Citigroup Inc. |
Term Sheet No. 2015–CMTNG0481 dated April 30, 2015 relating to
Pricing Supplement No. 2015–CMTNG0481 dated April 30, 2015
Registration Statement No. 333-192302
Filed Pursuant to Rule 433
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Market Linked Securities—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index Due February 5, 2019
Term Sheet to Pricing Supplement No. 2015—CMTNG0481 dated April 30, 2015
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Key Terms | Investment Description |
Issuer
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Citigroup Inc.
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· Linked to the EURO STOXX 50® Index (ticker symbol: “SX5E”) (the “underlying index”)
· 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 index from its initial index level to its final index level, subject to the maximum return at maturity. The payment at maturity will reflect the following terms:
o If the level of the underlying index increases, you will receive the stated principal amount plus 175% participation in the upside performance of the underlying index, subject to a maximum return at maturity of 38.50% of the stated principal amount
o If the level of the underlying index decreases, but the decrease is not more than 20%, you will be repaid the stated principal amount
o If the level of the underlying index decreases by more than 20%, you will receive less than the stated principal amount and have 1-to-1 downside exposure to the decrease in the level of the underlying index in excess of 20%
· Investors may lose up to 80% 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
· No periodic interest payments or dividends
· The securities will not be listed on any securities exchange and,
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Term
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Approximately 3.75 years
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Underlying Index
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The EURO STOXX 50® Index (ticker symbol: “SX5E”)
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Stated Principal Amount
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$1,000 per security
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Pricing Date
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April 30, 2015
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Issue Date
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May 5, 2015
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Valuation Date
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January 29, 2019
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Maturity Date
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February 5, 2019
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Payment at Maturity
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See “Payment at Maturity” on Page 3
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Initial Index Level
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3,615.59, the closing level of the underlying index on the pricing date
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Final Index Level
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The closing level of the underlying index on the valuation date
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Maximum Return at Maturity
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38.50% of the stated principal amount per security ($385.00 per security)
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Buffer Level:
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2,892.472, 80% of the initial index level
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Participation Rate
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175%
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Calculation Agent
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Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
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Denominations
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$1,000 and any integral multiple of $1,000
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Agent Discount and Commission
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2.58%, 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%
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CUSIP / ISIN
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1730T07C7 / US1730T07C78
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Hypothetical Examples
The diagram at right illustrates your payment at maturity for a range of hypothetical percentage changes from the initial index level to the final index level.
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•
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the hypothetical percentage change from the initial index level to the hypothetical final index level;
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•
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the hypothetical payment at maturity per security;
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•
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the hypothetical total pre-tax rate of return; and
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•
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the hypothetical pre-tax annualized rate of return.
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Hypothetical
final index level
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Hypothetical
percentage change
from the initial index level to the hypothetical final
index level
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Hypothetical payment at maturity per security
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Hypothetical total pre-tax rate of return
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Hypothetical pre-tax annualized rate of return(1)
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7,231.180
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100.00%
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$1,385.00
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38.50%
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8.86%
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6,327.283
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75.00%
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$1,385.00
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38.50%
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8.86%
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5,423.385
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50.00%
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$1,385.00
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38.50%
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8.86%
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5,061.826
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40.00%
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$1,385.00
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38.50%
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8.86%
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4,700.267
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30.00%
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$1,385.00
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38.50%
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8.86%
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4,411.020
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22.00%
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$1,385.00
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38.50%
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8.86%
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4,338.708
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20.00%
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$1,350.00
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35.00%
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8.15%
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3,977.149
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10.00%
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$1,175.00
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17.50%
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4.34%
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3,796.370
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5.00%
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$1,087.50
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8.75%
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2.24%
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3,615.590
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0.00%
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$1,000.00
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0.00%
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0.00%
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3,434.811
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-5.00%
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$1,000.00
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0.00%
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0.00%
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3,254.031
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-10.00%
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$1,000.00
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0.00%
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0.00%
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2,892.472
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-20.00%
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$1,000.00
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0.00%
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0.00%
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2,856.316
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-21.00%
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$990.00
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-1.00%
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-0.27%
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2,530.913
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-30.00%
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$900.00
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-10.00%
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-2.78%
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2,169.354
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-40.00%
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$800.00
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-20.00%
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-5.85%
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1,807.795
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-50.00%
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$700.00
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-30.00%
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-9.27%
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903.898
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-75.00%
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$450.00
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-55.00%
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-20.15%
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0.000
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-100.00%
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$200.00
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-80.00%
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-38.54%
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If the final index level is greater than the initial index level:
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$1,000 plus the lesser of:
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If the final index level is less than or equal to the initial index level, but greater than or equal to the buffer level, $1,000
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If the final index level is less than the buffer level, $1,000 minus:
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Historical Information*
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You May Lose Up To 80% Of Your Investment.
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The Securities Do Not Pay Interest.
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Your Potential Return On The Securities Is Limited.
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Investing In The Securities Is Not Equivalent To Investing In The Underlying Index Or The Stocks That Constitute The Underlying Index.
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Your Payment At Maturity Depends On The Closing Level Of The Underlying Index On A Single Day.
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The Securities Are Subject To The Credit Risk Of Citigroup Inc.
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The Securities Will Not Be Listed On A Securities Exchange and You May Not Be Able To Sell Them Prior To Maturity.
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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.
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The Estimated Value Of The Securities Was Determined For Us By Our Affiliate Using Proprietary Pricing Models.
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The Estimated Value Of The Securities Would Be Lower If It Were Calculated Based On Our Secondary Market Rate.
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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.
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The Value Of The Securities Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.
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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.
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The Underlying Index Is Subject To Risks Associated With The Eurozone.
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The Underlying Index Performance Will Not Be Adjusted For Changes In The Exchange Rate Between The Euro And The U.S. Dollar.
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Our Offering Of The Securities Is Not A Recommendation Of The Underlying Index.
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The Level Of The Underlying Index May Be Adversely Affected By Our Or Our Affiliates', Or By Wells Fargo And Its Affiliates', Hedging And Other Trading Activities.
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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.
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The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Securities.
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Adjustments To The Underlying Index May Affect The Value Of Your Securities.
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The U.S. Federal Tax Consequences Of An Investment In The Securities Are Unclear.
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