Payment of Interest
The amount of each interest payment per Note will equal the product of (a) $1,000 and (b) the Variable Annual Interest Rate for the applicable Interest Payment Date. Interest will be payable to the persons in whose names the Notes are registered at the close of business on the Business Day immediately preceding the applicable Interest Payment Date, except that the final interest payment will be payable to the persons who receive the payment at maturity.
The “Variable Annual Interest Rate” for any Interest Payment Date will equal the sum of the Weighted Reference Stock Returns of each Reference Stock determined as of the Valuation Date immediately preceding that Interest Payment Date (but will not be less than zero).
The “Weighted Reference Stock Return” for a Reference Stock as of any Valuation Date will be equal to the product of (a) the Reference Stock Return for that Reference Stock as of that Valuation Date and (b) 12.50%.
The “Reference Stock Return” for a Reference Stock determined as of any Valuation Date will equal:
· if the Cumulative Performance for that Reference Stock as of that Valuation Date is greater than or equal to zero:
9.35%; or
· if the Cumulative Performance for that Reference Stock as of that Valuation Date is less than zero:
the Cumulative Performance as of that Valuation Date (which will be negative), but in no case below –30.00%.
The “Cumulative Performance” of a Reference Stock as of any Valuation Date will equal the percentage change in the Closing Price of one share of that Reference Stock from the Pricing Date to that Valuation Date, calculated as:
Current Share Price – Initial Share Price
Initial Share Price
The “Initial Share Price” of a Reference Stock equals the Closing Price of one share of that Reference Stock on the Pricing Date, subject to certain adjustments as described under “—Dilution and Reorganization Adjustments.”
The “Current Share Price” of a Reference Stock on any Valuation Date will equal the Closing Price of one share of that Reference Stock on that Valuation Date.
A “Business Day” means any day that is not a Saturday, a Sunday or a day on which the securities exchanges or banking institutions or trust companies in the City of New York are authorized or obligated by law or executive order to close.
The “Interest Payment Dates” will be the 27th day of each March, commencing March 27, 2016, or, if such day is not a Business Day, the immediately following Business Day. If a Valuation Date for any Reference Stock is postponed as described under “—Consequences of a Market Disruption Event; Postponement of a Valuation Date” and different Reference Stocks have different Valuation Dates as a result, the applicable Interest Payment Date will be postponed to the fifth Business Day after the latest Valuation Date, and no additional interest will accrue as a result of such delayed payment. Notwithstanding the foregoing, the final Interest Payment Date will be the Maturity Date.
The “Valuation Dates” are, with respect to each Interest Payment Date, the fifth Business Day preceding such Interest Payment Date, and are March 18, 2016, March 20, 2017, March 20, 2018, March 20, 2019, March 20, 2020, March 22, 2021 and March 21, 2022. Each scheduled Valuation Date is subject to postponement for a given Reference Stock if such date is not a Scheduled Trading Day or a Market Disruption Event occurs with respect to that Reference Stock, as described under “—Consequences of a Market Disruption Event; Postponement of a Valuation Date” below.
The “Calculation Agent” means Citigroup Global Markets Inc. (“CGMI”).
The “Closing Price” of any Reference Stock (or any other security in the circumstances described under “—Dilution and Reorganization Adjustments” below) on any date of determination will be:
(1) if the applicable security is listed or admitted to trading on a U.S. national securities exchange on that date of determination, the last reported sale price, regular way (or, in the case of The NASDAQ Stock Market, the official closing price), of the principal trading session on such date of the Exchange for such
security or, if such price is not available on the Exchange for such security, on any other U.S. national securities exchange on which such security is listed or admitted to trading, or
(2) if such security is not listed or admitted to trading on a U.S. national securities exchange on that date of determination and such security is issued by a non-U.S. issuer, the last reported sale price, regular way, of the principal trading session on such date of the Exchange for such security (converted into U.S. dollars as provided under “—Dilution and Reorganization Adjustments” below),
in each case as determined by the Calculation Agent. If no such price is available pursuant to clauses (1) or (2) above, the Closing Price of such security on the applicable date of determination will be the arithmetic mean, as determined by the Calculation Agent, of the bid prices of the security obtained from as many dealers in such security (which may include CGMI or any of our other affiliates or subsidiaries), but not exceeding three such dealers, as will make such bid prices available to the Calculation Agent. If no bid prices are provided from any third party dealers, the Closing Price will be determined by the Calculation Agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant. If a Market Disruption Event occurs with respect to the applicable security on the applicable date of determination, the Calculation Agent may, in its sole discretion, determine the Closing Price of such security on such date either (x) pursuant to the two immediately preceding sentences or (y) if available, pursuant to clauses (1) or (2) above.
