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 (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. 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 accompanying prospectus supplement
and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup
Inc. more generally.
We may elect, in our sole discretion,
to pay you cash at maturity in lieu of delivering any underlying shares. If we elect to pay you cash at maturity in lieu of delivering
any underlying shares, the amount of that cash may be less than the market value of the underlying shares on the maturity date
because the market value will likely fluctuate between the valuation date and the maturity date. Conversely, if we do not exercise
our cash election right and instead deliver underlying shares to you on the maturity date, the market value of such underlying
shares may be less than the cash amount you would have received if we had exercised our cash election right. We will have no obligation
to take your interests into account when deciding whether to exercise our cash election right.
shares do depreciate by more than
20.00% and as a result the final share price is less than the barrier price, you will receive underlying shares (or, in our sole
discretion, cash based on the value thereof) that will be worth less than $800.00 per security and may be worth nothing. Therefore,
the securities offer no protection at all if the underlying shares depreciate by more than 20.00% from the initial share price
to the final share price. As a result, you may lose your entire investment in the securities.
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.
Because there is not an active market
for traded instruments referencing our outstanding debt obligations, CGMI determines our secondary market rate based on the market
price of traded instruments referencing the debt obligations of Citigroup Inc., our parent company and the guarantor of all payments
due on the securities, but subject to adjustments that CGMI makes in its sole discretion. As a result, our secondary market rate
is not a market-determined measure of our creditworthiness, but rather reflects the market’s perception of our parent company’s
creditworthiness as adjusted for discretionary factors such as CGMI’s preferences with respect to purchasing the securities
prior to maturity.
Section 871(m) of the Internal Revenue
Code of 1986, as amended (the “Code”), imposes a withholding tax of up to 30% on “dividend equivalents”
paid or deemed paid to non-U.S. investors in respect of certain financial instruments linked to U.S. equities. In light of IRS
regulations providing a general exemption for financial instruments issued in 2017 that do not have a “delta” of one,
as of the date of this preliminary pricing supplement the securities should not be subject to withholding under Section 871(m).
However, information about the application of Section 871(m) to the securities will be updated in the final pricing supplement.
Moreover, the IRS could challenge a conclusion that the securities should not be subject to withholding under Section 871(m). If
withholding applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.
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.
You may receive underlying shares at maturity.
Therefore, in making your decision to invest in the securities, you should review the prospectus for the ETF and its supplements
on file at the SEC website, which can be accessed via the hyperlinks below.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The underlying share issuer is not involved in any way in this offering and
has no obligation relating to the securities or to holders of the securities.
Neither we nor any of our affiliates make any representation
to you as to the performance of the underlying shares.
The graph below shows the closing prices of the underlying shares
for each day such price was available from January 3, 2012 to July 19, 2017. The table that follows shows the high and low closing
prices of, and dividends paid on, the underlying shares for each quarter in that same period. We obtained the closing prices and
other information below from Bloomberg L.P., without independent verification.
You should not take the historical prices of
the underlying shares as an indication of future performance.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on Shares of the SPDR
®
Dow Jones
®
Industrial Average ETF Trust Due September
-----
, 2022
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2015
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|
|
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First Quarter
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$182.68
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$171.48
|
$1.02182
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Second Quarter
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$182.93
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$175.64
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$0.83231
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Third Quarter
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$181.07
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$156.49
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$1.20265
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Fourth Quarter
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$179.14
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$162.49
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$0.98115
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2016
|
|
|
|
First Quarter
|
$176.95
|
$156.78
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$1.10604
|
Second Quarter
|
$180.75
|
$171.17
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$1.11650
|
Third Quarter
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$186.51
|
$178.21
|
$1.14617
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Fourth Quarter
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$199.42
|
$178.71
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$1.06766
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2017
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|
|
|
First Quarter
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$211.02
|
$197.28
|
$1.18598
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Second Quarter
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$214.92
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$203.85
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$1.19840
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Third Quarter (through July 19, 2017)
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$216.32
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$213.14
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$0.39407
|
The closing price of the underlying shares on July 19, 2017 was
$216.32.
