The information in this pricing
supplement is not complete and may be changed. A registration statement relating to these securities has been filed with the Securities
and Exchange Commission. This pricing supplement and the accompanying product supplement, underlying supplement, 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
NOVEMBER 25, 2015
Pricing Supplement No. 2015—CMTNG0767
to Product Supplement No. EA-02-03 dated November 13, 2013, Prospectus Supplement and Prospectus each dated November 13, 2013
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
Dated December , 2015
Citigroup Inc. $-----Trigger Performance Securities |
|
Linked to Shares of the iShares® MSCI EAFE
ETF Due On or About December 31, 2020
The Trigger Performance Securities (the “Securities”)
are unsecured, unsubordinated debt obligations of Citigroup Inc. (the “Issuer”) with a return at maturity linked
to the performance of shares of the iShares® MSCI EAFE ETF (the “ETF” or the “Underlying
Shares”) from their Initial Share Price to their Final Share Price. If the Share Return is positive, the Issuer will
repay the Stated Principal Amount of the Securities at maturity and pay a return equal to the Share Return multiplied by the Participation
Rate of between 173% and 183% (the actual Participation Rate will be determined on the Trade Date). If the Share Return is zero
or negative and the Final Share Price is greater than or equal to the Trigger Price, the Issuer will repay the Stated Principal
Amount of the Securities at maturity. However, if the Share Return is negative and the Final Share Price is less than the Trigger
Price, you will be fully exposed to the negative Share Return and the Issuer will pay you less than the Stated Principal Amount
at maturity, resulting in a loss on the Stated Principal Amount to investors that is proportionate to the percentage decline in
the price of the Underlying Shares. Investing in the Securities involves significant risks. You will not receive coupon payments
during the 5-year term of the Securities. You may lose a substantial portion or all of your initial investment. You will not receive
dividends or other distributions paid on the Underlying Shares or the stocks held by the ETF. The contingent repayment of the
Stated Principal Amount applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment
of the Stated Principal Amount provided at maturity, is subject to the creditworthiness of the Issuer. If the Issuer were to default
on its payment obligations, you might not receive any amounts owed to you under the Securities and you could lose your entire
investment.
Features |
|
Key Dates1 |
q Participation
in Positive Share Return — If the Share Return is positive, the Issuer will repay the Stated Principal Amount of the
Securities at maturity and pay a return equal to the Share Return multiplied by the Participation Rate. If the Share Return is
negative, investors may be exposed to the decline in the Underlying Shares at maturity.
q Downside
Exposure with Contingent Repayment of the Stated Principal Amount at Maturity — If the Share Return is zero or negative
and the Final Share Price is greater than or equal to the Trigger Price, the Issuer will repay the Stated Principal Amount of the
Securities at maturity. However, if the Share Return is negative and the Final Share Price is less than the Trigger Price, the
Issuer will pay less than the Stated Principal Amount of the Securities at maturity, resulting in a loss on the Stated Principal
Amount to investors that is proportionate to the percentage decline in the price of the Underlying Shares. The contingent repayment
of the Stated Principal Amount applies only if you hold the Securities to maturity. You might lose some or all of your initial
investment. Any payment on the Securities is subject to the creditworthiness of the Issuer. If the Issuer were to default on its
payment obligations, you might not receive any amounts owed to you under the Securities and you could lose your entire investment.
|
|
Trade Date
Settlement Date
Final Valuation Date2
Maturity Date |
December 28, 2015
December 31, 2015
December 24, 2020
December 31, 2020
|
1 Expected 2 See
page PS-3 for additional details.
|
NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER
THAN CONVENTIONAL DEBT SECURITIES. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY YOUR INITIAL INVESTMENT IN THE SECURITIES AT
MATURITY, AND THE SECURITIES CAN HAVE THE FULL DOWNSIDE MARKET RISK OF THE UNDERLYING SHARES. THIS MARKET RISK IS IN ADDITION TO
THE CREDIT RISK INHERENT IN PURCHASING AN OBLIGATION OF CITIGROUP INC. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND
OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON
ANY SECURITIES EXCHANGE AND, ACCORDINGLY, MAY HAVE LIMITED OR NO LIQUIDITY.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “SUMMARY
RISK FACTORS” BEGINNING ON PAGE PS-4 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS RELATING TO THE SECURITIES”
BEGINNING ON PAGE EA-6 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE
RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE
SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
We are offering Trigger Performance Securities Linked to Shares
of the iShares® MSCI EAFE ETF. Any return at maturity will be determined by the performance of the Underlying Shares.
The Securities are our unsecured, unsubordinated debt obligations and are offered for a minimum investment of 100 Securities at
the issue price described below. The Initial Share Price, Participation Rate and Trigger Price will be set on the Trade Date.
Underlying Shares |
Initial Share Price |
Participation Rate |
Trigger Price |
CUSIP/ ISIN |
iShares® MSCI
EAFE ETF (Ticker: EFA) (the “ETF” or “Underlying
Share Issuer”) |
$ |
173% to 183% |
$ ,
75% of the Initial Share Price |
17323P223 / US17323P2231 |
See “Additional Terms Specific to the Securities”
in this pricing supplement. The Securities will have the terms specified in the accompanying product supplement, prospectus supplement
and prospectus, as supplemented by this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy
of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus.
