1) (2)
Medium-Term Senior Notes, Series G
$3,070,000
$309.15
(1) Calculated in accordance with Rule 457(r) of the Securities Act.

(2) Pursuant to Rule 457(p) under the Securities Act, the $169,552.17 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 $309.15 is offset against the registration fee due for this offering and of which $169,243.02
remains available for future registration fee offset. No additional registration fee has been paid with respect to this offering. See the "Calculation of
Registration Fee" table accompanying the filing of Pricing Supplement No. 2015-CMTNG0369 dated February 12, 2015, filed by Citigroup Inc. on
February 17, 2015, for information regarding the registration fees that are being carried forward.

Citigroup

N ove m be r 2 4 , 2 0 1 5
M e dium -T e rm Se nior N ot e s, Se rie s G
Pric ing Supple m e nt N o. 2 0 1 5 -
CM T N G0 7 3 3
Inc.
File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -
1 9 2 3 0 2
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

The notes offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Inc. The notes offer a semi-annual
coupon at a rate of 0.25% per annum and the potential for an additional positive return at maturity based on the average basket return
percentage of a basket (the "basket") consisting of the S&P 500® Index, the EURO STOXX 50® Index and shares of the iShares® Core
U.S. Aggregate Bond ETF (each, a "basket component"), measured as described below. If the average basket return percentage is positive,
you will receive a positive return at maturity equal to 105% of that average basket return percentage in addition to the final coupon
payment. However, if the average basket return percentage is negative or zero, your total return on the notes will be limited to the sum of
the coupon payments paid over the term of the notes. Even if the average basket return percentage is positive, so that you do receive a
positive return at maturity in addition to the final coupon payment, there is no assurance that your total return at maturity on the notes will
compensate you for the effects of inflation or be as great as the yield you could have achieved on a conventional debt security of ours of
comparable maturity.

The average basket return percentage is the average of the percentage changes in the closing level of the basket from the pricing date to
each quarterly valuation date occurring over the term of the notes. You should understand that the return on the notes may be significantly
lower than the actual return on the basket, as measured from the pricing date to the final valuation date, because of the manner in which the
average basket return percentage is calculated. In addition, as an investor in the notes, you must be willing to forgo any dividends paid on
the stocks included in the S&P 500® Index or the EURO STOXX 50® Index and any distributions of interest payments on the bonds held by
the iShares® Core U.S. Aggregate Bond ETF over the term of the notes.

In order to obtain the modified exposure to the basket that the notes provide, investors must be willing to accept (i) an investment that may
have limited or no liquidity and (ii) the risk of not receiving any amount due under the notes if we default on our obligations. All pa ym e nt s
on t he not e s a re subje c t t o t he c re dit risk of Cit igroup I nc .
K EY T ERM S
Ba sk e t :
I nit ia l Com pone nt
Ba sk e t Com pone nt
We ight ing
V a lue *
M ult iplie r* *

S&P 500® Index (ticker symbol: "SPX")
33.34%
2,089.14
0.01596

EURO STOXX 50® Index (ticker symbol: "SX5E")
33.33%
3,409.60
0.00978

Shares of the iShares® Core U.S. Aggregate Bond ETF (ticker
symbol: "AGG")
33.33%
$108.75
0.30648

* The initial component value for each basket component is the closing level or closing price, as applicable, of that
basket component on the pricing date
** The multiplier for each basket component is determined as follows: (initial basket level × weighting) / initial
component value.
Aggre ga t e st a t e d princ ipa l a m ount : $3,070,000
St a t e d princ ipa l a m ount :
$1,000 per note
Pric ing da t e :
November 24, 2015
I ssue da t e :
November 30, 2015
V a lua t ion da t e s:
The 24th day of each February, May, August and November during the term of the notes,
beginning February 2016, each subject to postponement if such date is not a scheduled trading
day or if certain market disruption events occur with respect to a basket component
M a t urit y da t e :
May 27, 2021
Coupon pa ym e nt da t e s:
The 27th day of each May and November, beginning on May 27, 2016 and ending on the maturity
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

