The information in this preliminary pricing supplement is not complete and may be changed. A registration statement relating to these securities has been filed with the Securities and Exchange Commission. This 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 MARCH 26, 2014
|
|
Citigroup Inc.
|
March , 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0100
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
|
▪
|
The securities offered by this pricing supplement are unsecured senior debt securities issued by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than, equal to or less than the stated principal amount, depending on the performance of an equally weighted basket consisting of two exchange-traded funds (“ETFs”) from the initial basket level to the final basket level.
|
▪
|
The securities offer leveraged exposure to a limited range of potential appreciation of the basket and a contingent buffer against the potential depreciation of the basket as described below. In exchange, investors in the securities must be willing to forgo (i) any appreciation of the basket in excess of the maximum return at maturity specified below and (ii) any dividends that may be paid on the basket components. In addition, investors in the securities must be willing to accept full downside exposure to the basket, with no buffer, if the basket depreciates by more than 25.00%. If the basket depreciates by more than 25.00% from the pricing date to the valuation date, you will lose 1% of the stated principal amount of your securities for every 1% by which the final basket level is less than the initial basket level. There is no minimum payment at maturity.
|
▪
|
In order to obtain the modified exposure to the basket that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any amount due under the securities if we default on our obligations.
|
KEY TERMS
|
|||
Basket:
|
Basket Components
|
Weighting
|
Basket Component Starting Level*
|
Shares of the iShares® MSCI Chile Capped ETF (“ECH”)
|
50%
|
$
|
|
Shares of the iShares® MSCI Brazil Capped ETF (“EWZ”)
|
50%
|
$
|
|
* The basket component starting level of each basket component will be its closing price on the pricing date.
|
|||
Aggregate stated principal amount:
|
$
|
||
Stated principal amount:
|
$1,000 per security
|
||
Pricing date:
|
March , 2014 (expected to be March 26, 2014)
|
||
Issue date:
|
March , 2014 (two business days after the pricing date)
|
||
Valuation date:
|
September , 2017 (expected to be September 26, 2017), subject to postponement if such date is not a scheduled trading day for a basket component or if certain market disruption events occur with respect to a basket component
|
||
Maturity date:
|
September , 2017 (expected to be September 29, 2017)
|
||
Payment at maturity:
|
For each $1,000 stated principal amount security you hold at maturity:
▪ If the final basket level is greater than the initial basket level:
$1,000 + the leveraged return amount, subject to the maximum return at maturity
▪ If the final basket level is equal to or less than the initial basket level but greater than or equal to the barrier level:
$1,000
▪ If the final basket level is less than the barrier level:
$1,000 × the basket performance factor
If the final basket level is less than the barrier level, your payment at maturity will be less, and possibly significantly less, than $750.00 per security. You should not invest in the securities unless you are willing and able to bear the risk of losing a significant portion and up to all of your investment.
|
||
Initial basket level:
|
100
|
||
Final basket level:
|
100 × [1 + (component return of ECH × 50%) + (component return of EWZ × 50%)]
|
||
Component return:
|
For each basket component: (basket component ending level – basket component starting level) / basket component starting level
|
||
Basket component ending level:
|
For each basket component, its closing price on the valuation date
|
||
Basket performance factor:
|
The final basket level divided by the initial basket level
|
||
Basket percent increase:
|
The final basket level minus the initial basket level, divided by the initial basket level
|
||
Leveraged return amount:
|
$1,000 × basket percent increase × leverage factor
|
||
Leverage factor:
|
130.00%
|
||
Barrier level:
|
75.00, 75.00% of the initial basket level
|
||
Maximum return at maturity:
|
$555.00 per security (55.50% of the stated principal amount). Because of the maximum return at maturity, the payment at maturity will not exceed $1,555.00 per security.