Any representation to the contrary is a criminal offense. The Securities are not bank deposits and are not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other governmental agency.
|
Issue Price(1) |
Underwriting Discount(2) |
Proceeds to Issuer |
Per Security |
$10.00 |
$0.05 |
$9.95 |
Total |
$ |
$ |
$ |
| (1) | Citigroup Inc. currently expects that the estimated value of the Securities on the Trade Date will be at least $9.200 per Security,
which will be less than the issue price. The estimated value of the Securities is based on proprietary pricing models of Citigroup
Global Markets Inc. (“CGMI”) 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) | The underwriting discount is $0.05 per Security. The agents for this offering are CGMI and UBS Financial Services Inc. (“UBS”).
CGMI, acting as principal, expects to purchase from Citigroup Inc., and Citigroup Inc. expects to sell to CGMI, the aggregate Stated
Principal Amount of the Securities set forth above for $9.95 per Security. CGMI expects to sell all of the Securities to an unaffiliated
dealer at $9.95 per Security for further sale to certain fee-based advisory accounts for which UBS is an investment advisor at
the issue price of $10.00 per Security. UBS will not receive a sales commission. For additional information on the distribution
of the Securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting
discount, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the
Securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus. |
Citigroup Global Markets Inc. |
UBS Financial Services Inc. |
Additional Terms Specific to the Securities |
The terms of the Securities are
set forth in the accompanying product supplement, prospectus supplement and prospectus, as supplemented by this pricing supplement.
The accompanying product 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. 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 ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement
of a Valuation Date,” “—Dilution and Reorganization Adjustments” and “—Delisting, Liquidation
or Termination of an ETF,” and not in this pricing supplement. The accompanying underlying supplement contains important
disclosures regarding the Underlying Shares that are not repeated in this pricing supplement. It is important that you read the
accompanying product supplement, underlying supplement, prospectus supplement and prospectus together with this pricing supplement
before you decide whether to invest in the Securities. Certain terms used but not defined in this pricing supplement are defined
in the accompanying product supplement.
You may access the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus on the SEC website at www.sec.gov as follows (or
if such address has changed, by reviewing our filings for November 13, 2013 on the SEC website):
You may revoke your offer to purchase
the Securities at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right
to change the terms of, or reject any offer to purchase, the Securities prior to the Trade Date. The applicable agent will notify
you in the event of any material changes to the terms of the Securities, and you will be asked to accept such changes in connection
with your purchase of the Securities. You may also choose to reject such changes, in which case the applicable agent may reject
your offer to purchase the Securities.
References to “Citigroup Inc.,”
“we,” “our” and “us” refer to Citigroup Inc. and not to any of its subsidiaries. In this pricing
supplement, “Securities” refers to the Trigger Performance Securities Linked to Shares of the iShares®
MSCI EAFE ETF that are offered hereby, unless the context otherwise requires.
This pricing supplement, together
with the documents listed above, contains the terms of the Securities and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. The description in this pricing supplement
of the particular terms of the Securities supplements, and, to the extent inconsistent with, replaces, the descriptions of the
general terms and provisions of the debt securities set forth in the accompanying product supplement, prospectus supplement and
prospectus. You should carefully consider, among other things, the matters set forth in “Summary Risk Factors” in
this pricing supplement and “Risk Factors Relating to the Securities” in the accompanying product supplement, as the
Securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisers before deciding to invest in the Securities.
The suitability considerations identified
below are not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances,
and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have
carefully considered the suitability of an investment in the Securities in light of your particular circumstances. You should
also review “Summary Risk Factors” beginning on page PS-4 of this pricing supplement and “Risk Factors Relating
to the Securities” beginning on page EA-6 of the accompanying product supplement.
The Securities may be suitable for you if, among other considerations: |
|
The Securities may not be suitable for you if, among other considerations: |
|
|
|
¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have
the full downside market risk of an investment in the Underlying Shares or in the stocks held by the ETF.
¨ You
believe that the price of the Underlying Shares will increase over the term of the Securities.
¨ You
would be willing to invest in the Securities if the Participation Rate was set equal to the bottom of the range indicated on the
cover page hereof (the actual Participation Rate will be set on the Trade Date).
¨ You
can tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the Underlying Shares.
¨ You
do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on the Underlying
Shares or the stocks held by the ETF for the term of the Securities.
¨ You
seek an investment with exposure to foreign equity markets.
¨ You
are willing and able to hold the Securities to maturity, and accept that there may be little or no secondary market for the Securities
and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the Securities.
¨ You
are willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, and understand that if Citigroup
Inc. defaults on its obligations you might not receive any amounts due to you, including any repayment of the Stated Principal
Amount.
|
|
¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial
investment.
¨ You
require an investment designed to guarantee a full return of the Stated Principal Amount at maturity.
¨ You
cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an investment
that may have the full downside market risk of an investment in the Underlying Shares or in the stocks held by the ETF.
¨ You
believe that the price of the Underlying Shares will decline during the term of the Securities and is likely to close below the
Trigger Price on the Final Valuation Date.
¨ You
would not be willing to invest in the Securities if the Participation Rate was set equal to the bottom of the range indicated on
the cover page hereof (the actual Participation Rate will be set on the Trade Date).
¨ You
cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the price of the Underlying Shares.
¨ You
seek current income from this investment or prefer to receive the dividends and any other distributions paid on the Underlying
Shares or the stocks held by the ETF for the term of the Securities.
¨ You
do not seek an investment with exposure to foreign equity markets.
¨ You
are unwilling or unable to hold the Securities to maturity, or you seek an investment for which there will be an active secondary
market.