date, provided that if any such day is not a business day, the applicable coupon payment will be
made on the next succeeding business day and no interest will accrue as a result of delayed
payment
Coupon:
On each semi-annual coupon payment date, the notes will pay a coupon at a rate of 0.25% per
annum
Pa ym e nt a t m a t urit y:
For each note, the $1,000 stated principal amount per note plus the note return amount, which will
be either zero or positive, plus the coupon payment due at maturity
N ot e re t urn a m ount :
· If the average basket return percentage is gre a t e r t ha n ze ro :
$1,000 × average basket return percentage × upside participation rate
· If the average basket return percentage is le ss t ha n or e qua l t o ze ro :
$0
Ave ra ge ba sk e t re t urn pe rc e nt a ge :
The arithmetic average of the interim basket return percentages, as measured on each of the
valuation dates
I nt e rim ba sk e t re t urn pe rc e nt a ge :
On each valuation date: (ending basket level initial basket level) / initial basket level
I nit ia l ba sk e t le ve l:
100
Ending ba sk e t le ve l:
The closing level of the basket on the relevant valuation date. The closing level of the basket on
any valuation date is equal to the sum of the products of each basket component's closing level or
closing price, as applicable, on that date and its multiplier
U pside pa rt ic ipa t ion ra t e :
105.00%
List ing:
The notes will not be listed on any securities exchange
CU SI P / I SI N :
17298C3Z9 / US17298C3Z95
U nde rw rit e r:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
U nde rw rit ing fe e a nd issue pric e :
I ssue pric e (1)(2)
U nde rw rit ing fe e (2)(3)
Proc e e ds t o issue r
Pe r not e :
$1,000
$30
$970
T ot a l:
$3,070,000
$92,100
$2,977,900
(1) On the date of this pricing supplement, the estimated value of the notes is $917.20 per note, which is less than the issue price. The estimated value of
the notes is based on CGMI's proprietary pricing models 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 notes from you at any time after issuance. See
"Valuation of the Notes" in this pricing supplement.

(2) The issue price for investors purchasing the notes in fee-based advisory accounts will be $970.00 per note, assuming no custodial fee is charged by a
selected dealer, and up to $975.00, assuming the maximum custodial fee is charged by a selected dealer. See "Supplemental Plan of Distribution" in this
pricing supplement.

(3) For more information on the distribution of the notes, see "Supplemental Plan of Distribution" in this pricing supplement. In addition to the underwriting
fee, CGMI and its affiliates may profit from hedging activity related to this offering, even if the value of the notes declines. See "Use of Proceeds and
Hedging" in the accompanying prospectus.
I nve st ing in t he not e s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in c onve nt iona l
de bt se c urit ie s. Se e "Sum m a ry Risk Fa c t ors" be ginning on pa ge PS -6 .

N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e se c urit ie s c om m ission ha s a pprove d or
disa pprove d of t he not e s or de t e rm ine d t ha t t his pric ing supple m e nt a nd t he a c c om pa nying produc t supple m e nt ,
unde rlying supple m e nt , prospe c t us supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he
c ont ra ry is a c rim ina l offe nse .

You should read this pricing supplement together with the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below.

Produc t Supple m e nt N o. EA-0 3 -0 3 da t e d N ove m be r 1 3 , 2 0 1 3 U nde rlying Supple m e nt N o. 3 da t e d N ove m be r
1 3 , 2 0 1 3
Prospe c t us Supple m e nt a nd Prospe c t us e a c h da t e d N ove m be r 1 3 , 2 0 1 3

T he not e s a re not ba nk de posit s a nd a re not insure d or gua ra nt e e d by t he Fe de ra l De posit I nsura nc e Corpora t ion or
a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

Additional Information

Ge ne ra l. The terms of the notes 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, including market disruption events and other events affecting the basket components, and their consequences are described in
the accompanying product supplement in the sections "Description of the Notes--Certain Additional Terms for Notes 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 Underlying ETF" with respect to the basket component that is an ETF and in the
sections "Description of the Notes--Certain Additional Terms for Notes Linked to an Underlying Index--Consequences of a Market Disruption
Event; Postponement of a Valuation Date" and "--Discontinuance or Material Modification of an Underlying Index" with respect to the basket
components that are indices. The accompanying underlying supplement contains important disclosures regarding the basket components that
are not repeated in this pricing supplement. It is important that you read the accompanying product supplement, underlying supplement,
prospectus supplement and prospectus together with this pricing supplement in connection with your investment in the notes. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.