|
||
Listing:
|
The securities will not be listed on any securities exchange
|
||
CUSIP / ISIN:
|
1730T0M71 / US1730T0M719
|
||
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer
|
||
Per security:
|
$1,000.00
|
$20.00
|
$980.00
|
||
Total:
|
$
|
$
|
$
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
March 2014
|
PS-2
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
Accelerated Return Notes Payment at Maturity Diagram
|
|
n The Securities
|
n The Basket
|
Basket Component
|
Hypothetical Basket
Component Starting Level
|
Hypothetical Basket
Component Ending Level
|
Hypothetical Component
Return
|
ECH
|
$45.00
|
$48.60
|
8.00%
|
EWZ
|
$40.00
|
$40.80
|
2.00%
|
Hypothetical Final Basket Level:
|
100 × [1 + (8.00% × 50%) + (2.00% × 50%)] = 105.00
|
March 2014
|
PS-3
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
Basket Component
|
Hypothetical Basket
Component Starting Level
|
Hypothetical Basket
Component Ending
Level
|
Hypothetical Component
Return
|
ECH
|
$45.00
|
$56.25
|
25.00%
|
EWZ
|
$40.00
|
$70.00
|
75.00%
|
Hypothetical Final Basket Level:
|
100 × [1 + (25.00% × 50%) + (75.00% × 50%)] = 150.00
|
Basket Component
|
Hypothetical Basket
Component Starting Level
|
Hypothetical Basket
Component Ending
Level
|
Hypothetical Component
Return
|
ECH
|
$45.00
|
$38.25
|
-15.00%
|
EWZ
|
$40.00
|
$42.00
|
5.00%
|
Hypothetical Final Basket Level:
|
100 × [1 + (-15.00% × 50%) + (5.00% × 50%)] = 95.00
|
Basket Component
|
Hypothetical Basket
Component Starting Level
|
Hypothetical Basket
Component Ending
Level
|
Hypothetical Component
Return
|
ECH
|
$45.00
|
$9.00
|
-80.00%
|
EWZ
|
$40.00
|
$16.00
|
-60.00%
|
Hypothetical Final Basket Level:
|
100 × [1 + (-80.00% × 50%) + (-60.00% × 50%)] = 30.00
|
March 2014
|
PS-4
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
▪
|
You may lose some or all of your investment. Unlike conventional debt securities, the securities do not repay a fixed amount of principal at maturity. Instead, your payment at maturity will depend on the performance of the basket. If the final basket level is less than the barrier level, you will lose 1% of the stated principal amount of the securities for every 1% by which the final basket level is less than the initial basket level. There is no minimum payment at maturity on the securities, and you may lose up to all of your investment.
|
▪
|
The barrier feature of the securities exposes you to particular risks. If the final basket level is less than the barrier level, the contingent buffer against a limited range of potential depreciation of the basket offered by the securities will not apply and you will lose 1% of your stated principal amount of the securities for every 1% by which the final basket level is less than the initial basket level. Unlike securities with a non-contingent buffer feature, the securities offer no protection at all if the basket depreciates by more than 25.00% from the initial basket level to the final basket level. As a result, you may lose your entire investment in the securities.
|
▪
|
The securities do not pay interest. Unlike conventional debt securities, the securities do not pay interest or any other amounts prior to maturity. You should not invest in the securities if you seek current income during the term of the securities.
|
▪
|
Your potential return on the securities is limited. Your potential total return on the securities at maturity is limited to the maximum return at maturity of 55.50%, which is equivalent to a maximum return at maturity of $555.00 per security. Taking into account the leverage factor and the maximum return at maturity of 55.50%, any increase in the final basket level over the initial basket level by more than approximately 42.69% will not increase your return on the securities. As a result of the maximum return at maturity, the return on an investment in the securities may be less than the return on a similarly weighted, direct investment in the basket components.
|
▪
|
Investing in the securities is not equivalent to investing in the basket components. You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the basket components or the stocks included in the basket components. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield, which could be substantial, over the term of the securities.
|
▪
|
Your payment at maturity depends on the closing prices of the basket components on a single day. Because your payment at maturity depends solely on the closing prices of the basket components on the valuation date, you are subject to the risk that the closing prices on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested directly in the basket components, or if the payment at maturity were based on an average of the closing prices of the basket components throughout the term of the securities, you might have achieved better returns.
|
▪
|
The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities, you may not receive anything owed to you under the securities.
|
▪
|
The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
▪
|
The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding rate, will be less than the issue price. The difference is attributable to certain costs associated with selling, structuring and hedging the securities that are included in the issue price. These costs include (1) the selling concessions paid in connection with the offering of the securities, (2) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (3) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the securities. These costs adversely affect the economic terms of the securities because, if they were lower, the economic terms of the securities would be more favorable to you. The economic terms of the securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the
|
March 2014
|
PS-5
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
|
securities. See “The estimated value of the securities would be lower if it were calculated based on our secondary market rate” below.
|
▪
|
The estimated value of the securities was determined for us by our affiliate using proprietary pricing models. CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the basket components, the correlation between those basket components, dividend yields on the stocks included in the basket components and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, the estimated value of the securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
▪
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate. The estimated value of the securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the securities. Our internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the securities, which do not bear interest.