¨ You
are not willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, including any repayment of
the Stated Principal Amount. |
Indicative Terms |
Issuer |
Citigroup Inc. |
Issue Price |
100% of the Stated Principal Amount per Security |
Stated Principal Amount |
$10.00 per Security |
Term |
Approximately 5 years |
Trade Date1 |
December 28, 2015 |
Settlement Date1 |
December 31, 2015 |
Final Valuation Date1, 2 |
December 24, 2020 |
Maturity Date1 |
December 31, 2020 |
Underlying Shares |
Shares of
the iShares® MSCI EAFE ETF (Ticker: EFA) (the “ETF” or the “Underlying Share Issuer”) |
Trigger Price |
$ , 75% of the Initial Share Price |
Participation Rate |
173% to 183%. The actual Participation Rate will be determined on the Trade Date. |
Payment at Maturity (per $10.00 Stated Principal Amount of Securities) |
If the Share Return is positive, Citigroup Inc. will pay
you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount of $10.00
plus a return equal to the Share Return multiplied by the Participation Rate, calculated as follows:
$10.00 + ($10.00 × Share Return × Participation
Rate)
If the Share Return is zero or negative and the Final
Share Price is greater than or equal to the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash
payment of $10.00 per $10.00 Stated Principal Amount of Securities.
If the Share Return is negative and the Final Share
Price is less than the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment at maturity less
than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate
to the percentage decline in the price of the Underlying Shares, calculated as follows:
$10.00 + ($10.00 × Share Return)
In this scenario, you will be exposed to the full
negative Share Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate
to the percentage decline in the Underlying Shares. |
Share Return |
Final Share Price – Initial Share Price
Initial Share Price |
Initial Share Price |
$ , the closing price of the Underlying Shares on the Trade Date |
Final Share Price |
The closing price of the Underlying Shares on the Final Valuation Date |
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE STATED PRINCIPAL AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER. IF CITIGROUP INC. WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
Investment Timeline |
|
|
Trade Date: |
|
The closing price of the Underlying Shares (Initial Share Price) is observed, the Participation Rate is set and the Trigger Price is determined. |
|
|
|
|
|
Maturity Date: |
|
The Final Share Price is determined on the Final Valuation Date
and the Share Return is calculated.
If the Share Return is positive, Citigroup Inc.
will pay you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount
of $10.00 plus a return equal to the Share Return multiplied by the Participation Rate, calculated as follows:
$10.00 + ($10.00 × Share Return
× Participation Rate)
If the Share Return is zero or negative and the Final
Share Price is greater than or equal to the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash
payment of $10.00 per $10.00 Stated Principal Amount of Securities.
If the Share Return is negative and the Final Share
Price is less than the Trigger Price on the Final Valuation Date, Citigroup Inc. will pay you a cash payment at maturity less
than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate
to the percentage decline in the price of the Underlying Shares, calculated as follows:
$10.00 + ($10.00 × Share Return)
In this scenario, you will be exposed to the full
negative Share Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate
to the percentage decline in the Underlying Shares. |
| 1 | In the event that we make any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity
Date may be changed to ensure that the stated term of the Securities remains the same. |
| 2 | Subject to postponement as described under “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Consequences of a Market Disruption Event; Postponement of a Valuation Date”
in the accompanying product supplement. |
An investment in the Securities is significantly
riskier than an investment in conventional debt securities. The Securities are subject to all of the risks associated with an investment
in our conventional debt securities, including the risk that we may default on our obligations under the Securities, and are also
subject to risks associated with the Underlying Shares. Accordingly, the Securities are suitable only for investors who are capable
of understanding the complexities and risks of the Securities. You should consult your own financial, tax and legal advisers as
to the risks of an investment in the Securities and the suitability of the Securities in light of your particular circumstances.
The following is a summary of certain key risk
factors for investors in the Securities. You should read this summary together with the 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 some or all of your investment — The Securities differ from ordinary debt securities in that we will
not necessarily repay the full Stated Principal Amount of your Securities at maturity. Instead, your return on the Securities is
linked to the performance of the Underlying Shares and will depend on whether, and the extent to which, the Share Return is positive
or negative. If the Final Share Price is less than the Trigger Price, you will lose 1% of the Stated Principal Amount of the Securities
for every 1% by which the Final Share Price is less than the Initial Share Price. There is no minimum payment at maturity on the
Securities, and you may lose up to all of your investment in the Securities. |
| ¨ | The reduced market risk offered by the Securities is contingent, and you will have full downside exposure to the Underlying
Shares if the Final Share Price is less than the Trigger Price — If the Final Share Price is below the Trigger Price,
the contingent reduced market risk with respect to a limited range of potential depreciation of the Underlying Shares offered by
the Securities will not apply and you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final
Share Price is less than the Initial Share Price. The Securities will have full downside exposure to the decline of the Underlying
Shares if the Final Share Price is below the Trigger Price. As a result, you may lose your entire investment in the Securities.