Post pone m e nt of a va lua t ion da t e . If a valuation date is postponed for a reason that affects less than all of the basket components, the
ending basket level on that valuation date will be calculated based on (i) for each unaffected basket component, its closing level or closing price,
as applicable, on the originally scheduled valuation date and (ii) for each affected basket component, its closing level or closing price, as
applicable, on the valuation date as postponed (or, if earlier, the first scheduled trading day for that basket component following the originally
scheduled valuation date on which a market disruption event did not occur with respect to that basket component). See "Description of the
Notes--Certain Additional Terms for Notes Linked to ETF Shares or Company Shares--Consequences of a Market Disruption Event;
Postponement of a Valuation Date" and "Description of the Notes--Certain Additional Terms for Notes Linked to an Underlying Index--
Consequences of a Market Disruption Event; Postponement of a Valuation Date" in the accompanying product supplement.

Dilut ion a nd re orga niza t ion a djust m e nt s. The multiplier with respect to shares of the iShares® Core U.S. Aggregate Bond ETF is
subject to adjustment upon the occurrence of any of the events described in the accompanying product supplement in the section "Description
of the Notes--Certain Additional Terms for Notes Linked to ETF Shares or Company Shares--Dilution and Reorganization Adjustments."

November 2015
PS-2
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

Hypothetical Examples

The following four examples illustrate the calculation of the average basket return percentage and the payment at maturity on the notes based
on different hypothetical interim basket return percentages for each of the quarterly valuation dates occurring during the term of the notes. Your
actual payment at maturity per note will depend on the actual average basket return percentage.

I nve st ors in t he not e s w ill not re c e ive a ny divide nds pa id on t he st oc k s inc lude d in t he S& P 5 0 0 I nde x or t he EU RO
ST OX X 5 0 I nde x or a ny dist ribut ions of int e re st pa ym e nt s on t he bonds he ld by t he iSha re s Core U .S. Aggre ga t e
Bond ET F. T he e x a m ple s be low do not show a ny e ffe c t of lost divide nd or dist ribut ion yie ld ove r t he t e rm of t he
not e s. See "Summary Risk Factors--Investing in the notes is not equivalent to investing in the basket components" below.

Ex a m ple 1

H ypot he t ic a l Pe rform a nc e of t he Ba sk e t

http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

T he int e rim ba sk e t re t urn pe rc e nt a ge from t he pric ing da t e t o t he fina l va lua t ion da t e is 1 3 .0 0 % but t he a ve ra ge
ba sk e t re t urn pe rc e nt a ge is only 6 .5 0 % . The graph above illustrates the hypothetical percentage change in the closing level of the
basket from the pricing date to each of the valuation dates. In this example, the basket appreciates steadily over the term of the notes.

Payment at maturity per note = $1,000 + the note return amount + the coupon payment due at maturity

= $1,000 + ($1,000 × average index return percentage × upside participation rate) + the coupon payment due at maturity

= $1,000 + ($1,000 × 6.50% × 105.00%) + (($1,000 × 0.25%) / 2)

= $1,000 + $68.25 + $1.25

= $1,069.50

Because the average basket return percentage is greater than zero, your payment at maturity in this example would be equal to the $1,000
stated principal amount per note plus the note return amount, in addition to the coupon payment due at maturity, or $1,069.50 per note. In this
example, the return on the notes is significantly less than the performance of the basket as measured from the pricing date to the final valuation
date.

November 2015
PS-3
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

Ex a m ple 2

H ypot he t ic a l Pe rform a nc e of t he Ba sk e t

http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

T he int e rim ba sk e t re t urn pe rc e nt a ge from t he pric ing da t e t o t he fina l va lua t ion da t e is -1 4 .1 3 % a nd t he a ve ra ge
ba sk e t re t urn pe rc e nt a ge is -3 .2 5 % . The graph above illustrates the hypothetical percentage change in the closing level of the basket
from the pricing date to each of the valuation dates. In this example, the basket has negative interim basket return percentages on some
valuation dates and positive interim basket return percentages on other valuation dates. Because the negative interim basket return percentages
are relatively large in absolute terms, the positive interim basket return percentages are more than offset by the negative interim basket return
percentages, and the average basket return percentage is -3.25%.

