Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
July 28 2015 - 11:56AM
Edgar (US Regulatory)
Citigroup Inc.
|
Offering
Summary No. 2015-CMTNG0626 dated July 28, 2015 relating to Preliminary Pricing Supplement No. 2015-CMTNG0626 dated July 28, 2015
Registration Statement No. 333-192302
Filed Pursuant
to Rule 433
|
Capped
Return Enhanced Notes Based on the EURO STOXX 50® Index Due August , 2016
Overview.
The securities are unsecured senior debt securities issued by Citigroup Inc. Unlike conventional
debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities
offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance
of the EURO STOXX 50® Index (the “underlying index”) from the initial index level to the final index
level.
The
securities offer leveraged exposure to a limited range of potential appreciation of the underlying index as described below. In
exchange for this leveraged exposure, investors in the securities must be willing to forgo (i) any appreciation of the underlying
index in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on the stocks that constitute
the underlying index. In addition, investors in the securities must be willing to accept full downside exposure to any depreciation
of the underlying index.
All
payments on the securities are subject to the credit risk of Citigroup Inc. The securities will not be listed on any securities
exchange and may have limited or no liquidity.
Preliminary
Terms |
Underlying index: |
The EURO STOXX
50® Index (ticker symbol: “SX5E”) |
Pricing date: |
Expected to be July 31, 2015 |
Final valuation dates: |
Expected to be August 8, 9,
10, 11 and 12, 2016 |
Maturity date: |
Expected to be August 17,
2016 |
Payment at maturity: |
For each $1,000 stated
principal amount security you hold at maturity:
▪ If
the final index level is greater than the initial index level: $1,000 + leveraged return amount, subject to maximum return
at maturity
▪ If
the final index level is less than or equal to the initial index level: $1,000 × index performance factor |
Initial index level: |
The closing level of the underlying
index on the pricing date |
Final index level: |
The arithmetic average of
the closing level of the underlying index on each of the final valuation dates |
Index performance factor: |
The final index level divided
by the initial index level |
Index percent increase: |
The final index level minus
the initial index level, divided by the initial index level |
Leveraged return amount: |
$1,000 × the index percent
increase × the leverage factor |
Leverage factor: |
300.00% |
Maximum return at maturity: |
$194.10 per security (19.41%
of the stated principal amount). In no event will the payment at maturity per security exceed $1,000 plus
the maximum return at maturity. |
CUSIP / ISIN: |
17298CDB1
/ US17298CDB19
|
This
offering summary does not contain all of the material information an investor should consider before investing in the securities.
This offering summary is not for distribution in isolation and must be read together with the accompanying preliminary pricing
supplement and the other documents referred to therein, which can be accessed via the following hyperlink: Preliminary Pricing Supplement dated July 28, 2015
|
Selected
Risk Considerations |
· |
You may lose some
or all of your investment. If the final index level is less than the initial index level, you will lose 1% of
the stated principal amount of the securities for every 1% by which the final index level is less than the initial index level.
There is no minimum payment at maturity on the securities, and you may lose up to all of your investment. |
· |
Your potential return on the
securities is limited to the maximum return at maturity. If the underlying index appreciates by more than the maximum
return at maturity, the securities will underperform an alternative investment providing 1-to-1 exposure to the appreciation
of the underlying index without a maximum return. |
· |
The securities do not pay
interest. |
· |
Investing in the securities
is not equivalent to investing in the underlying index or the stocks that constitute the underlying index. You will not have
voting rights, rights to receive dividends or any other rights with respect to the stocks that constitute the underlying index. |
· |
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. |
· |
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. |
· |
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 unclear. |
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 and product supplement for a more complete description of risks relating to the securities.
|
Hypothetical
Payment at Maturity Diagram* |
|
|
Hypothetical
Payment at Maturity Table* |
Hypothetical
Final Index Level |
Hypothetical
Percentage Change from Initial Index Level to Final Index Level |
Hypothetical
Payment at Maturity per Security |
Hypothetical
Total Return on Securities at Maturity |
4,550.00 |
30.00% |
$1,194.10 |
19.41% |
4,200.00 |
20.00% |
$1,194.10 |
19.41% |
3,850.00 |
10.00% |
$1,194.10 |
19.41% |
3,726.45 |
6.47% |
$1,194.10 |
19.41% |
3,675.00 |
5.00% |
$1,150.00 |
15.00% |
3,535.00 |
1.00% |
$1,030.00 |
3.00% |
3,500.00 |
0.00% |
$1,000.00 |
0.00% |
3,150.00 |
-10.00% |
$900.00 |
-10.00% |
2,800.00 |
-20.00% |
$800.00 |
-20.00% |
2,450.00 |
-30.00% |
$700.00 |
-30.00% |
2,100.00 |
-40.00% |
$600.00 |
-40.00% |
1,750.00 |
-50.00% |
$500.00 |
-50.00% |
1,400.00 |
-60.00% |
$400.00 |
-60.00% |
1,050.00 |
-70.00% |
$300.00 |
-70.00% |
700.00 |
-80.00% |
$200.00 |
-80.00% |
350.00 |
-90.00% |
$100.00 |
-90.00% |
0.00 |
-100.00% |
$0.00 |
-100.00% |
* The diagram and table above illustrate the payment at maturity per security for a range of hypothetical percentage changes from the initial index level to the final index level. The table assumes a hypothetical initial index level of 3,500.00. Your actual payment at maturity per security will depend on the actual initial index level and final index level. |
Citigroup Inc. has filed a registration statement (including the accompanying
preliminary pricing supplement, product supplement, underlying supplement, prospectus supplement and prospectus) with the
Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. Before you invest,
you should read the accompanying preliminary pricing supplement, product supplement, underlying 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 obtain these documents without cost
by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you can request these documents by calling toll-free 1-800-831-9146. |
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