The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement, the accompanying product supplement, underlying supplement and prospectus supplement and prospectus are not an offer to sell these securities, nor are they soliciting an offer to buy these securities, in any state where the offer or sale is not permitted. |
|
SUBJECT TO COMPLETION, DATED OCTOBER 5, 2015 |
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement No. 333-192302 |
October----,
2015
Medium-Term
Senior Notes, Series G
Pricing
Supplement No. 2015-CMTNG0708 to Product Supplement No. EA-02-03
dated November 13, 2013, Underlying Supplement No. 3 dated November 13, 2013,
Prospectus Supplement and Prospectus each dated November 13, 2013 |
|
|
Citigroup Inc. |
|
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 November----,
2019 |
|
n Linked
to the EURO STOXX 50® Index (ticker symbol: SX5E) (the “underlying index”)
n 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:
n 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 40.00% to 45.00% (to be determined on the
pricing date) of the stated principal amount
n If
the level of the underlying index decreases, but the decrease is not more than 20%, you will be repaid the stated principal amount
n 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%
n Investors
may lose up to 80% of the stated principal amount
n All
payments on the securities are subject to the credit risk of Citigroup Inc.
n No
periodic interest payments or dividends
n 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. |
Investing
in the securities involves risks not associated with an investment in conventional debt securities. See “Risk Considerations”
beginning on page PS-7 and “Risk Factors Relating to the Securities” beginning on page EA-6 of the accompanying product
supplement.
Neither
the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved
of the securities or determined that this pricing supplement or the accompanying product supplement, underlying supplement, prospectus
supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The
securities are unsecured senior debt obligations of Citigroup Inc. All payments due on the securities are subject to the credit
risk of Citigroup Inc. The securities will not be guaranteed by any affiliate of Citigroup Inc. None of Wells Fargo Securities,
LLC (“Wells Fargo”) or any of its affiliates will have any liability to the purchasers of the securities in the event
Citigroup Inc. defaults on the securities. The securities are not bank deposits and are not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
|
Per
Security |
Total |
Public
Offering Price(1) |
$1,000.00 |
$ |
Maximum
Underwriting Discount and Commission(2) |
$32.50 |
$ |
Proceeds
to Citigroup Inc.(2) |
$967.50 |
$ |
(1) Citigroup
Inc. currently expects that the estimated value of the securities on the pricing date will be at least $920.00 per security, which
will be less than the public offering price. The estimated value of the securities is based on Citigroup Global Market Inc.’s
(“CGMI”) 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 this pricing supplement.
(2) CGMI,
an affiliate of Citigroup Inc., as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent. Wells
Fargo will receive an underwriting discount and commission of up to 3.25% ($32.50) for each security it sells. Wells Fargo will
pay selected dealers, which may include Wells Fargo Advisors, LLC (“WFA”) and Wells Fargo Advisors Financial Network,
LLC, a fixed selling commission of 1.50% ($15.00) for each security they sell. In addition to the selling commission allowed to
WFA, Wells Fargo will pay $0.75 per security of the underwriting discount and commission to WFA as a distribution expense fee
for each security sold by WFA. The total underwriting discount and commission and proceeds to Citigroup Inc. shown above give
effect to the actual underwriting discount and commission provided for the sale of the securities. See “Supplemental Plan
of Distribution” on page PS-18 of this pricing supplement and “Use of Proceeds and Hedging” in the accompanying
prospectus for further information regarding how we have hedged our obligations under the securities.
Citigroup
Global Markets Inc. |
Wells
Fargo Securities |
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 November----,
2019 |
|
The Principal at Risk Securities Linked
to the EURO STOXX 50® Index Due November----, 2019 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 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 securities provide:
| (i) | the possibility of a leveraged return at maturity if the level of the underlying index increases
from its initial index level to its final index level, provided that the total return at maturity of the securities will not exceed
the maximum return of 40.00% to 45.00% of the stated principal amount, as determined on the pricing date; |
| (ii) | repayment of principal if, and only if, the final index level is not less than the initial index
level by more than 20%; and |
| (iii) | exposure to decreases in the level of the underlying index if and to the extent the final index
level is less than the initial index level by more than 20%. |
If the final index level is less than
the initial index level by more than 20%, your payment at maturity will be less, and possibly 80% less, than the stated principal
amount of your securities at maturity. All payments on the securities are subject to the credit risk of Citigroup Inc.