Payment at maturity per note = $1,000 + the note return amount + the coupon payment due at maturity

= $1,000 + $0 + (($1,000 × 0.25%) / 2)

= $1,000 + $0 + $1.25

= $1,001.25

Because the average basket return percentage is less than zero, the note return amount will equal zero. Accordingly, the payment at maturity
per note will equal the $1,000 stated principal amount per note plus the coupon payment due at maturity, or $1,001.25.

Ex a m ple 3

H ypot he t ic a l Pe rform a nc e of t he Ba sk e t

November 2015
PS-4
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

T he int e rim ba sk e t re t urn pe rc e nt a ge from t he pric ing da t e t o t he fina l va lua t ion da t e is 7 .5 0 % but t he a ve ra ge
ba sk e t re t urn pe rc e nt a ge is only -0 .6 8 % . The graph above illustrates the hypothetical percentage change in the closing level of the
basket from the pricing date to each of the valuation dates. In this example, the basket depreciates early in the term of the notes, remains at a
level below the initial basket level for a significant period of time and then appreciates significantly later in the term of the notes. In this example,
the notes significantly underperform the basket over the term of the notes.

Payment at maturity per note = $1,000 + the note return amount + the coupon payment due at maturity

= $1,000 + $0 + (($1,000 × 0.25%) / 2)

= $1,000 + $0 + $1.25

= $1,001.25

Because the average basket return percentage is less than zero, the note return amount will equal zero. Accordingly, the payment at maturity
per note will equal the $1,000 stated principal amount per note plus the coupon payment due at maturity, or $1,001.25.

Ex a m ple 4

H ypot he t ic a l Pe rform a nc e of t he Ba sk e t

T he int e rim ba sk e t re t urn pe rc e nt a ge from t he pric ing da t e t o t he fina l va lua t ion da t e is -0 .5 0 % a nd t he a ve ra ge
ba sk e t re t urn pe rc e nt a ge is 5 .3 0 % . The graph above illustrates the hypothetical percentage change in the closing level of the basket
from the pricing date to each of the valuation dates. In this example, the basket appreciates early in the term of the notes and then declines
significantly later in the term of the notes. The level of the basket is greater than its closing level on the final valuation date for a significant
period of time during the term of the notes. The average basket return percentage is 5.30%, which is greater than -0.50%, the interim basket
return percentage from the pricing date to the final valuation date.

Payment at maturity per note = $1,000 + the note return amount + the coupon payment due at maturity

= $1,000 + ($1,000 × average basket return percentage × upside participation rate) + the coupon payment due at maturity

= $1,000 + ($1,000 × 5.30% × 105.00%)+ (($1,000 × 0.25%) / 2)

= $1,000 + $55.65 + $1.25

= $1,056.90

http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

Because the average basket return percentage is greater than zero, your payment at maturity in this example would be equal to the $1,000
stated principal amount per note plus the note return amount, in addition to the coupon payment due at maturity, or $1,056.90 per note.

November 2015
PS-5
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

Summary Risk Factors

An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes 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 notes, and
are also subject to risks associated with the basket components. Accordingly, the notes are suitable only for investors who are capable of
understanding the complexities and risks of the notes. You should consult your own financial, tax and legal advisers as to the risks of an
investment in the notes and the suitability of the notes in light of your particular circumstances.

The following is a summary of certain key risk factors for investors in the notes. You should read this summary together with the more detailed
description of risks relating to an investment in the notes contained in the section "Risk Factors Relating to the Notes" 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 our re t urn on t he not e s m a y be lim it e d t o t he sum of t he c oupon pa ym e nt s. You will receive a positive return on your
investment in the notes in excess of the sum of the coupon payments only if the average basket return percentage is greater than zero. If
the average basket return percentage is equal to or less than zero, you will only receive, at maturity, the stated principal amount of $1,000
for each note plus the coupon payment due at maturity. As the coupon rate payable on the notes is only 0.25% per annum, even if the
average basket return percentage is greater than zero, there is no assurance that your total return at maturity on the notes will be as great
as could have been achieved on conventional debt securities of ours of comparable maturity.