The “Exchange” for any Reference Stock or any other security means the principal U.S. national securities exchange on which trading in the applicable Reference Stock or security occurs (or, if the applicable Reference Stock or security is not listed or admitted to trading on a U.S. national securities exchange, is issued by a non-U.S. issuer and is listed or admitted to trading on a non-U.S. exchange or market, the principal non-U.S. exchange or market on which the applicable Reference Stock is listed or admitted to trading), as determined by the Calculation Agent.
Consequences of a Market Disruption Event; Postponement of a Valuation Date
If a Market Disruption Event occurs with respect to any Reference Stock on any scheduled Valuation Date, the Calculation Agent may, but is not required to, postpone the Valuation Date for that Reference Stock to the next succeeding Scheduled Trading Day for that Reference Stock on which a Market Disruption Event does not occur with respect to that Reference Stock; provided that the Valuation Date may not be postponed for more than five consecutive Scheduled Trading Days for the applicable Reference Stock or, in any event, past the Scheduled Trading Day for the applicable Reference Stock immediately preceding the Maturity Date. In addition, if any scheduled Valuation Date is not a Scheduled Trading Day for any Reference Stock, the Valuation Date for that Reference Stock will be postponed to the earlier of (i) the next succeeding day that is a Scheduled Trading Day for that Reference Stock and (ii) the Business Day immediately preceding the Maturity Date. The postponement of a Valuation Date for any Reference Stock will not affect the Valuation Date of any other Reference Stock.
If a Market Disruption Event occurs with respect to the applicable Reference Stock on any Valuation Date and the Calculation Agent does not postpone the Valuation Date, or if any Valuation Date is postponed for any reason to the last date to which it may be postponed, in each case as described above, then any Closing Price to be determined on such date will be determined as set forth in the definition of “Closing Price.”
Under the terms of the Notes, the Calculation Agent will be required to exercise discretion in determining (i) whether a Market Disruption Event has occurred with respect to the applicable Reference Stock; (ii) if a Market Disruption Event occurs with respect to the applicable Reference Stock, whether to postpone a Valuation Date for that Reference Stock as a result of such Market Disruption Event; and (iii) if a Market Disruption Event occurs with respect to the applicable Reference Stock on a date on which the Closing Price of the applicable Reference Stock is determined and the Closing Price of the applicable Reference Stock is available pursuant to clauses (1) or (2) of the definition of “Closing Price,” whether to determine such Closing Price by reference to such clauses (1) or (2) or by reference to the alternative procedure described in the definition of “Closing Price.” In exercising this discretion, the Calculation Agent will be required to act in good faith and using its reasonable judgment, but it may take into account any factors it deems relevant, including, without limitation, whether the applicable event materially interfered with our ability or the ability of our hedging counterparty, which may be an affiliate of ours, to adjust or unwind all or a material portion of any hedge with respect to the Notes.
Certain Definitions
The “Closing Time” with respect to any Reference Stock or other security, on any day, means the Scheduled Closing Time (as defined below) of the Exchange for the applicable Reference Stock or other security on such day or, if earlier, the actual closing time of such Exchange on such day.
An “Exchange Business Day” for any Reference Stock or other security means any day on which the Exchange and each Related Exchange for the applicable Reference Stock or other security are open for trading during their respective regular trading sessions, notwithstanding any such Exchange or Related Exchange closing prior to its Scheduled Closing Time.
