Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 02 2015 - 4:13PM
Edgar (US Regulatory)
Citigroup Inc. |
C |
Term
Sheet No. 2015–CMTNG0663 dated September 30, 2015 relating to
Pricing
Supplement No. 2015–CMTNG0663 dated September 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
Shares of the iShares® MSCI Emerging Markets ETF Due April 5, 2019
Term Sheet to Pricing Supplement No. 2015—CMTNG0663
dated September 30, 2015 |
Key Terms |
Investment Description |
Issuer |
Citigroup Inc. |
· Linked to shares of the iShares® MSCI Emerging Markets ETF, an exchange-traded fund (NYSE Arca symbol: EEM) (the
“underlying shares”)
· 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 shares from the initial share price to the final share price, subject
to the maximum return at maturity. The payment at maturity will reflect the following terms:
o If the value of the
underlying shares increases, you will receive the stated principal amount plus 150% participation in the upside performance
of the underlying shares, subject to a maximum return at maturity of 51.00% of the stated principal amount
o If the value of the
underlying shares decreases, but the decrease is not more than 10%, you will be repaid the stated principal amount
o If the value of the
underlying shares decreases by more than 10%, you will receive less than the stated principal amount and have 1-to-1 downside exposure
to the decrease in the value of the underlying shares in excess of 10%
· Investors may lose up to 90% 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 3.5 years |
Underlying Shares |
Shares of the iShares® MSCI Emerging Markets ETF , an exchange-traded fund (NYSE Arca symbol: “EEM”) (the “ETF” or “underlying share issuer”) |
Stated Principal Amount |
$1,000 per security |
Pricing Date |
September 30, 2015 |
Issue Date |
October 5, 2015 |
Valuation Date |
March 29, 2019 |
Maturity Date |
April 5, 2019 |
Payment at Maturity |
See “Payment at Maturity” on Page 3 |
Initial Share Price |
$32.78, the closing price of the underlying shares on the pricing date |
Final Share Price |
The closing price of the underlying shares on the valuation date, subject to adjustment as provided in the accompanying product supplement |
Maximum Return at Maturity |
51.00% of the stated principal amount per security ($510.00 per security) |
Buffer Price |
$29.502, 90% of the initial share price |
Participation Rate |
150% |
Calculation Agent |
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer |
Denominations |
$1,000 and any integral multiple of $1,000 |
Agent Discount and Commission |
2.75%, of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of 1.25% and WFA will receive a distribution expense fee of 0.075% |
CUSIP / ISIN |
17298CEB0 / US17298CEB00 |
On the date of the related pricing supplement, the estimated value
of the securities is $951.90 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 Citigroup Inc.’s internal funding rate. It is not an indication of
actual profit to CGMI or other of Citigroup Inc.’s 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 accompanying 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 Related to the Securities” in the accompanying
product supplement.
|
This
term sheet should be read in conjunction with the accompanying pricing supplement, product supplement, underlying supplement, prospectus
supplement and prospectus.
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 share price to the final share price.