Alt hough t he not e s provide for t he re pa ym e nt of t he st a t e d princ ipa l a m ount a t m a t urit y a nd c oupon pa ym e nt s,
you m a y ne ve rt he le ss suffe r a loss on your inve st m e nt in re a l va lue t e rm s if t he a ve ra ge ba sk e t re t urn
pe rc e nt a ge is le ss t ha n or not suffic ie nt ly gre a t e r t ha n ze ro. This is because inflation may cause the real value of the stated
principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone
opportunity to invest in an alternative asset that does generate a positive real return greater than the coupon rate payable on the notes. This
potential loss in real value terms is significant given the 5.5-year term of the notes. You should carefully consider whether an investment that
may provide a return that is lower than the return on alternative investments is appropriate for you.

T he not e s a re de signe d for inve st ors w ho a re w illing t o forgo full upside e x posure t o t he ba sk e t in c e rt a in
m a rk e t sc e na rios in orde r t o a void dow nside e x posure t o t he ba sk e t . Your potential for a positive return on the notes
beyond the semi-annual coupon payments is based on the average basket return percentage of the basket. You should understand that the
average basket return percentage may be significantly lower than the actual return on the basket as measured from the pricing date to the
final valuation date. In particular, if the closing level of the basket is greater on the final valuation date than it was, on average, on the
quarterly valuation dates over the term of the notes, the average basket return percentage will be lower than the actual return on the basket.
For example, if the closing level of the basket increases at a more or less steady rate over the term of the notes, the average basket return
percentage will be less than the percentage increase in the closing level of the basket from the pricing date to the final valuation date. This
underperformance will be especially significant if there is a significant increase in the closing level of the basket during the latter portion of
the term of the notes. In addition, it is possible that the average basket return percentage will be zero or negative, resulting in no return on
the notes beyond the semi-annual coupon payments, even if the closing level of the basket at or near maturity is significantly greater than it
was on the pricing date. One scenario in which this may occur is when the closing level of the basket declines early in the term of the notes,
remains below the initial basket level for a significant period of time and then increases significantly later in the term of the notes.

Because the average basket return percentage may be significantly lower than the actual return on the basket from the pricing date to the
final valuation date, an investment in the notes may significantly underperform a direct investment in the basket. This is an important trade-
off that investors in the notes must be willing to make in exchange for the repayment of the stated principal amount at maturity even if the
basket declines. You should not invest in the notes unless you understand and are willing to accept the drawbacks associated with the
averaging feature of the notes.

I nve st ing in t he not e s is not e quiva le nt t o inve st ing in t he ba sk e t c om pone nt s. You will not have voting rights, rights to
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

receive dividends on stocks or distributions of interest on bonds or any other rights with respect to the basket components or the securities
included in the basket components. The payment scenarios described in this pricing supplement do not show any effect of lost dividend or
distribution yield over the term of the notes.

It is important to understand that, for purposes of measuring the performance of the basket components, the levels and prices used will not
reflect the receipt or reinvestment of dividends or distributions on the basket components or their underlying securities. Dividend or
distribution yield on the basket components would be expected to represent a significant portion of the overall return on a direct investment
in the basket components, but will not be reflected in the performance of the basket components as measured for purposes of the notes
(except to the extent that dividends and distributions reduce the levels or prices of the basket components). The magnitude of this lost
dividend or distribution yield may be particularly significant in the case of the iShares Core U.S. Aggregate Bond ETF. The iShares Core
U.S. Aggregate Bond ETF is a bond fund and, as with any bond fund, distributions of interest payments on the bonds held by the fund would
be expected to make up a significant portion of the overall yield on a direct investment in the fund. The notes will not reflect distributions of
interest payments on the bonds held by iShares Core U.S. Aggregate Bond ETF and, therefore, will not reflect the interest component of the
yield on the iShares Core U.S. Aggregate Bond

November 2015
PS-6
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

ETF. As a result, the performance of the iShares Core U.S. Aggregate Bond ETF as measured for purposes of the notes may be
significantly less than the return that a direct investor in the iShares Core U.S. Aggregate Bond ETF would realize.

T he not e s a re subje c t t o t he c re dit risk of Cit igroup I nc . If we default on our obligations under the notes, you may not receive
anything owed to you under the notes.

T he not e s w ill not be list e d on a ny 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 notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently
intends to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any
indicative bid price for the notes provided by CGMI will be determined in CGMI's sole discretion, taking into account prevailing market
conditions and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price, or at all. CGMI may
suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends
or terminates making a market, there may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-
dealer that is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.