Further, this contingent reduced market risk applies only if you hold the Securities to maturity. If you are able to sell the Securities
prior to maturity you may have to sell them for a loss even if the Underlying Shares have not declined below the Trigger Price. |
| ¨ | 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. |
| ¨ | You will not have voting rights, rights to receive any dividends or other distributions or any other rights with respect
to the Underlying Shares — As of November 23, 2015, the trailing 12-month dividend yield of the Underlying Shares was
approximately 2.80%. While it is impossible to know the future dividend yield of the Underlying Shares, if this trailing 12-month
dividend yield were to remain constant for the term of the Securities, you would be forgoing an aggregate yield of approximately
14.00% (assuming no reinvestment of dividends) by investing in the Securities instead of investing directly in the Underlying Shares
or in another investment linked to the Underlying Shares that provides for a passthrough 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 price of the Underlying Shares on a single day — Because your
payment at maturity depends on the closing price of the Underlying Shares solely on the Final Valuation Date, you are subject to
the risk that the closing price of the Underlying Shares 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 directly in the Underlying Shares or in another instrument
linked to the Underlying Shares 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 prices of the Underlying Shares, you might have achieved better returns. |
| ¨ | The Securities are subject to the credit risk of Citigroup Inc. — Any payment on the Securities will be made by
Citigroup Inc. and therefore is subject to the credit risk of Citigroup Inc. If we default on our obligations under the Securities,
you may not receive any payments that become due under the Securities. As a result, the value of the Securities prior to maturity
will be affected by changes in the market’s view of our creditworthiness. Any decline, or anticipated decline, in our credit
ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking our credit risk is likely
to adversely affect the value of the Securities. |
| ¨ | The Securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity —
The 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 Trade Date, based on CGMI’s proprietary pricing models and our internal
funding rate, will be less than the issue price — The difference is attributable to certain costs associated with selling,
structuring and hedging the Securities that are included in the issue price. These costs include (i) the selling concessions paid
in connection with the offering of the Securities, (ii) hedging and other costs incurred by us and our affiliates in connection
with the offering of the Securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other
of our affiliates 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 Shares, dividend yields on the Underlying Shares and the
stocks held by the ETF 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 issue price. |
| ¨ | 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 price and volatility of the Underlying Shares and a number of other
factors, including the price and volatility of the stocks held by the ETF, the dividend yields on the Underlying Shares and the
stocks held by the ETF, changes in the exchange rate between the U.S. dollar and each of the currencies in which the stocks held
by the ETF trade, interest rates in the United States and in each of the markets of the stocks held by the ETF, 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 issue price. The stated payout from the Issuer, including the
potential application of the Participation Rate and the Trigger Price, only applies if you hold the Securities to maturity. |
| ¨ | 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 decline to zero over the temporary adjustment period. See “Valuation of the
Securities” in this pricing supplement. |
| ¨ | Our offering of the Securities is not a recommendation of the Underlying Shares — The fact that we are offering
the Securities does not mean that we believe that investing in an instrument linked to the Underlying Shares is likely to achieve
favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short
positions) in the Underlying Shares or the stocks held by the ETF over the term of the Securities or in instruments related to
the Underlying Shares or such stocks over the term of the Securities, and may publish research or express opinions, that in each
case are inconsistent with an investment linked to the Underlying Shares. These and other activities of our affiliates may affect
the price of the Underlying Shares in a way that has a negative impact on your interests as a holder of the Securities. |
| ¨ | Our affiliates, or UBS or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent
with investing in or holding the Securities — Any such research, opinions or recommendations could affect the closing
price of the Underlying Shares and the value of the Securities. Our affiliates, and UBS and its affiliates, publish research from
time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide
recommendations that may be inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed
by our affiliates or by UBS or its affiliates may not be consistent with each other and may be modified from time to time without
notice. These and other activities of our affiliates or UBS or its affiliates may adversely affect the price of the Underlying
Shares and may have a negative impact on your interests as a holder of the Securities. Investors should make their own independent
investigation of the merits of investing in the Securities and the Underlying Shares to which the Securities are linked. |
| ¨ | Trading and other transactions by our affiliates, or by UBS or its affiliates, in the equity and equity derivative markets
may impair the value of the Securities — We expect to hedge our exposure under the Securities through CGMI or other of
our affiliates, who will likely enter into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded
instruments, relating to the Underlying Shares or the stocks held by the ETF and other financial instruments related to the Underlying
Shares or such stocks and may adjust such positions during the term of the Securities. It is possible that our affiliates could
receive substantial returns from these hedging activities while the value of the Securities declines. Our affiliates and UBS and
its affiliates may also engage in trading in instruments linked to the Underlying Shares on a regular basis as part of their respective
general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for customers, including block transactions. Such trading and hedging activities may affect the closing price of the Underlying
Shares and reduce the return on your investment in the Securities. Our affiliates or UBS or its affiliates may also issue or underwrite
other securities or financial or derivative instruments with returns linked or related to the Underlying Shares. By introducing
competing products into the marketplace in this manner, our affiliates or UBS or its affiliates could adversely affect the value
of the Securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from,
or are in direct opposition to, investors’ trading and investment strategies relating to the Securities. |
| ¨ | Our affiliates, or UBS or its affiliates, may have economic interests that are adverse to yours as a result of their respective
business activities — Our affiliates or UBS or its affiliates may currently or from time to time engage in business with
the Underlying Share Issuer or the issuers of the stocks held by the ETF, including extending loans to, making equity investments
in or providing advisory services to such issuers. In the course of this business, our affiliates or UBS or its affiliates may
acquire non-public information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or
UBS or any of its affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that
are available to them without regard to your interests. |
| ¨ | Even if the Underlying Share Issuer pays a dividend that it identifies as special or extraordinary, no adjustment will be
required under the Securities for that dividend unless it meets the criteria specified in the accompanying product supplement —
In general, an adjustment will not be made under the terms of the Securities for any cash dividend paid on the Underlying Shares
unless the amount of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid
per share in the most recent quarter by an amount equal to at least 10% of the closing price of the Underlying Shares on the date
