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The
information in this preliminary pricing supplement is not complete and may be changed. This preliminary 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 5, 2019
|
Filed
Pursuant to Rule 424(b)(2)
Registration
Statement Nos. 333-224495 and 333-224495-03
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November----,
2019
Medium-Term
Senior Notes, Series N
Pricing
Supplement No. 2019-USNCH3127 to Product Supplement No. EA-04-08
dated February 15, 2019, Underlying Supplement No. 8 dated February 21, 2019 and
Prospectus Supplement and Prospectus each dated May 14, 2018
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|
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Citigroup
Global Markets Holdings Inc.
All
Payments Due from Citigroup Global Markets Holdings Inc. Fully and Unconditionally Guaranteed by Citigroup Inc.
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Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
n Linked
to the worst performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX
50® Index (each referred to as an “underlying”)
n Unlike
ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal
at maturity and are subject to potential automatic redemption prior to maturity upon the terms described below. Whether the securities
pay a contingent coupon, whether the securities are automatically redeemed prior to maturity and, if they are not automatically
redeemed, whether you are repaid the stated principal amount of your securities at maturity will depend in each case on the closing
value of the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation date
is the underlying that has the lowest underlying performance factor on that valuation date
n Contingent
Coupon. The securities will pay a contingent coupon on a quarterly basis until the earlier of maturity or automatic redemption
if, and only if, the closing value of the worst performing underlying on the relevant valuation date is greater than or
equal to its coupon barrier value. However, if the closing value of the worst performing underlying on a valuation date is less
than its coupon barrier value, you will not receive any contingent coupon on the relevant contingent coupon date. If the closing
value of the worst performing underlying is less than its coupon barrier value on every valuation date, you will not receive any
contingent coupons throughout the entire term of the securities. The quarterly contingent coupon will be determined on the pricing
date and will be equal to 1.75% to 2.00% of the stated principal amount (equivalent to a contingent coupon rate of 7% to 8% per
annum)
n Automatic
Redemption. If the closing value of the worst performing underlying on any potential autocall date from May 2020 to August
2023, inclusive, is greater than or equal to its initial underlying value, we will automatically redeem the securities for the
stated principal amount plus the related contingent coupon payment
n Potential
Loss of Principal. If the securities are not automatically redeemed prior to maturity, you will receive the stated principal
amount at maturity if, and only if, the closing value of the worst performing underlying on the final valuation date is
greater than or equal to its final barrier value. If the closing value of the worst performing underlying on the final valuation
date is less than its final barrier value, you will lose a significant portion, and possibly all, of the stated principal amount
of your securities
n The
coupon barrier value and final barrier value for each underlying are each equal to 70% of its initial underlying value
n If
the securities are not automatically redeemed prior to maturity, you will have full downside exposure to the worst performing
underlying from its initial underlying value if its closing value on the final valuation date is less than its final barrier value,
but you will not participate in any appreciation of any underlying and will not receive any dividends on securities included in
any underlying
n Your
return on the securities will depend solely on the performance of the underlying that is the worst performing underlying
on each valuation date. You will not benefit in any way from the performance of any better performing underlying. Therefore, you
will be adversely affected if any underlying performs poorly, even if any other underlying performs favorably
n All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.; if Citigroup
Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you could lose some or all of your investment
n The
securities will not be listed on any securities exchange and, accordingly, may have limited or no liquidity. You should not invest
in the securities unless you are willing to hold them to maturity
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The securities
have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities.
See “Summary Risk Factors” beginning on page PS-9 and “Risk Factors Relating to the Securities” beginning
on page EA-7 of the accompanying product supplement.
Neither the Securities and Exchange Commission
(the “SEC”) nor any state securities commission has approved or disapproved of the securities or determined that this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are truthful
or complete. Any representation to the contrary is a criminal offense.
The securities are unsecured debt obligations
issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc. All payments due on the securities are subject
to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. None of Wells Fargo Securities, LLC (“Wells
Fargo”) or any of its affiliates will have any liability to the purchasers of the securities in the event Citigroup Global
Markets Holdings Inc. defaults on its obligations under the securities and Citigroup Inc. defaults on its guarantee obligations.
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other
governmental agency, nor are they obligations of, or guaranteed by, a bank.
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Per Security
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Total
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Public Offering Price(1)
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$1,000
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$
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Maximum Underwriting Discount and Commission(2)
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$25
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$
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Proceeds to Citigroup Global Markets Holdings Inc.(2)
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$975
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$
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(1) Citigroup Global Markets Holdings Inc.
currently expects that the estimated value of the securities on the pricing date will be at least $940.00 per security, which will
be less than the public offering price. The estimated value of the securities is based on Citigroup Global Market Inc.’s
(“CGMI”) proprietary pricing models and our internal funding rate. It is not an indication of actual profit to CGMI
or other of our affiliates, nor is it an indication of the price, if any, at which any person may be willing to buy the securities
from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global
Markets Holdings Inc., as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent. Wells Fargo
will receive an underwriting discount and commission of up to 2.50% ($25) for each security it sells. Wells Fargo will pay selected
dealers, which may include Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of its affiliates,
Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), a fixed selling commission of 1.50% ($15)
for each security they sell. In addition to the selling commission allowed to WFA, Wells Fargo will pay $0.75 per security of the
underwriting discount and commission to WFA as a distribution expense fee for each security sold by WFA. The total underwriting
discount and commission and proceeds to Citigroup Global Markets Holdings Inc. shown above give effect to the actual underwriting
discount and commission provided for the sale of the securities. See “Supplemental Plan of Distribution” below and
“Use of Proceeds and Hedging” in the accompanying prospectus for further information regarding how we have hedged our
obligations under the securities.
Citigroup Global Markets Inc.
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Wells Fargo Securities
|
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
The
Principal at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023 are unsecured debt securities issued by Citigroup
Global Markets Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not provide
for fixed payments of interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic redemption
upon the terms described in this pricing supplement. Whether the securities pay a periodic contingent coupon, whether the securities
are automatically redeemed prior to maturity and, if they are not automatically redeemed, whether you are repaid the stated principal
amount of your securities at maturity will depend in each case upon the closing value of the worst performing of the S&P
500® Index, the Russell 2000® Index and the EURO STOXX 50® Index (each, an “underlying”)
on the relevant valuation date. The worst performing underlying on any valuation date is the underlying that has the lowest underlying
performance factor on that valuation date. The securities provide:
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(i)
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periodic
contingent coupon payments until the earlier of maturity or automatic redemption if,
and only if, the closing value of the worst performing underlying on the applicable
valuation date is greater than or equal to its coupon barrier value;
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(ii)
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the
possibility of an automatic early redemption of the securities for an amount equal to
the stated principal amount plus the related contingent coupon payment if the
closing value of the worst performing underlying on any potential autocall date is greater
than or equal to its initial underlying value; and
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(iii)
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if
the securities are not automatically redeemed prior to maturity:
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(a)
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repayment
of the stated principal amount if, and only if, the closing value of the worst
performing underlying on the final valuation date is greater than its final barrier value;
and
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(b)
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full
exposure to the decline in the value of the worst performing underlying on the final
valuation date from its initial underlying value if the closing value of the worst performing
underlying on the final valuation date is less than its final barrier value.
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If
the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not
receive any contingent coupon payment on the relevant contingent coupon payment date. If the securities are not automatically
redeemed prior to maturity and the closing value of the worst performing underlying on the final valuation date is less than its
final barrier value, you will lose a significant portion, and possibly all, of the stated principal amount of your securities
at maturity. Accordingly, you will not receive any protection if the closing value of the worst performing underlying on the final
valuation date is less than its final barrier value.
Any
return on the securities will be limited to the sum of your contingent coupon payments, if any. You will not participate in any
appreciation of any underlying, but you will be fully exposed to the decline in the worst performing underlying on the final valuation
date if the securities are not automatically redeemed prior to maturity and the closing value of the worst performing underlying
on the final valuation date is less than its final barrier value.
All
payments on the securities are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
Your
return on the securities will depend solely on the performance of the underlying that is the worst performing underlying on each
valuation date. You will not benefit in any way from the performance of any better performing underlying. Therefore, you will
be adversely affected if any underlying performs poorly, even if any other underlying performs favorably.
The
securities are riskier than alternative investments linked to only one of the underlyings or linked to a basket composed of each
underlying. Unlike those alternative investments, the securities will be subject to the full risks of each underlying, with no
offsetting benefit from any better performing underlying. The securities are designed for investors who understand and are willing
to bear this additional risk in exchange for the potential contingent coupon payments that the securities offer. Because the securities
may be adversely affected by poor performance by any underlying, you should not invest in the securities unless you understand
and are willing to accept the full downside risks of each underlying.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
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The
S&P 500® Index consists of the common stocks of 500 issuers selected to provide a performance benchmark for
the large capitalization segment of the U.S. equity markets.
The
Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity
market. All stocks included in the Russell 2000® Index are traded on a major U.S. exchange.
The
EURO STOXX 50® Index is composed of 50 component stocks of market sector leaders from within the 19 EURO STOXX®
Supersector indices, which represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The
STOXX Europe 600® Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European
countries.
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, underlying supplement, prospectus supplement and prospectus contain
important disclosures that are not repeated in this pricing supplement. For example, the accompanying product supplement contains
important information about how the closing value of the underlyings will be determined and other specified events with respect
to the underlyings. The accompanying underlying supplement contains information about the underlyings that is 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 in deciding whether to invest in the securities. Certain terms
used but not defined in this pricing supplement are defined in the accompanying product supplement.
When
we refer to “we,” “us” and “our” in this pricing supplement, we refer only to Citigroup Global
Market Holdings Inc. and not to any of its affiliates, including Citigroup Inc.
You
may access the product supplement, underlying supplement and prospectus supplement and prospectus on the SEC website www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
•
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Product
Supplement No. EA-04-08 dated February 15, 2019:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010319002058/dp102378_424b2-psea0408cb.htm
|
•
|
Underlying Supplement No. 8 dated February 21, 2019:
|
https://www.sec.gov/Archives/edgar/data/200245/000095010319002215/dp102549_424b2-us8.htm
|
•
|
Prospectus Supplement and Prospectus each dated May 14, 2018:
|
https://www.sec.gov/Archives/edgar/data/200245/000119312518162183/d583728d424b2.htm
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
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|
We have designed the securities for investors
who:
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·
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seek an investment with periodic contingent coupon payments equal to the amount indicated on the
cover hereof until the earlier of maturity or automatic redemption, if, and only if, the closing value of the worst performing
underlying on the relevant valuation date is greater than or equal to its coupon barrier value;
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·
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understand that if the closing value of the worst
performing underlying on the final valuation date is less than its final barrier value, they will be fully exposed to the decline
in the worst performing underlying from its initial underlying value and will receive significantly less than the stated principal
amount, and possibly nothing, at maturity;
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·
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are willing to accept the risk that they may not receive any contingent coupon payment on one or
more, or any, contingent coupon payment dates over the term of the securities and may lose all of the stated principal amount per
security at maturity;
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|
·
|
understand that the securities may be automatically redeemed prior to maturity and that the term
of the securities may be limited;
|
|
·
|
understand that the return on the securities will depend solely on the performance of the underlying
that is the worst performing underlying on each valuation date and that they will not benefit in any way from the performance of
any better performing underlying;
|
|
·
|
understand that the securities are riskier than alternative investments linked to only one of the
underlyings or linked to a basket composed of each underlying;
|
|
·
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understand and are willing to accept the full downside risks of each underlying;
|
|
·
|
are willing to forgo participation in any appreciation of any underlying and dividends on securities
included in the underlyings; and
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|
·
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are willing to hold the securities to maturity.
|
The securities are not designed for, and
may not be a suitable investment for, investors who:
|
·
|
seek a liquid investment or are unable or unwilling to hold the securities to maturity;
|
|
·
|
seek full return of the stated principal amount of the securities at maturity;
|
|
·
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seek a security with a fixed term;
|
|
·
|
are unwilling to purchase securities with an estimated value as of the pricing date that is lower
than the public offering price and that may be as low as the amount set forth on the cover page;
|
|
·
|
are unwilling to accept the risk that the closing value of the worst performing underlying on the
final valuation date may be less than its final barrier value;
|
|
·
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seek certainty of current income over the term of the securities;
|
|
·
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seek exposure to the upside performance of any or each underlying;
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|
·
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seek exposure to a basket composed of each underlying or a similar investment in which the overall
return is based on a blend of the performances of the underlyings, rather than solely on the worst performing underlying;
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|
·
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are unwilling to accept the risk of exposure to the large- and small-capitalization segments of
the United States equity market and the Eurozone equity market;
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|
·
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are unwilling to accept the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup
Inc.; or
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|
·
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prefer the lower risk of conventional fixed income investments with comparable maturities issued
by companies with comparable credit ratings.
