Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
July 02 2015 - 3:40PM
Edgar (US Regulatory)
Citigroup Inc. |
|
Term Sheet No.
2015–CMTNG0563 dated June 30, 2015 relating to
Pricing Supplement
No. 2015–CMTNG0563 dated June 30, 2015
Registration Statement
No. 333-192302
Filed Pursuant
to Rule 433 |
|
Market Linked Securities—Leveraged Upside
Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to
the EURO STOXX 50® Index Due July 8, 2019
Term Sheet to Pricing Supplement No. 2015—CMTNG0563
dated June 30, 2015
|
Key Terms |
Investment Description |
Issuer |
Citigroup
Inc. |
· Linked
to the EURO STOXX 50® Index (ticker symbol: “SX5E”)
(the “underlying index”)
· Unlike
ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead,
the securities provide for a payment at maturity that may be greater than, equal to or less than the stated principal
amount of the securities, depending on the performance of the underlying index from its initial index level to its final
index level, subject to the maximum return at maturity. The payment at maturity will reflect the following terms:
o If
the level of the underlying index increases, you will receive the stated principal amount plus 175% participation in the
upside performance of the underlying index, subject to a maximum return at maturity of 42.00% of the stated principal
amount
o If
the level of the underlying index decreases, but the decrease is not more than 20%, you will be repaid the stated principal
amount
o If
the level of the underlying index decreases by more than 20%, you will receive less than the stated principal amount and
have 1-to-1 downside exposure to the decrease in the level of the underlying index in excess of 20%
· Investors
may lose up to 80% of the stated principal amount
· 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.
· No
periodic interest payments or dividends
· The
securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should
not invest in the securities unless you are willing to hold them to maturity.
|
Term |
Approximately
4 years |
Underlying
Index |
The
EURO STOXX 50® Index (ticker symbol: “SX5E”) |
Stated
Principal Amount |
$1,000
per security |
Pricing
Date |
June
30, 2015 |
Issue
Date |
July
6, 2015 |
Valuation
Date |
June
28, 2019 |
Maturity
Date |
July
8, 2019 |
Payment
at Maturity |
See
“Payment at Maturity” on Page 3 |
Initial
Index Level |
3,424.30,
the closing level of the underlying index on the pricing date |
Final
Index Level |
The
closing level of the underlying index on the valuation date |
Maximum
Return at Maturity |
42.00%
of the stated principal amount per security ($420.00 security) |
Buffer
Level: |
2,739.440,
80% of the initial index level |
Participation
Rate |
175% |
Calculation
Agent |
Citigroup
Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal |
Denominations |
$1,000
and any integral multiple of $1,000 |
Agent
Discount and Commission |
3.03%,
of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of 1.50% and WFA
will receive a distribution expense fee of 0.075% |
CUSIP
/ ISIN |
17298CBW7 / US17298CBW73 |
On the date of the related pricing supplement, the estimated value
of the securities is $955.10 per security, which is less than the public offering price. The estimated value of the securities
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 securities from you at any time after issuance. See “Valuation of the Securities” in the related pricing
supplement.
Investing in the securities involves risks not associated
with an investment in conventional debt securities. See “Risk Factors” beginning on page 3 in this term sheet, “Risk
Considerations” in the accompanying pricing supplement and “Risk Factors” in the accompanying prospectus.
This
introductory term sheet does not provide all of the information that an investor should consider prior to making an investment
decision.
Investors should carefully review the accompanying
pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus before making a decision to
invest in the securities. Your financial advisor or broker will not accept an order in respect of the securities without first
confirming that you have reviewed these documents and that you understand them.
NOT A BANK DEPOSIT AND NOT INSURED OR GUARANTEED BY THE FDIC
OR ANY OTHER GOVERNMENTAL AGENCY
Hypothetical Examples |
|
|
The diagram at right illustrates your payment at maturity for a range of hypothetical percentage changes from the initial index level to the final index level. |
|
nThe Securities n The Underlying Index |
|
Hypothetical Returns |
|
Your actual return will depend on the actual
final index level and whether you hold your securities to maturity. The table below is based on a range of hypothetical percentage
changes from the initial index level to the final index level and illustrates:
• the
hypothetical percentage change from the initial index level to the hypothetical final index level;
• the
hypothetical payment at maturity per security;
• the
hypothetical total pre-tax rate of return; and
• the
hypothetical pre-tax annualized rate of return.
|
Hypothetical
final index level
|
Hypothetical percentage change from the initial index level to the hypothetical final index level |
Hypothetical payment at maturity per security |
Hypothetical total pre-tax rate of return |
Hypothetical pre-tax annualized rate of return(1) |
6,848.600 |
100.00% |
$1,420.00 |
42.00% |
8.94% |
5,992.525 |
75.00% |
$1,420.00 |
42.00% |
8.94% |
5,136.450 |
50.00% |
$1,420.00 |
42.00% |
8.94% |
4,794.020 |
40.00% |
$1,420.00 |
42.00% |
8.94% |
4,451.590 |
30.00% |
$1,420.00 |
42.00% |
8.94% |
4,246.132 |
24.00% |
$1,420.00 |
42.00% |
8.94% |
4,109.160 |
20.00% |
$1,350.00 |
35.00% |
7.63% |
3,766.730 |
10.00% |
$1,175.00 |
17.50% |
4.06% |
3,595.515 |
5.00% |
$1,087.50 |
8.75% |
2.10% |
3,424.300 |
0.00% |
$1,000.00 |
0.00% |
0.00% |
3,253.085 |
-5.00% |
$1,000.00 |
0.00% |
0.00% |
3,081.870 |
-10.00% |
$1,000.00 |
0.00% |
0.00% |
2,739.440 |
-20.00% |
$1,000.00 |
0.00% |
0.00% |
2,705.197 |
-21.00% |
$990.00 |
-1.00% |
-0.25% |
2,397.010 |
-30.00% |
$900.00 |
-10.00% |
-2.61% |
2,054.580 |
-40.00% |
$800.00 |
-20.00% |
-5.49% |
1,712.150 |
-50.00% |
$700.00 |
-30.00% |
-8.70% |
856.075 |
-75.00% |
$450.00 |
-55.00% |
-18.96% |
0.000 |
-100.00% |
$200.00 |
-80.00% |
-36.38% |
(1) The annualized rates of return are calculated
on a semi-annual bond equivalent basis with compounding.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis.
