The information in this 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 pricing supplement and the accompanying 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.
|
||
Citigroup Inc.
|
SUBJECT TO COMPLETION, DATED NOVEMBER 13, 2014
|
November , 2014
Medium-Term Senior Notes, Series G
Pricing Supplement No. 2014-CMTNG0295
Filed Pursuant to Rule 424(b)(2)
Registration 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 guarantee the full repayment of principal at maturity. Instead, the securities offer a payment at maturity that may be greater than or less than the stated principal amount, depending on the performance of the U.S. dollar relative to the euro as measured from the initial exchange rate to the final exchange rate.
|
·
|
The securities offer leveraged exposure to the potential appreciation of the U.S. dollar against the euro. If the U.S. dollar appreciates against the euro (i.e., the initial exchange rate is greater than the final exchange rate and therefore the currency return is positive), you will receive between 180% and 200% of the positive currency return at maturity. However, if the U.S. dollar depreciates against the euro (i.e., the initial exchange rate is less than the final exchange rate and therefore the currency return is negative), you will incur a loss at maturity equal to the less of that depreciation and 5%. The securities provide a minimum payment of $950 per security at maturity. See “How the EUR/USD Exchange Rate and the Currency Return Formula Work” in this pricing supplement for important information about the currency exposure that the securities provide.
|
·
|
In order to obtain the currency exposure that the securities provide, investors must be willing to accept (i) an investment that may have limited or no liquidity, (ii) the risk of not receiving any amount due under the securities if we default on our obligations and (iii) the risk that investors will receive the minimum payment of $950 per security at maturity (representing a 5% loss) and no interest for the full five year term of the securities. All payments on the securities are subject to the credit risk of Citigroup Inc.
|
Aggregate stated principal amount:
|
$
|
||
Stated principal amount:
|
$1,000 per security
|
||
Pricing date:
|
November , 2014 (expected to be November 21, 2014)
|
||
Issue date:
|
November , 2014 (three business days after the pricing date)
|
||
Valuation date:
|
November , 2019 (expected to be November 21, 2019), subject to postponement as set forth under “Additional Terms of the Securities” in this pricing supplement
|
||
Maturity date:
|
November , 2019 (expected to be November 26, 2019), subject to postponement as set forth under “Additional Terms of the Securities” in this pricing supplement
|
||
Payment at maturity:
|
At maturity, for each $1,000 security you then hold, you will receive an amount in U.S. dollars determined as follows:
· If the currency return is greater than zero:
$1,000 + ($1,000 × leverage factor × currency return)
· If the currency return is zero or negative but greater than -5%:
$1,000 + ($1,000 × the currency return)
· If the currency return is negative and equal to or less than -5%: the minimum return amount
If the currency return is negative (which means that the U.S. dollar has depreciated against the euro), you will lose 1% of your stated principal amount for every 1% of that negative currency return and you may lose up to 5% of your stated principal amount. You should not invest in the securities unless you are willing and able to bear the risk of losing up to $50 per security. Because the currency return is calculated by subtracting the final exchange rate from the initial exchange rate and dividing the resulting number by the initial exchange rate, the maximum currency return is 100%, and consequently the maximum payment at maturity is between $2,800 and $3,000 per security. The actual maximum payment at maturity will be known on the pricing date once the leverage factor is determined.
|
||
Initial exchange rate:
|
, the EUR/USD exchange rate on the pricing date
|
||
Final exchange rate:
|
The EUR/USD exchange rate on the valuation date
|
||
Currency return:
|
A percentage equal to the (i) initial exchange rate minus final exchange rate divided by (ii) initial exchange rate
|
||
EUR/USD exchange rate:
|
On any date, the exchange rate between the U.S. dollar and the euro (“EUR”), expressed as a number of U.S. dollars per 1 euro, as determined by reference to Reuters page “ECB37” at approximately 2:15 p.m., Frankfurt time, on such date, except as otherwise specified under “Additional Terms of the Securities” in this pricing supplement
|
||
Leverage factor:
|
180.00% to 200.00%. The actual leverage factor will be determined on the pricing date.