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Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Underlyings:
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The S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index (each referred to as an “underlying,” and collectively as the “underlyings”)
|
Issuer:
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Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
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Guarantee:
|
All payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc.
|
Stated Principal Amount:
|
$1,000 per security. References in this pricing supplement to a “security” are to a security with a stated principal amount of $1,000.
|
Pricing Date:
|
November 25, 2019*
|
Issue Date:
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November 29, 2019*
|
Valuation Dates:
|
The 24th day of each February, May, August and November, beginning in February 2020 and ending on November 24, 2023 (the “final valuation date”), each subject to postponement if such date is not a trading day or certain market disruption events occur. See “Additional Terms of the Securities.”*
|
Maturity Date:
|
November 29, 2023. If the final valuation date is postponed, the stated maturity date will be the later of (i) November 29, 2023 and (ii) three business days after the last final valuation date as postponed. See “Additional Terms of the Securities.”*
|
Contingent Coupon Payment Dates:
|
The third business day after each valuation date (as each such valuation date may be postponed), except that the contingent coupon payment date following the final valuation date will be the maturity date. If a valuation date is postponed with respect to one or more underlyings, the related contingent coupon payment date will be three business days after the last valuation date as postponed.
|
Contingent Coupon:
|
On each contingent coupon payment date, unless previously redeemed, the securities will pay a contingent coupon equal to 1.75% to 2.00% of the stated principal amount of the securities (equivalent to a contingent coupon rate of 7% to 8% per annum) (to be determined on the pricing date) if and only if the closing value of the worst performing underlying on the immediately preceding valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying on any valuation date is less than its coupon barrier value, you will not receive any contingent coupon payment on the immediately following contingent coupon payment date.
|
Payment at Maturity:
|
If the securities are not
automatically redeemed prior to maturity, you will receive at maturity for each security you then hold (in addition to the contingent
coupon due at maturity, if any):
▪ if
the closing value of the worst performing underlying on the final valuation date is greater than or equal to its final barrier
value: $1,000; or
▪ if
the closing value of the worst performing underlying on the final valuation date is less than its final barrier value:
$1,000
× the underlying performance factor of the worst performing underlying on the final valuation date
If the closing value of
the worst performing underlying on the final valuation date is less than its final barrier value, you will receive significantly
less than the stated principal amount of your securities, and possibly nothing, at maturity, and you will not receive any contingent
coupon payment at maturity.
|
Automatic Early Redemption:
|
If, on any potential autocall date, the closing value of the worst performing underlying is greater than or equal to its initial underlying value, each security you then hold will be automatically redeemed on the immediately following contingent coupon payment date for an amount in cash equal to $1,000 plus the related contingent coupon payment.
|
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Potential Autocall Dates:
|
Each valuation date beginning in May 2020 and ending in August 2023.
|
Initial Underlying Value:
|
With respect to the S&P 500®
Index: , its closing value on the pricing date.
With respect to the Russell 2000® Index: , its closing
value on the pricing date.
With respect to the EURO STOXX 50® Index: , its closing
value on the pricing date.
|
Coupon Barrier
Value:
|
With respect to the S&P 500®
Index: , which is equal to 70% of its initial underlying value.
With respect to the Russell 2000® Index: , which is
equal to 70% of its initial underlying value.
With respect to the EURO STOXX 50® Index: , which is
equal to 70% of its initial underlying value.
|
Final Barrier
Value:
|
With respect to the S&P 500®
Index: , which is equal to 70% of its initial underlying value.
With respect to the Russell 2000® Index: , which is
equal to 70% of its initial underlying value.
With respect to the EURO STOXX 50® Index: , which is
equal to 70% of its initial underlying value.
|
Underlying
Performance Factor:
|
For each underlying on any valuation date, its closing value on that valuation date divided by its initial underlying value
|
Worst Performing Underlying:
|
For any valuation date, the underlying with the lowest underlying performance factor determined as of that valuation date
|
Calculation Agent:
|
CGMI
|
Denominations:
|
$1,000 and any integral multiple of $1,000.
|
CUSIP / ISIN:
|
17327TNX0 / US17327TNX09
|
* Expected. To the extent that the issuer makes any change to
the expected pricing date or expected issue date, the valuation dates and maturity date may also be changed in the issuer’s
discretion to ensure that the term of the securities remains the same.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Determining Payment On A Contingent Coupon Payment Date and at Maturity
|
If the securities have not been previously
automatically redeemed, on each contingent coupon payment date, you will either receive a contingent coupon payment or you will
not receive a contingent coupon payment, depending on the closing value of the worst performing underlying on the related valuation
date.
Step 1: Determine
which underlying is the worst performing underlying on the relevant valuation date. The worst performing underlying on any valuation
date is the underlying with the lowest underlying performance factor on that valuation date. The underlying performance factor
of an underlying on a valuation date is its closing value on that valuation date divided by its initial underlying value.
Step 2: Determine whether a contingent
coupon is paid on the applicable contingent coupon payment date based on the closing value of the worst performing underlying on
the relevant valuation date, as follows:
If the relevant valuation date were also
a potential autocall date and the closing value of the worst performing underlying on the relevant valuation date were greater
than or equal to its initial underlying value, the securities would be automatically redeemed on the applicable contingent coupon
payment date for an amount in cash equal to $1,000 plus the related contingent coupon payment.
On the maturity date, if the securities
have not been automatically redeemed prior to the maturity date, you will receive (in addition to the final contingent coupon payment,
if any) a cash payment per security (the payment at maturity) calculated as follows:
Step 1: Determine
which underlying is the worst performing underlying on the final valuation date. The worst performing underlying on the final valuation
date is the underlying with the lowest underlying performance factor on the final valuation date. The underlying performance factor
of an underlying on the final valuation date is its closing value on the final valuation date divided by its initial underlying
value.
Step 2: Calculate the payment at
maturity based on the closing value of the worst performing underlying on the final valuation date, as follows:
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Hypothetical Payout Profile
|
The following profile illustrates the potential
payment at maturity on the securities (excluding the final contingent coupon payment, if any) for a range of hypothetical performances
of the worst performing underlying on the final valuation date from its initial underlying value to its closing value on the final
valuation date, assuming the securities have not been automatically redeemed prior to the maturity date. This graph has been prepared
for purposes of illustration only. Your actual return on the securities will depend on the actual closing value of the worst performing
underlying on the final valuation date and whether you hold your securities to the maturity date. The performance of any better
performing underlying is not relevant to your return on the securities.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
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 each of the underlyings. 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 advisors 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-7 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.
You May Lose Some Or All Of Your Investment.
Unlike conventional debt securities, the
securities do not provide for the repayment of the stated principal amount at maturity in all circumstances. If the securities
are not automatically redeemed prior to maturity, your payment at maturity will depend on the closing value of the worst performing
underlying on the final valuation date. If the closing value of the worst performing underlying on the final valuation date is
less than its final barrier value, you will lose 1% of the stated principal amount of the securities for every 1% by which the
worst performing underlying has declined from its initial underlying value. There is no minimum payment at maturity on the securities,
and you may lose up to all of your investment.
You Will Not Receive Any Contingent Coupon
On The Contingent Coupon Payment Date Following Any Valuation Date On Which The Closing Value Of The Worst Performing Underlying
Is Less Than Its Coupon Barrier Value.
A contingent coupon payment will be made
on a contingent coupon payment date if and only if the closing value of the worst performing underlying on the immediately preceding
valuation date is greater than or equal to its coupon barrier value. If the closing value of the worst performing underlying is
less than its coupon barrier value on any valuation date, you will not receive any contingent coupon payment on the immediately
following contingent coupon payment date. If the closing value of the worst performing underlying is below its coupon barrier value
on each valuation date, you will not receive any contingent coupon payments over the term of the securities.
Higher Contingent Coupon Rates Are Associated
With Greater Risk.
The securities offer contingent coupon payments
at an annualized rate that, if all are paid, would produce a yield that is generally higher than the yield on our conventional
debt securities of the same maturity. This higher potential yield is associated with greater levels of expected risk as of the
pricing date for the securities, including the risk that you may not receive a contingent coupon payment on one or more, or any,
contingent coupon payment dates and the risk that the securities will not be automatically redeemed and the value of what you receive
at maturity may be significantly less than the stated principal amount of your securities and may be zero. The volatility of and
the correlation between the underlyings are important factors affecting these risks. Greater expected volatility of and lower expected
correlation between the underlyings as of the pricing date may result in a higher contingent coupon rate, but would also represent
a greater expected likelihood as of the pricing date that (i) the closing value of the worst performing underlying on one or more
valuation dates will be less than its coupon barrier value, such that you will not receive one or more, or any, contingent coupon
payments during the term of the securities and (ii) the securities will not be automatically redeemed and the closing value of
the worst performing underlying on the final valuation date will be less than its final barrier value, such that you will not be
repaid the stated principal amount of your securities at maturity.
The Securities Are Subject To Heightened
Risk Because They Have Multiple Underlyings.
The securities are more risky than similar
investments that may be available with only one underlying. With multiple underlyings, there is a greater chance that any one underlying
will perform poorly, adversely affecting your return on the securities.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
The Securities Are Subject To The Risks
Of Each Of The Underlyings And Will Be Negatively Affected If Any One Underlying Performs Poorly, Regardless Of The Performance
Of Any Other Underlying.
You are subject to risks associated with
each of the underlyings. If any one underlying performs poorly, you will be negatively affected, regardless of the performance
of any other underlying. The securities are not linked to a basket composed of the underlyings, where the blended performance of
the underlyings would be better than the performance of the worst performing underlying alone. Instead, you are subject to the
full risks of whichever of the underlyings is the worst performing underlying.
You Will Not Benefit In Any Way From
The Performance Of Any Better Performing Underlying.
The return on the securities depends solely
on the performance of the worst performing underlying, and you will not benefit in any way from the performance of any better performing
underlying.
You Will Be Subject To Risks Relating
To The Relationship Between The Underlyings.
It is preferable from your perspective for
the underlyings to be correlated with each other, in the sense that they tend to increase or decrease at similar times and by similar
magnitudes. By investing in the securities, you assume the risk that the underlyings will not exhibit this relationship. The less
correlated the underlyings, the more likely it is that any one of the underlyings will perform poorly over the term of the securities.
All that is necessary for the securities to perform poorly is for one of the underlyings to perform poorly; the performance of
any underlying that is not the worst performing underlying is not relevant to your return on the securities. It is impossible to
predict what the relationship between the underlyings will be over the term of the securities. The underlyings differ in significant
ways and, therefore, may not be correlated with each other.
You May Not Be Adequately Compensated
For Assuming The Downside Risk Of The Worst Performing Underlying.
The potential contingent coupon payments
on the securities are the compensation you receive for assuming the downside risk of the worst performing underlying, as well as
all the other risks of the securities. That compensation is effectively “at risk” and may, therefore, be less than
you currently anticipate. First, the actual yield you realize on the securities could be lower than you anticipate because the
coupon is “contingent” and you may not receive a contingent coupon payment on one or more, or any, of the contingent
coupon payment dates. Second, the contingent coupon payments are the compensation you receive not only for the downside risk of
the worst performing underlying, but also for all of the other risks of the securities, including the risk that the securities
may be automatically redeemed prior to maturity, interest rate risk and our and Citigroup Inc.’s credit risk. If those other
risks increase or are otherwise greater than you currently anticipate, the contingent coupon payments may turn out to be inadequate
to compensate you for all the risks of the securities, including the downside risk of the worst performing underlying.
The Securities May Be Automatically Redeemed
Prior To Maturity, Limiting Your Opportunity To Receive Contingent Coupon Payments.