A “Market Disruption Event” means, with respect to any Reference Stock (or any other security for which a Closing Price must be determined), as determined by the Calculation Agent,
(1) the occurrence or existence of any suspension of or limitation imposed on trading by the Exchange for such security or otherwise (whether by reason of movements in price exceeding limits permitted by the Exchange or otherwise) relating to such security on such Exchange, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the Closing Time;
(2) the occurrence or existence of any suspension of or limitation imposed on trading by any Related Exchange for such security or otherwise (whether by reason of movements in price exceeding limits permitted by the Related Exchange or otherwise) in futures or options contracts relating to such security, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the Closing Time;
(3) the occurrence or existence of any event (other than an Early Closure (as defined below)) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for, such security on the Exchange for such security, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the Closing Time;
(4) the occurrence or existence of any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to such security on any Related Exchange for such security, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the Closing Time;
(5) the closure on any Exchange Business Day of the Exchange or any Related Exchange for such security prior to its Scheduled Closing Time unless such earlier closing time is announced by such Exchange or Related Exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such Exchange or Related Exchange on such Exchange Business Day and (ii) the submission deadline for orders to be entered into the Exchange or Related Exchange system for execution at the Closing Time on such Exchange Business Day (an “Early Closure”); or
(6) the failure of the Exchange or any Related Exchange for such security to open for trading during its regular trading session.
A “Related Exchange” for the applicable Reference Stock or any other security means any exchange where trading has a material effect (as determined by the Calculation Agent) on the overall market for futures or options contracts relating to the applicable Reference Stock or other security.
The “Scheduled Closing Time” on any day for any Exchange or Related Exchange is the scheduled weekday closing time of such Exchange or Related Exchange on such day, without regard to after hours or any other trading outside of the regular trading session hours.
A “Scheduled Trading Day” for any Reference Stock means a day, as determined by the Calculation Agent, on which the Exchange, if any, and each Related Exchange, if any, for the applicable Reference Stock are scheduled to be open for trading for their respective regular trading sessions. If on any relevant date the applicable Reference Stock has neither an Exchange nor a Related Exchange, then, a Scheduled Trading Day shall mean a Business Day. Notwithstanding the foregoing, the Calculation Agent may, in its sole discretion, deem any day on which a Related Exchange for the Reference Stock is not scheduled to be open for trading for its regular trading session, but on which the Exchange for the applicable Reference Stock is scheduled to be open for trading for its regular trading session, to be a Scheduled Trading Day.
Dilution and Reorganization Adjustments
If certain events occur that affect any Reference Stock, the Initial Share Price with respect to such Reference Stock will be subject to adjustment as described below. In addition, if a Reorganization Event (as defined below) or certain other events occur with respect to a Reference Stock, other securities or property may be substituted for the original Reference Stock for purposes of determining the Closing Price of one share of that Reference Stock on and after the Adjustment Date for such
event. Any of these adjustments could have an impact on the amount of your payment at maturity. CGMI, as Calculation Agent, will be responsible for the calculation of any adjustment described herein and will furnish the trustee with notice of any adjustment. The adjustments described below will be effected for events that have an applicable Adjustment Date from but excluding the Pricing Date to and including the final Valuation Date.
No adjustments will be required other than those specified below. The adjustments specified in this section do not cover all events that could have a dilutive or adverse effect on the Reference Stocks during the term of the Notes. See “Risk Factors Relating to the Notes—An Adjustment Will Not Be Made for All Events that May Have a Dilutive Effect On or Otherwise Adversely Affect the Prices of the Reference Stocks.”
For purposes of this section, we use the term “Underlying Units” to refer to the applicable shares, and references to “each” or “one” Underlying Unit are to each or one share.
In this section, the term “Underlying Share Issuer” means the issuer of the common stock or the ordinary shares, as applicable, of any Reference Stock.
The Calculation Agent will have the discretion not to make any of the adjustments described below or to modify any of the adjustments described below if it determines that such adjustment would not be made in any relevant market for options or futures contracts relating to the applicable Reference Stock or that any adjustment made in such market would materially differ from the relevant adjustment described below.