The EURO STOXX 50® Index
is an equity index composed of 50 component stocks of market sector leaders from within the 19 EURO STOXX® Supersector
indices, which represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600®
Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries.
The terms of the securities are set forth
in this pricing supplement, the accompanying product supplement, underlying supplement and prospectus supplement and prospectus.
You should read this pricing supplement together with the accompanying product supplement, underlying supplement and prospectus
supplement and prospectus for additional information about the securities. Information included in this pricing supplement supersedes
information in the product supplement, underlying supplement, prospectus supplement and prospectus to the extent it is different
from that information. The accompanying product supplement, underlying supplement, prospectus supplement and prospectus contain
important disclosures that are not repeated in this pricing supplement. For example, certain events may occur that could affect
your payment at maturity, such as market disruption events and other events affecting the underlying index. These events and their
consequences are described in the accompanying product supplement in the sections “Description of the Securities—Certain
Additional Terms for Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of
a Valuation Date” and “—Discontinuance or Material Modification of an Underlying Index,” and not in this
pricing supplement. Certain defined terms used but not defined herein have the meanings set forth in the product supplement. The
“Description of the Securities” section of the accompanying product supplement capitalizes the following terms that
are defined and used in this pricing supplement, and the disclosures provided in the accompanying product supplement relevant to
the securities should be read accordingly: securities; underlying index; pricing date; valuation date; closing level; scheduled
trading day; market disruption event; and calculation agent.
You may access the product supplement,
underlying supplement or prospectus supplement and prospectus on the SEC website www.sec.gov as follows (or if such address has
changed, by reviewing our filings for the relevant date on the SEC website):
| • | Product Supplement No. EA-02-03 dated November 13, 2013
filed with the SEC on November 13, 2013: |
http://www.sec.gov/Archives/edgar/data/831001/000095010313006626/dp41902_424b2-par.htm
| • | Underlying Supplement No. 3 dated November 13, 2013 filed
with the SEC on November 13, 2013: |
http://www.sec.gov/Archives/edgar/data/831001/000095010313006624/dp41866_424b2-us3.htm
| • | Prospectus Supplement and Prospectus each dated November
13, 2013 filed with the SEC on November 13, 2013: |
http://www.sec.gov/Archives/edgar/data/831001/000119312513440005/d621350d424b2.htm
“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.
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 November----, 2019 | |
We have designed the securities for investors
who:
| · | seek 175% leveraged exposure to the positive performance
of the underlying index if the final index level is greater than the initial index level, subject to the maximum return at maturity
of 40.00% to 45.00% (to be determined on the pricing date) of the stated principal amount; |
| · | desire to limit the downside exposure to the underlying
index through the 20% buffer; |
| · | understand that if the final index level is less than
the initial index level by more than 20%, they will receive less, and possibly 80% less, than the stated principal amount per
security at maturity; |
| · | are willing to forgo interest payments on the securities
and dividends that may be paid on the stocks that constitute the underlying index; and |
| · | are willing to hold the securities until maturity. |
The securities are not designed for, and
may not be a suitable investment for, investors who:
| · | seek a liquid investment or are unable or unwilling to
hold the securities to maturity; |
| · | are unwilling to accept the risk that the underlying
index may decrease by more than 20% from its initial index level to its final index level; |
| · | seek uncapped exposure to the upside performance of the
underlying index; |
| · | seek full return of the stated principal amount of the
securities at maturity; |
| · | are unwilling to accept the risk of exposure to the Eurozone
equity market; |
| · | seek exposure to the underlying index but are unwilling
to accept the risk/return trade-offs inherent in the payment at maturity for the securities; |
| · | are unwilling to accept the credit risk of Citigroup
Inc. (i) to obtain exposure to the underlying index generally or (ii) to obtain exposure to the underlying index that the securities
provide specifically; or |
| · | prefer the lower risk of fixed income investments with
comparable maturities issued by companies with comparable credit ratings. |
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 November----, 2019 | |
Underlying Index: |
The EURO STOXX 50® Index (ticker symbol: “SX5E”) |
Issuer: |
Citigroup Inc. |
Aggregate Stated Principal Amount: |
$ |
Stated Principal Amount: |
$1,000 per security. References in this pricing supplement to a “security” are to a security with a stated principal amount of $1,000. |
Pricing Date: |
October , 2015 (expected to be October 30, 2015) |
Issue Date: |
November , 2015 (three business days after the pricing date) |
Valuation Date: |
October , 2019 (expected to be October 28, 2019), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur |
Maturity Date: |
November , 2019 (expected to be November 4, 2019) |
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; or
• 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.