of declaration of the dividend. Any dividend will reduce the closing price of the Underlying Shares by the amount of the dividend
per share. If the Underlying Share Issuer pays any dividend for which an adjustment is not made under the terms of the Securities,
holders of the Securities will be adversely affected. See “Description of the Securities—Certain Additional Terms for
Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash
Dividends” in the accompanying product supplement. |
| ¨ | The Securities may become linked to shares of an issuer other than the original Underlying Share Issuer upon the occurrence
of a reorganization event or upon the delisting of the Underlying Shares — For example, if the Underlying Share Issuer
enters into a merger agreement that provides for holders of the Underlying Shares to receive shares of another entity, the shares
of such other entity will become the Underlying Shares for all purposes of the Securities upon consummation of the merger. Additionally,
if the Underlying Shares are delisted or the ETF is otherwise terminated, the calculation agent may, in its sole discretion, select
shares of another ETF to be the Underlying Shares. See “Description of the Securities—Certain Additional Terms for
Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments” and “—Delisting,
Liquidation or Termination of an ETF” in the accompanying product supplement. |
| ¨ | An adjustment is not required to be made for all events that may have a dilutive effect on or otherwise adversely affect
the market price of the Underlying Shares — For example, an adjustment will not be made for ordinary dividends or extraordinary
dividends that do not meet the criteria described above. Moreover, the adjustments that are made may not fully offset the dilutive
or adverse effect of the particular event. Investors in the Securities may be adversely affected by such an event in a circumstance
in which a direct holder of the Underlying Shares would not. |
| ¨ | 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, events with respect to the Underlying Share Issuer that
may require a dilution adjustment or the delisting of the Underlying Shares, CGMI, as calculation agent, will be required to make
discretionary judgments that could significantly affect your payment at maturity. Such judgments could include, among other things: |
| ¨ | determining
whether a market disruption event has occurred; |
| ¨ | if
a market disruption event has occurred on the Final Valuation Date, determining whether to postpone the Final Valuation Date; |
| ¨ | determining the price of the Underlying Shares if the price of the Underlying Shares is not otherwise available or a market
disruption event has occurred; |
| ¨ | determining the appropriate adjustments to be made to the Initial Share Price upon the occurrence of an event described under
“Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Delisting,
Liquidation or Termination of an Underlying ETF” in the accompanying product supplement; and |
| ¨ | selecting a successor ETF or performing an alternative calculation of the price of the Underlying Shares if the Underlying
Shares are discontinued or materially modified (see “Description of the Securities—Certain Additional Terms for Securities
Linked to ETF Shares or Company Shares—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying
product supplement). |
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.
| ¨ | The price and performance of the Underlying Shares may not completely track the performance of the ETF’s Underlying
Index or the net asset value per share of the Underlying Shares. The ETF does not fully replicate the Underlying Index that
it seeks to track and may hold securities different from those included in its Underlying Index. In addition, the performance of
the Underlying Shares will reflect additional transaction costs and fees that are not included in the calculation of the MSCI EAFE®
Index (the “Underlying Index”). All of these factors may lead to a lack of correlation between the performance of the
Underlying Shares and the Underlying Index. In addition, corporate actions with respect to the equity securities constituting the
Underlying Index or held by the ETF (such as mergers and spin-offs) may impact the variance between the performances of the Underlying
Shares and the Underlying Index. Finally, because the Underlying Shares are traded on NYSE Arca, Inc. and are subject to market
supply and investor demand, the market value of the Underlying Shares may differ from the net asset value per share of the Underlying
Shares. |
During periods of market volatility,
securities underlying the ETF may be unavailable in the secondary market, market participants may be unable to calculate accurately
the net asset value per share of the Underlying Shares and the liquidity of the Underlying Shares may be adversely affected. This
kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the ETF. Further,
market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell
the Underlying Shares. As a result, under these circumstances, the market value of the Underlying Shares may vary substantially
from the net asset value per share of the Underlying Shares. For all of the foregoing reasons, the performance of the Underlying
Shares may not correlate with the performance of the Underlying Index and/or the net asset value per share of the Underlying Shares,
which could materially and adversely affect the value of the Securities in the secondary market and/or reduce your payment at maturity.
| ¨ | Changes made by the investment adviser to the Underlying Share Issuer or by the sponsor of the index underlying the ETF
may adversely affect the Underlying Shares — We are not affiliated with the investment adviser to the Underlying Share
Issuer or with the sponsor of the index underlying the ETF. Accordingly, we have no control over any changes such investment adviser
or sponsor may make to the Underlying Share Issuer or the index underlying the ETF. Such changes could be made at any time and
could adversely affect the performance of the Underlying Shares. |
| ¨ | Investing in the Securities exposes investors to risks associated with foreign equity securities — Investments
in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries,
including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies
that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued
in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. |
| ¨ | Fluctuations in exchange rates will affect the price of the Underlying Shares — Because the ETF invests in non-U.S.
companies and the net asset value of the ETF is based on the U.S. dollar value of the stocks held by the ETF, holders of the Securities
will be exposed to currency exchange rate risk with respect to each of the currencies in which such stocks trade. Exchange rate
movements for a particular currency are volatile and are the result of numerous factors specific to the relevant country, including
the supply of, and the demand for, those currencies, as well as government policy, intervention or actions, but are also influenced
significantly from time to time by political or economic developments, and by macroeconomic factors and speculative actions related
to each applicable region. An investor's net exposure will depend on the extent to which the currencies of the applicable countries
strengthen or weaken against the U.S. dollar and the relative weight of each currency. If, taking into account such weighting,
the dollar strengthens against the currencies of the stocks held by the ETF, the price of the Underlying Shares will be adversely
affected for that reason alone and the payment at maturity on the Securities may be reduced. Of particular importance to potential
currency exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of
payments; and the extent of governmental surpluses or deficits in the applicable countries and the United States. All of these
factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various component countries
and the United States. and other countries important to international trade and finance. |
| ¨ | 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. Even if the treatment of the Securities as prepaid forward contracts is respected,
a Security may be treated as a “constructive ownership transaction,” with consequences described below under “United
States Federal Tax Considerations.” In addition, 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. |
The diagram below illustrates your hypothetical payment at maturity
for a range of hypothetical percentage changes from the Initial Share Price to the Final Share Price. The diagram below is based
on a hypothetical Participation Rate of 173%.