Stock Dividends, Stock Splits and Reverse Stock Splits
If any Underlying Share Issuer:
(1) declares a record date in respect of, or pays or makes, a dividend or distribution, in each case of Underlying Units with respect to its Underlying Units (excluding any share dividend or distribution for which the number of shares paid or distributed is based on a fixed cash equivalent value (“Excluded Share Dividends”)),
(2) subdivides or splits its outstanding Underlying Units into a greater number of shares, or
(3) combines its outstanding Underlying Units into a smaller number of shares,
then, in each of these cases, the Initial Share Price with respect to the applicable Reference Stock will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of Underlying Units of such Underlying Share Issuer outstanding immediately prior to the open of business on the applicable Adjustment Date and (ii) the denominator of which will be the number of such Underlying Units outstanding immediately after giving effect to such event.
Issuance of Certain Rights or Warrants
If any Underlying Share Issuer issues, or declares a record date in respect of an issuance of, rights or warrants, in each case to all holders of its Underlying Units entitling them to subscribe for or purchase such Underlying Units at a price per share less than the Then-Current Market Price of such Underlying Units, other than Excluded Rights (as defined below), then, in each case, the Initial Share Price with respect to the applicable Reference Stock will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of such Underlying Units outstanding immediately prior to the open of business on the applicable Adjustment Date, plus the number of additional Underlying Units which the aggregate offering price of the total number of Underlying Units offered for subscription or purchase pursuant to the rights or warrants would purchase at the Then-Current Market Price of such Underlying Units (which will be determined by multiplying the total number of Underlying Units so offered for subscription or purchase by the exercise price of the rights or warrants and dividing the product obtained by the Then-Current Market Price) and (ii) the denominator of which will be the number of such Underlying Units outstanding immediately prior to the open of business on the applicable Adjustment Date, plus the number of additional Underlying Units offered for subscription or purchase pursuant to the rights or warrants. To the extent that, prior to the date of any affected payment on the Notes, after the expiration of the rights or warrants, the applicable Underlying Share Issuer publicly announces the number of Underlying Units with respect to which such rights or warrants have been exercised and such number is less than the aggregate number offered, the Initial Share Price with respect to such Reference Stock will be further adjusted to equal the Initial Share Price which would have been in effect had the adjustment for the issuance of the rights or warrants been made upon the basis of delivery of only the number of Underlying Units for which such rights or warrants were actually exercised.
“Excluded Rights” means (i) rights to purchase Underlying Units pursuant to a plan for the reinvestment of dividends or interest and (ii) rights that are not immediately exercisable, trade as a unit or automatically with the Underlying Units and may be redeemed by the Underlying Share Issuer.
The “Then-Current Market Price” of any Underlying Units, for the purpose of applying any dilution adjustment, means the average Closing Price per such Underlying Unit for the ten Scheduled Trading Days ending on the Scheduled Trading Day immediately preceding the related Adjustment Date. For purposes of determining the Then-Current Market Price, if a Market Disruption Event occurs with respect to the applicable Reference Stock on any such Scheduled Trading Day, the Calculation Agent may disregard the Closing Price on such Scheduled Trading Day for purposes of calculating such average; provided that the Calculation Agent may not disregard more than five Scheduled Trading Days in such ten–Scheduled Trading Day period.