On any potential autocall date, the securities
will be automatically redeemed if the closing value of the worst performing underlying on that potential autocall date is greater
than or equal to its initial underlying value. Thus, the term of the securities may be limited. If the securities are redeemed
prior to maturity, you will not receive any additional contingent coupon payments. Moreover, you may not be able to reinvest your
funds in another investment that provides a similar yield with a similar level of risk.
The Securities Offer Downside Exposure
To The Worst Performing Underlying, But No Upside Exposure To Any Underlying.
You will not participate in any appreciation
in the value of any underlying over the term of the securities. Consequently, your return on the securities will be limited to
the contingent coupon payments you receive, if any, and may be significantly less than the return on any underlying over the term
of the securities. In addition, as an investor in the securities, you will not receive any dividends or other distributions or
have any other rights with respect to any underlying.
The Performance Of The Securities Will
Depend On The Closing Values Of The Underlyings Solely On The Valuation Dates, Which Makes The Securities Particularly Sensitive
To Volatility In The Closing Values Of The Underlyings.
Whether the contingent coupon will be paid
on any given contingent coupon payment date and whether the securities will be automatically redeemed prior to maturity will depend
on the closing values of the underlyings solely on the applicable valuation dates, regardless of the closing values of the underlyings
on other days during the term of the securities. If the securities are not automatically redeemed, what you receive at maturity
will depend solely on the closing value of the worst performing underlying on the final valuation date, and not on any other day
during the term of the securities. Because the performance of the securities depends on the closing values of the underlyings on
a limited number of dates, the securities will be particularly sensitive to volatility in the
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
closing values of the underlyings.
You should understand that the closing value of each of the underlyings has historically been highly volatile.
The Securities Are Subject To The Credit
Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc.
If we default on our obligations under the
securities and Citigroup Inc. defaults on its guarantee obligations, you may not receive anything owed to you under the securities.
The Securities Will Not Be Listed On
Any 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. We have been advised that Wells
Fargo currently intends to make a secondary market in relation to the securities. However, Wells Fargo may suspend or terminate
making a market without notice, at any time and for any reason. If Wells Fargo suspends or terminates making a market, there may
be no secondary market at all for the securities because it is likely that Wells Fargo will be the only broker-dealer that is willing
to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
The Estimated Value Of The Securities
On The Pricing Date, Based On CGMI’s Proprietary Pricing Models And Our Internal Funding Rate, Is Less Than The Public Offering
Price.
The difference is attributable to certain
costs associated with selling, structuring and hedging the securities that are included in the public offering price. These costs
include (i) any selling concessions or other fees 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 and/or Wells Fargo or its 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 and correlation between the underlyings, dividend yields on the underlyings
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 Wells Fargo’s Determination of The Secondary Market Rate With Respect To Us.
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. We expect that our internal funding rate is generally lower than Wells Fargo’s
determination of the secondary market rate with respect to us, which is the rate that we expect Wells Fargo will use in determining
the value of the securities for purposes of any purchases of the securities from you in the secondary market. If the estimated
value included in this pricing supplement were based on Wells Fargo’s determination of the secondary market rate with respect
to us, 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 is payable on the securities.
Because there is not an active market for
traded instruments referencing our outstanding debt obligations, Wells Fargo may determine the secondary market rate with respect
to us for purposes of any purchase of the securities from you in the secondary market 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 Wells Fargo may deem appropriate.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
The Estimated Value Of The Securities
Is Not An Indication Of The Price, If Any, At Which Any 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, we expect that any value of the securities determined for purposes of a secondary market
transaction will be based on Wells Fargo’s determination of the secondary market rate with respect to us, which will likely
result in a lower value for the securities than if our internal funding rate were used. In addition, we expect that 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 may be reduced the expected cost of unwinding
related hedging transactions. As a result, it is likely that any secondary market price for the securities will be less than the
public offering price.
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 closing values of the underlyings, the volatility of the closing values of the underlyings, the correlation
between the underlyings, dividend yields on the underlyings, interest rates generally, the time remaining to maturity and our and
Citigroup Inc.’s creditworthiness, as reflected in our secondary market rate, among other factors described under “Risk
Factors Relating to the Securities—Risk Factors Relating to All Securities—The value of your securities prior to maturity
will fluctuate based on many unpredictable factors” in the accompanying product supplement. Changes in the closing values
of the underlyings may not result in a comparable change in the value of your securities. You should understand that the value
of your securities at any time prior to maturity may be significantly less than the public offering price.
We Have Been Advised That, Immediately
Following Issuance, Any Secondary Market Bid Price Provided By Wells Fargo, And The Value That Will Be Indicated On Any Brokerage
Account Statements Prepared By Wells Fargo Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
The amount of this temporary upward adjustment
will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing
supplement.
The Russell 2000® Index
Is Subject To Risks Associated With Small Capitalization Stocks.
The stocks that constitute the Russell 2000®
Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile
than stock prices of large capitalization companies. These companies tend to be less well-established than large market capitalization
companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions
relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence
of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
The EURO STOXX 50® Index
Is Subject To Risks Associated With Non-U.S. Markets.
The stocks included in the EURO STOXX 50®
Index have been issued by companies outside of the U.S. Foreign equity securities involve risks associated with the securities
markets in foreign countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings
in companies in certain countries. There is also generally less publicly available information about foreign companies than about
U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, 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 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.
Moreover, the economies in such countries may differ unfavorably from the economy of the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
The Performance Of The EURO STOXX 50®
Index Will Not Be Adjusted For Changes In The Exchange Rate Between The Euro And The U.S. Dollar.
The EURO STOXX 50® Index
is composed of stocks traded in euro, the value of which may be subject to a high degree of fluctuation relative to the U.S. dollar.
However, the performance of the EURO STOXX 50® Index and the value of your securities will not be adjusted for exchange
rate fluctuations. If the euro appreciates relative to the U.S. dollar over the term of the securities, the performance of the
EURO STOXX 50® Index as measured for purposes of the securities will be less than it would have been if it offered
exposure to that appreciation in addition to the change in the prices of the underlying stocks.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Our Offering Of The Securities Is Not
A Recommendation Of Any Underlying.
The fact that we are offering the securities
does not mean that we or Wells Fargo or its affiliates believe that investing in an instrument linked to the underlyings is likely
to achieve favorable returns. In fact, as we and Wells Fargo and its affiliates are each part of respective global financial institutions,
our affiliates and affiliates of Wells Fargo may have positions (including short positions) in the underlyings or in instruments
related to the underlyings, and may publish research or express opinions, that in each case are inconsistent with an investment
linked to the underlyings. These and other activities of our affiliates or of Wells Fargo or its affiliates may affect the closing
values of the underlyings in a way that negatively affects the value of and your return on the securities.
The Closing Value Of An Underlying May
Be Adversely Affected By Our Or Our Affiliates’, Or By Wells Fargo And Its Affiliates’, Hedging And Other Trading Activities.
We expect to hedge our obligations under
the securities through CGMI or other of our affiliates and/or Wells Fargo or its affiliates, who may take positions in the underlyings
or in financial instruments related to the underlyings and may adjust such positions during the term of the securities. Our affiliates
and Wells Fargo and its affiliates also take positions in the underlyings or in financial instruments related to the underlyings
on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to
facilitate transactions on behalf of customers. These activities could affect the closing value of the underlyings in a way that
negatively affects the value of and your return on the securities. They could also result in substantial returns for us or our
affiliates or Wells Fargo and its affiliates while the value of the securities declines.
We And Our Affiliates And Wells Fargo
And Its Affiliates May Have Economic Interests That Are Adverse To Yours As A Result Of Our And Their Respective Business Activities.
Our affiliates and Wells Fargo and its affiliates
engage in business activities with a wide range of companies. These activities include extending loans, making and facilitating
investments, underwriting securities offerings and providing advisory services. These activities could involve or affect the underlyings
in a way that negatively affects the value of and your return on the securities. They could also result in substantial returns
for us or our affiliates or Wells Fargo or its affiliates while the value of the securities declines. In addition, in the course
of this business, we or our affiliates or Wells Fargo or its affiliates may acquire non-public information, which will not be disclosed
to you.
The Calculation Agent, Which Is An Affiliate
Of Ours, Will Make Important Determinations With Respect To The Securities.
If certain events occur during the term
of the securities, such as market disruption events and other events with respect to an underlying, CGMI, as calculation agent,
will be required to make discretionary judgments that could significantly affect your return on the securities. 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. See “Risk Factors Relating to the Securities—Risk Factors Relating to All Securities—The calculation
agent, which is an affiliate of ours, will make important determinations with respect to the securities” in the accompanying
product supplement.
Changes That Affect The Underlyings May
Affect The Value Of Your Securities.
The sponsors of the underlyings may at any
time make methodological changes or other changes in the manner in which they operate that could affect the values of the underlyings.
We are not affiliated with any such underlying sponsor and, accordingly, we have no control over any changes any such sponsor may
make. Such changes could adversely affect the performance of the underlyings and the value of and your return on the securities.
A Contingent Coupon Payment Date And
The Stated Maturity Date May Be Postponed If A Valuation Date is Postponed.
A valuation date (including the final valuation
date) with respect to an underlying will be postponed if the applicable originally scheduled valuation date is not a trading day
with respect to any underlying or if the calculation agent determines that a market disruption event has occurred or is continuing
with respect to that underlying on that valuation date. If such a postponement occurs with respect to a valuation date other than
the final valuation date, then the related contingent coupon payment date will be postponed. If such a postponement occurs with
respect to the final valuation date, the stated maturity date will be the later of (i) the initial stated maturity date and
(ii) three business days after the last final valuation date as postponed.
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 described in “United States Federal Tax
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Considerations” below. 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. Moreover, future legislation, Treasury regulations or IRS guidance could
adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
Non-U.S. investors should
note that persons having withholding responsibility in respect of the securities may withhold on any coupon payment paid to a non-U.S.
investor, generally at a rate of 30%. To the extent that we have withholding responsibility in respect of the securities, we intend
to so withhold.
You should read carefully
the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities”
in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You
should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as
tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
If the securities are automatically redeemed:
If the securities are automatically redeemed
prior to maturity, you will receive the stated principal amount of your securities plus the related contingent coupon payment
on the immediately following contingent coupon payment date. In the event the securities are automatically redeemed, your total
return on the securities will equal any contingent coupon payments received prior to such contingent coupon payment date and the
contingent coupon payment received on such contingent coupon payment date.
If the securities are not automatically
redeemed:
If
the securities are not automatically redeemed prior to maturity, the following table illustrates, for a range of hypothetical underlying
performance factors of the worst performing underlying on the final valuation date, the hypothetical payment at maturity payable
at maturity per security (excluding the final contingent coupon payment, if any). The underlying performance factor of the worst
performing underlying on the final valuation date is its closing value on the final valuation date divided by its initial
underlying value.
|
|
Hypothetical underlying performance factor of worst performing underlying on final valuation date
|
Hypothetical payment at maturity per security
|
175.00%
|
$1,000.00
|
160.00%
|
$1,000.00
|
150.00%
|
$1,000.00
|
140.00%
|
$1,000.00
|
130.00%
|
$1,000.00
|
120.00%
|
$1,000.00
|
110.00%
|
$1,000.00
|
100.00%
|
$1,000.00
|
90.00%
|
$1,000.00
|
80.00%
|
$1,000.00
|
70.00%
|
$1,000.00
|
69.99%
|
$699.90
|
60.00%
|
$600.00
|
50.00%
|
$500.00
|
40.00%
|
$400.00
|
25.00%
|
$250.00
|
|
|
|
The above figures do not take into account
contingent coupon payments, if any, received during the term of the securities. As evidenced above, in no event will you have a
positive return based on the payment at maturity; any positive return will be based solely on the contingent coupon payments, if
any, received during the term of the securities.
The above figures are for purposes of illustration
only and may have been rounded for ease of analysis. If the securities are not automatically redeemed prior to maturity, the actual
amount you will receive at maturity will depend on the actual closing value of the worst performing underlying on the final valuation
date. The performance of any better performing underlying is not relevant to your return on the securities.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
The examples in the first section below
illustrate how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed
following a valuation date that is also a potential autocall date. The examples in the second section below illustrate how to determine
the payment at maturity on the securities if the securities are not automatically redeemed prior to maturity. The examples are
solely for illustrative purposes, do not show all possible outcomes and are not a prediction of any payment that may be made on
the securities.