|
Initial Index Level: |
(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: |
$400.00 to $450.00 per security (40.00% to 45.00% of the stated principal amount), to be determined on the pricing date. Because of the maximum return at maturity, the payment at maturity will not exceed $1,400.00 to $1,450.00 per security. |
Buffer Level: |
, 80% of the initial index level |
Participation Rate: |
175% |
Calculation Agent: |
CGMI |
Denominations: |
$1,000 and any integral multiple of $1,000 |
CUSIP/ISIN: |
17298C3C0 / US17298C3C01 |
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 November----, 2019 | |
Determining
Payment at Maturity |
On the maturity date, you will receive
a cash payment per security (the payment at maturity) calculated as follows:
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 November----, 2019 | |
|
Hypothetical
Payout Profile |
The diagram below illustrates your payment
at maturity for a range of hypothetical percentage changes from the initial index level to the final index level. The diagram below
is based on a hypothetical maximum return at maturity of 40.00%, which is equivalent to a hypothetical maximum return at maturity
of $400.00 per security. Your actual return will depend on the actual final index level, the actual maximum return at maturity
and whether you hold your securities to maturity.
Investors in the securities will not
receive any dividends on the stocks that constitute the underlying index. The diagram below does not show any effect of lost dividend
yield over the term of the securities. See “Risk Considerations—Investing In The Securities Is Not Equivalent To
Investing In The Underlying Index Or The Stocks That Constitute The Underlying Index” below.
n The
Securities n The
Underlying Index
|
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 November----, 2019 | |
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 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.
Unlike conventional debt
securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend
on the performance of the underlying index. If the underlying index depreciates by more than 20% from the initial index level to
the final index level, you will lose 1% of the stated principal amount of your securities for every 1% by which that depreciation
exceeds 20%.
The Securities Do
Not Pay Interest.
Unlike conventional debt
securities, the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities
if you seek current income during the term of the securities.
Your Potential Return
On The Securities Is Limited.
Your potential total
return on the securities at maturity is limited to the maximum return at maturity of 40.00% to 45.00%, which is equivalent to a
maximum return at maturity of $400.00 to $450.00 per security. Taking into account the participation rate, any increase in the
final index level over the initial index level by more than approximately 22.86% to 25.71% will not increase your return on the
securities and will progressively reduce the effective amount of leverage provided by the securities.
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 any dividends or any other rights with respect to the stocks that constitute the underlying index. As
of October 1, 2015, the average dividend yield of the underlying index was approximately 3.88% per year. While it is impossible
to know the future dividend yield of the underlying index, if this average dividend yield were to remain constant for the term
of the securities, you would be forgoing an aggregate yield of approximately 15.52% (assuming no reinvestment of dividends) by
investing in the securities instead of investing directly in the stocks that constitute the underlying index or in another investment
linked to the underlying index that provides for a pass-through of dividends. The payment scenarios described in this pricing supplement
do not show any effect of lost dividend yield over the term of the securities.
Your Payment At Maturity
Depends On The Closing Level Of The Underlying Index On A Single Day.
Because your payment
at maturity depends on the closing level of the underlying index solely on the valuation date, you are subject to the risk that
the closing level of the underlying index on that day may be lower, and possibly significantly lower, than on one or more other
dates during the term of the securities. If you had invested in another instrument linked to the underlying index that you could
sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the
underlying index, you might have achieved better returns.
The Securities Are
Subject To The Credit Risk Of Citigroup Inc.
If we default on our
obligations under the securities, you may not receive anything owed to you under the securities.
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 November----, 2019 | |
The Securities Will Not Be Listed On
A Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.
The securities will not be listed on any
securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a
secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any
indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account
prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold
at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at
any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities
because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly,
an investor must be prepared to hold the securities until maturity.
The Estimated Value Of The Securities
On The Pricing Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Will Be Less Than The Public
Offering Price.