Spin-offs and Certain Other Non-Cash Distributions
If any Underlying Share Issuer (a) declares a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of its Underlying Units, of any class of its capital stock, the capital stock of one or more of its subsidiaries (excluding any capital stock of a subsidiary in the form of Marketable Securities (as defined below)), evidences of its indebtedness or other non-cash assets or (b) issues to all holders of its Underlying Units, or declares a record date in respect of an issuance to all holders of its Underlying Units of, rights or warrants to subscribe for or purchase any of its or one or more of its subsidiaries’ securities, in each case excluding any share dividends or distributions referred to above, Excluded Share Dividends, any rights or warrants referred to above, Excluded Rights and any reclassification referred to below, then, in each of these cases, the Initial Share Price with respect to the applicable Reference Stock will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the Then-Current Market Price of one such Underlying Unit less the fair market value as of open of business on the Adjustment Date of the portion of the capital shares, assets, evidences of indebtedness, rights or warrants so distributed or issued applicable to one Underlying Unit of such Underlying Share Issuer and (ii) the denominator of which will be the Then-Current Market Price of one such Underlying Unit. If any capital stock declared or paid as a dividend or otherwise distributed or issued to all holders of the applicable Underlying Units consists, in whole or in part, of Marketable Securities (other than Marketable Securities of a subsidiary of the applicable Underlying Share Issuer), then the fair market value of such Marketable Securities will be determined by the Calculation Agent by reference to the Closing Price of such capital stock. The fair market value of any other distribution or issuance referred to in this paragraph will be determined by a nationally recognized independent investment banking firm retained for this purpose by Citigroup Inc., whose determination will be final.
Notwithstanding the foregoing, in the event that, with respect to any dividend, distribution or issuance to which the immediately preceding paragraph would otherwise apply, the numerator in the fraction referred to in such paragraph is less than $1.00 or is a negative number, then Citigroup Inc. may, at its option, elect to have the adjustment to the Initial Share Price with respect to the applicable Reference Stock provided by such paragraph not be made and, in lieu of this adjustment, the Closing Price of such Reference Stock on any date of determination thereafter will be deemed to be equal to the sum of (i) the Closing Price of such Reference Stock on such date and (ii) the fair market value of the capital stock, evidences of indebtedness, assets, rights or warrants (determined, as of open of business on the Adjustment Date, by a nationally recognized independent investment banking firm retained for this purpose by Citigroup Inc., whose determination will be final) so distributed or issued applicable to one share of Reference Stock.
If any Underlying Share Issuer declares a record date in respect of, or pays or makes, a dividend or distribution, in each case to all holders of its Underlying Units of the capital stock of one or more of its subsidiaries in the form of Marketable Securities, the Closing Price of the applicable Reference Stock on any date of determination from and after open of business on the Adjustment Date will in each case equal the Closing Price of such Reference Stock plus the product of (i) the Closing Price of such shares of subsidiary capital stock on such date and (ii) the number of shares of such subsidiary capital stock distributed per share of Reference Stock.
Certain Extraordinary Cash Dividends
If any Underlying Share Issuer declares a record date in respect of a distribution of cash, by dividend or otherwise, to all holders of its Underlying Units, other than (a) any Permitted Dividends described below, (b) any cash distributed in consideration of fractional shares of the Underlying Units and (c) any cash distributed in a Reorganization Event referred to below, then in each case the Initial Share Price with respect to the applicable Reference Stock will be multiplied by a dilution adjustment equal to a fraction, (i) the numerator of which will be the Then-Current Market Price of the applicable Underlying Units less the amount of the distribution applicable to one Underlying Unit which would not be a Permitted Dividend (such amount, the “Extraordinary Portion”) and (ii) the denominator of which will be the Then-Current Market Price of the applicable Underlying Units. In the case of an Underlying Share Issuer that is organized outside the United States, in order to determine the Extraordinary Portion, the amount of the distribution will be reduced by any applicable foreign withholding taxes that would apply to dividends or other distributions paid to a U.S. person that claims any reduction in such taxes to which a U.S. person would generally be entitled under an applicable U.S. income tax treaty, if available.
A “Permitted Dividend” is (1) any distribution of cash, by dividend or otherwise, to all holders of the applicable Underlying Units other than to the extent that such distribution, together with all other such distributions in the same quarterly fiscal period of the applicable Underlying Share Issuer with respect to which an adjustment to the Initial Share Price under this section “—Certain Extraordinary Cash Dividends” has not previously been made, per Underlying Unit exceeds the sum of (a) the immediately preceding cash dividend(s) or other cash distribution(s) paid in the immediately preceding quarterly fiscal period, if any, per Underlying Unit and (b) 10% of the Closing Price of the Underlying Units on the date of declaration of such distribution, and (2) any cash dividend or distribution made in the form of a fixed cash equivalent value for which the holders of the applicable Underlying Units have the option to receive either a number of Underlying Units or a fixed amount of cash. If the applicable Underlying Share Issuer pays a dividend on an annual basis rather than a quarterly basis, the Calculation Agent will make such adjustments to this provision as it deems appropriate.