The examples below are based on the following
hypothetical values and do not reflect the actual initial underlying values, coupon barrier values or final barrier values of the
underlyings. For the actual initial underlying value, coupon barrier value and final barrier value of each underlying, see “Terms
of the Securities” above. We have used these hypothetical values, rather than the actual values, to simplify the calculations
and aid understanding of how the securities work. However, you should understand that the actual payments on the securities will
be calculated based on the actual initial underlying value, coupon barrier value and final barrier value of each underlying, and
not the hypothetical values indicated below. The examples below assume that the contingent coupon rate is set at the lowest value
indicated in “Terms of the Securities” above. The actual contingent coupon rate will be determined on the pricing date.
Underlying
|
Hypothetical initial underlying value
|
Hypothetical coupon barrier value
|
Hypothetical final barrier value
|
S&P 500® Index
|
100.00
|
70.00 (70% of its hypothetical initial underlying value)
|
70.00 (70% of its hypothetical initial underlying value)
|
Russell 2000® Index
|
100.00
|
70.00 (70% of its hypothetical initial underlying value)
|
70.00 (70% of its hypothetical initial underlying value)
|
EURO STOXX 50® Index
|
100.00
|
70.00 (70% of its hypothetical initial underlying value)
|
70.00 (70% of its hypothetical initial underlying value)
|
Hypothetical Contingent Coupon Payments and any Payment upon Automatic Early Redemption Following a Valuation Date that is also a Potential Autocall Date
|
The hypothetical examples
below illustrate how to determine whether a contingent coupon will be paid and whether the securities will be automatically redeemed
following a hypothetical valuation date that is also a potential autocall date, assuming that the closing values of the underlyings
on the hypothetical valuation date are as indicated below.
|
Hypothetical closing value of S&P 500® Index on hypothetical valuation date
|
Hypothetical closing value of Russell 2000® Index on hypothetical valuation date
|
Hypothetical closing value of EURO STOXX 50® Index on hypothetical valuation date
|
Hypothetical payment per security on related contingent coupon payment date
|
Example 1:
|
120.00
(underlying
performance factor =
120.00 / 100.00 = 1.20)
|
85.00
(underlying
performance factor =
85.00 / 100.00 = 0.85)
|
80.00
(underlying
performance factor =
80.00 / 100.00 = 0.80)
|
$17.50
(contingent coupon is paid; securities not redeemed)
|
Example 2:
|
110.00
(underlying
performance factor =
110.00 / 100.00 = 1.10)
|
45.00
(underlying
performance factor =
45.00 / 100.00 = 0.45)
|
110.00
(underlying
performance factor =
110.00 / 100.00 = 1.10)
|
$0.00
(no contingent coupon; securities not redeemed)
|
Example 3:
|
105.00
(underlying
performance factor =
105.00 / 100.00 = 1.05)
|
110.00
(underlying
performance factor =
110.00 / 100.00 = 1.10)
|
120.00
(underlying
performance factor =
120.00 / 100.00 = 1.20)
|
$1,017.50
(contingent coupon is paid; securities redeemed)
|
Example 1: On the
hypothetical valuation date, the EURO STOXX 50® Index has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is greater than its coupon barrier value but less than its initial underlying value. As a result, investors in the
securities would receive the contingent coupon payment of $17.50 per security on the related contingent coupon payment date and
the securities would not be automatically redeemed.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Example 2: On the
hypothetical valuation date, the Russell 2000® Index has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is less than its coupon barrier value. As a result, investors would not receive any payment on the related contingent
coupon payment date, even though each other underlying has appreciated from its initial underlying value, and the securities would
not be automatically redeemed.
Investors in the securities
will not receive a contingent coupon on the contingent coupon payment date following a valuation date if, on that valuation date,
the closing value of the worst performing underlying is less than its coupon barrier value. Whether a contingent coupon is paid
following a valuation date depends solely on the closing value of the worst performing underlying.
Example 3: On the
hypothetical valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore,
is the worst performing underlying. In this scenario, the closing value of the worst performing underlying on the hypothetical
valuation date is greater than both its coupon barrier value and its initial underlying value. As a result, the securities would
be automatically redeemed on the related contingent coupon payment date for an amount in cash equal to $1,000 plus the related
contingent coupon payment, for a total of $1,017.50 per security.
If the valuation date
were not also a potential autocall date, the securities would not be automatically redeemed on the related contingent coupon payment
date.
Hypothetical Payments at Maturity
|
The next hypothetical examples illustrate
the calculation of the payment at maturity on the securities, assuming that the securities have not been earlier automatically
redeemed and that the closing values of the underlyings on the final valuation date are as indicated below.
|
Hypothetical closing value of S&P 500® Index on final valuation date
|
Hypothetical closing value of Russell 2000® Index on final valuation date
|
Hypothetical closing value of EURO STOXX 50® Index on final valuation date
|
Hypothetical payment at maturity per security
|
Example 4
|
130.00
(underlying
performance factor =
130.00 / 100.00 = 1.30)
|
120.00
(underlying
performance factor =
120.00 / 100.00 = 1.20)
|
110.00
(underlying
performance factor =
110.00 / 100.00 = 1.10)
|
$1,017.50
|
Example 5
|
50.00
(underlying
performance factor =
50.00 / 100.00 = 0.50)
|
80.00
(underlying
performance factor =
80.00 / 100.00 = 0.80)
|
90.00
(underlying
performance factor =
90.00 / 100.00 = 0.90)
|
$500.00
|
Example 6
|
70.00
(underlying
performance factor =
70.00 / 100.00 = 0.70)
|
20.00
(underlying
performance factor =
20.00 / 100.00 = 0.20)
|
120.00
(underlying
performance factor =
120.00 / 100.00 = 1.20)
|
$200.00
|
Example 4: On the
final valuation date, the EURO STOXX 50® Index has the lowest underlying performance factor and, therefore, is the
worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date
is greater than its final barrier value. Accordingly, at maturity, you would receive the stated principal amount of the securities
plus the contingent coupon payment due at maturity, for a total of $1,017.50 per security, but you would not participate
in the appreciation of any of the underlyings.
Example 5: On the
final valuation date, the S&P 500® Index has the lowest underlying performance factor and, therefore, is the
worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment
at maturity = $1,000 × the underlying performance factor of the worst performing underlying on the final valuation date
=
$1,000 × 0.50
=
$500
In this scenario, you
would receive significantly less than the stated principal amount of your securities at maturity. You would incur a loss based
on the performance of the worst performing underlying. In addition, because the closing value of the worst performing underlying
on the final valuation date is below its coupon barrier value, you would not receive any contingent coupon payment at maturity.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Example 6: On the
final valuation date, the Russell 2000® Index has the lowest underlying performance factor and, therefore, is the
worst performing underlying. In this scenario, the closing value of the worst performing underlying on the final valuation date
is less than its final barrier value. Accordingly, at maturity, you would receive a payment per security calculated as follows:
Payment
at maturity = $1,000 × the underlying performance factor of the worst performing underlying on the final valuation date
=
$1,000 × 0.20
=
$200
In this scenario, because
the closing value of the worst performing underlying on the final valuation date is less than its final barrier value, you would
lose a significant portion of your investment in the securities. In addition, because the closing value of the worst performing
underlying is below its coupon barrier value, you would not receive any contingent coupon payment at maturity.
It is possible that
the closing value of the worst performing underlying will be less than its coupon barrier value on each valuation date and less
than its final barrier value on the final valuation date, such that you will not receive any contingent coupon payments over the
term of the securities and will receive significantly less than the stated principal amount of your securities at maturity.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Additional Terms of the Securities
|
The following provisions supersede the provisions in the product
supplement to the extent that they are inconsistent from those provisions.
Certain Definitions
A “trading day” with respect
to the S&P 500 Index or the Russell 2000 Index means a day, as determined by the calculation agent, on which (i) the relevant
stock exchanges with respect to each security underlying such underlying are scheduled to be open for trading for their respective
regular trading sessions and (ii) each related futures or options exchange with respect to such underlying is scheduled to be open
for trading for its regular trading session.
A “trading day” with respect
to the EURO STOXX 50 Index means a day, as determined by the calculation agent, on which (i) the relevant index sponsor is scheduled
to the publish the level of the EURO STOXX 50 Index and (ii) each related futures or options exchange is scheduled to be open for
trading for its regular trading session.
The “relevant stock exchange”
for any security underlying an underlying means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options exchange”
for an underlying means an exchange or quotation system where trading has a material effect (as determined by the calculation agent)
on the overall market for futures or options contracts relating to such underlying.
Postponement of a Valuation Date
If any valuation date is not a trading day
with respect to any underlying, such valuation date will be postponed to the next succeeding day that is a trading day with respect
to each underlying. A valuation date for an underlying is also subject to postponement due to the occurrence of market disruption
event with respect to such underlying on such valuation date. See “—Market Disruption Events.”
Market Disruption Events
A “market disruption event” with respect to the S&P
500 Index or the Russell 2000 Index means any of the following events as determined by the calculation agent in its sole discretion:
|
(A)
|
The occurrence or existence of a material suspension
of or limitation imposed on trading by the relevant stock exchanges or otherwise relating to securities which then comprise 20%
or more of the level of such underlying or any successor index at any time during the one-hour period that ends at the close of
trading on that day, whether by reason of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.
|
|
(B)
|
The occurrence or existence of a material suspension
of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating
to such underlying or any successor index on any related futures or options exchange at any time during the one-hour period that
ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures
or options exchange or otherwise.
|
|
(C)
|
The occurrence or existence of any event, other than
an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in,
or obtain market values for, securities that then comprise 20% or more of the level of such underlying or any successor index
on their relevant stock exchanges at any time during the one-hour period that ends at the close of trading on that day.
|
|
(D)
|
The occurrence or existence of any event, other than
an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in,
or obtain market values for, futures or options contracts relating to such underlying or any successor index on any related futures
or options exchange at any time during the one-hour period that ends at the close of trading on that day.
|
|
(E)
|
The closure on any exchange business day of the relevant
stock exchanges on which securities that then comprise 20% or more of the level of such underlying or any successor index are
traded or any related futures or options exchange with
respect to such underlying or any successor index prior to its scheduled closing time unless the earlier closing time is
|
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
announced
by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of
(1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange,
as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or
options exchange, as applicable, system for execution at such actual closing time on that day.
|
(F)
|
The relevant stock exchange for any security underlying
such underlying or successor index or any related futures or options exchange with respect to such underlying or successor index
fails to open for trading during its regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to the S&P 500 Index or the Russell 2000 Index:
|
(1)
|
the relevant percentage contribution of a security
to the level of such underlying or any successor index will be based on a comparison of (x) the portion of the level of such underlying
attributable to that security and (y) the overall level of such underlying or successor index, in each case immediately before
the occurrence of the market disruption event;
|
|
(2)
|
the “close of trading” on any trading
day for such underlying or any successor index means the scheduled closing time of the relevant stock exchanges with respect to
the securities underlying such underlying or successor index on such trading day; provided that, if the actual closing time of
the regular trading session of any such relevant stock exchange is earlier than its scheduled closing time on such trading day,
then (x) for purposes of clauses (A) and (C) of the definition of “market disruption event” above, with respect to
any security underlying such underlying or successor index for which such relevant stock exchange is its relevant stock exchange,
the “close of trading” means such actual closing time and (y) for purposes of clauses (B) and (D) of the definition
of “market disruption event” above, with respect to any futures or options contract relating to such underlying or
successor index, the “close of trading” means the latest actual closing time of the regular trading session of any
of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant stock exchanges;
|
|
(3)
|
the “scheduled closing time” of any relevant
stock exchange or related futures or options exchange on any trading day for such underlying or any successor index means the
scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such trading day, without
regard to after hours or any other trading outside the regular trading session hours; and
|
|
(4)
|
an “exchange business day” means any trading
day for such underlying or any successor index on which each relevant stock exchange for the securities underlying such underlying
or any successor index and each related futures or options exchange with respect to such underlying or any successor index are
open for trading during their respective regular trading sessions, notwithstanding any such relevant stock exchange or related
futures or options exchange closing prior to its scheduled closing time.