The difference is attributable to certain
costs associated with selling, structuring and hedging the securities that are included in the public offering price. These costs
include (1) the underwriting discount and commission paid in connection with the offering of the securities, (2) hedging and other
costs incurred by us and our affiliates in connection with the offering of the securities and (3) the expected profit (which may
be more or less than actual profit) to our hedge counterparties (which may include our affiliates and affiliates of Wells Fargo)
in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities
because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities
are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price
the securities. See “The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Our Secondary Market
Rate” below.
The Estimated Value Of The Securities
Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed
on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments
about the inputs to its models, such as the volatility of the underlying index, dividend yields on the stocks that constitute the
underlying index and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an
underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may
prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the
securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine
for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the
estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial
estimated value.
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 included
in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow
funds through the issuance of the securities. Our internal funding rate is generally lower than the market rate implied by traded
instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary
market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our
internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated
with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity
needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which
do not bear interest.
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.
Any such secondary market price will fluctuate
over the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated
value included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction
will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding
rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary
depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the
expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities
will be less than the public offering price.
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 November----, 2019 | |
The Value Of The Securities Prior To
Maturity Will Fluctuate Based On Many Unpredictable Factors.
The value of your securities prior to maturity
will fluctuate based on the level and volatility of the underlying index and a number of other factors, including the price and
volatility of the stocks that constitute the underlying index, the dividend yields on the stocks that constitute the underlying
index, interest rates generally, the volatility of the exchange rate between the U.S. dollar and the euro, the correlation between
that exchange rate and the level of the underlying index, the time remaining to maturity and our creditworthiness, as reflected
in our secondary market rate. You should understand that the value of your securities at any time prior to maturity may be significantly
less than the public offering price.
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 amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
The Underlying Index Is Subject To Risks
Associated With The Eurozone.
The companies whose stocks constitute the
underlying index are leading companies in the Eurozone. A number of countries in the Eurozone are undergoing a financial crisis
affecting their economies, their ability to meet their sovereign financial obligations and their financial institutions. Countries
in the Eurozone that are not currently experiencing a financial crisis may do so in the future as a result of developments in other
Eurozone countries. The economic ramifications of this financial crisis, and its effects on the companies that make up the underlying
index, are impossible to predict. This uncertainty may contribute to significant volatility in the underlying index, and adverse
developments affecting the Eurozone may affect the underlying index in a way that adversely affects the value of and return on
the securities. Furthermore, you should understand that there is generally less publicly available information about non-U.S. companies
than about U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are generally subject
to accounting, auditing and financial reporting standards and requirements and securities trading rules that are different from
those applicable to U.S. reporting companies.
The Underlying Index Performance Will
Not Be Adjusted For Changes In The Exchange Rate Between The Euro And The U.S. Dollar.
The underlying index is composed of stocks
traded in Euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar. However, the performance
of the underlying index and the value of your securities will not be adjusted for exchange rate fluctuations. If the Euro appreciates
relative to the U.S. dollar over the term of the securities, your return on the securities will underperform an alternative investment
that offers exposure to that appreciation in addition to the change in the level of the underlying index.
Our Offering Of The Securities Is Not
A Recommendation Of The Underlying Index.
The fact that we are offering the securities
does not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlying index is
likely to achieve favorable returns. In fact, as we and Wells Fargo are each part of a global financial institution, our affiliates
and affiliates of Wells Fargo may have positions (including short positions) in the stocks that constitute the underlying index
or in instruments related to the underlying index or such stocks and may publish research or express opinions, that in each case
are inconsistent with an investment linked to the underlying index. These and other activities of our affiliates or of Wells Fargo
or its affiliates may affect the level of the underlying index in a way that has a negative impact on your interests as a holder
of the securities.
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 expect to hedge our obligations under
the securities through affiliated or unaffiliated counterparties, including affiliates of Wells Fargo, who may take positions directly
in the stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks
and may adjust such positions during the term of the securities. Our affiliates and Wells Fargo and its affiliates also trade the
stocks that constitute the underlying index and other financial instruments related to the underlying index or such stocks on a
regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate
transactions on behalf of customers. These activities could affect the level of the underlying index in a way that negatively affects
the value of the securities. They could also result in substantial returns for us or our affiliates or Wells Fargo and its affiliates
while the value of the securities declines.