Notwithstanding the foregoing, in the event that, with respect to any dividend or distribution to which the first paragraph under this section“—Certain Extraordinary Cash Dividends” would otherwise apply, the numerator in the fraction referred to in the formula in that paragraph is less than $1.00 or is a negative number, then Citigroup Inc. may, at its option, elect to have the adjustment provided by such paragraph not be made and, in lieu of this adjustment, the Closing Price of the applicable Reference Stock on any date of determination from and after open of business on the Adjustment Date will be deemed to be equal to the sum of (i) the Closing Price of the applicable Reference Stock on such date and (ii) the amount of cash so distributed applicable to one share of Reference Stock.
Reorganization Events
In the event of any of the following “Reorganization Events” with respect to any Underlying Share Issuer:
|
·
|
such Underlying Share Issuer reclassifies its Underlying Units, including, without limitation, in connection with the issuance of tracking stock,
|
|
·
|
any consolidation or merger of such Underlying Share Issuer, or any surviving entity or subsequent surviving entity of such Underlying Share Issuer, with or into another entity, other than a merger or consolidation in which such Underlying Share Issuer is the continuing company and in which the Underlying Units of such Underlying Share Issuer outstanding immediately before the merger or consolidation are not exchanged for cash, securities or other property of such Underlying Share Issuer or another issuer,
|
|
·
|
any sale, transfer, lease or conveyance to another company of the property of such Underlying Share Issuer or any successor as an entirety or substantially as an entirety,
|
|
·
|
any statutory exchange of Underlying Units of such Underlying Share Issuer with securities of another issuer, other than in connection with a merger or acquisition,
|
|
·
|
another entity completes a tender or exchange offer for all the outstanding Underlying Units of such Underlying Share Issuer or
|
|
·
|
any liquidation, dissolution or winding up of such Underlying Share Issuer or any successor of such Underlying Share Issuer,
|
the Closing Price of the applicable Reference Stock on any date of determination from and after the open of business on the Adjustment Date will, in each case, be deemed to be equal to the Transaction Value on such date. The Calculation Agent will determine in its sole discretion whether a transaction constitutes a Reorganization Event as defined above, including whether a transaction constitutes a sale, transfer, lease or conveyance to another company of the property of the applicable Underlying Share Issuer or any successor “as an entirety or substantially as an entirety.” The Calculation Agent will have significant discretion in determining what “substantially as an entirety” means and may exercise that discretion in a manner that may be adverse to the interests of holders of the Securities.
The “Transaction Value” will equal the sum of (1), (2) and (3) below:
(1)
|
for any cash received in a Reorganization Event, the amount of cash received per Underlying Unit,
|
(2)
|
for any property other than cash or Marketable Securities received in a Reorganization Event, an amount equal to the fair market value on the effective date of the Reorganization Event of that property received per Underlying Unit, as determined by a nationally recognized independent investment banking firm retained for this purpose by Citigroup Inc., whose determination will be final, and
|
(3)
|
for any Marketable Securities received in a Reorganization Event, an amount equal to the Closing Price per unit of these Marketable Securities on the applicable date of determination multiplied by the number of these Marketable Securities received per Underlying Unit,
|
plus, in each case, if the applicable shares of that Reference Stock continue to be outstanding following the Reorganization Event, the Closing Price of such shares.
“Marketable Securities” are any perpetual equity securities or debt securities with a stated maturity after the Maturity Date, in each case that are listed on a U.S. national securities exchange. The number of shares of any equity securities constituting Marketable Securities included in the calculation of Transaction Value pursuant to clause (3) above will be adjusted if any event occurs with respect to the Marketable Securities or the issuer of the Marketable Securities between the time of the Reorganization Event and the final Valuation Date that would have required an adjustment as described above, had it occurred with respect to the Underlying Units or the Underlying Share Issuer. Adjustment for these subsequent events will be as nearly equivalent as practicable to the adjustments described above, as determined by the Calculation Agent.