|
A “market disruption event”
with respect to the EURO STOXX 50 Index means, any of (A), (B), (C) or (D) below, as determined by the calculation agent in its
sole discretion:
|
(A)
|
Any of the following events occurs or exists with respect
to any security included in such underlying or any successor index, and the aggregate of all securities included in such underlying
or successor index with respect to which any such event occurs comprise 20% or more of the level of such underlying or successor
index:
|
|
·
|
a material suspension of or limitation imposed on trading by the relevant stock exchange for such
security or otherwise at any time during the one-hour period that ends at the scheduled closing time for the relevant stock exchange
for such security on that day, whether by reason of movements in price exceeding limits permitted by the relevant stock exchange
or otherwise;
|
|
·
|
any event, other than an early closure, that materially disrupts or impairs the ability of market
participants in general to effect transactions in, or obtain market values for, such security on its relevant stock exchange at
any time during the one-hour period that ends at the scheduled closing time for the relevant stock exchange for such security on
that day; or
|
|
·
|
the closure on any exchange business day of the relevant stock exchange for such security prior
to its scheduled closing time unless the earlier closing is announced by such relevant stock exchange at least one hour prior to the
earlier of (i) the actual closing time for the regular trading session on such relevant stock exchange and (ii)
|
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
the submission
deadline for orders to be entered into the relevant stock exchange system for execution at the scheduled closing time for such
relevant stock exchange on that day.
|
(B)
|
Any of the following events occurs or exists with respect to futures or options contracts relating
to such underlying or any successor index:
|
|
·
|
a material suspension of or limitation imposed on trading by any related futures or options exchange
or otherwise at any time during the one-hour period that ends at the close of trading on such related futures or options exchange
on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise;
|
|
·
|
any event, other than an early closure, that materially disrupts or impairs the ability of market
participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to such underlying
or successor index on any related futures or options exchange at any time during the one-hour period that ends at the close of
trading on such related futures or options exchange on that day; or
|
|
·
|
the closure on any exchange business day of any related futures or options exchange prior to its
scheduled closing time unless the earlier closing time is announced by such related futures or options exchange at least one hour
prior to the earlier of (i) the actual closing time for the regular trading session on such related futures or options exchange
and (ii) the submission deadline for orders to be entered into the related futures or options exchange system for execution at
the close of trading for such related futures or options exchange on that day.
|
|
(C)
|
The relevant index sponsor fails to publish the level of such underlying or any successor index
(other than as a result of the relevant index sponsor having discontinued publication of such underlying or successor index and
no successor index being available).
|
|
(D)
|
Any related futures or options exchange fails to open for trading during its regular trading session.
|
For purposes of determining whether a market
disruption event has occurred with respect to the EURO STOXX 50 Index:
|
(1)
|
the relevant percentage contribution of a security
included in such underlying or any successor index to the level of such index will be based on a comparison of (x) the portion
of the level of such index attributable to that security to (y) the overall level of such index, in each case using the official
opening weightings as published by the relevant index sponsor as part of the market opening data;
|
|
(2)
|
the “scheduled closing time” of any relevant
stock exchange or related futures or options exchange on any trading day means the scheduled weekday closing time of such relevant
stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading
outside the regular trading session hours; and
|
|
(3)
|
an “exchange business day” means any trading
day on which (i) the relevant index sponsor publishes the level of such underlying or any successor index and (ii) each related
futures or options exchange is open for trading during its regular trading session, notwithstanding any related futures or options
exchange closing prior to its scheduled closing time.
|
If a market disruption event occurs
or is continuing with respect to an underlying on any valuation date, then such valuation date for such underlying will be
postponed to the first succeeding trading day for such underlying on which a market disruption event for such underlying has
not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading
day for such underlying after the originally scheduled valuation date, that eighth trading day shall be deemed to be the
valuation date for such underlying. If a valuation date has been postponed eight trading days for an underlying after the
originally scheduled valuation date and a market disruption event occurs or is continuing with respect to such underlying on
such eighth trading day, the calculation agent will determine the closing value of such underlying on such eighth trading day
in accordance with the formula for and method of calculating the closing value of such underlying last in effect prior to
commencement of the market disruption event, using the closing price (or, with respect to any relevant security, if a market
disruption event has occurred with respect to such security, its good faith estimate of the value of such security at (i)
with respect to the S&P 500 Index or the Russell 2000 Index, the scheduled closing time of the relevant stock exchange
for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or
(ii) with respect to the EURO STOXX 50 Index, the time at which the official closing level of such underlying is calculated
and published by the relevant index sponsor) on such date of each security included
in such underlying. As used herein, “closing price” means, with respect to any security on any date, the relevant stock
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
exchange traded or quoted price of such security as of (i) with respect to the S&P 500 Index or the Russell 2000 Index, the
scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular
trading session of such relevant stock exchange or (ii) with respect to the EURO STOXX 50 Index, the time at which the official
closing level of such underlying is calculated and published by the relevant index sponsor. Notwithstanding the postponement of
a valuation date for an underlying due to a market disruption event with respect to such underlying on such valuation date, the
originally scheduled valuation date will remain the valuation date for any underlying not affected by a market disruption event
on such day.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Information About the S&P 500® Index
|
The S&P 500® Index consists
of the common stocks of 500 issuers selected to provide a performance benchmark for the large capitalization segment of the U.S.
equity markets. It is calculated and maintained by S&P Dow Jones Indices LLC.
As of July 31, 2017, the securities of companies
with multiple share class structures are no longer eligible to be added to the S&P 500® Index, but securities
already included in the S&P 500® Index have been grandfathered and are not affected by this change. Please refer
to the section “Equity Index Descriptions—The S&P U.S. Indices—The S&P 500® Index”
in the accompanying underlying supplement for additional information.
We have derived all information regarding
the S&P 500® Index from publicly available information and have not independently verified any information regarding
the S&P 500® Index. This pricing supplement relates only to the securities and not to the S&P 500®
Index. We make no representation as to the performance of the S&P 500® Index over the term of the securities.
The securities represent obligations of
Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the S&P 500® Index
is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the S&P 500®
Index on November 4, 2019 was 3,078.27.
The graph below shows the closing value
of the S&P 500® Index for each day such value was available from January 2, 2014 to November 4, 2019. We obtained
the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication
of future performance.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Information About the Russell 2000® Index
|
The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000®
Index are traded on a major U.S. exchange. It is calculated and maintained by FTSE Russell.
Please refer to the section “Equity Index Descriptions—The
Russell Indices—The Russell 2000® Index” in the accompanying underlying supplement for additional information.
We have derived all information regarding the Russell 2000®
Index from publicly available information and have not independently verified any information regarding the Russell 2000®
Index. This pricing supplement relates only to the securities and not to the Russell 2000® Index. We make no representation
as to the performance of the Russell 2000® Index over the term of the securities.
The securities represent obligations of Citigroup Global Markets
Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the Russell 2000® Index is not involved in any
way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the Russell 2000® Index
on November 4, 2019 was 1,597.396.
The graph below shows the closing value
of the Russell 2000® Index for each day such value was available from January 2, 2014 to November 4, 2019. We obtained
the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication
of future performance.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
Information About the EURO STOXX 50® Index
|
The EURO STOXX 50® Index
is composed of 50 component stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices,
which represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600®
Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries. It is calculated and
maintained by STOXX Limited.
Please refer to the section “Equity
Index Descriptions—The EURO STOXX 50® Index” in the accompanying underlying supplement for important
disclosures regarding the EURO STOXX 50® Index.
We have derived all information regarding
the EURO STOXX 50® Index from publicly available information and have not independently verified any information
regarding the EURO STOXX 50® Index. This pricing supplement relates only to the securities and not to the EURO STOXX
50® Index. We make no representation as to the performance of the EURO STOXX 50® Index over the term
of the securities.
The securities represent obligations of
Citigroup Global Markets Holdings Inc. (guaranteed by Citigroup Inc.) only. The sponsor of the EURO STOXX 50® Index
is not involved in any way in this offering and has no obligation relating to the securities or to holders of the securities.
Historical Information
The closing value of the EURO STOXX 50®
Index on November 4, 2019 was 3,665.21.
The graph below shows the closing value
of the EURO STOXX 50® Index for each day such value was available from January 2, 2014 to November 4, 2019. We obtained
the closing values from Bloomberg L.P., without independent verification. You should not take historical closing values as an indication
of future performance.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
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.
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In connection with any
information reporting requirements we may have in respect of the securities under applicable law, we intend (in the absence of
an administrative determination or judicial ruling to the contrary) to treat the securities for U.S. federal income tax purposes
as prepaid forward contracts with associated coupon payments that will be treated as gross income to you at the time received or
accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP,
this treatment of the securities is reasonable under current law; however, our counsel has advised us that it is unable to conclude
affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible. Moreover,
our counsel’s opinion is based on market conditions as of the date of this preliminary pricing supplement and is subject
to confirmation on the pricing date.
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:
|
·
|
Any coupon payments on the securities should be taxable as ordinary income to you at the time received or accrued in accordance
with your regular method of accounting for U.S. federal income tax purposes.
|
|
·
|
Upon a sale or exchange of a security (including retirement at maturity), you should recognize capital gain or loss equal to
the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include
any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon
payment. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.
|
We do not plan to request
a ruling from the IRS regarding the treatment of the securities. An alternative characterization of the securities could materially
and adversely affect the tax consequences of ownership and disposition of the securities, including the timing and character of
income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the
U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated
that such transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed
legislative changes to the tax treatment of derivative contracts. Any legislation, 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,
possibly with retroactive effect. You should consult your tax adviser regarding possible alternative tax treatments of the securities
and potential changes in applicable law.
Withholding Tax on Non-U.S. Holders. Because significant
aspects of the tax treatment of the securities are uncertain, persons having withholding responsibility in respect of the securities
may withhold on any coupon payment paid to Non-U.S. Holders (as defined in the accompanying product supplement), generally at a
rate of 30%. To the extent that we have (or an affiliate of ours has) withholding responsibility in respect of the securities,
we intend to so withhold. In order to claim an exemption from, or a reduction in, the 30% withholding, you may need to comply with
certification requirements to establish that you are not a U.S. person and are eligible for such an exemption or reduction under
an applicable tax treaty. You should consult your tax adviser regarding the tax treatment of the securities, including the possibility
of obtaining a refund of any amounts withheld and the certification requirement described above.
As discussed under “United
States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” in the accompanying product supplement, Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S.
equities (“U.S. Underlying Equities”) or indices that include U.S. Underlying Equities. Section 871(m) generally applies
to instruments that substantially replicate the economic performance of one or more U.S. Underlying Equities, as determined based
on tests set forth in the applicable Treasury regulations. However, the regulations, as modified by an IRS notice, exempt financial
instruments issued prior to January 1, 2021 that do not have a “delta” of one. Based on the terms of the securities
and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion that the
securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with
respect to any U.S. Underlying Equity and, therefore, should not be subject to withholding tax under Section 871(m). However, the
final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for the
securities, and it is possible that the securities will be subject to withholding tax under Section 871(m) based on the circumstances
as of that date.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
A determination that the
securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this treatment. Moreover,
Section 871(m) is complex and its application may depend on your particular circumstances, including your other transactions. You
should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect
to amounts 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
|
Pursuant to the terms of the Amended and
Restated Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the securities from Citigroup
Global Markets Holdings Inc. CGMI, as the lead agent for the offering, expects to sell the securities to Wells Fargo, as agent.
Wells Fargo will receive an underwriting discount and commission of up to 2.50% ($25) for each security it sells. Wells Fargo will
pay selected dealers, which may include WFA, a fixed selling commission of 1.50% ($15) for each security they sell. In addition
to the selling commission allowed to WFA, Wells Fargo will pay $0.75 per security of the underwriting discount and commission to
WFA as a distribution expense fee for each security sold by WFA. For the avoidance of doubt, the fees and selling concessions described
in this pricing supplement will not be rebated if the securities are automatically redeemed prior to maturity.