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 November----, 2019 | |
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.
Our affiliates or Wells Fargo or its affiliates
may currently or from time to time engage in business with the issuers of the stocks that constitute the underlying index, including
extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business,
we or our affiliates or Wells Fargo or its affiliates may acquire non-public information about such issuers, which will not be
disclosed to you. Moreover, if any of our affiliates or Wells Fargo or any of its affiliates is or becomes a creditor of any such
issuer, they may exercise any remedies against any such issuer that are available to them without regard to your interests.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Securities.
If certain events occur, such as market
disruption events or the discontinuance of the underlying index, CGMI, as calculation agent, will be required to make discretionary
judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests
as an affiliate of ours could be adverse to your interests as a holder of the securities.
Adjustments To The Underlying Index
May Affect The Value Of Your Securities.
STOXX Limited (the “underlying index
publisher”) may add, delete or substitute the stocks that constitute the underlying index or make other methodological changes
that could affect the level of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication
of the underlying index at any time without regard to your interests as holders of the securities.
The U.S. Federal Tax Consequences Of
An Investment In The Securities Are Unclear.
There is no direct legal authority regarding
the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service
(the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or
a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting
an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially
and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007, the U.S. Treasury
Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including
the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject
to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal
Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and
“United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
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 November----, 2019 | |
The table below is based on a hypothetical
initial index level of 3,069.05 and a hypothetical maximum return at maturity of 40.00%, which is equivalent to a hypothetical
maximum return at maturity of $400.00 per security and will be determined on the pricing date. 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 hypothetical 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 hypothetical
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) |
6,138.10 |
100.00% |
$1,400.00 |
40.00% |
8.59% |
5,370.84 |
75.00% |
$1,400.00 |
40.00% |
8.59% |
4,603.58 |
50.00% |
$1,400.00 |
40.00% |
8.59% |
4,296.67 |
40.00% |
$1,400.00 |
40.00% |
8.59% |
3,989.77 |
30.00% |
$1,400.00 |
40.00% |
8.59% |
3,770.63 |
22.86% |
$1,400.00 |
40.00% |
8.59% |
3,682.86 |
20.00% |
$1,350.00 |
35.00% |
7.64% |
3,375.96 |
10.00% |
$1,175.00 |
17.50% |
4.07% |
3,222.50 |
5.00% |
$1,087.50 |
8.75% |
2.11% |
3,069.05 |
0.00% |
$1,000.00 |
0.00% |
0.00% |
2,915.60 |
-5.00% |
$1,000.00 |
0.00% |
0.00% |
2,762.15 |
-10.00% |
$1,000.00 |
0.00% |
0.00% |
2,455.24 |
-20.00% |
$1,000.00 |
0.00% |
0.00% |
2,424.55 |
-21.00% |
$990.00 |
-1.00% |
-0.25% |
2,148.34 |
-30.00% |
$900.00 |
-10.00% |
-2.61% |
1,841.43 |
-40.00% |
$800.00 |
-20.00% |
-5.50% |
1,534.53 |
-50.00% |
$700.00 |
-30.00% |
-8.72% |
767.26 |
-75.00% |
$450.00 |
-55.00% |
-18.99% |
0.00 |
-100.00% |
$200.00 |
-80.00% |
-36.42% |
(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.
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 November----, 2019 | |
Hypothetical
Payments at Maturity |
The examples below are intended to illustrate
how your payment at maturity will depend on whether the final index level is greater than or less than the initial index level
and by how much. The examples below are based on a hypothetical initial index level of 3,069.05 and a hypothetical maximum return
at maturity of 40.00%, which is equivalent to a hypothetical maximum return at maturity of $400.00 per security, which will be
determined on the pricing date.
Example 1—Upside Scenario A.
The hypothetical final index level is 3,375.96 (a 10.00% increase from the hypothetical initial index level), which is greater
than the hypothetical initial index level.
