CITIGROUP INC — Capital/Financing Update 2015

Oct 29, 2015

Citigroup Inc. Pricing Sheet No. 2015-CMTNG0707 dated October 27, 2015 relating to Preliminary Pricing Supplement No. 2015–CMTNG0707 dated October 2, 2015 Registration Statement No. 333-192302 Filed Pursuant to Rule 433

Floating Rate Notes Due October 30, 2035

Leveraged Callable CMS Curve Linked Notes

PRICING TERMS—OCTOBER 27, 2015
Aggregate
stated principal amount:	$22,205,000
Stated
principal amount:	$1,000 per note
Pricing
date:	October 27, 2015
Issue
date:	October 30, 2015
Maturity
date:	Unless earlier called by us, October 30, 2035
Payment
at maturity:	At maturity, unless we have earlier called the notes, you will receive for each note you then hold an amount in cash equal to $1,000 plus any accrued and unpaid interest
Interest:	§ During each interest period from and including the issue date to but excluding October 30, 2025, unless earlier redeemed
by us, the notes will bear interest at a floating rate equal to the leverage factor of 15 times the modified CMS reference
index, as determined on the CMS reference determination date for that interest period, subject to a maximum interest rate of 10.00%
per annum and a minimum interest rate of 0.00% per annum § During each interest period from and including October 30, 2025 to the maturity date, unless earlier redeemed by us, the
notes will bear interest at a floating rate equal to the leverage factor of 20 times the modified CMS reference index, as
determined on the CMS reference determination date for that interest period, subject to a maximum interest rate of 10.00% per annum
and a minimum interest rate of 0.00% per annum Interest payments will vary based on fluctuations in the modified
CMS reference index and the applicable leverage factor for the relevant interest period. The notes may pay a below-market rate
or no interest at all for an extended period of time.
CMS
reference index:	On any CMS reference determination date, CMS30 minus CMS2, each as determined on that CMS reference determination date
Modified
CMS reference index:	The CMS reference index minus 0.875%
CMS
reference determination date:	For any interest period, the second U.S. government securities business day prior to the first day of that interest period
Interest
period:	Each three-month period from and including an interest payment date (or the issue date, in the case of the first interest period) to but excluding the next interest payment date
Interest
payment dates:	The 30th day of each January, April, July and October, beginning on January 30, 2016 and ending on the maturity date or, if applicable, the date when the notes are redeemed
Survivor’s
option:	The notes are Survivor’s Option Notes. The representative of a deceased beneficial owner of the notes will have the right to request early repayment of the notes, subject to the terms and limitations described in the related prelminary pricing supplement in the section “Repayment Upon Death”
Day
count convention:	During each interest period, interest will be calculated on the basis of a 360-day year consisting of twelve 30-day months. The amount of each interest payment, if any, will equal (i) the stated principal amount of the notes multiplied by the interest rate in effect during the applicable interest period divided by (ii) 4
Call
right:	We may call the notes, in whole and not in part, for mandatory redemption on any interest payment date beginning on October 30, 2016, upon not less than five business days’ notice. Following an exercise of our call right, you will receive for each note you then hold an amount in cash equal to $1,000 plus any accrued and unpaid interest.
Listing:	The notes will not be listed on any securities exchange
CUSIP
/ ISIN:	1730T3AY9 / US1730T3AY94
Underwriter:	Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal

| Underwriting
fee and issue price: | Issue price (1) | Underwriting fee (2) | Proceeds to issuer |
| --- | --- | --- | --- |
| Per note: | $1,000 | $35 | $965 |
| Total: | $22,205,000 | $777,175 | $21,427,825 |

(1) On the pricing date, the estimated value of the notes is $948.00 per note, which is less than the issue price. The estimated value of the notes is based on CGMI’s proprietary pricing models, including CGMI’s estimation of the value of the survivor’s option, 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 the related preliminary pricing supplement.

(2) CGMI will receive an underwriting fee of $35 for each $1,000 note sold in this offering. Certain selected dealers, including Morgan Stanley & Co. LLC, and their financial advisors will collectively receive from CGMI a selling concession of $35 for each $1,000 note they sell. 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. For more information on the distribution of the notes, see “Supplemental Plan of Distribution” in the related preliminary pricing supplement and “Use of Proceeds and Hedging” in the accompanying prospectus.

Y ou should read this document together with the related preliminary pricing supplement and the other following documents , each of which can be accessed via the following hyperlinks:

Preliminary Pricing Supplement dated October 2, 2015 Product Supplement IE-07-01 dated August 4, 2014

Prospectus Supplement and Prospectus each dated November 13, 2013

T he notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

Citigroup Inc. has filed a registration statement (including the related preliminary pricing supplement and the accompanying product supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. You should read the related preliminary pricing supplement and the accompanying product supplement, prospectus supplement and prospectus in that registration statement (File No. 333-192302) and the other documents Citigroup Inc. has filed with the SEC for more complete information about Citigroup Inc. and this offering. You may get these documents for free by visiting EDGAR on the SEC’s website at www.sec.gov. Alternatively, you can request the related preliminary pricing supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus by calling toll-free 1-800-831-9146.

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