|
|
nThe Securities n The Underlying Shares |
Hypothetical Returns |
|
Your actual return will depend on the actual
final share price and whether you hold your securities to maturity. The table below is based on a range of hypothetical percentage
changes from the initial share price to the final share price and illustrates:
• the
hypothetical percentage change from the initial share price to the hypothetical final share price;
• 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 share price
|
Hypothetical percentage change from the initial share price to the hypothetical final share price |
Hypothetical payment at maturity per security |
Hypothetical total pre-tax rate of return |
Hypothetical pre-tax annualized rate of return(1) |
$65.56 |
100.00% |
$1,510.00 |
51.00% |
12.12% |
$57.37 |
75.00% |
$1,510.00 |
51.00% |
12.12% |
$49.17 |
50.00% |
$1,510.00 |
51.00% |
12.12% |
$45.89 |
40.00% |
$1,510.00 |
51.00% |
12.12% |
$43.93 |
34.00% |
$1,510.00 |
51.00% |
12.12% |
$42.61 |
30.00% |
$1,450.00 |
45.00% |
10.90% |
$39.34 |
20.00% |
$1,300.00 |
30.00% |
7.64% |
$36.06 |
10.00% |
$1,150.00 |
15.00% |
4.03% |
$34.42 |
5.00% |
$1,075.00 |
7.50% |
2.08% |
$32.78 |
0.00% |
$1,000.00 |
0.00% |
0.00% |
$31.14 |
-5.00% |
$1,000.00 |
0.00% |
0.00% |
$29.50 |
-10.00% |
$1,000.00 |
0.00% |
0.00% |
$29.17 |
-11.00% |
$990.00 |
-1.00% |
-0.29% |
$26.22 |
-20.00% |
$900.00 |
-10.00% |
-2.99% |
$22.95 |
-30.00% |
$800.00 |
-20.00% |
-6.27% |
$19.67 |
-40.00% |
$700.00 |
-30.00% |
-9.93% |
$16.39 |
-50.00% |
$600.00 |
-40.00% |
-14.07% |
$8.20 |
-75.00% |
$350.00 |
-65.00% |
-27.84% |
$0.00 |
-100.00% |
$100.00 |
-90.00% |
-56.04% |
(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 share price is greater than the initial share price: |
$1,000 plus the lesser
of:
(i) $1,000
× final share price – initial share price × participation rate ; and
initial
share price
(ii) the maximum
return at maturity
| • | If the final share price is less than or equal to the initial share price, but greater than or equal to the buffer
price, $1,000 |
| • | If the final share price is less than the buffer price, $1,000 minus: |
$1,000 × buffer price – final share price
initial share price
If the final share price is less than the buffer price, you
will receive less, and possibly 90% less, than the $1,000 stated principal amount per security at maturity.
Historical Information* |
|
*The graph above sets forth the daily closing prices of the underlying shares for the period from January 4, 2010 to September 30, 2015. The closing price on September 30, 2015 was $32.78. The historical performance of the underlying shares is not an indication of the future performance of the underlying shares 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 shares. 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 90% Of Your Investment. |
| · | The Securities Do Not Pay Interest. |
| · | Your Potential Return On The Securities Is Limited. |
| · | You Will Not Have Rights To Receive Any Distributions On The Underlying
Shares Or Any Other Rights With Respect To The ETF. |
| · | Your Payment At Maturity Depends On The Closing Price Of The Underlying
Shares 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 Securities Are Subject To Currency Exchange Risk. |
| · | There Are Risks Associated With Investments In Securities Linked To
The Value Of Emerging Markets Equity Securities. |
| · | Our Offering Of The Securities Is Not A Recommendation Of The Underlying
Shares. |
| · | The Price Of The Underlying Shares 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. |
| · | Even If The Underlying Share Issuer Pays A Distribution That It Identifies
As Special or Extraordinary, No Adjustment Will Be Required Under The Securities For That Distribution Unless It Meets The Criteria
Specified In The Accompanying Product Supplement. |
| · | An Adjustment Will Not Be Made For All Events That May Have A Dilutive
Effect On Or Otherwise Adversely Affect The Market Price Of The Underlying Shares. |
| · | The Securities May Become Linked To Shares Of An Issuer Other Than
The Original Underlying Share Issuer Upon The Occurrence Of A Reorganization Event Or Upon The Delisting Of The Underlying Shares. |
| · | The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important
Determinations With Respect To The Securities. |
| · | The Price Of The Underlying Shares May Not Completely Track The Performance
Of The Index Underlying The ETF. |
| · | Changes Made By The Investment Adviser To The Underlying Share Issuer
Or By The Sponsor Of The Index Underlying The ETF May Adversely Affect The Underlying Shares. |
| · | 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 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 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.
“iShares®”
is a registered mark of BlackRock Institutional Trust Company, N.A. (“BTC”). The securities are not sponsored, endorsed,
sold or promoted by BTC, its affiliate, BlackRock Fund Advisors (“BFA”), iShares Trust or iShares, Inc. None of BTC,
BFA, iShares Trust or iShares, Inc. makes any representations or warranties to the holders of the securities or any member of the
public regarding the advisability of investing in the securities. None of BTC, BFA, iShares Trust or iShares, Inc. will have any
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 iShares® MSCI Emerging Markets ETF.
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