Payment at maturity per security = $1,000 plus the lesser
of:
(i)
$1,000 × final index level – initial index level × participation
rate and (ii) the maximum return at maturity
initial index level
= $1,000
+ the lesser of (i) ($1,000 × 3,375.96 – 3,069.05 × participation
rate) and (ii) $400.00
3,069.05
= $1,000 + the lesser of (i) ($1,000 × 10.00% ×
175%) and (ii) $400.00
= $1,000 + the lesser of (i) $175.00 and (ii) $400.00
= $1,175.00
Because the underlying index appreciated
from its hypothetical initial index level to its hypothetical final index level and the leveraged return of $175.00 per security
results in a total return at maturity of 17.50%, which is less than the hypothetical maximum return at maturity of 40.00%, your
payment at maturity in this scenario would be equal to $1,175.00 per security.
Example 2—Upside Scenario B.
The hypothetical final index level is 4,603.58 (a 50.00% increase from the hypothetical initial index level), which is greater
than the hypothetical initial index level.
Payment at maturity per security = $1,000
plus the lesser of:
(i)
$1,000 × final index level – initial index level × participation
rate and (ii) the maximum return at maturity
initial index level
= $1,000
+ the lesser of (i) ($1,000 × 4,603.58 – 3,069.05 × participation
rate) and (ii) $400.00
3,069.05
= $1,000 + the lesser of (i) ($1,000 × 50.00% ×
175%)and (ii) $400.00
= $1,000 + the lesser of (i) $875.00 and (ii) $400.00
= $1,400.00
Because the underlying index appreciated
from its hypothetical initial index level to its hypothetical final index level and the leveraged return of $875.00 per security
would result in a total return at maturity of 87.50%, which is greater than the hypothetical maximum return at maturity of 40.00%,
your payment at maturity in this scenario would equal the hypothetical maximum payment at maturity of $1,400.00 per security. In
this scenario, an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1 exposure
to the appreciation of the underlying index without a maximum return.
Example 3—Par Scenario. The
hypothetical final index level is 2,915.60 (a 5.00% decrease from the hypothetical initial index level), which is less than
the hypothetical initial index level but greater than the hypothetical buffer level.
Payment at maturity per security = $1,000
Because the underlying index did not depreciate
from the hypothetical initial index level to the hypothetical final index level by more than the 20.00% buffer, your payment at
maturity in this scenario would be equal to the $1,000 stated principal amount per security.
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 November----, 2019 | |
Example 4—Downside Scenario.
The hypothetical final index level is 767.26 (a 75.00% decrease from the hypothetical initial index level), which is less than
the hypothetical buffer level.
Payment at maturity per security = $1,000 - ($1,000 ×
buffer level – final index level ) = $1,000 – ($1,000 × 2,455.24 – 767.26)
initial index level 3,069.05
= $1,000 - ($1,000 × 55.00%)
= $1,000 - $550.00
= $450.00
Because the underlying index depreciated
from the hypothetical initial index level to the hypothetical final index level by more than the 20.00% buffer, your payment at
maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the underlying index beyond the 20.00% buffer.
Information
About the Underlying Index |
The EURO STOXX 50® Index is composed of 50 component
stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices, which represent the Eurozone
portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector indices contain
the 600 largest stocks traded on the major exchanges of 18 European countries.
STOXX Limited (“STOXX”) and its licensors and CGMI
have entered into a non-exclusive license agreement providing for the license to CGMI and its affiliates, in exchange for a fee,
of the right to use the EURO STOXX 50® Index, which is owned and published by STOXX, in connection with certain
financial instruments, including the securities. For more information, see “Equity Index Descriptions—EURO STOXX 50®
Index—License Agreement with STOXX Limited” in the accompanying underlying supplement.
Please refer to the sections “Risk Factors” and
“Equity Index Descriptions—EURO STOXX 50® Index” in the accompanying underlying supplement for
important disclosures regarding the underlying index, including certain risks that are associated with an investment linked to
the underlying index.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying index.
Historical Information
The graph below shows the closing levels of the underlying index
for each day such level was available from January 4, 2010 to October 1, 2015. The table that follows shows the high, low and period
end closing levels of the underlying index for each quarter in that same period. We obtained the closing levels and other information
below from Bloomberg L.P., without independent verification. You should not take the historical levels of the underlying index
as an indication of future performance.
