Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
May 19 2015 - 12:37PM
Edgar (US Regulatory)
Offering Summary No. 2015-CMTNG0545
dated May 19, 2015 relating to Preliminary Pricing Supplement No. 2015-CMTNG0545 dated May 19, 2015
Registration Statement
No. 333-192302
Filed Pursuant to Rule
433 |
Capped Return Enhanced
Notes Based on the EURO STOXX 50® Index Due June , 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 May 22, 2015 |
Final valuation dates: |
Expected to be May 27, 2016, May 31, 2016, June 1, 2016, June 2, 2016 and June 3, 2016 |
Maturity date: |
Expected to be June 8, 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: |
$193.50 per security (19.35% 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: |
17298CBC1 / US17298CBC10 |
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 May 19, 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 |
4,680.00 |
30.00% |
$1,193.50 |
19.35% |
4,320.00 |
20.00% |
$1,193.50 |
19.35% |
3,960.00 |
10.00% |
$1,193.50 |
19.35% |
3,832.20 |
6.45% |
$1,193.50 |
19.35% |
3,780.00 |
5.00% |
$1,150.00 |
15.00% |
3,636.00 |
1.00% |
$1,030.00 |
3.00% |
3,600.00 |
0.00% |
$1,000.00 |
0.00% |
3,240.00 |
-10.00% |
$900.00 |
-10.00% |
2,880.00 |
-20.00% |
$800.00 |
-20.00% |
2,520.00 |
-30.00% |
$700.00 |
-30.00% |
2,160.00 |
-40.00% |
$600.00 |
-40.00% |
1,800.00 |
-50.00% |
$500.00 |
-50.00% |
1,440.00 |
-60.00% |
$400.00 |
-60.00% |
1,080.00 |
-70.00% |
$300.00 |
-70.00% |
720.00 |
-80.00% |
$200.00 |
-80.00% |
360.00 |
-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 3,600.00. 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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