Payment at Maturity
For each $1,000 stated principal
amount you hold at maturity:
| • | If the final index level is greater than the initial index level: |
$1,000 plus the lesser
of:
(i) $1,000
× final index level – initial index level × participation rate ; and
initial
index level
(ii) the maximum
return at maturity
| • | If the final index level is less than or equal to the initial index level, but greater than or equal to the buffer
level, $1,000 |
| • | If the final index level is less than the buffer level, $1,000 minus: |
$1,000 × buffer level – final index level
initial index level
If the final index level is less than the buffer level, you
will receive less, and possibly 80% less, than the $1,000 stated principal amount per security at maturity.
Historical Information*
*The graph above sets forth the daily
closing levels of the underlying index for the period from January 4, 2010 to June 30, 2015. The closing level on June 30, 2015
was 3,424.30. The historical performance of the underlying index is not an indication of the future performance of the underlying
index during the term of the securities.
Risk Factors
An investment in the securities is significantly
riskier than an investment in conventional debt securities. 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 index. 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 full description of the risk considerations provided for in the
Pricing Supplement and 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.
| · | You May Lose Up To 80% Of Your Investment. |
| · | The Securities Do Not Pay Interest. |
| · | Your Potential Return On The Securities Is Limited. |
| · | Investing In The Securities Is Not Equivalent To Investing In The Underlying
Index Or The Stocks That Constitute The Underlying Index. |
| · | Your Payment At Maturity Depends On The Closing Level Of The Underlying
Index On A Single Day. |
| · | The Securities Are Subject To The Credit Risk Of Citigroup Inc. |
| · | 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, Based On
CGMI's Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering Price. |
| · | The Estimated Value Of The Securities Was Determined For Us By Our
Affiliate Using Proprietary Pricing Models. |
| · | The Estimated Value Of The Securities Would Be Lower If It Were Calculated
Based On Our Secondary Market Rate. |
| · | The Estimated Value Of The Securities Is Not An Indication Of The Price,
If Any, At Which CGMI Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market. |
| · | The Value Of The Securities Prior To Maturity Will Fluctuate Based
On Many Unpredictable Factors. |
| · | Immediately Following Issuance, Any Secondary Market Bid Price Provided
By CGMI, and The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By CGMI Or Its Affiliates, Will Reflect
A Temporary Upward Adjustment. |
| · | The Underlying Index Is Subject To Risks Associated With The Eurozone. |
| · | The Underlying Index Performance Will Not Be Adjusted For Changes In
The Exchange Rate Between The Euro And The U.S. Dollar. |
| · | Our Offering Of The Securities Is Not A Recommendation Of The Underlying
Index. |
| · | The Level Of The Underlying Index May Be Adversely Affected By Our
Or Our Affiliates', Or By Wells Fargo And Its Affiliates', Hedging And Other Trading Activities. |
| · | We And Our Affiliates, or Wells Fargo or Its Affiliates, May Have Economic
Interests That Are Adverse To Yours As A Result Of Their Respective Business Activities. |
| · | The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important
Determinations With Respect To The Securities. |
| · | Adjustments To The Underlying Index May Affect The Value Of Your Securities.
|
| · | The U.S. Federal Tax Consequences Of An Investment In The Securities
Are Unclear. |
Not suitable for all investors
Investment suitability must be
determined individually for each investor. The securities described herein are not a suitable investment for all investors. In
particular, no investor should purchase the securities unless they understand and are able to bear the associated market, liquidity
and yield risks. Unless market conditions and other relevant factors change significantly in your favor, a sale of the securities
prior to maturity is likely to result in sale proceeds that are substantially less than the stated principal amount per security.
Citigroup Inc. and its affiliates are not obligated to purchase the securities from you at any time prior to maturity.
Citigroup Inc. has filed a registration
statement (including a related pricing supplement, an accompanying product supplement, an accompanying underlying supplement and
an accompanying prospectus supplement and prospectus) with the Securities and Exchange Commission (“SEC”) for the offering
to which this communication relates. You should read the related pricing supplement and the accompanying 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 pricing supplement, accompanying product supplement,
accompanying underlying supplement and the accompanying prospectus supplement and prospectus by calling toll-free 1-800-831-9146.
Consult your tax advisor
Investors should review carefully
the accompanying pricing supplement, product supplement, prospectus supplement and prospectus and consult their tax advisors regarding
the application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising
under the laws of any state, local or foreign jurisdiction.
“EURO STOXX®”
is a registered mark of STOXX Limited (“STOXX”) and has been licensed for use by Citigroup Inc. and its affiliates.
The securities are not sponsored, endorsed, sold or promoted by STOXX. STOXX makes no representations or warranties to the holders
of the securities or any member of the public regarding the advisability of investing in the securities. STOXX has no obligation
or liability in connection with the registration, operation, marketing, trading or sale of the securities or in connection with
Citigroup Inc.’s use of information about the EURO STOXX 50® Index.
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