Investors in the Securities will not receive any dividends paid
on the Underlying Shares or the stocks held by the ETF. The diagram and examples below do not show any effect of lost dividend
yield over the term of the Securities. See “Summary Risk Factors— You will not have voting rights, rights to receive
any dividends or other distributions or any other rights with respect to the Underlying Shares” above.
The following table and hypothetical examples below illustrate
the Payment at Maturity per $10.00 Stated Principal Amount of Securities for a hypothetical range of performances for the Underlying
Shares from -100.00% to +100.00% and assume an Initial Share Price of $60.00, a Trigger Price of $45.00 (75% of the Initial Share
Price) and a Participation Rate of 173%. The actual Initial Share Price, Trigger Price and Participation Rate will be determined
on the Trade Date. The hypothetical Payment at Maturity examples set forth below are for illustrative purposes only and may not
be the actual returns applicable to a purchaser of the Securities. The actual Payment at Maturity will be determined based on the
Final Share Price on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment
goals. The numbers appearing in the table and in the examples below have been rounded for ease of analysis.
Final
Share Price |
Share
Return |
Payment
at Maturity |
Total
Return on Securities at Maturity(1) |
$120.00 |
100.00% |
$27.300 |
173.00% |
$114.00 |
90.00% |
$25.570 |
155.70% |
$108.00 |
80.00% |
$23.840 |
138.40% |
$102.00 |
70.00% |
$22.110 |
121.10% |
$96.00 |
60.00% |
$20.380 |
103.80% |
$90.00 |
50.00% |
$18.650 |
86.50% |
$84.00 |
40.00% |
$16.920 |
69.20% |
$78.00 |
30.00% |
$15.190 |
51.90% |
$72.00 |
20.00% |
$13.460 |
34.60% |
$66.00 |
10.00% |
$11.730 |
17.30% |
$60.00 |
0.00% |
$10.000 |
0.00% |
$54.00 |
-10.00% |
$10.000 |
0.00% |
$48.00 |
-20.00% |
$10.000 |
0.00% |
$45.00 |
-25.00% |
$10.000 |
0.00% |
$44.99 |
-25.01% |
$7.499 |
-25.01% |
$42.00 |
-30.00% |
$7.000 |
-30.00% |
$36.00 |
-40.00% |
$6.000 |
-40.00% |
$30.00 |
-50.00% |
$5.000 |
-50.00% |
$24.00 |
-60.00% |
$4.000 |
-60.00% |
$18.00 |
-70.00% |
$3.000 |
-70.00% |
$12.00 |
-80.00% |
$2.000 |
-80.00% |
$6.00 |
-90.00% |
$1.000 |
-90.00% |
$0.00 |
-100.00% |
$0.000 |
-100.00% |
1 The “Total
Return on Securities at Maturity” is calculated as (a) the Payment at Maturity per Security minus the $10.00 Issue Price
per Security divided by (b) the $10.00 Issue Price per Security.
Example 1 — The Final Share Price of $66.00 is
greater than the Initial Share Price of $60.00, resulting in a Share Return of 10.00%. Because the Share Return is 10.00%,
Citigroup Inc. would pay you a Payment at Maturity of $11.73 per $10.00 Stated Principal Amount of Securities (a total return at
maturity of 17.30%), calculated as follows:
$10.00 + ($10.00 × Share Return ×
Participation Rate)
$10.00 + ($10.00 × 10.00% × 173%)
= $11.73
Example 2 — The Final Share Price of $54.00 is less than
the Initial Share Price of $60.00 (resulting in a Share Return of -10.00%) but greater than the Trigger Price of $45.00. Because
the Share Return is negative and the Final Share Price is greater than the Trigger Price, Citigroup Inc. will pay you a Payment
at Maturity of $10.00 per $10.00 Stated Principal Amount of Securities (a total return at maturity of 0.00%).
Example 3 — The Final Share Price of $18.00 is less than
the Initial Share Price of $60.00 (resulting in a Share Return of -70.00%) and less than the Trigger Price of $45.00. Because
the Share Return is negative and the Final Share Price is less than the Trigger Price, Citigroup Inc. will pay you a Payment at
Maturity of $3.00 per $10.00 Stated Principal Amount of Securities (a total return at maturity of -70.00%), calculated as follows:
$10.00 + ($10.00 × Share Return)
$10.00 + ($10.00 × -70.00%) = $3.00
If the Final Share Price is less than the Trigger Price,
you will be fully exposed to the negative Share Return, resulting in a loss on the Stated Principal Amount that is proportionate
to the percentage decline in the price of the Underlying Shares. Under these circumstances, you will lose a significant portion
or all of the Stated Principal Amount at maturity. Any payment on the Securities, including any repayment of the Stated Principal
Amount at maturity, is subject to the creditworthiness of the Issuer and if the Issuer were to default on its payment obligations,
you could lose your entire investment.