Certain General Provisions
The adjustments described in this section will be effected at the open of business on the applicable date specified below (such date, the “Adjustment Date”):
|
·
|
in the case of any dividend, distribution or issuance, on the applicable Ex-Date (as defined below),
|
|
·
|
in the case of any subdivision, split, combination or reclassification, on the effective date thereof and
|
|
·
|
in the case of any Reorganization Event, on the effective date of the Reorganization Event.
|
All adjustments will be rounded upward or downward to the nearest 1/10,000th or, if there is not a nearest 1/10,000th, to the next lower 1/10,000th. No adjustment in the Initial Share Price with respect to any Reference Stock will be required unless the adjustment would require an increase or decrease of at least one percent therein; provided, however, that any adjustments which by reason of this sentence are not required to be made will be carried forward (on a percentage basis) and taken into account in any subsequent adjustment. If any announcement or declaration of a record date in respect of a dividend, distribution or issuance requiring an adjustment as described herein is subsequently canceled by the applicable Underlying Share Issuer, or this dividend, distribution or issuance fails to receive requisite approvals or fails to occur for any other reason, in each case prior to the Maturity Date of the Securities, then, upon such cancellation, failure of approval or failure to occur, the Initial Share Price will be further adjusted to the Initial Share Price that would have then been in effect had adjustment for the event not been made. All adjustments to any Initial Share Price shall be cumulative, such that if more than one adjustment is required to an Initial Share Price, each subsequent adjustment will be made to the Initial Share Price as previously adjusted.
The “Ex-Date” relating to any dividend, distribution or issuance is the first date on which the applicable shares of Reference Stock trade in the regular way on their principal market without the right to receive such dividend, distribution or issuance from the Underlying Share Issuer or, if applicable, from the seller on such market (in the form of due bills or otherwise).
For the purpose of adjustments described herein, each non-U.S. dollar value (whether a value of cash, property, securities or otherwise) shall be expressed in U.S. dollars as converted from the relevant currency using the 12:00 noon buying rate in New York certified by the New York Federal Reserve Bank for customs purposes on the date of valuation, or if this rate is unavailable, such rate as the Calculation Agent may determine.
Delisting of a Reference Stock
If any Reference Stock is delisted from its Exchange (other than in connection with a Reorganization Event) and not then or immediately thereafter listed on another U.S. national securities exchange (a “Delisting Event”), we will have the right, but not the obligation, to call the Notes for redemption on the third Business Day following the last Scheduled Trading Day for the applicable Reference Stock on which it is scheduled to trade on such Exchange; provided that, if public notice of such delisting is not provided at least five Business Days prior to such last Scheduled Trading Day, we may in our reasonable judgment specify a date later than such third Business Day as the date of redemption.
If we exercise this call right, we will redeem each Note for an amount in cash equal to the amount to be received on the Maturity Date, calculated as though the Last Valid Trading Day (as defined below) were the final Valuation Date. For purposes of the immediately preceding sentence, your final interest payment will be prorated from and including the immediately preceding Interest Payment Date to but excluding the date of redemption.
The “Last Valid Trading Day” means the last Scheduled Trading Day for any Reference Stock on which it is scheduled to trade on its Exchange; provided that, if the Closing Price of the applicable Reference Stock is not available pursuant to clause (1) or (2) of the definition of “Closing Price” or a Market Disruption Event occurs with respect to the applicable Reference Stock on such last Scheduled Trading Day, the Calculation Agent may, but is not required to, deem the Last Valid Trading Day with respect to the applicable Reference Stock to be the first Scheduled Trading Day for the applicable Reference Stock preceding such last Scheduled Trading Day on which such Closing Price was available pursuant to clause (1) or (2) of the definition of “Closing Price” and a Market Disruption Event did not occur with respect to the applicable Reference Stock.