|
||
Minimum return amount
|
$950 per security (95% of the stated principal amount)
|
||
Listing:
|
The securities will not be listed on any securities exchange
|
||
Calculation agent:
|
Citibank, N.A., an affiliate of the issuer
|
||
CUSIP / ISIN:
|
1730T03E7 / US1730T03E70
|
||
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
|
$12.50
|
$987.50
|
Total:
|
$
|
$
|
$
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
November 2014
|
PS-2
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
Currency Linked Securities Payment at Maturity Diagram
|
Hypothetical Final
Exchange Rate
|
Hypothetical Currency
Return(1)
|
Hypothetical Payment at
Maturity
|
Hypothetical Total Return on
the Securities at Maturity(2)
|
0.0000
|
100.00%
|
$2,800.00
|
180.00%
|
0.1250
|
90.00%
|
$2,620.00
|
162.00%
|
0.2500
|
80.00%
|
$2,440.00
|
144.00%
|
0.3750
|
70.00%
|
$2,260.00
|
126.00%
|
0.5000
|
60.00%
|
$2,080.00
|
108.00%
|
0.6250
|
50.00%
|
$1,900.00
|
90.00%
|
0.7500
|
40.00%
|
$1,720.00
|
72.00%
|
0.8750
|
30.00%
|
$1,540.00
|
54.00%
|
1.0000
|
20.00%
|
$1,360.00
|
36.00%
|
1.1250
|
10.00%
|
$1,180.00
|
18.00%
|
1.1875
|
5.00%
|
$1,090.00
|
9.00%
|
1.2500
|
0.00%
|
$1,000.00
|
0.00%
|
1.2750
|
-2.00%
|
$980.00
|
-2.00%
|
1.3000
|
-4.00%
|
$960.00
|
-4.00%
|
1.3125
|
-5.00%
|
$950.00
|
-5.00%
|
1.3750
|
-10.00%
|
$950.00
|
-5.00%
|
1.5000
|
-20.00%
|
$950.00
|
-5.00%
|
1.6250
|
-30.00%
|
$950.00
|
-5.00%
|
1.7500
|
-40.00%
|
$950.00
|
-5.00%
|
1.8750
|
-50.00%
|
$950.00
|
-5.00%
|
2.0000
|
-60.00%
|
$950.00
|
-5.00%
|
2.1250
|
-70.00%
|
$950.00
|
-5.00%
|
2.2500
|
-80.00%
|
$950.00
|
-5.00%
|
2.3750
|
-90.00%
|
$950.00
|
-5.00%
|
2.5000
|
-100.00%
|
$950.00
|
-5.00%
|
November 2014
|
PS-3
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
Currency return =
|
initial exchange rate – final exchange rate
|
=
|
1.2500 – 1.1500
|
= 8.00%
|
initial exchange rate
|
1.2500
|
Currency return =
|
initial exchange rate – final exchange rate
|
=
|
1.2500 – 1.3000
|
= –4.00%
|
initial exchange rate
|
1.2500
|
Currency return =
|
initial exchange rate – final exchange rate
|
=
|
1.2500 – 1.5000
|
= –20.00%
|
initial exchange rate
|
1.2500
|
November 2014
|
PS-4
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
You may not receive any return on your investment in the securities and you may lose up to 5% of your investment. You will receive a positive return on your investment in the securities only if the U.S. dollar appreciates relative to the euro from the initial exchange rate to the final exchange rate (i.e., the initial exchange rate is greater than the final exchange rate). If the initial exchange rate is less than the final exchange rate, you will lose 1% of the stated principal amount of the securities for every 1% decline in the currency return and you may lose up to 5% of your investment. As the securities do not pay any interest, if the U.S. dollar does not appreciate sufficiently relative to the euro from the initial exchange rate to the final exchange rate over the term of the securities, the overall return on the securities may be less than the amount that would be paid on our conventional debt securities of comparable maturity.
|
■
|
Due to the way in which the currency return is calculated, the currency return is capped at 100%. Because the currency return is calculated by subtracting the final exchange rate from the initial exchange rate and dividing the resulting number by the initial exchange rate, the maximum currency return is 100%, and consequently the maximum payment at maturity is between $2,800 and $3,000 per security. The actual maximum payment at maturity will be known on the pricing date once the leverage factor is determined.
|
■
|
Although the securities limit your loss at maturity to 5%, you may nevertheless suffer additional losses on your investment in real value terms if the value of the U.S. dollar relative to the euro declines or does not appreciate sufficiently from the initial exchange rate to the final exchange rate. This is because inflation may cause the real value of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment in the securities represents a forgone opportunity to invest in an alternative asset that does generate a positive real return. You should carefully consider whether an investment that may not provide for any return on your investment or that may result in a loss, or may provide a return that is lower than the return on alternative investments, is appropriate for you.