Sa le of t he not e s prior t o m a t urit y m a y re sult in a loss of princ ipa l. You will be entitled to receive at least the full stated
principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity. The value of the notes may
fluctuate during the term of the notes, and if you are able to sell your notes prior to maturity, you may receive less than the full stated
principal amount of your notes.

T he e st im a t e d va lue of t he not e s on t he pric ing 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 notes that are included in the issue price. These costs include (i) the selling concessions paid in connection
with the offering of the notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the notes and
(iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our
obligations under the notes. These costs adversely affect the economic terms of the notes because, if they were lower, the economic terms
of the notes would be more favorable to you. The economic terms of the notes are also likely to be adversely affected by the use of our
internal funding rate, rather than our secondary market rate, to price the notes. See "The estimated value of the notes would be lower if it
were calculated based on our secondary market rate" below.

T he e st im a t e d va lue of t he not e 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 may
have made discretionary judgments about the inputs to its models, such as the volatility of the basket components, the correlation among
the basket components, dividend or distribution yields on the basket components or the securities included in the basket components and
interest rates. CGMI's views on these inputs may differ from your or others' views, and as an underwriter in this offering, CGMI's interests
may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the
value of the notes. Moreover, the estimated value of the notes set forth on the cover page of this pricing supplement may differ from the
value that we or our affiliates may determine for the notes for other purposes, including for accounting purposes. You should not invest in
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

the notes because of the estimated value of the notes. Instead, you should be willing to hold the notes to maturity irrespective of the initial
estimated value.

T he e st im a t e d va lue of t he not e 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 notes included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which
we are willing to borrow funds through the issuance of the notes. Our internal funding rate is generally lower than the market rate implied by
traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary
market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal
funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the notes,
which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal
funding rate is not the same as the coupon that is payable on the notes.

T he e st im a t e d va lue of t he not e 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 not e 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 notes based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in
this pricing supplement, any value of the notes determined for purposes of a secondary market transaction will be based on our secondary
market rate, which will likely result in a lower value for the notes than if our internal funding rate were used. In addition, any secondary
market price for the notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the
notes to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it
is likely that any secondary market price for the notes will be less than the issue price.

T he va lue of t he not e 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 notes
prior to maturity will fluctuate based on the levels or prices of the basket components and a number of other factors, including the volatility
of the basket components, the correlation among the basket components, the dividend and distribution yields on the basket components or
the securities included in the basket components, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation
between that exchange rate and the level of the EURO STOXX 50® Index, interest rates generally, the time

November 2015
PS-7
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your
notes at any time prior to maturity may be significantly less than the issue price.

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 steadily decline to zero over the temporary adjustment
period. See "Valuation of the Notes" in this pricing supplement.

T he ba sk e t c om pone nt s m a y offse t e a c h ot he r. The performance of one basket component may not correlate with the
performance of the other basket components. If one of the basket components appreciates, the other basket components may not
appreciate as much or may even depreciate. In such event, the appreciation of one of the basket components may be moderated, wholly
offset or more than offset by lesser appreciation or by depreciation in the value of one or more of the other basket components.

T he ba sk e t c om pone nt s m a y be highly c orre la t e d in de c line . The performances of the basket components may become
highly correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or on
the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one basket
component will not be offset by the performance of the other basket components and, in fact, each basket component may contribute to an
overall decline from the initial basket level to each of the ending basket levels during the term of the notes.

T he EU RO ST OX X 5 0 ® I nde x is subje c t t o risk s a ssoc ia t e d w it h t he Eurozone . The companies whose stocks constitute
the EURO STOXX 50® Index are leading companies in the Eurozone. A number of countries in the Eurozone are undergoing a financial
crisis affecting their economies, their ability to meet their sovereign financial obligations and their financial institutions. Countries in the
Eurozone that are not currently experiencing a financial crisis may do so in the future as a result of developments in other Eurozone
countries. The economic ramifications of this financial crisis, and its effects on the companies that make up the EURO STOXX 50® Index,
are impossible to predict. This uncertainty may contribute to significant volatility in the EURO STOXX 50® Index, and adverse developments
affecting the Eurozone may affect the EURO STOXX 50® Index in a way that adversely affects the value of and return on the notes.
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

Furthermore, you should understand that there is generally less publicly available information about non-U.S. companies than about U.S.
companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are generally subject to accounting, auditing
and financial reporting standards and requirements and securities trading rules that are different from those applicable to U.S. reporting
companies.

