Citigroup Inc.
|
Term Sheet No. 2015–CMTNG0351 dated February 27, 2015 relating to
Pricing Supplement No. 2015–CMTNG0351 dated February 27, 2015
Registration Statement No. 333-192302
Filed Pursuant to Rule 433
|
Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to Shares of the iShares Russell 2000® ETF Due March 5, 2018
Term Sheet to Pricing Supplement No. 2015—CMTNG0351 dated February 27, 2015
|
Key Terms
|
Investment Description | |||
Issuer
|
Citigroup Inc.
|
· Linked to shares of the iShares Russell 2000® ETF, an exchange-traded fund (NYSE Arca symbol: IWM) (the “underlying shares”)
· Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of principal at maturity. Instead, the securities provide for a payment at maturity that may be greater than, equal to or less than the stated principal amount of the securities, depending on the performance of the underlying shares from their initial share price to their final share price, subject to a cap. The payment at maturity will reflect the following terms:
o If the value of the underlying shares increases, you will receive the stated principal amount plus 150% participation in the upside performance of the underlying shares, subject to a maximum total return at maturity of 31.25% of the stated principal amount
o If the value of the underlying shares decreases, but the decrease is not more than 10%, you will be repaid the stated principal amount
o If the value of the underlying shares decreases by more than 10%, you will receive less than the stated principal amount and have 1-to-1 downside exposure to the decrease in the value of the underlying shares in excess of 10%
· Investors may lose up to 90% of the stated principal amount
· The securities are subject to the credit risk of Citigroup Inc. If Citigroup Inc. defaults on its obligations under the securities, you may not receive anything owed to you under the securities.
· No periodic interest payments or dividends
· 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
|
||
Term
|
Approximately 3 years
|
|||
Underlying Shares
|
Shares of the iShares Russell 2000® ETF , an exchange-traded fund (NYSE Arca symbol: “IWM”) (the “ETF” or “underlying shares issuer”)
|
|||
Stated Principal Amount
|
$1,000 per security
|
|||
Pricing Date
|
February 27, 2015
|
|||
Issue Date
|
March 4, 2015
|
|||
Valuation Date
|
February 26, 2018
|
|||
Maturity Date
|
March 5, 2018
|
|||
Payment at Maturity
|
See “Payment at Maturity” on Page 3
|
|||
Initial Share Price
|
122.55, subject to adjustment as provided in the accompanying product supplement
|
|||
Final Share Price
|
The closing price of the underlying shares on the valuation date
|
|||
Maximum Return at Maturity
|
31.25% of the stated principal amount per security ($312.50 per security)
|
|||
Buffer Price:
|
$110.30, 90% of the initial share price
|
|||
Participation Rate
|
150%
|
|||
Calculation Agent
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
|||
Denominations
|
$1,000 and any integral multiple of $1,000
|
|||
Agent Discount and Commission
|
Up to 2.70%, of which dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of 1.25% and WFA will receive a distribution expense fee of 0.075%
|
|||
CUSIP / ISIN
|
1730T04Q9 / US1730T04Q91
|
Hypothetical Examples
The diagram at right illustrates your payment at maturity for a range of hypothetical percentage changes from the initial share price to the final share price.
|
|
•
|
the hypothetical percentage change from the initial share price to the hypothetical final share price;
|
|
•
|
the hypothetical payment at maturity per security;
|
|
•
|
the hypothetical total pre-tax rate of return; and
|
|
•
|
the hypothetical pre-tax annualized rate of return.