The public offering price of the securities
includes the underwriting discount and commission described on the cover page of this pricing supplement and the estimated cost
of hedging our obligations under the securities. We expect to hedge our obligations under the securities through affiliated or
unaffiliated counterparties, which may include our affiliates and affiliates of Wells Fargo. Our cost of hedging will include the
projected profit that such counterparties, which may include our affiliates and affiliates of Wells Fargo, expect to realize in
consideration for assuming the risks inherent in hedging our obligations under the securities. Because hedging our obligations
entails risks and may be influenced by market forces beyond the control of any counterparty, which may include our affiliates and
affiliates of Wells Fargo, such hedging may result in a profit that is more or less than expected, or could result in a loss.
This pricing supplement and the accompanying
product supplement, underlying supplement, prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells
Fargo in connection with offers and sales related to market-making or other transactions in the securities. Wells Fargo or an affiliate
of Wells Fargo may act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market
prices at the time of sale or otherwise.
No action has been or will be taken by Citigroup
Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of
the securities or possession or distribution of this pricing supplement or the accompanying product supplement, underlying supplement,
prospectus supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required.
No offers, sales or deliveries of the securities, or distribution of this pricing supplement, the accompanying product supplement,
underlying supplement or prospectus supplement and prospectus, may be made in or from any jurisdiction except in circumstances
that will result in compliance with any applicable laws and regulations and will not impose any obligations on Citigroup Global
Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them.
For the following jurisdictions, please
note specifically:
Argentina
Citigroup Global Markets Holdings Inc.’s
Series N Medium-Term Senior Notes program and the related offer of the securities and the sale of the securities under the terms
and conditions provided herein does not constitute a public offering in Argentina. Consequently, no public offering approval has
been requested or granted by the Comisión Nacional de Valores, nor has any listing authorization of the securities been
requested on any stock market in Argentina.
Brazil
The securities may not be offered or sold
to the public in Brazil. Accordingly, this pricing supplement and the accompanying prospectus supplement and prospectus have not
been submitted to the Comissão de Valores Mobiliáros for approval. Documents relating to this offering may not be
supplied to the public as a public offering in Brazil or be used in connection with any offer for subscription or sale to the public
in Brazil.
Chile
The securities have not been registered
with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries
of the securities, or distribution of this pricing supplement or the prospectus supplement
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
and prospectus, may be made in or from
Chile except in circumstances that will result in compliance with any applicable Chilean laws and regulations.
Mexico
The securities have not been registered
with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered
or sold publicly in Mexico. This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly
distributed in Mexico.
Paraguay
This is a private and personal offering.
The securities offered have not been approved by or registered with the National Securities Commission (Comisión Nacional
de Valores) and are not part of a public offering as defined by the Paraguayan Securities Law. The information contained herein
is for informational and marketing purposes only and should not be taken as an investment advice.
Peru
The securities have not been and will not
be registered with the Capital Markets Public Registry of the Capital Markets Superintendence (SMV) nor the Lima Stock Exchange
Registry (RBVL) for their public offering in Peru under the Peruvian Capital Markets Law (Law N°861/ Supreme Decree N°093-2002)
and the decrees and regulations thereunder.
Consequently, the securities may not be
offered or sold, directly or indirectly, nor may this prospectus supplement and the accompanying prospectus or any other offering
material relating to the securities be distributed or caused to be distributed in Peru to the general public. The securities may
only be offered in a private offering without using mass marketing, which is defined as a marketing strategy utilizing mass distribution
and mass media to offer, negotiate or distribute securities to the whole market. Mass media includes newspapers, magazines, radio,
television, mail, meetings, social networks, Internet servers located in Peru, and other media or technology platforms.
Taiwan
These securities may be made available outside
Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.
Valuation of the Securities
|
CGMI calculated the estimated value of the
securities set forth on the cover page of this pricing supplement based on proprietary pricing models. CGMI’s proprietary
pricing models generated an estimated value for the securities by estimating the value of a hypothetical package of financial instruments
that would replicate the payout on the securities, which consists of a fixed-income bond (the “bond component”) and
one or more derivative instruments underlying the economic terms of the securities (the “derivative component”). CGMI
calculated the estimated value of the bond component using a discount rate based on our internal funding rate. CGMI calculated
the estimated value of the derivative component based on a proprietary derivative-pricing model, which generated a theoretical
price for the instruments that constitute the derivative component based on various inputs, including the factors described under
“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 or Citigroup Inc.’s creditworthiness. These inputs may be market-observable
or may be based on assumptions made by CGMI in its discretionary judgment.
The estimated value of the securities is
a function of the terms of the securities and the inputs to CGMI’s proprietary pricing models. As of the date of this preliminary
pricing supplement, it is uncertain what the estimated value of the securities will be on the pricing date because certain terms
of the securities have not yet been fixed and because it is uncertain what the values of the inputs to CGMI’s proprietary
pricing models will be on the pricing date.
We have been advised that, for a period
of approximately four months following issuance of the securities, the price, if any, at which Wells Fargo 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 Wells Fargo or its affiliates, 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 costs associated with selling, structuring and hedging
the securities that are included in the public offering price of the securities. The amount of this temporary upward adjustment
will decline to zero on a straight-line basis over the four-month temporary adjustment period. However, Wells Fargo is not obligated
to buy the securities from investors at any time. See “Summary Risk Factors—The Securities Will Not Be Listed On Any
Securities Exchange And You May Not Be Able To Sell Them Prior To Maturity.”
© 2019 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.
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal
at Risk Securities Linked to the Worst Performing of the S&P 500® Index, the Russell 2000®
Index and the EURO STOXX 50® Index due November 29, 2023
|
|
The material included in this Appendix was
prepared by Wells Fargo Securities, LLC and will be distributed to investors in connection with the offering of the securities
described in this pricing supplement. The terminology used in the material included in this Appendix may differ from the terms
used in this pricing supplement. The material included in this Appendix does not constitute terms of the securities. It is a general
description of securities that share some features similar to the securities offered by this pricing supplement, but it does not
relate specifically to the securities offered by this pricing supplement, and you should rely only on this pricing supplement (excluding
the Appendix) and the accompanying product supplement, prospectus supplement and prospectus for a description of the specific terms
of the securities offered by this pricing supplement.
Market Linked Securities
Auto-Callable
with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
This material was prepared
by Wells Fargo Securities, LLC, a registered broker-dealer and separate non-bank affiliate of Wells Fargo & Company. This material
is not a product of Wells Fargo & Company research departments. Please see the relevant offering materials for complete product
descriptions, including related risk and tax disclosure.
Distributed by
Wells Fargo Securities, LLC
MARKET LINKED
SECURITIES – AUTO-CALLABLE WITH CONTINGENT COUPON AND CONTINGENT DOWNSIDE LINKED TO THE LOWEST PERFORMING UNDERLYING ARE
NOT DEPOSITS OR OTHER OBLIGATIONS OF A DEPOSITORY INSTITUTION AND ARE NOT INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION,
THE DEPOSIT INSURANCE FUND OR ANY OTHER GOVERNMENTAL AGENCY OF THE UNITED STATES OR ANY OTHER JURISDICTION.
Market Linked Securities –
Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying have complex features and
are not suitable for all investors. Before deciding to make an investment, you should read and understand the applicable preliminary
pricing supplement and other related offering documents provided by the applicable issuer.
Market Linked Securities –
Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
|
Market Linked Securities –
Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying (“these Market Linked
Securities”) offer the potential to receive contingent coupon payments at a higher rate than the issuer would pay on ordinary
debt securities of comparable maturity. In exchange, these Market Linked Securities are subject to greater risks than ordinary
debt securities, including the risk that one or more, or all, contingent coupon payments may not be paid and the risk that you
may lose a significant portion, or possibly all, of your investment at maturity. The contingent coupon payments and the risk of
loss at maturity will depend on the performance of the lowest performing of two or more specified market measures, which
may be indices or exchange-traded funds (the “underlyings”). If the closing level of the lowest performing underlying
has not declined below a specified threshold level on a designated calculation day, you will receive a contingent coupon payment
on the related payment date; however, if the lowest performing underlying has declined below its threshold level, you will not
receive a contingent coupon payment for that payment date. If the lowest performing underlying has declined below a specified threshold
level on the final calculation day, you will incur a loss at maturity equal to the full decline of the lowest performing underlying.
If the lowest performing underlying is flat or has appreciated as of a designated call date, these Market Linked Securities will
be automatically called prior to maturity, ending the potential to receive any future contingent coupon payments.
These Market Linked Securities
are designed for investors who seek the potential for contingent coupon payments at a higher rate than the rate the issuer would
pay on ordinary debt securities of comparable maturity and, in exchange, are willing to assume the downside risk of the lowest
performing underlying. Although investors will be exposed to the downside risk of the lowest performing underlying, investors will
not participate in any appreciation of any underlying. The return on these Market Linked Securities will depend solely on
the performance of the underlying that is the lowest performing underlying on each calculation day. Therefore, investors will be
adversely affected if any underlying declines below its threshold level, even if the other underlying(s) perform favorably. If
the issuer defaults on its payment obligations, you could lose your entire investment.
These Market Linked Securities are
unsecured debt obligations of the issuer. You will have no ability to pursue any underlying or any assets included in any underlying
for payment.
2| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Market Linked Securities –
Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
|
Unlike
ordinary debt securities, these Market Linked Securities do not provide for fixed payments of interest, do not repay a fixed
amount of principal at maturity, and are subject to potential automatic call prior to maturity upon the terms described
below. Whether these Market Linked Securities pay a contingent coupon, whether they are automatically called prior to
maturity, and, if they are not automatically called, whether you are repaid your principal at maturity will depend, in each
case, on the performance of the lowest performing underlying. The lowest performing underlying on each calculation day
is the underlying that has the lowest closing level on that calculation day as a percentage of its starting level (i.e., its
closing level divided by its starting level).
The key features
of these Market Linked Securities are described below.
|
·
|
Contingent coupon payments: These
Market Linked Securities provide for contingent coupon payments on periodic contingent coupon payment dates (typically occurring
quarterly, semi-annually or annually throughout the term of these Market Linked Securities). On each contingent coupon payment
date, you will receive a contingent coupon payment if, and only if, the closing level of the lowest performing underlying
on the related calculation day (typically three to five business days prior to the contingent coupon payment date) has not declined
below a specified threshold level. If the closing level of the lowest performing underlying is less than its threshold level on
a given calculation day, you will not receive a contingent coupon payment on the related contingent coupon payment date. If the
closing level of the lowest performing underlying is less than its threshold level on every calculation day, you will not receive
any contingent coupon payments throughout the entire term of these Market Linked Securities.
|
|
·
|
Automatic call: These Market
Linked Securities will be subject to automatic call prior to maturity on specified call dates (which are generally a subset of
the calculation days, typically beginning after a specified “non-call period”). If the closing level of the lowest
performing underlying on any call date is greater than or equal to its closing level on the pricing date (its starting level),
these Market Linked Securities will be automatically called, and on the related call settlement date (typically three to five business
days after the relevant call date), you will receive a cash payment equal to the original offering price, plus a final contingent
coupon payment, and no further payments will be made. The automatic call feature limits your potential to receive contingent coupon
payments over the full term of the securities if the lowest performing underlying has appreciated as of a designated call date.
If these Market Linked Securities have a non-call period, you have the ability to receive contingent coupon payments during such
non-call period, if the closing level of the lowest performing underlying on a calculation day during such non-call period has
not declined below its threshold level.
|
|
·
|
Potential loss of principal: If
these Market Linked Securities are not automatically called prior to maturity, you will be repaid your principal at maturity if,
and only if, the closing level of the lowest performing underlying on the final calculation day (its ending level)
has not declined below a specified threshold level. If these Market Linked Securities are not automatically called prior to maturity
and the ending level of the lowest performing underlying is less than its threshold level, you will have full downside exposure
to the decline in the level of the lowest performing underlying from its starting level, and you will incur a significant loss
at maturity.
|
The threshold
level for each underlying will be less than its starting level. A particular issuance of these Market Linked Securities may
specify a single threshold level (for each underlying) that is applicable to both the contingent coupon payments and the contingent
repayment of principal at maturity, or it may specify two different threshold levels (i.e., a coupon threshold level applicable
to the contingent coupon payments and a separate downside threshold level applicable to the contingent repayment of principal at
maturity).
Any return
on these Market Linked Securities will be limited to the sum of the contingent coupon payments, if any. Investors will not participate
in any appreciation of any underlying, but will be fully exposed to any decline of the lowest performing underlying, if its ending
level is less than its threshold level.