We make no representation as to the amount of dividends, if any,
that may be paid on the underlying shares 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.
Additional
Terms of the Securities
Fractional Shares
In lieu of any fractional share that you would otherwise receive
in respect of the securities, at maturity you will receive an amount in cash equal to the value of such fractional share (based
on the final share price).
Dilution and Reorganization Adjustments
The following provisions supersede the section “Description
of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization
Adjustments” in the accompanying product supplement.
The initial share price, the barrier price, the equity ratio
and the property we may deliver to you at maturity of the securities will be subject to adjustment from time to time if certain
events occur that affect the underlying shares. Any of these adjustments could have an impact on the value of what you receive
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. An adjustment will be made for events with an adjustment date (as defined below) from
but excluding the pricing date to and including the valuation date, except that, if we deliver underlying shares at maturity, the
equity ratio will be subject to adjustment for events with an adjustment date up to and including the maturity date.
No adjustments will be required other than those specified below.
The required adjustments specified in this section do not cover all events that could have a dilutive or adverse effect on the
underlying shares during the term of the securities. See “Summary Risk Factors—The securities will not be adjusted
for all events that could affect the price of the underlying shares.”
The calculation agent may elect not to make any of the adjustments
described below or may modify any of the adjustments described below if it determines, in its sole discretion, that such adjustment
would not be made in any relevant market for options or futures contracts relating to the underlying shares 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 the underlying share issuer:
|
(1)
|
declares a record date in respect of, or pays or makes, a dividend or distribution, in each case of underlying shares with
respect to the underlying shares (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 the outstanding underlying shares
into a greater number of shares, or
|
|
(3)
|
combines the outstanding underlying shares into a
smaller number of shares,
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Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on Shares of the SPDR
®
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®
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-----
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|
|
then, in each of these cases, the equity ratio will be multiplied
by a dilution adjustment equal to a fraction, (i) the numerator of which will be the number of underlying shares outstanding immediately
after giving effect to such event and (ii) the denominator of which will be the number of underlying shares outstanding immediately
prior to the open of business on the applicable adjustment date. An adjustment will also be made to the initial share price and
the barrier price by dividing each of the initial share price and the barrier price by that dilution adjustment.
Issuance of Certain Rights or Warrants
If the 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 the underlying shares entitling them to subscribe
for or purchase the underlying shares at a price per share less than the then-current market price of the underlying shares, other
than excluded rights (as defined below), then, in each case, the equity ratio will be multiplied by a dilution adjustment equal
to a fraction, (i) the numerator of which will be the number of underlying shares outstanding immediately prior to the open of
business on the applicable adjustment date,
plus
the number of additional underlying shares offered for subscription or
purchase pursuant to the rights or warrants, and (ii) the denominator of which will be the number of underlying shares outstanding
immediately prior to the open of business on the applicable adjustment date,
plus
the number of additional underlying shares
which the aggregate offering price of the total number of underlying shares offered for subscription or purchase pursuant to the
rights or warrants would purchase at the then-current market price of the underlying shares, which will be determined by multiplying
the total number of underlying shares 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. An adjustment will also be made to the initial share price and
the barrier price by dividing each of the initial share price and the barrier price by that dilution adjustment. To the extent
that, prior to the maturity date, after the expiration of the rights or warrants, the underlying share issuer publicly announces
the number of underlying shares with respect to which such rights or warrants have been exercised and such number is less than
the aggregate number offered, the equity ratio will be further adjusted to equal the equity ratio 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
shares for which such rights or warrants were actually exercised, and a corresponding adjustment will be made to the initial share
price and the barrier price.
“Excluded rights” means (i) rights to purchase underlying
shares 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 shares and may be redeemed by the underlying share issuer.
