· You may lose some or all of your investment. If the currency return is negative and is equal to or below –20%, you will lose 1% of the stated principal amount of your securities at maturity for every 1% of that negative currency return. The minimum payment at maturity on the securities is $0, and you may lose up to all of your investment.
· The securities do not pay interest.
· If the Mexican peso depreciates against the euro and the currency return is equal to or below –20%, the resulting loss on the securities will be greater than the loss that would have been realized had the performance of the Mexican peso relative to the euro been measured based on the percentage change in the value of the Mexican peso in euro terms (which we refer to as a “MXN value return”), rather than based on the currency return formula used by the securities. You should read the section “How the MXN/EUR Exchange Rate and the Currency Return Formula Work” in the accompanying preliminary pricing supplement for more information.
· Your potential return on the securities at maturity is limited by the maximum return at maturity.
· The leverage provided by the securities would be less than the leverage factor stated above if the return on the securities were compared to a MXN value return.
· The securities are subject to the credit risk of Citigroup Inc. If Citigroup Inc. defaults on its obligations under the securities, you may not receive anything owed to you under the securities.
· The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity.
· The estimated value of the securities on the pricing date will be less than the issue price. For more information about the estimated value of the securities, see the accompanying preliminary pricing supplement.
· The value of the securities prior to maturity is likely to be less than the issue price and will fluctuate based on many unpredictable factors.
· If an early redemption event occurs during the term of the securities, Citigroup Inc. may redeem the securities early for an amount that may result in a significant loss on your investment. Citigroup Inc.’s affiliates may be required to make discretionary determinations in connection with an early redemption.
· The securities are subject to currency exchange rate risk with respect to the Mexican peso relative to the euro. These risks include, among other risks, the risks associated with emerging market currencies. See the accompanying preliminary pricing supplement for more information about these risks.
· Citigroup Inc. and its affiliates, and the placement agents and their affiliates, may have conflicts of interest with you.
· The U.S. federal tax consequences of an investment in the securities are uncertain.
The above summary of selected risks does not describe all of the risks associated with an investment in the securities. You should read the accompanying preliminary pricing supplement for a more complete description of risks relating to the securities.
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