|
▪
|
The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market. Any such secondary market price will fluctuate over the term of the securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities will be less than the issue price.
|
▪
|
The value of the securities prior to maturity will fluctuate based on many unpredictable factors. The value of your securities prior to maturity will fluctuate based on the prices of the basket components and a number of other factors, including the volatility of the basket components, the correlation between the basket components, the dividend yields on the stocks included in the basket components, the exchange rate and the volatility of the exchange rate between the U.S. dollar and each of the currencies in which the stocks held by the basket components trade, the correlation between those rates and the prices of the shares of the basket components, interest rates in the United States and in each of the markets of the stocks held by the basket components, the time remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
|
▪
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward adjustment will steadily decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
|
▪
|
The basket components may offset each other. The performances of the basket components may not correlate with each other. If one of the basket components appreciates, the other basket component may not appreciate as much or may even depreciate. In such event, the appreciation of one basket component may be moderated, wholly offset or more than offset by lesser appreciation or by depreciation in the price of the other basket component.
|
▪
|
The basket components may be highly correlated in decline. The performances of the basket components may become highly correlated during periods of declining prices. This may occur because of events that have broad effects on markets generally or on the markets that the basket components track. If the basket components become correlated in decline, the depreciation of one basket component will not be offset by the performance of the other basket component and, in fact, may contribute to an overall decline from the initial basket level to the final basket level.
|
▪
|
An investment in the securities is not a diversified investment. The fact that the securities are linked to a basket does not mean that the securities represent a diversified investment. First, although the basket components differ in important respects, they each track the equity markets in a South American nation, and they may both perform poorly if there is a global downturn in
|
March 2014
|
PS-6
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
|
equity markets, generally, or in the region, specifically. Second, the securities are subject to the credit risk of Citigroup Inc. No amount of diversification that may be represented by the basket components will offset the risk that we may default on our obligations.
|
▪
|
Fluctuations in exchange rates will affect the prices of the basket components. Because the basket components invest in stocks that are traded in non-U.S. currencies, while the net asset values of those ETFs are based on the U.S. dollar value of those stocks, holders of the securities will be exposed to currency exchange rate risk with respect to each of the currencies in which those stocks trade. If the U.S. dollar generally strengthens against the currencies in which those stocks trade, the prices of the basket components will be adversely affected for that reason alone and the payment at maturity on the securities may be reduced.
Exchange rate movements for a particular currency are volatile and are the result of numerous factors specific to the relevant country, including the supply of, and the demand for, those currencies, as well as government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative actions related to each applicable region. An investor’s net exposure will depend on the extent to which the currencies of the applicable countries strengthen or weaken against the U.S. dollar and the relative weight of each currency. Of particular importance to potential currency exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments; and the extent of governmental surpluses or deficits in the applicable countries and the United States. All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the applicable countries and the United States and other countries important to international trade and finance.
|
▪
|
The basket is subject to risks associated with investing in Chile. ECH tracks the value of Chilean issuers and is subject to all of the risks of investing in Chile, including heightened risks of inflation or nationalization and market fluctuations caused by economic and political developments. In addition, the Chilean economy may be highly vulnerable to changes in local or global trade conditions. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially resulting in market distortions and volatility. This risk is particularly significant in the case of ECH, since only 10 stocks represent more than 60% of ECH as of the date of this pricing supplement, giving ECH concentrated risk with respect to a small number of stocks. Moreover, the Chilean economy may differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, labor conditions and self-sufficiency. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
|
▪
|
The basket is subject to risks associated with investing in Brazil. EWZ tracks the value of Brazilian issuers and is subject to all of the risks of investing in Brazil, including heightened risks of inflation or nationalization and market fluctuations caused by economic and political developments. In addition, the Brazilian economy may be highly vulnerable to changes in local or global trade conditions. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially resulting in market distortions and volatility. This risk is particularly significant in the case of EWZ, since only 10 stocks represent approximately 49% of EWZ as of the date of this pricing supplement, giving EWZ concentrated risk with respect to a small number of stocks. Moreover, the Brazilian economy may differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, labor conditions and self-sufficiency. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the SEC, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
|
▪
|
Changes that affect the basket components may affect the value of your securities. The sponsor of the indexes underlying the basket components may add, delete or substitute the stocks that constitute those indices or make other methodological changes that could affect the levels of those indices. In addition, the investment adviser to the basket components may change the manner in which the basket components operate or its investment objectives at any time. We are not affiliated with any such index sponsor or investment advisor and, accordingly, we have no control over any changes any such index sponsor or investment adviser may make. Such changes could be made at any time and could adversely affect the performance of the basket components and the value of and your payment at maturity on the securities.