|
■
|
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 return on the securities may be less than the return you could have achieved on other means of gaining exposure to the U.S. dollar. For example, if the U.S. dollar depreciates relative to the euro, your loss on the securities will be greater than the loss you would have realized had you made a direct investment in U.S. dollar—that is, had you converted U.S. dollars into euros at the initial exchange rate, held those U.S. dollar for the term of the securities and then converted those U.S. dollars back into euros at the final exchange rate. The greater the depreciation, the greater the difference will be between your losses on the securities and the losses that would have resulted from a direct investment. If the U.S. dollar were to lose half of its value relative to the euro, you would have incurred a 50% loss on a direct investment, but, without the minimum return amount provided by the securities, you would lose all of your investment in the securities. See “How the EUR/USD Exchange Rate and the Currency Return Formula Work” and “Hypothetical Examples” above. In addition, if you had invested directly in U.S. dollar, you could have received interest on that investment. By contrast, the securities do not pay interest.
|
■
|
If an exchange rate that is expressed as the number of euros per 1 U.S. dollar is used to calculate the currency return, the return on the securities will be materially different from the results obtained using the EUR/USD exchange rate. For purposes of the securities, the performance of the U.S. dollar relative to the euro will be measured based on the currency return formula set forth on the cover page of this pricing supplement, which is based on a EUR/USD exchange rate that is expressed as the number of U.S. dollars per 1 euro. If an exchange rate that is expressed as the number of euros per 1 U.S. dollar were used instead, the performance of the U.S. dollar relative to the euro will be measured based on a different currency return formula, and as a result, the return on the securities will be materially different from the results obtained using the EUR/USD exchange rate.
|
■
|
The securities are subject to the credit risk of Citigroup Inc. Any payment on the securities will be made by Citigroup Inc. and therefore is subject to the credit risk of Citigroup Inc. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the value of the securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any decline, or anticipated decline, in our credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of 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.
|
November 2014
|
PS-5
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
■
|
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 (i) the placement 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 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 the EUR/USD exchange rate and interest rates in those European Union countries that have adopted the euro as their official currency (each, a “eurozone country” and, collectively, the “eurozone”) and the United States. 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 your securities prior to maturity will fluctuate based on many unpredictable factors. Prior to maturity, the value of your securities will fluctuate based on the EUR/USD exchange rate at that time and a number of other factors, including those described below. Some of these factors are interrelated in complex ways. As a result, the effect of any one factor may be offset or magnified by the effect of one or more other factors. The paragraphs below describe what we expect to be the impact on the value of the securities of a change in a specific factor, assuming all other conditions remain constant. You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
|
§
|
Exchange rate. We expect that the value of the securities at any time prior to maturity will depend substantially on the EUR/USD exchange rate at that time. If the EUR/USD exchange rate increases (reflecting depreciation of the U.S. dollar relative to the euro) following the pricing date, the value of your securities will also likely decline. Even at a time when the EUR/USD exchange rate is less than the initial exchange rate (reflecting appreciation of the U.S. dollar relative to the euro), the value of your securities may nevertheless be less than the stated principal amount of your securities because of expectations that the EUR/USD exchange rate will continue to fluctuate over the term of the securities, among other reasons.
|
§
|
Volatility of the EUR/USD exchange rate. Volatility refers to the magnitude and frequency of changes in the EUR/USD exchange rate over any given period. Any increase in the expected volatility of the EUR/USD exchange rate may adversely affect the value of the securities.
|
§
|
Interest rates. We expect that the value of the securities will be affected by changes in interest rates in the United States and the eurozone countries.
|
November 2014
|
PS-6
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
§
|
Time remaining to maturity. At any given time, the value of the securities may reflect a discount based on the amount of time then remaining to maturity, which will reflect uncertainty about the change in the EUR/USD exchange rate over that period.
|
§
|
Creditworthiness of Citigroup Inc. The securities are subject to the credit risk of Citigroup Inc. Therefore, actual or anticipated adverse changes in the creditworthiness of Citigroup Inc. may adversely affect the value of the securities.