The return
on these Market Linked Securities will depend solely on the performance of the underlying that is the lowest performing underlying
on each calculation day and/or call date. Investors will not benefit in any way from the performance of the better performing underlying(s).
Therefore, investors will be adversely affected if any underlying declines below its threshold level(s), even if the other underlying(s)
perform favorably. These Market Linked Securities are riskier than they would otherwise be if they were linked to only one of the
underlyings or linked to a basket composed of each underlying. These Market Linked Securities will be subject to the full risks
of each underlying, with no offsetting benefit from the better performing underlying(s).
3| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Determining
payment on a contingent coupon payment date, call date, or at maturity
Unless
these Market Linked Securities are previously called, on each contingent coupon payment date, you will either receive a contingent
coupon payment or you will not receive a contingent coupon payment, depending on the closing level of the lowest performing underlying
on the related calculation day.
On each call
date, these Market Linked Securities may be automatically called depending on the closing level of the lowest performing underlying
on that call date. The diagram below illustrates how to determine whether these Market Linked Securities will be automatically
called and the payment upon automatic call (in additional to a final contingent coupon payment) assuming an offering price of $1,000
per security.
If
these Market Linked Securities have not been called prior to maturity, the payment at maturity will be based on the ending level,
threshold level, and starting level of the lowest performing underlying on the final calculation day. The diagram below illustrates
how to determine the payment at maturity (in addition to a final contingent coupon payment, if any) assuming an offering price
of $1,000 per security.
4| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Hypothetical examples
The examples
below are hypothetical and are provided for informational purposes only. They are not intended to represent any specific return,
yield, or investment. They do not illustrate all possible outcomes and they are not indicative of future results. The examples
illustrate the contingent coupon payments, the automatic call feature and, if an automatic call does not occur, the payment at
maturity of these Market Linked Securities, assuming the following terms:
Term:
|
Three years, unless earlier automatically called
|
Original Offering Price:
|
$1,000 per Market Linked Security
|
Calculation Days/Contingent Coupon Payment Dates:
|
Semi-annually
|
Call Dates:
|
Semi-annually (on each calculation day starting approximately one year after issuance)
|
Contingent Coupon Rate:
|
7% per annum (or 3.5% per semi-annual period)
|
Threshold Level:
|
With respect to each underlying, 70% of its starting level
|
The examples
below assume that these Market Linked Securities are linked to the lowest performing of two underlyings. However, a particular
issuance of these Market Linked Securities may be linked to the lowest performing of three or more underlyings. With more underlyings,
you will be exposed to a greater risk of not receiving contingent coupon payments, and of incurring a significant loss on your
investment at maturity.
The first two
hypothetical examples below illustrate scenarios in which these Market Linked Securities are automatically called on a call date
prior to maturity. The third and fourth hypothetical examples below illustrate scenarios in which these Market Linked Securities
are not automatically called and the payment at maturity is based on the performance of the lowest performing underlying from its
starting level to its ending level.
In
the examples below, the color blue indicates that
the closing level of the lowest performing underlying is greater than or equal to its starting level; the color green
indicates that the closing level of the lowest performing underlying is less than its starting
level, but greater than or equal to its threshold level; and the color red indicates
that the closing level of the lowest performing underlying is less than its threshold level. The lowest performing underlying on
a given calculation day is the underlying that had the lowest closing level on that calculation day as a percentage of its starting
level (i.e., its closing level divided by its starting level).
Example 1: These
Market Linked Securities are automatically called on the first call date.
Calculation Day/ Call Date
|
Closing
level of Underlying 1
(% of its
starting level)
|
Closing
level of Underlying 2
(%
of its starting level)
|
Payment
(%
of original offering price)
|
6 months from the pricing date
|
105%
|
115%
|
Contingent coupon payment date:
3.5%
|
1 year from the pricing date (first call date)
|
110%
|
120%
|
Call settlement date: 103.5%
|
Because of the one-year
non-call period, even though the closing level of the lowest performing underlying was greater than its starting level on the first
calculation day (six months from the pricing date), these Market Linked Securities would not be automatically called, and you would
receive a contingent coupon payment on the related contingent coupon payment date. Because the closing level of the lowest performing
underlying on the first call date (one year from the pricing date) is greater than its starting level, these Market Linked Securities
would be automatically called on the first call date. On the related call settlement date, you would receive $1,035.00 per Market
Linked Security, which is equal to the original offering price plus the contingent coupon payment due on the call settlement date
(which is also a contingent coupon payment date). No further amounts will be owed to you under these Market Linked Securities.
5| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Example 2: These
Market Linked Securities are automatically called on the third call date.
Calculation Day/ Call Date
|
Closing
level of Underlying 1
(% of its
starting level)
|
Closing
level of Underlying 2
(% of its
starting level)
|
Payment
(% of original
offering price)
|
6 months from the pricing date
|
105%
|
60%
|
Contingent coupon payment date: 0.0%
|
1 year from the pricing date (first call date)
|
107%
|
65%
|
Contingent coupon payment
date: 0.0%
|
18 months from the pricing date
|
110%
|
69%
|
Contingent coupon payment date: 0.0%
|
2 years from the pricing date
|
115%
|
105%
|
Call settlement date: 103.5%
|
Because the
closing level of the lowest performing underlying is less than its threshold level on the first three calculation days (and first
two call dates), these Market Linked Securities would not be automatically called and you would not receive a contingent coupon
payment on those dates, even though the closing level of the better performing underlying on those dates was greater than its threshold
level. Because the closing level of the lowest performing underlying on the third call date is greater than its starting level,
these Market Linked Securities would be automatically called on that call date. On the related call settlement date, you would
receive $1,035.00 per Market Linked Security, which is equal to the original offering price plus the contingent coupon payment
due on the call settlement date (which is also a contingent coupon payment date). No further amounts will be owed to you under
these Market Linked Securities.
As this example
illustrates, whether you receive a contingent coupon payment, and whether these Market Linked Securities are automatically called
on a contingent coupon payment date will depend solely on the closing level of the lowest performing underlying on the relevant
calculation day and/or call date. The performance of the better performing underlying is not relevant to your return on these Market
Linked Securities.
Example 3: These
Market Linked Securities are NOT automatically called prior to maturity and the ending level of the lowest performing underlying
is greater than its threshold level.
Calculation Day/ Call Date
|
Closing
level of Underlying 1
(% of its
starting level)
|
Closing
level of Underlying 2
(%
of its starting level)
|
Payment
(% of original
offering price)
|
6 months from the pricing date
|
90%
|
120%
|
Contingent coupon payment date: 3.5%
|
1 year from the pricing date (first call date)
|
101%
|
80%
|
Contingent coupon payment
date: 3.5%
|
18 months from the pricing date
|
80%
|
65%
|
Contingent coupon payment date: 0.0%
|
2 years from the pricing date
|
60%
|
90%
|
Contingent coupon payment date: 0.0%
|
30 months from the pricing date
|
65%
|
95%
|
Contingent coupon payment date: 0.0%
|
3 years from the pricing date
|
75% (ending level)
|
110% (ending level)
|
Maturity date: 103.5%
|
Because the
closing level of the lowest performing underlying is less than its starting level on each call date, these Market Linked Securities
would not be automatically called prior to maturity. The closing level of the lowest performing underlying is greater than its
threshold level on three of the six calculation days, resulting in a contingent coupon payment on three of the contingent coupon
payment dates (including the maturity date), but no contingent coupon payment on the other three contingent coupon payment dates.
On the final calculation day, because the ending level of the lowest performing underlying is greater than its threshold level,
on the maturity date you would receive $1,035.00 per Market Linked Security, which is equal to the original offering price plus
the contingent coupon payment due on the maturity date (which is also a contingent coupon payment date).
6| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Example
4: These Market Linked Securities are NOT automatically called prior to maturity and the ending level of the lowest performing
underlying is less than its threshold level.
Calculation Day/ Call Date
|
Closing
level of Underlying 1
(% of its
starting level)
|
Closing
level of Underlying 2
(%
of its starting level)
|
Payment
(% of original offering
price)
|
6 months from the pricing date
|
80%
|
68%
|
Contingent coupon payment date: 0.0%
|
1 year from the pricing date (first call date)
|
100%
|
65%
|
Contingent coupon payment
date: 0.0%
|
18 months from the pricing date
|
90%
|
62%
|
Contingent coupon payment date: 0.0%
|
2 years from the pricing date
|
110%
|
55%
|
Contingent coupon payment date: 0.0%
|
30 months from the pricing date
|
120%
|
45%
|
Contingent coupon payment date: 0.0%
|
3 years from the pricing date
|
130% (ending level)
|
50% (ending level)
|
Maturity date: 50.0%
|
Because the
closing level of the lowest performing underlying is less than its threshold level on each calculation day and call date, these
Market Linked Securities would not be automatically called prior to maturity, and would not pay a contingent coupon payment on
any contingent coupon payment date. On the final calculation day, because the ending level of the lowest performing underlying
is less than its threshold level, you would incur a loss on your investment equal to the full decline of the lowest performing
underlying from its starting level to its ending level. Your payment at maturity in this example would be calculated as follows
(assuming Underlying 2, which was the lowest performing underlying on the final calculation day, had a hypothetical starting level
of 1,000 and a hypothetical ending level of 500):
On the stated maturity
date, you would receive $500.00 per Market Linked Security, resulting in a loss of 50%.
This example illustrates
that you will not participate in any appreciation of either underlying, but will be fully exposed to the depreciation of the lowest
performing underlying, if its ending level on the final calculation day is less than its threshold level, even if the ending level
of the other underlying has appreciated or has not declined below its respective threshold level.
All payments
on these Market Linked Securities are subject to the ability of the issuer to make such payments to you when they are due, and
you will have no ability to pursue any underlying or any asset included in any underlying for payment. If the issuer defaults on
its payment obligations, you could lose your entire investment.
7| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
This information,
including the graph to the right, is hypothetical and is provided for informational purposes only.
It is not intended to represent any specific return, yield or investment, nor is it indicative of future
results. The graph illustrates the potential payment at maturity on these Market Linked Securities
(excluding the final contingent coupon payment, if any), assuming these Market Linked Securities have
not been automatically called prior to maturity. This graph does not take into account contingent coupon
payments, if any, received during the term of these Market Linked Securities. As evidenced in this
graph, in no event will you have a positive rate of return based solely on the payment at maturity;
any positive return will be based solely on the contingent coupon payments, if any.
|
|
Estimated value of Market Linked
Securities – Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
The original
offering price of these Market Linked Securities will include certain costs that are borne by you. Because of these costs, the
estimated value of these Market Linked Securities on the pricing date will be less than the original offering price. If specified
in the applicable pricing supplement, these costs may include the underwriting discount or commission, the hedging profits of the
issuer’s hedging counterparty (which may be an affiliate of the issuer), and hedging and other costs associated with the
offering and costs relating to the issuer’s funding considerations for debt of this type. See “General risks and investment
considerations” herein and the applicable pricing supplement for more information.
The issuer
will disclose the estimated value of these Market Linked Securities in the applicable pricing supplement. The estimated value of
these Market Linked Securities will be determined by estimating the value of the combination of hypothetical financial instruments
that would replicate the payout on these Market Linked Securities, which combination consists of a non-interest bearing, fixed-income
bond and one or more derivative instruments underlying the economic terms of these Market Linked Securities. You should read the
applicable pricing supplement for more information about the estimated value of these Market Linked Securities and how it is determined.
8| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Which
investments are right for you?
|
It is important to read and understand
the applicable preliminary pricing supplement and other related offering documents, and consider several factors before making
an investment decision.
An investment
in these Market Linked Securities may help you modify your portfolio’s risk-return profile to more closely reflect your market
views. However, at maturity you may incur a loss on your investment, and you will forgo guaranteed interest payments and any return
in excess of the contingent coupon payments, if any.