|
▪
|
Even if the issuer of a basket component pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified in the accompanying product supplement. In general, an adjustment will not be made under the terms of the securities for any cash dividend paid on ETF shares unless the amount of the dividend per share, together with any other dividends paid in the same quarter, exceeds the dividend paid per share in the most recent quarter by an amount equal to at least 10% of the closing price of the shares of the ETF on the date of declaration of the dividend. Any dividend will reduce the closing price of the shares of the ETF by the amount of the dividend per share. If the issuer of the ETF pays any dividend for which an adjustment is not made under the terms of the securities, holders of the securities will be adversely affected. See “Description of the Securities—Certain Additional Terms for
|
March 2014
|
PS-7
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
|
Securities Linked to ETF Shares or Company Shares—Dilution and Reorganization Adjustments—Certain Extraordinary Cash Dividends” 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 basket components. For example, we will not make any adjustment for ordinary dividends or extraordinary dividends that do not meet the criteria described above. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of shares of the basket components would not.
|
▪
|
The securities may become linked to shares of an issuer other than the original issuer of a basket component upon the occurrence of a reorganization event or upon the delisting of the shares of that basket component. For example, if the issuer of a basket component enters into a merger agreement that provides for holders of the shares of that basket component to receive shares of another entity, the shares of such other entity will become the applicable basket component for all purposes of the securities upon consummation of the merger. Additionally, if the shares of a basket component are delisted or a basket component is otherwise terminated, the calculation agent may, in its sole discretion, select shares of another basket component to be that basket component. See “Description of the Securities—Certain Additional Terms for Securities Linked to ETF Shares or Company Shares-Dilution and Reorganization Adjustments” and “—Delisting, Liquidation or Termination of an Underlying ETF” in the accompanying product supplement.
|
▪
|
The price of the basket components may not completely track the performance of the indexes underlying the basket components. The price of the basket components will reflect transaction costs and fees of the issuers of the basket components that are not included in the calculation of the indexes that they seek to track. In addition, the issuers of the basket components may not hold all of the stocks included in, and may hold securities and derivative instruments that are not included in, those indexes.
|
▪
|
Our offering of the securities is not a recommendation of the basket or the basket components. The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the basket or any of the basket components is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the stocks included in the basket components or in instruments related to the basket components or such stocks, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the basket components. These and other activities of our affiliates may affect the price of the basket components in a way that has a negative impact on your interests as a holder of the securities.
|
▪
|
The price of a basket component may be adversely affected by our or our affiliates’ hedging and other trading activities. We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in the stocks included in the basket components, in the shares of the basket components and other financial instruments related to the basket components or the stocks included in the basket components. Our affiliates also trade the stocks included in the basket components and the shares of the basket components and other related financial instruments 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 price of the basket components in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines
|
▪
|
We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities. Our affiliates may currently or from time to time engage in business with the issuers of the basket components or the issuers of the stocks held by the basket components, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against any such issuer that are available to them without regard to your interests.
|
▪
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities. If certain events occur, such as market disruption events, the discontinuance of a basket component or events with respect to the issuers of the basket components that may require a dilution adjustment, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your payment at maturity. 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.
|
▪
|
Changes made by the sponsor of the index underlying the basket components may adversely affect the basket components. We are not affiliated with the sponsor of the indexes underlying the basket components. Accordingly, we have no control over any changes such sponsor may make to the indexes underlying the basket components. Such changes could be made at any time and could adversely affect the performance of the basket.