The “then-current market price” of the underlying
shares, for the purpose of applying any dilution adjustment, means the average closing price of the underlying shares 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 underlying shares 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 the 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 underlying shares, 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 underlying shares, or declares a record date in respect of an issuance to all holders of underlying shares 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 equity ratio 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 underlying share and (ii) the denominator
of which will be the then-current market price of one underlying share 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 share. An adjustment will also be made to the initial share price and the barrier price by dividing
each of the initial share price and the barrier price by that dilution adjustment. If any capital stock declared or paid as a dividend
or otherwise distributed or issued to all holders of underlying shares consists, in whole or in part, of marketable securities
(other than marketable securities of a subsidiary of the 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 Global Markets Holdings 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 denominator in
the fraction referred to in such paragraph is less than $1.00 or is a negative number, then Citigroup Global Markets Holdings Inc.
may, at its option, elect to have the adjustment to the equity ratio provided by such paragraph not be made and, in lieu of this
adjustment, the closing price of the underlying shares on any date of
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on Shares of the SPDR
®
Dow Jones
®
Industrial Average ETF Trust Due September
-----
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|
|
determination thereafter will be deemed to be equal to the sum
of (i) the closing price of the underlying shares 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 Global Markets Holdings Inc., whose determination will
be final) so distributed or issued applicable to one underlying share. If the closing price of the underlying shares as so determined
on the valuation date is less than the barrier price, each holder of the securities will receive per security at maturity (x) a
number of underlying shares equal to the equity ratio (with cash in lieu of any fractional share based on the closing price of
such shares on the valuation date) (or, in our sole discretion, cash based on the value thereof) and (y) cash in an amount per
security equal to the equity ratio as of the adjustment date for such dividend, distribution or issuance
multiplied by
the
fair market value determined pursuant to clause (ii) of the immediately preceding sentence.
If the 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 underlying shares of the capital stock of one
or more of its subsidiaries in the form of marketable securities, the closing price of the underlying shares on any date of determination
from and after open of business on the adjustment date will in each case equal the closing price of the underlying shares
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 underlying share. If the closing price of the underlying shares as so determined on the
valuation date is less than the barrier price, then in each of these cases, each holder of the securities will receive at maturity
per security a combination of (x) a number of underlying shares equal to the equity ratio and (y) a number of shares of such subsidiary
capital stock equal to the equity ratio
multiplied by
the number of shares of such subsidiary capital stock distributed
per underlying share (in each case with cash in lieu of any fractional share based on the closing price of such shares on the valuation
date) (or, in our sole discretion, cash based on the value thereof). In the event an adjustment pursuant to this paragraph occurs,
following such adjustment, the adjustments described in this section “—Dilution and Reorganization Adjustments”
will also apply to such subsidiary capital stock if any of the events described in this section “—Dilution and Reorganization
Adjustments” occurs with respect to such capital stock.
Certain Extraordinary Cash Dividends
If the underlying share issuer declares a record date in respect
of a distribution of cash, by dividend or otherwise, to all holders of underlying shares, other than (a) any permitted dividends
described below, (b) any cash distributed in consideration of fractional underlying shares and (c) any cash distributed in a reorganization
event referred to below, then in each case the equity ratio 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 underlying shares, and (ii) the denominator of which will be
the then-current market price of the underlying shares less the amount of the distribution applicable to one underlying share which
would not be a permitted dividend (such amount, the “Extraordinary Portion”). An adjustment will also be made to the
initial share price and the barrier price by dividing each of the initial share price and the barrier price by that dilution adjustment.
In the case of an 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 underlying shares other than to the extent that such distribution, together with
all other such distributions in the same quarterly fiscal period of the underlying share issuer with respect to which an adjustment
to the equity ratio under this “—Certain Extraordinary Cash Dividends” section has not previously been made,
per underlying share 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 share and (b) 10% of the closing price of the underlying
shares 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 underlying shares have the option to receive either a number of underlying shares or
a fixed amount of cash. If the 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 “—Dilution and Reorganization Adjustments—Certain
Extraordinary Cash Dividends” would otherwise apply, the denominator in the fraction referred to in the formula in that paragraph
is less than $1.00 or is a negative number, then Citigroup Global Markets Holdings 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 underlying shares 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 underlying shares on such date and (ii) the amount of cash so distributed applicable to one underlying share. If the
closing price of the underlying shares as so determined on the valuation date is less than the barrier price, each holder of the
securities will receive per security at maturity (x) a number of underlying shares equal to the equity ratio (with cash in lieu
of any fractional share based on the closing price of such shares on the valuation date) (or, in our sole discretion, cash based
on the value thereof) and (y) cash in an amount per security equal to the equity ratio as of the adjustment date for such distribution
multiplied by
the amount of cash determined pursuant to clause (ii) of the immediately preceding sentence.