* The total return at maturity is calculated as (a) the Payment
at Maturity per Security minus the $10.00 Issue Price per Security divided by (b) the $10.00 Issue Price per Security.
The iShares® MSCI EAFE ETF |
The iShares® MSCI EAFE ETF (the “ETF”
or the “Underlying Share Issuer”) is an exchange-traded fund that seeks to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of publicly traded securities in certain developed markets,
excluding the United States and Canada, as measured by the MSCI EAFE® Index. However, for purposes of the Securities,
the performance of the iShares® MSCI EAFE ETF will reflect only its price performance, as any dividends paid on
the shares of the iShares® MSCI EAFE ETF will not be factored into a determination of the Final Share Price of the
iShares® MSCI EAFE ETF. The MSCI EAFE® Index was developed by MSCI Inc. as an equity benchmark for
international stock performance, and is designed to measure equity market performance in certain developed markets, excluding the
United States and Canada.
We have derived all information contained in this pricing supplement
regarding the ETF from publicly available information. We have not independently verified such information. Such information reflects
the policies of, and is subject to change by, iShares® Inc.
The iShares® MSCI EAFE ETF is an investment portfolio
managed by iShares® Inc. BlackRock Fund Advisors is the investment adviser to the iShares® MSCI EAFE
ETF. iShares®, Inc. is a registered investment company that consists of numerous separate investment portfolios,
including the iShares® MSCI EAFE ETF. Information provided to or filed with the SEC by iShares®,
Inc. pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by
reference to SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In
addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. The iShares® MSCI EAFE ETF trades on the NYSE Arca under the ticker symbol
“EFA.”
Please refer to the section “Fund Descriptions—iShares®
MSCI EAFE ETF” in the accompanying underlying supplement for important disclosures regarding the iShares®
MSCI EAFE ETF.
The following table sets forth, for each of the quarterly periods
indicated, the high and low closing prices of, and dividends paid, on the Underlying Shares from January 2, 2008 through November
23, 2015. The closing price of the Underlying Shares on November 23, 2015 was $60.54. The actual Initial Share Price will be the
closing price of the Underlying Shares on the Trade Date. We obtained the closing prices and other information below from Bloomberg,
L.P., without independent verification. The closing prices and this other information may be adjusted by Bloomberg, L.P. for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. Since its inception,
the price of the Underlying Shares has experienced significant fluctuations. The historical performance of the Underlying Shares
should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the Underlying
Shares during the term of the Securities. We cannot give you assurance that the performance of the Underlying Shares will result
in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that the Underlying
Shares will pay in the future. In any event, as an investor in the Securities, you will not be entitled to receive dividends, if
any, that may be payable on the Underlying Shares.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Dividends |
1/2/2008 |
3/31/2008 |
$78.35 |
$68.31 |
$0.000 |
4/1/2008 |
6/30/2008 |
$78.52 |
$68.10 |
$1.308 |
7/1/2008 |
9/30/2008 |
$68.04 |
$53.08 |
$0.000 |
10/1/2008 |
12/31/2008 |
$55.88 |
$35.71 |
$0.541 |
1/2/2009 |
3/31/2009 |
$45.44 |
$31.69 |
$0.000 |
4/1/2009 |
6/30/2009 |
$49.04 |
$38.57 |
$0.945 |
7/1/2009 |
9/30/2009 |
$55.81 |
$43.91 |
$0.000 |
10/1/2009 |
12/31/2009 |
$57.28 |
$52.66 |
$0.496 |
1/4/2010 |
3/31/2010 |
$57.96 |
$50.45 |
$0.000 |
4/1/2010 |
6/30/2010 |
$58.03 |
$46.29 |
$0.859 |
7/1/2010 |
9/30/2010 |
$55.42 |
$47.09 |
$0.000 |
10/1/2010 |
12/31/2010 |
$59.46 |
$54.25 |
$0.538 |
1/3/2011 |
3/31/2011 |
$61.91 |
$55.31 |
$0.000 |
4/1/2011 |
6/30/2011 |
$63.87 |
$57.10 |
$1.141 |
7/1/2011 |
9/30/2011 |
$60.80 |
$46.66 |
$0.000 |
10/3/2011 |
12/30/2011 |
$55.57 |
$46.45 |
$0.569 |
1/3/2012 |
3/30/2012 |
$55.80 |
$49.15 |
$0.000 |
4/2/2012 |
6/29/2012 |
$55.51 |
$46.55 |
$1.149 |
7/2/2012 |
9/28/2012 |
$55.15 |
$47.62 |
$0.000 |
10/1/2012 |
12/31/2012 |
$56.88 |
$51.96 |
$0.610 |
1/2/2013 |
3/28/2013 |
$59.89 |
$56.90 |
$0.000 |
4/1/2013 |
6/28/2013 |
$63.53 |
$57.03 |
$0.000 |
7/1/2013 |
9/30/2013 |
$65.05 |
$57.55 |
$1.152 |
10/1/2013 |
12/31/2013 |
$67.06 |
$62.71 |
$0.552 |
1/2/2014 |
3/31/2014 |
$68.03 |
$62.31 |
$0.000 |
4/1/2014 |
6/30/2014 |
$70.67 |
$66.26 |
$0.000 |
7/1/2014 |
9/30/2014 |
$69.25 |
$64.12 |
$1.676 |
10/1/2014 |
12/31/2014 |
$64.51 |
$59.53 |
$0.585 |
1/02/2015 |
3/31/2015 |
$65.99 |
$58.48 |
$0.000 |
4/01/2015 |
6/30/2015 |
$68.42 |
$63.49 |
$0.000 |
7/01/2015 |
9/30/2015 |
$65.46 |
$56.25 |
$1.111 |
10/01/2015 |
11/23/2015* |
$62.06 |
$57.50 |
$0.000 |
* As of the date of this pricing supplement, available information
for the fourth calendar quarter of 2015 includes data for the period from October 1, 2015 through November 23, 2015. Accordingly,
the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period
only and do not reflect complete data for the fourth calendar quarter of 2015.