These Market Linked
Securities are not suitable for all investors, but may be suitable for investors who:
|
·
|
Seek the potential for contingent coupon
payments at a higher rate than the issuer would pay on ordinary debt securities of comparable maturity and, in exchange, are willing
to assume the risk of not receiving some or any contingent coupon payments and the downside risk of the lowest performing underlying
if the lowest performing underlying declines below its threshold level
|
|
·
|
Seek to supplement their existing investments with the return profile
provided by these Market Linked Securities
|
You can find a
discussion of risks and investment considerations on the next page and in the preliminary pricing supplement and other related
offering documents for these Market Linked Securities. The following questions, which you should review with your financial advisor,
are intended to initiate a conversation about whether these Market Linked Securities are right for you.
|
·
|
Are you dependent on your investments
for current income? Can you accept the risk that these Market Linked Securities may not pay one or more, or any, contingent coupon
payments?
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Are you comfortable with the potential
loss of a significant portion, and possibly all, of your initial investment as a result of a decline of the lowest performing underlying
below its threshold level?
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Are you comfortable accepting the full downside risks of each
underlying?
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What is your time horizon? Do you foresee
liquidity needs? Will you be able to hold these investments until maturity or earlier automatic call?
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Are you willing to forgo participation in any appreciation of any
underlying?
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What is your sensitivity to the tax treatment for your investments?
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Are you willing to accept the credit risk of the applicable issuer?
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Before making
an investment decision, please work with your financial advisor to determine which investment products may be appropriate given
your financial situation, investment goals, and risk profile.
9| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
General risks and investment considerations
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These Market Linked Securities have
complex features and are not suitable for all investors. They involve a variety of risks and may be linked to a variety of different
underlyings. Each of these Market Linked Securities and each underlying will have its own unique set of risks and investment considerations.
Before you invest in these Market Linked Securities, you should thoroughly review the relevant preliminary pricing supplement and
other related offering documents for a comprehensive discussion of the risks associated with the investment. The following are
general risks and investment considerations applicable to these Market Linked Securities:
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Principal risk. These Market
Linked Securities are not structured to repay your full original offering price on the stated maturity date. If these Market Linked
Securities are not automatically called and the ending level of the lowest performing underlying is less than its threshold level,
you will be fully exposed to the decline of the lowest performing underlying from its starting level to its ending level and the
payment you receive at maturity will be less than the original offering price of these Market Linked Securities. Under these circumstances,
you will lose a substantial portion, and possibly all, of your investment.
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Contingent coupon risk. These
Market Linked Securities do not provide for fixed payments of interest. If the closing level of the lowest performing underlying
is less than its threshold level on a given calculation day, you will not receive a contingent coupon payment on the related contingent
coupon payment date. If the closing level of the lowest performing underlying is less than its threshold level on every calculation
day, you will not receive any contingent coupon payments throughout the entire term of these Market Linked Securities.
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Limited return potential. Even
though you will be fully exposed to any decline in the level of the lowest performing underlying, if its ending level is below
its threshold level, you will not participate in any increase in the level of any underlying over the term of these Market Linked
Securities. Your maximum possible return on these Market Linked Securities will be limited to the sum of the contingent coupon
payments you receive, if any.
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Automatic call risk. If these
Market Linked Securities are automatically called, the term of these Market Linked Securities will be less than the full term to
maturity. The automatic call feature will limit your potential to receive contingent coupon payments over the full term of these
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Market Linked Securities if the
closing level of the lowest performing underlying is greater than or equal to its starting level as of a designated call date.
If these Market Linked Securities are automatically called, there is no guarantee that you would be able to reinvest the proceeds
at a comparable return for a similar level of risk.
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Lowest performing underlying risk.
These Market Linked Securities are subject to the full risks of each underlying and will be negatively affected if any underlying
declines below its threshold level, even if the other underlying(s) perform favorably. You will not benefit in any way from the
performance of the better performing underlying(s). These Market Linked Securities are not linked to a basket composed of the underlyings,
where the better performance of one underlying could offset the poor performance of the other underlying(s). Instead, you are subject
to the full risks of whichever underlying is the lowest performing underlying on each calculation day and/or call date. As a result,
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these Market Linked Securities
are riskier than they would otherwise be if they were linked to only one of the underlyings or linked to a basket composed of each
underlying.
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Correlation risk. It is generally
preferable from your perspective for the underlyings to be correlated with each other during the term of these Market Linked Securities,
so that their levels will tend to increase or decrease at similar times and by similar magnitudes. By investing in these Market
Linked Securities, you assume the risk that the underlyings will not exhibit this relationship. If the underlyings have low historical
correlation, these Market Linked Securities will typically offer a higher contingent coupon rate, but it will be more likely that
one of the underlyings will be performing poorly at any time over the term of these Market Linked Securities. All that is necessary
for these Market
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Linked Securities to perform poorly
is for one of the underlyings to decline below its threshold level; the performance of the better performing underlying(s) is not
relevant to your return.
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Liquidity risk. These Market
Linked Securities are not appropriate for investors who may have liquidity needs prior to maturity. These Market Linked Securities
are not listed on any securities exchange and are generally illiquid instruments. Neither Wells Fargo Securities nor any other
person is required to maintain a secondary market for these Market Linked Securities. Accordingly, you may be unable to sell your
Market Linked Securities prior to their maturity date. If you choose to sell these Market Linked Securities prior to maturity,
assuming a buyer is available, you may receive less in sale proceeds than the original offering price.
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Market value uncertain. These
Market Linked Securities are not appropriate for investors who need their investments to maintain a stable value during their term.
The value of your Market Linked Securities prior to maturity or automatic call will be affected by numerous factors, such as performance,
volatility, dividend rate of the underlyings (if applicable), interest rates, the time remaining to maturity, the correlation between
the underlyings, and the applicable issuer’s creditworthiness. The value of these Market Linked Securities will also be limited
by the automatic call feature.
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Costs to investors. The original
offering price of these Market Linked Securities will include certain costs that are borne by you. These costs will adversely affect
the economic terms of these Market Linked Securities and will cause their estimated value on the pricing date to be less than the
original offering price. If specified in the applicable pricing supplement, these costs may include the underwriting discount or
commission, the hedging profits of the issuer’s hedging counterparty (which may be an affiliate of the issuer), hedging and
other costs associated with the offering, and costs relating to the issuer’s funding considerations for debt of this type.
These costs will adversely affect any secondary market
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10| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
price for these Market Linked
Securities, which may be further reduced by a bid-offer spread. As a result, unless market conditions and other relevant factors
change significantly in your favor following the pricing date, any secondary market price for these Market Linked Securities is
likely to be less than the original offering price.
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Credit risk. Any investment in
these Market Linked Securities is subject to the ability of the applicable issuer to make payments to you when they are due, and
you will have no ability to pursue any underlying or any assets included in any underlying for payment. If the issuer defaults
on its payment obligations, you could lose your entire investment. In addition, the actual or perceived creditworthiness of the
issuer may affect the value of these Market Linked Securities prior to maturity.
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Estimated value considerations. The
estimated value of these Market Linked Securities that is disclosed in the applicable pricing supplement will be determined by
the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer and may be Wells Fargo Securities.
The estimated value will be based on the issuer’s or the underwriter’s proprietary pricing models and assumptions,
and certain inputs that may be determined by the issuer or underwriter in its discretion. Because other dealers may have different
views on these inputs, the estimated value that is disclosed in the applicable pricing supplement may be higher, and perhaps materially
higher, than the estimated value that would be determined by other dealers in the market. Moreover, you should understand that
the estimated value that is disclosed in the applicable pricing supplement will not be an indication of the price, if any, at which
Wells Fargo Securities or any other person may be willing to buy these Market Linked Securities from you at any time after issuance.
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Conflicts of interest. Potential
conflicts of interest may exist between you and the applicable issuer and/or Wells Fargo Securities. For example, the applicable
issuer, Wells Fargo Securities, or one of their respective affiliates may engage in business with companies whose securities
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are included in an underlying,
or may publish research on such companies or an underlying. In addition, the applicable issuer, Wells Fargo Securities, or one
of their respective affiliates may be the calculation agent for the purposes of making important determinations that affect the
payments on these Market Linked Securities. Finally, the estimated value of these Market Linked Securities may be determined by
the issuer or an underwriter of the offering, which underwriter may be an affiliate of the issuer and may be Wells Fargo Securities.
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Effects of trading and other transactions.
Trading and other transactions by the applicable issuer, Wells Fargo Securities or one of their respective affiliates could
affect the underlyings or the value of these Market Linked Securities.
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ETF risk. If an underlying is
an exchange-traded fund (ETF), it may underperform the index it is designed to track as a result of costs and fees of the ETF and
differences between the constituents of the index and the actual assets held by the ETF. In addition, an investment in these Market
Linked Securities linked to an ETF involves risks related to the index underlying the ETF, as discussed in the next risk consideration.
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Index risk. If an underlying
is an index, or an ETF that tracks an index, your return on these Market Linked Securities may be adversely affected by changes
that the index publisher may make to the manner in which the index is constituted or calculated. Furthermore, if the index represents
foreign securities markets, you should understand that foreign securities markets tend to be less liquid and more volatile than
U.S. markets, and that there is generally less information available about foreign companies than about companies that file reports
with the U.S. Securities and Exchange Commission. Moreover, if the index represents emerging foreign securities markets, these
Market Linked Securities will be subject to the heightened political and economic risks associated with emerging markets. If the
index includes foreign securities and the level of the index is based on the U.S. dollar value of those foreign securities, these
Market Linked Securities will be subject to currency
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exchange rate risk in addition
to the other risks described above, as the level of the index will be adversely affected if the currencies in which the foreign
securities trade depreciate against the U.S. dollar.
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Commodity risk. These Market
Linked Securities linked to commodities will be subject to a number of significant risks associated with commodities. Commodity
prices tend to be volatile and may fluctuate in ways that are unpredictable and adverse to you. Commodity markets are frequently
subject to disruptions, distortions, and changes due to various factors, including the lack of liquidity in the markets, the participation
of speculators, and government regulation and intervention. Moreover, commodity indices may be adversely affected by a phenomenon
known as “negative roll yield,” which occurs when future prices of the commodity futures contracts underlying the index
are higher than current prices. Negative roll yield can have a significant negative effect on the performance of a commodity index.
Furthermore, for commodities that are traded in U.S. dollars, but for which market prices are driven by global demand, any strengthening
of the U.S. dollar against relevant other currencies may adversely affect the demand for, and therefore the price of, those commodities.
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Currency risk. These Market
Linked Securities linked to currencies will be subject to a number of significant risks associated with currencies. Currency exchange
rates are frequently subject to intervention by governments, which can be difficult to predict and can have a significant impact
on exchange rates. Moreover, currency exchange rates are driven by complex factors relating to the economies of the relevant countries
that can be difficult to understand and predict. Currencies issued by emerging market governments may be particularly volatile
and will be subject to heightened risks.
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Bond risk. These Market Linked
Securities linked to bond indices or exchange-traded funds that are comprised of specific types of bonds with different maturities
and qualities will be subject to a number of significant risks associated with bonds. In general, if market interest rates rise,
the value of bonds will decline. In addition, if the market perception of the creditworthiness of the relevant bond issuers falls,
the value of bonds will generally decline.
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Tax considerations.
You should review carefully the relevant preliminary pricing supplement and other related offering documents and consult your
tax advisors regarding the application of the U.S. federal tax laws to your particular circumstances, as well as any tax consequences
arising under the laws of any state, local, or non-U.S. jurisdiction.
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11| Market Linked Securities — Auto-Callable with Contingent Coupon and Contingent Downside Linked to the Lowest Performing Underlying
Always
read the preliminary pricing supplement and other related offering documents.
These Market
Linked Securities are offered with a preliminary pricing supplement and other related offering documents. Investors should read
and consider these documents carefully before investing. Prior to investing, always consult your financial advisor to understand
the investment structure in detail.
For more information
about these Market Linked Securities and the structures currently available for investment, contact your financial advisor, who
can advise you whether or not a particular offering may meet your individual needs and investment requirements.
Wells
Fargo Securities is the trade name for the capital markets and investment banking services of Wells Fargo & Company and its
subsidiaries, including Wells Fargo Securities, LLC, a member of FINRA, NYSE, and SIPC, and Wells Fargo Bank, N.A.
Wells
Fargo Advisors is a trade name used by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members
SIPC, separate registered broker-dealers and non-bank affiliates of Wells Fargo & Company.
©
2016 Wells Fargo Securities, LLC. All rights reserved. WCS-2893315 (11/16)
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