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on Shares of the SPDR
®
Dow Jones
®
Industrial Average ETF Trust Due September
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|
|
Reorganization Events
In the event of any of the following “reorganization events”
with respect to the underlying share issuer:
|
•
|
the underlying share issuer reclassifies the underlying shares, including, without limitation, in connection with the issuance
of tracking stock,
|
|
•
|
any consolidation or merger of the underlying share issuer, or any surviving entity or subsequent surviving entity of the underlying
share issuer, with or into another entity, other than a merger or consolidation in which the underlying share issuer is the continuing
company and in which the underlying shares outstanding immediately before the merger or consolidation are not exchanged for cash,
securities or other property of the underlying share issuer or another issuer,
|
|
•
|
any sale, transfer, lease or conveyance to another company of the property of the underlying share issuer or any successor
as an entirety or substantially as an entirety,
|
|
•
|
any statutory exchange of the underlying shares 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 shares or
|
|
•
|
any liquidation, dissolution or winding up of the underlying share issuer or any successor of the underlying share issuer,
|
the closing price of the underlying shares 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 of determination. 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 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 share,
|
|
(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 share, as determined by a nationally
recognized independent investment banking firm retained for this purpose by Citigroup Global Markets Holdings 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 share,
|
plus
, in each case, if underlying shares continue to be
outstanding following the reorganization event, the closing price of the underlying 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 maturity of the securities that would have required
an adjustment as described above, had it occurred with respect to the underlying shares 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.
If the closing price of the underlying shares as determined based
on the transaction value on the valuation date is less than the barrier price, each holder of the securities will receive per security
at maturity (i) cash in an amount equal to the equity ratio immediately preceding the reorganization event
multiplied by
the sum of clauses (1) and (2) in the definition of “Transaction Value” above, (ii) if the underlying shares continue
to be outstanding following the effective date of the reorganization event, a number of such underlying shares equal to the equity
ratio (or, in our sole discretion, the cash value thereof based on the closing price of the underlying shares on the valuation
date) and (iii) the number of marketable securities received per underlying share in the reorganization event
multiplied by
the equity ratio immediately prior to the adjustment date for the reorganization event (or, in our sole discretion, the cash value
thereof based on the closing price of the marketable securities on the valuation date).
Citigroup Global Markets Holdings Inc.
|
Enhanced Barrier Digital Plus Securities Based on Shares of the SPDR
®
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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 equity ratio 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 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, then, upon the cancellation, failure of approval or failure to occur, the equity ratio, the initial
share price and the barrier price will be further adjusted to the equity ratio, the initial share price and the barrier price,
respectively, which would then have been in effect had adjustment for the event not been made. All adjustments to the equity ratio
shall be cumulative, such that if more than one adjustment is required to the equity ratio, each subsequent adjustment will be
made to the equity ratio as previously adjusted.
The “ex-date” relating to any dividend, distribution
or issuance is the first date on which the underlying shares 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, Liquidation or Termination of the Underlying Share
Issuer
If a termination event occurs with respect to the underlying
shares as described in the section “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 the calculation agent selects successor ETF shares, the calculation agent will make such adjustments to the initial
share price, the barrier price and the equity ratio as are appropriate in the circumstances. If a termination event occurs and
the calculation agent has not selected successor ETF shares that are available as of the valuation date, the calculation agent
will calculate the closing price of the underlying shares on such date in the manner described in the section “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, if the final share price as so determined
is less than the barrier price, we will not deliver underlying shares at maturity but instead will pay you cash in an amount per
security equal to the final share price as so determined multiplied by the equity ratio.