T he pe rform a nc e of t he EU RO ST OX X 5 0 ® I nde x w ill not be a djust e d for c ha nge s in t he e x c ha nge ra t e be t w e e n
t he e uro a nd t he U .S. dolla r. The EURO STOXX 50® Index is composed of stocks traded in euro, the value of which may be subject
to a high degree of fluctuation relative to the U.S. dollar. However, the performance of the EURO STOXX 50® Index and the value of your
notes will not be adjusted for exchange rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the notes, your
return on the notes will underperform an alternative investment that offers exposure to that appreciation in addition to the change in the
level of the EURO STOXX 50® Index.

T he iSha re s ® Core U .S. Aggre ga t e Bond ET F is subje c t t o signific a nt risk s, inc luding int e re st ra t e -re la t e d a nd
c re dit -re la t e d risk s. Because the performance of the notes is linked to the shares of the iShares® Core U.S. Aggregate Bond ETF, the
notes are exposed to fluctuations in the value of U.S. dollar-denominated fixed-income securities. The performance of the iShares® Core
U.S. Aggregate Bond ETF that is measured for purposes of the notes will only reflect changes in the market prices of the fixed-income
securities held by the iShares® Core U.S. Aggregate Bond ETF and will not reflect interest payments on these fixed-income securities. As a
result, the performance of the iShares® Core U.S. Aggregate Bond ETF that is measured for purposes of the notes will be less, and
perhaps significantly less, than the return that would be realized by a direct investor in the iShares® Core U.S. Aggregate Bond ETF. The
market prices of the fixed-income securities held by the iShares® Core U.S. Aggregate Bond ETF are volatile and significantly influenced by
a number of factors, particularly the yields on these fixed-income securities as compared to current market interest rates and the actual or
perceived credit quality of the issuers of these fixed-income securities.

In general, the value of fixed-income securities is significantly affected by changes in current market interest rates. As interest rates rise, the
price of fixed-income securities, including those held by the iShares® Core U.S. Aggregate Bond ETF, is likely to decrease. Securities with
longer durations tend to be more sensitive to interest rate changes, usually making them more volatile than securities with shorter durations.
The eligibility criteria for the fixed-income securities included in the index that underlies the iShares® Core U.S. Aggregate Bond ETF, which
mandates that each security must have a minimum term remaining to maturity of one year for continued eligibility, means that, at any time,
only longer-term securities underlie the iShares® Core U.S. Aggregate Bond ETF, which thereby increases the risk of price volatility in the
underlying securities and, consequently, the volatility in the value of the iShares® Core U.S. Aggregate Bond ETF. As a result, rising interest
rates may cause the value of the bonds held by the iShares® Core U.S. Aggregate Bond ETF and the value of the basket to decline,
possibly significantly.

Interest rates are subject to volatility due to a variety of factors, including:

·
sentiment regarding underlying strength in the U.S. economy and global economies;

·
expectations regarding the level of price inflation;

·
sentiment regarding credit quality in the U.S. and global credit markets;

November 2015
PS-8
Citigroup Inc.
Market-Linked Notes Based on a Basket of Three Underliers Due May 27, 2021

·
central bank policies regarding interest rates; and

·
the performance of U.S. and foreign capital markets.

In addition, the prices of the fixed-income securities held by the iShares® Core U.S. Aggregate Bond ETF are significantly influenced by the
creditworthiness of the issuers of those fixed-income securities. The fixed-income securities underlying the iShares® Core U.S. Aggregate
Bond ETF may have their credit ratings downgraded, including a downgrade from investment grade to non-investment grade status, or
credit spreads may widen significantly. Following a ratings downgrade or the widening of credit spreads, some or all of the fixed-income
securities may suffer significant and rapid price declines. These events may affect only a few or a large number of the fixed-income
securities. For example, during the most recent credit crisis in the United States, credit spreads widened significantly as the market
demanded very high yields on corporate bonds and, as a result, the prices of the bonds underlying the iShares® Core U.S. Aggregate Bond
http://www.sec.gov/Archives/edgar/data/831001/000095010315009146/dp61501_424b2-2030.htm[11/27/2015 3:55:03 PM]

Document Outline

#1">
- #1">