If a Delisting Event occurs and we do not exercise our right to call the Notes pursuant to the immediately preceding paragraph, then the Calculation Agent may, but is not required to, select Successor Shares (as defined below) to be the applicable Reference Stock in accordance with the following paragraphs prior to open of business on the first Scheduled Trading Day for the applicable Reference Stock on which it is no longer listed or admitted to trading on its Exchange (the “Change Date”).
The “Successor Shares” with respect to any Reference Stock will be shares of an Eligible Company (as defined below) selected by the Calculation Agent in its sole discretion from among the shares of the Top Three Eligible Companies. The “Top Three Eligible Companies” are the three (or fewer, if the Calculation Agent cannot identify three) Eligible Companies whose shares are, in the Calculation Agent’s sole determination, the most comparable to the original applicable Reference Stock, taking into account such factors as the Calculation Agent deems relevant (including, without limitation, market capitalization, dividend history, trading characteristics, liquidity and share price volatility), excluding (i) any shares that are subject to a trading restriction under the trading restriction policies of Citigroup Inc. or any of its affiliates that would materially limit our ability or the ability of any of our affiliates to hedge the Notes with respect to the shares and (ii) any other shares that the Calculation Agent determines, in its sole discretion, not to select as Successor Shares based on legal or regulatory considerations. An “Eligible Company” is a company that (x) is organized in, or the principal executive office of which is located in, the country in which the applicable original issuer of the Reference Stock is organized or has its principal executive office, (y) has shares that are listed or admitted to trading on the New York Stock Exchange or The NASDAQ Stock Market and (z) has the same Global Industry Classification Standard (“GICS”) sub-industry code as the original applicable issuer of the Reference Stock; provided that, if the Calculation Agent determines that no shares of a company meeting the criteria set forth in clauses (x), (y) and (z) are sufficiently comparable to the original applicable Reference Stock to select as Successor Shares, the Calculation Agent may treat as an Eligible Company any company that meets the criteria set forth in clauses (x) and (y) and has the same GICS industry group code as the original applicable issuer of the Reference Stock; provided, further, that, if the Calculation Agent determines that no shares of a company meeting the criteria set forth in the immediately preceding proviso are sufficiently comparable to the original applicable Reference Stock to select as Successor Shares, the Calculation Agent may treat as an Eligible Company any company that meets the criteria set forth in clauses (y) and (z). If no GICS sub-industry or industry group code has been assigned to any applicable company, the Calculation Agent may select a GICS sub-industry and industry group code, as applicable, for such company in its sole discretion.
Upon the selection of any Successor Shares by the Calculation Agent, on and after the Change Date, references in this pricing supplement to the applicable Reference Stock will no longer be deemed to refer to the original applicable Reference Stock and will be deemed instead to refer to the applicable Successor Shares for all purposes, and references in this pricing supplement to the applicable issuer of the Reference Stock will be deemed to be to the issuer of such Successor Shares. Upon the selection of any Successor Shares by the Calculation Agent, on and after the Change Date, the applicable Initial Share Price for the Successor Shares will be equal to the applicable Initial Share Price for the original applicable Reference Stock immediately prior to the Change Date divided by a factor determined by the Calculation Agent in good faith, taking into account, among other things, the Closing Price of the original Reference Stock on the Last Valid Trading Day. The Initial Share Price for the Successor Shares as so determined will be subject to adjustment for certain corporate events related to the Successor Shares occurring on or after the Change Date in accordance with “—Dilution and Reorganization Adjustments.”
Hypothetical Variable Annual Interest Rate
The tables below present examples of hypothetical Variable Annual Interest Rates on the Notes. The examples below are for purposes of illustration only and would provide different results if different assumptions were made. The actual Variable Annual Interest Rate applicable to any Interest Payment Date will be determined on the related Valuation Date based on the sum of the Weighted Reference Stock Returns on such date, calculated as described herein. The numbers appearing in the tables and examples below have been rounded for ease of analysis. The Variable Annual Interest Rate may be zero.