|
▪
|
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
|
March 2014
|
PS-8
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
|
agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. Even if the treatment of the securities as prepaid forward contracts is respected, a security may be treated as a “constructive ownership transaction,” with consequences described below under “United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
March 2014
|
PS-9
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
March 2014
|
PS-10
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
iShares® MSCI Chile Capped ETF – Historical Closing Prices
January 2, 2009 to March 21, 2014
|
|||||
|
iShares® MSCI Chile Capped ETF
|
High
|
Low
|
Dividends
|
2009
|
|||
First Quarter
|
$36.18
|
$30.30
|
$0.00000
|
Second Quarter
|
$46.70
|
$34.44
|
$0.41331
|
Third Quarter
|
$47.89
|
$43.17
|
$0.00000
|
Fourth Quarter
|
$55.33
|
$46.98
|
$0.18536
|
2010
|
|||
First Quarter
|
$60.45
|
$52.85
|
$0.00000
|
Second Quarter
|
$59.42
|
$51.78
|
$0.50706
|
Third Quarter
|
$74.15
|
$56.75
|
$0.00000
|
Fourth Quarter
|
$80.27
|
$72.64
|
$0.00000
|
2011
|
|||
First Quarter
|
$80.27
|
$65.47
|
$0.03255
|
Second Quarter
|
$78.24
|
$70.98
|
$0.94450
|
Third Quarter
|
$75.79
|
$52.62
|
$0.00000
|
Fourth Quarter
|
$64.66
|
$50.31
|
$0.04379
|
2012
|
|||
First Quarter
|
$68.94
|
$58.43
|
$0.04104
|
Second Quarter
|
$69.51
|
$58.04
|
$0.88081
|
Third Quarter
|
$63.33
|
$59.09
|
$0.00000
|
Fourth Quarter
|
$63.59
|
$59.54
|
$0.06600
|
2013
|
|||
First Quarter
|
$67.81
|
$64.06
|
$0.02184
|
Second Quarter
|
$64.34
|
$50.15
|
$0.00000
|
Third Quarter
|
$53.63
|
$45.94
|
$0.62591
|
Fourth Quarter
|
$52.37
|
$45.59
|
$0.02559
|
2014
|
|||
First Quarter (through March 21, 2014)
|
$46.16
|
$39.76
|
$0.02487
|
March 2014
|
PS-11
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
iShares® MSCI Brazil Capped ETF – Historical Closing Prices
January 2, 2009 to March 21, 2014
|
|||||
|
iShares® MSCI Brazil Capped ETF
|
High
|
Low
|
Dividends
|
2009
|
|||
First Quarter
|
$40.89
|
$31.75
|
$0.206742
|
Second Quarter
|
$57.95
|
$39.30
|
$0.414934
|
Third Quarter
|
$67.67
|
$49.05
|
$0.000000
|
Fourth Quarter
|
$79.73
|
$66.03
|
$2.196555
|
2010
|
March 2014
|
PS-12
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
First Quarter
|
$77.79
|
$62.77
|
$0.111166
|
Second Quarter
|
$75.73
|
$58.61
|
$0.275414
|
Third Quarter
|
$76.93
|
$62.97
|
$0.000000
|
Fourth Quarter
|
$81.58
|
$73.84
|
$2.333280
|
2011
|
|||
First Quarter
|
$78.64
|
$70.22
|
$0.198383
|
Second Quarter
|
$79.78
|
$69.57
|
$1.083778
|
Third Quarter
|
$74.16
|
$52.04
|
$0.000000
|
Fourth Quarter
|
$64.51
|
$50.89
|
$0.421269
|
2012
|
|||
First Quarter
|
$70.42
|
$58.52
|
|
Second Quarter
|
$65.36
|
$49.07
|
$1.057941
|
Third Quarter
|
$57.06
|
$50.03
|
$0.000000
|
Fourth Quarter
|
$56.06
|
$51.01
|
$0.381970
|
2013
|
|||
First Quarter
|
$57.65
|
$53.39
|
$0.129155
|
Second Quarter
|
$55.71
|
$43.07
|
$0.853154
|
Third Quarter
|
$49.73
|
$41.26
|
$0.000000
|
Fourth Quarter
|
$51.58
|
$43.41
|
$0.587549
|
2014
|
|||
First Quarter (through March 21, 2014)
|
$43.43
|
$38.03
|
$0.000000
|
|
·
|
You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
|
|
·
|
Upon a sale or exchange of the securities, or retirement of the securities at maturity, you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the securities. Subject to the discussion below concerning the potential application of the “constructive ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), any gain or loss recognized upon a sale, exchange or retirement of the securities should be long-term capital gain or loss if you held the securities for more than one year.
|
March 2014
|
PS-13
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
March 2014
|
PS-14
|
Citigroup Inc.
|
Accelerated Return Notes Based on an Equally Weighted Basket Consisting of the iShares® MSCI Chile Capped ETF and the iShares® MSCI Brazil Capped ETF Due September , 2017
|
March 2014
|
PS-15
|