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 November----, 2019 | |
|
High |
Low |
Last |
2010 |
|
|
|
First Quarter |
3,017.85 |
2,631.64 |
2,931.16 |
Second Quarter
|
3,012.65 |
2,488.50 |
2,573.32 |
Third Quarter |
2,827.27 |
2,507.83 |
2,747.90 |
Fourth Quarter |
2,890.64 |
2,650.99 |
2,792.82 |
2011 |
|
|
|
First Quarter |
3,068.00 |
2,721.24 |
2,910.91 |
Second Quarter |
3,011.25 |
2,715.88 |
2,848.53 |
Third Quarter |
2,875.67 |
1,995.01 |
2,179.66 |
Fourth Quarter |
2,476.92 |
2,090.25 |
2,316.55 |
2012 |
|
|
|
First Quarter |
2,608.42 |
2,286.45 |
2,477.28 |
Second Quarter |
2,501.18 |
2,068.66 |
2,264.72 |
Third Quarter |
2,594.56 |
2,151.54 |
2,454.26 |
Fourth Quarter |
2,659.95 |
2,427.32 |
2,635.93 |
2013 |
|
|
|
First Quarter |
2,749.27 |
2,570.52 |
2,624.02 |
Second Quarter |
2,835.87 |
2,511.83 |
2,602.59 |
Third Quarter |
2,936.20 |
2,570.76 |
2,893.15 |
Fourth Quarter |
3,111.37 |
2,902.12 |
3,109.00 |
2014 |
|
|
|
First Quarter
|
3,172.43 |
2,962.49 |
3,161.60 |
Second Quarter |
3,314.80 |
3,091.52 |
3,228.24 |
Third Quarter |
3,289.75 |
3,006.83 |
3,225.93 |
Fourth Quarter
|
3,277.38 |
2,874.65 |
3,146.43 |
2015 |
|
|
|
First Quarter |
3,731.35 |
3,007.91 |
3,697.38 |
Second Quarter |
3,828.78 |
3,424.30 |
3,424.30 |
Third Quarter |
3,686.58 |
3,019.34 |
3,100.67 |
Fourth Quarter
(through October 1, 2015) |
3,069.05 |
3,069.05 |
3,069.05 |
The closing level of the underlying index on October 1, 2015
was 3,069.05.
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 November----, 2019 | |
United
States Federal Tax Considerations |
You
should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating
to the Securities” in the accompanying product supplement and “Summary Risk Factors” in this pricing supplement.
In
the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated
as a prepaid forward contract for U.S. federal income tax purposes. By purchasing a security, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to this treatment. There is uncertainty regarding this treatment,
and the IRS or a court might not agree with it.
Assuming
this treatment of the securities is respected and subject to the discussion in “United States Federal Tax Considerations”
in the accompanying product supplement, the following U.S. federal income tax consequences should result under current law:
| · | You should not recognize taxable income over the term of the securities prior to maturity, other
than pursuant to a sale or exchange. |
| · | Upon a sale or exchange of a security (including retirement at maturity), you should recognize
capital gain or loss equal to the difference between the amount realized and your tax basis in the security. Such gain or loss
should be long-term capital gain or loss if you held the security for more than one year. |
Subject
to the discussion below, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you
generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to
the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade
or business in the United States, and (ii) you comply with the applicable certification requirements.
As
discussed in the section of the accompanying product supplement entitled “United States Federal Tax Considerations,”
withholding under legislation commonly referred to as “FATCA” might (if the securities were recharacterized as debt
instruments) apply to amounts treated as interest paid with respect to the securities and to the payment of gross proceeds of
a disposition (including a retirement) of the securities. However, under a recent IRS notice, withholding under “FATCA”
will apply to payments of gross proceeds (other than any amount treated as interest) only with respect to dispositions after December
31, 2018. You should consult your tax adviser regarding the potential application of FATCA to the securities.
In
2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; whether short-term instruments should be subject
to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss
and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive
effect. If withholding tax applies to the securities, we will not be required to pay any additional amounts with respect to amounts
so withheld.
You
should read the section entitled “United States Federal Tax Considerations” in the accompanying product supplement.
The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell
LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.
You
should also consult your tax adviser regarding all aspects of the U.S. federal income and estate tax consequences of an investment
in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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 November----, 2019 | |
Supplemental
Plan of Distribution |
Pursuant
to the terms of the Global Selling Agency Agreement, dated November 13, 2013, CGMI, acting as principal, will purchase the securities
from Citigroup Inc. CGMI, as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent. Wells Fargo
will receive an underwriting discount and commission of up to 3.25% ($32.50) for each security it sells. Wells Fargo will pay
selected dealers, which may include WFA and Wells Fargo Advisors Financial Network, LLC, a fixed selling commission of 1.50% ($15.00)
for each security they sell. In addition to the selling commission allowed to WFA, Wells Fargo will pay $0.75 per security of
the underwriting discount and commission to WFA as a distribution expense fee for each security sold by WFA.