The graph below illustrates the performance of the Underlying
Shares from January 2, 2008 to November 23, 2015. The closing price of the Underlying Shares on November 23, 2015 was $60.54. We
obtained the closing prices of the Underlying Shares from Bloomberg, and we have not participated in the preparation of or verified
such information. The historical closing prices of the Underlying Shares should not be taken as an indication of future performance
and no assurance can be given as to the Final Share Price or any future closing price of the Underlying Shares. We cannot give
you assurance that the performance of the Underlying Shares will result in a positive return on your initial investment and you
could lose a significant portion or all of the Stated Principal Amount at maturity.
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 gain or loss equal to the difference
between the amount realized and your tax basis in the Security. Subject to the discussion below concerning the potential application
of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”),
any gain or loss recognized upon a sale, exchange or retirement of a Security should be long-term capital gain or loss if you held
the Security for more than one year. |
Even if the treatment of the Securities as prepaid forward contracts
is respected, your purchase of a Security may be treated as entry into a “constructive ownership transaction,” within
the meaning of Section 1260 of the Code, with respect to the Underlying Shares. In that case, all or a portion of any long-term
capital gain you would otherwise recognize in respect of your Securities would be recharacterized as ordinary income to the extent
such gain exceeded the “net underlying long-term capital gain.” Although the matter is unclear, the “net underlying
long-term capital gain” may equal the amount of long-term capital gain you would have realized if on the issue date you had
purchased Underlying Shares with a value equal to the amount you paid to acquire your Securities and subsequently sold those shares
for their fair market value at the time your Securities are sold, exchanged or retired (which would reflect the percentage increase,
without regard to the leverage factor, in the value of the Underlying Shares over the term of the Securities). Alternatively, the
“net underlying long-term capital gain” could be calculated using a number of Underlying Shares that reflects the leverage
factor used to calculate the payment that you will receive on your Securities. Any long-term capital gain recharacterized as ordinary
income under Section 1260 would be treated as accruing at a constant rate over the period you held your Securities, and you would
be subject to an interest charge in respect of the deemed tax liability on the income treated as accruing in prior tax years. Due
to the lack of governing authority under Section 1260, our counsel is not able to opine as to whether or how Section 1260 applies
to the Securities. You should read the section entitled “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders—Potential Application of Section 1260 of the Code” in the accompanying product supplement for additional
information and consult your tax adviser regarding the potential application of the “constructive ownership” rule.
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.
The U.S. Treasury Department recently finalized the regulations
referred to in “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders—Possible Application
of Section 871(m) of the Code” in the accompanying product supplement, which require withholding on certain “dividend
equivalent” payments to non-U.S. persons. Based on the effective date in the final regulations, those
regulations will not apply to the Securities assuming there is
no significant modification to the Securities’ terms that results in a deemed exchange of the securities for U.S. federal
income tax purposes.
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 described above. 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.
Supplemental Plan of Distribution |
The agents for this offering are CGMI and UBS. CGMI, an affiliate
of Citigroup Inc. and the lead agent for the sale of the Securities, will receive an underwriting discount of $0.05 for each Security
sold in this offering. CGMI, acting as principal, expects to purchase from Citigroup Inc., and Citigroup Inc. expects to sell to
CGMI, all of the Securities sold in this offering for $9.95 per Security. CGMI expects to sell all of the Securities to an unaffiliated
dealer at $9.95 per Security for further sale to certain fee-based advisory accounts for which UBS is an investment advisor at
the issue price of $10.00 per Security. UBS will not receive a sales commission. Investors that purchase and hold the Securities
in fee-based advisory accounts will pay advisory fees to UBS based on the amount of assets held in those accounts. If all of the
Securities are not sold at the initial offering price, CGMI may change the public offering price and other selling terms.
CGMI is an affiliate of ours. Accordingly, this offering will
conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule
5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment
discretion will not be permitted to purchase the Securities, either directly or indirectly, without the prior written consent of
the client.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement and “Plan of Distribution” in each of the accompanying prospectus supplement
and prospectus for additional information.
A portion of the net proceeds from the sale of the Securities
will be used to hedge our obligations under the Securities. We expect to hedge our obligations under the Securities through CGMI
or other of our affiliates. CGMI or such other affiliates may profit from such expected hedging activity even if the value of the
Securities declines. This hedging activity could affect the closing price of the Underlying Shares and, therefore, the value of
and your return on the Securities. For additional information on the ways in which our counterparties may hedge our obligations
under the Securities, see “Use of Proceeds and Hedging” in the accompanying prospectus.
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 “Summary Risk Factors—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 Trade 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 Trade Date.
During a temporary adjustment period immediately 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 over the temporary
adjustment period. CGMI currently expects that the temporary adjustment period will be approximately six months, but the
actual length of the temporary adjustment period may be shortened due to various factors, such as the volume of secondary
market purchases of the Securities and other factors that cannot be predicted. However, CGMI is not obligated to buy the
Securities from investors at any time. See “Summary Risk Factors—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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