|
Hypothetical
final share price
|
Hypothetical
percentage change
from the hypothetical
initial share price to the
hypothetical final share price
|
Hypothetical payment at maturity per security
|
Hypothetical total pre-tax rate of return
|
Hypothetical pre-tax annualized rate of return(1)
|
$245.10
|
100.00%
|
$1,312.50
|
31.25%
|
9.26%
|
$214.46
|
75.00%
|
$1,312.50
|
31.25%
|
9.26%
|
$183.83
|
50.00%
|
$1,312.50
|
31.25%
|
9.26%
|
$171.57
|
40.00%
|
$1,312.50
|
31.25%
|
9.26%
|
$159.32
|
30.00%
|
$1,312.50
|
31.25%
|
9.26%
|
$148.08
|
20.83%
|
$1,312.50
|
31.25%
|
9.26%
|
$147.06
|
20.00%
|
$1,300.00
|
30.00%
|
8.92%
|
$134.81
|
10.00%
|
$1,150.00
|
15.00%
|
4.70%
|
$128.68
|
5.00%
|
$1,075.00
|
7.50%
|
2.42%
|
$122.55
|
0.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$116.42
|
-5.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$110.30
|
-10.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$109.07
|
-11.00%
|
$990.00
|
-1.00%
|
-0.33%
|
$98.04
|
-20.00%
|
$900.00
|
-10.00%
|
-3.48%
|
$85.79
|
-30.00%
|
$800.00
|
-20.00%
|
-7.29%
|
$73.53
|
-40.00%
|
$700.00
|
-30.00%
|
-11.52%
|
$61.28
|
-50.00%
|
$600.00
|
-40.00%
|
-16.29%
|
$30.64
|
-75.00%
|
$350.00
|
-65.00%
|
-32.05%
|
$0.00
|
-100.00%
|
$100.00
|
-90.00%
|
-63.65%
|
•
|
If the final share price is greater than the initial share price:
|
•
|
If the final share price is less than or equal to the initial share price, but greater than or equal to the buffer price, $1,000
|
•
|
If the final share price is less than the buffer price, $1,000 minus:
|
·
|
You May Lose Up To 90% Of Your Investment.
|
·
|
The Securities Do Not Pay Interest.
|
·
|
Your Potential Return On The Securities Is Limited.
|
·
|
You Will Not Have Rights To Receive Any Distributions On The Underlying Shares Or Any Other Rights With Respect To The ETF.
|
·
|
Your Payment At Maturity Depends On The Closing Price Of The Underlying Shares On A Single Day.
|
·
|
The Securities Are Subject To The Credit Risk Of Citigroup Inc.
|
·
|
The Securities Will Not Be Listed On A Securities Exchange and You May Not Be Able To Sell Them Prior To 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 Issue Price.
|
·
|
The Estimated Value Of The Securities Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
|
·
|
The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Our Secondary Market Rate.
|
·
|
The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which CGMI Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.
|
·
|
The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.
|
·
|
Immediately Following Issuance, Any Secondary Market Bid Price Provided By CGMI, and The Value That Will Be Indicated On Any Brokerage Account Statements Prepared By CGMI Or Its Affiliates, Will Reflect A Temporary Upward Adjustment.
|
·
|
Our Offering Of The Securities Is Not A Recommendation Of The Underlying Shares.
|
·
|
The Price Of The Underlying Shares May Be Adversely Affected By Our Or Our Affiliates', Or By Wells Fargo And Its Affiliates', Hedging And Other Trading Activities.
|
·
|
We And Our Affiliates, or Wells Fargo or Its Affiliates, May Have Economic Interests That Are Adverse To Yours As A Result Of Their Respective Business Activities.
|
·
|
Even If The Underlying Share Issuer Pays A Distribution That It Identifies As Special or Extraordinary, No Adjustment Will Be Required Under The Securities For That Distribution Unless It Meets The Criteria Specified In The Accompanying Product Supplement.
|
·
|
An Adjustment Will Not Be Made For All Events That May Have A Dilutive Effect On Or Otherwise Adversely Affect The Market Price Of The Underlying Shares.
|
·
|
The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Securities.
|
·
|
The Price Of The Underlying Shares May Not Completely Track The Performance Of The Index Underlying The ETF.
|
·
|
Changes Made By The Investment Adviser To The Underlying Share Issuer Or By The Sponsor Of The Index Underlying The ETF May Adversely Affect The Underlying Shares.
|
·
|
The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.
|