The public offering price of the securities includes the underwriting
discount and commission described on the cover page of this pricing supplement and the estimated cost of hedging our obligations
under the securities. We expect to hedge our obligations under the securities through affiliated or unaffiliated counterparties,
including affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties, which may
include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in hedging
our obligations under the securities. Because hedging our obligations entails risks and may be influenced by market forces beyond
the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit
that is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection
with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate of Wells Fargo
may act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the
time of sale or otherwise.
No action has been or will be taken by Citigroup Inc., Wells
Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the securities or possession or distribution
of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus in
any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries of the
securities, or distribution of this pricing supplement, the accompanying product supplement, underlying supplement or prospectus
supplement and prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with
any applicable laws and regulations and will not impose any obligations on Citigroup Inc., Wells Fargo or any broker-dealer affiliates
of any of them.
For the following jurisdictions, please note specifically:
Argentina
Citigroup Inc.’s Series G Medium-Term Senior Notes program
and the related offer of the securities and the sale of the securities under the terms and conditions provided herein does not
constitute a public offering in Argentina. Consequently, no public offering approval has been requested or granted by the Comisión
Nacional de Valores, nor has any listing authorization of the securities been requested on any stock market in Argentina.
Brazil
The securities may not be offered or sold to the public in Brazil.
Accordingly, this pricing supplement and the accompanying prospectus supplement and prospectus have not been submitted to the Comissão
de Valores Mobiliáros for approval. Documents relating to this offering may not be supplied to the public as a public offering
in Brazil or be used in connection with any offer for subscription or sale to the public in Brazil.
Chile
The securities have not been registered with the Superintendencia
de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the securities,
or distribution of this pricing supplement or the prospectus supplement and prospectus, may be made in or from Chile except in
circumstances that will result in compliance with any applicable Chilean laws and regulations.
Mexico
The securities have not been registered with the National Registry
of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico.
This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly distributed in Mexico.
Paraguay
This is a private and personal offering. The securities offered
have not been approved by or registered with the National Securities Commission (Comisión Nacional de Valores) and are not
part of a public offering as defined by the Paraguayan Securities Law. The information contained herein is for informational and
marketing purposes only and should not be taken as an investment advice.
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 November----, 2019 | |
Taiwan
These securities may be made available outside Taiwan for purchase
by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
Valuation
of the Securities |
CGMI calculated the estimated value of
the securities set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary
pricing models generated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments
that would replicate the payout on the securities, which consists of a fixed-income bond (the “bond component”) and
one or more derivative instruments underlying the economic terms of the securities (the “derivative component”). CGMI
calculated the estimated value of the bond component using a discount rate based on our internal funding rate. CGMI calculated
the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical
price for the instruments that constitute the derivative component based on various inputs, including the factors described under
“Risk Considerations—The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors”
in this pricing supplement, but not including our creditworthiness. These inputs may be market-observable or may be based on assumptions
made by CGMI in its discretionary judgment.
The estimated value of the securities is
a function of the terms of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary
pricing supplement, it is uncertain what the estimated value of the securities will be on the pricing date because certain terms
of the securities have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary
pricing models will be on the pricing date.
For a period of approximately three months
following issuance of the securities, the price, if any, at which CGMI would be willing to buy the securities from investors, and
the value that will be indicated for the securities on any brokerage account statements prepared by CGMI or its affiliates (which
value CGMI may also publish through one or more financial information vendors), will reflect a temporary upward adjustment from
the price or value that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit
expected to be realized by CGMI or its affiliates over the term of the securities. The amount of this temporary upward adjustment
will decline to zero on a straight-line basis over the three-month temporary adjustment period. However, CGMI is not obligated
to buy the securities from investors at any time. See “Risk Considerations—The Securities Will Not Be Listed On A Securities
Exchange And You May Not Be Able To Sell Them Prior To Maturity.”
© 2015 Citigroup Global Markets Inc. All rights reserved.
Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout
the world.
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