|
■
|
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 securities are subject to currency exchange rate risk with respect to the U.S. dollar relative to the euro. Fluctuations in the exchange rate between the U.S. dollar and the euro will affect the value of and your return on the securities. The exchange rate between any two currencies is influenced by numerous factors, including the supply of and demand for the currencies, government policy, intervention or actions, political or economic developments and the actions of currency speculators. Of particular importance to potential exchange rate risk are: (i) existing and expected rates of inflation in the United States and the eurozone countries; (ii) existing and expected interest rate levels in the United States and the eurozone countries; (iii) the balance of payments between the United States and the eurozone countries; (iv) growth rates in the United States and the eurozone countries; and (v) the extent of governmental surpluses or deficits in the United States and the eurozone countries. These factors are expected to affect the exchange rate between the U.S. dollar and the euro.
|
■
|
The exchange rate between U.S. dollar and the euro is subject to particular risks. Your return on the securities will depend on the performance of the U.S. dollar relative to the euro. As the currency of the eurozone, the euro is subject to increased risk. A number of the eurozone countries are undergoing a financial crisis affecting their economies, their ability to meet their sovereign financial obligations and their financial institutions. The eurozone countries that are not currently experiencing a financial crisis may do so in the future as a result of developments in other eurozone countries. The economic ramifications of this financial crisis, and its effects on the strength of the euro, are impossible to predict. This uncertainty may contribute to significant volatility in the exchange rate between U.S. dollar and the euro, and adverse developments affecting the eurozone countries may affect the EUR/USD exchange rate in a way that adversely affects the value of and return on the securities.
|
■
|
Distortions or disruptions of market trading in the U.S. dollar or the euro may adversely affect the value of and return on the securities. The currency markets are subject to temporary distortions or other disruptions due to various factors, including government regulation and intervention, the lack of liquidity in the markets and the participation of speculators. These circumstances could adversely affect the value of the U.S. dollar relative to the euro and, therefore, the value of and return on the securities. In addition, if a market disruption event occurs on the valuation date, the valuation date will be subject to postponement, as described under “Additional Terms of the Securities” in this pricing supplement. If a market disruption event occurs on the valuation date and the valuation date is not postponed, the calculation agent will determine the EUR/USD exchange rate on the valuation date in good faith and in a commercially reasonable manner. The calculation agent’s determination of the EUR/USD exchange rate in this circumstance may result in an unfavorable return on the securities.
|
■
|
Currency exchange rate risks can be expected to heighten in periods of financial or political turmoil. In periods of financial or political turmoil, capital can move quickly out of regions that are perceived to be more vulnerable to the effects of the crisis than others with sudden and severely adverse consequences to the currencies of those regions, and it may move into regions that are perceived to offer greater safety. For example, if the euro is perceived to be a safer investment than the U.S. dollar following a financial or political event, resulting in a sudden capital inflow to the eurozone countries, it could cause the U.S. dollar to weaken relative to the euro, which would adversely affect the value of and return on the securities.
|
■
|
Currencies trade around the clock, but the securities will not. The inter-bank market in foreign currencies is a global, around-the-clock market. However, if you seek to sell your securities prior to maturity, you will be able to do so (if at all) only during business hours in the United States. Therefore, significant movements may take place in the level of the EUR/USD exchange rate at times when you will not be able to sell your securities. Additionally, there is no systematic reporting of last-sale information for foreign currencies, which may make it difficult for many investors to obtain timely and accurate data regarding the state of the underlying foreign exchange markets.
|
■
|
Currency exchange rates are determined in a manner that is less transparent and more susceptible to distortion and manipulation than the market prices of other assets, such as stocks. Unlike other assets such as stocks, currencies are not traded on regulated exchanges, and there is not a single market-determined rate that is universally accepted as the official exchange rate on a given day. The EUR/USD exchange rate used for purposes of the securities
|
November 2014
|
PS-7
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
■
|
The historical exchange rate is not an indication of its future performance. The historical performance of the exchange rate between the U.S. dollar and the euro, which is included in this pricing supplement, should not be taken as an indication of future exchange rates during the term of the securities. It is impossible to predict whether the U.S. dollar will appreciate or depreciate against the euro.
|
■
|
The calculation agent, which is an affiliate of the issuer, will make important determinations with respect to the securities. Citibank, N.A., the calculation agent for the securities, is an affiliate of ours and will determine the EUR/USD exchange rate on the valuation date and the amount owed to you at maturity. In addition, if certain events occur, Citibank, N.A. will be required to make certain discretionary judgments that could significantly affect your payment at maturity. In making these judgments, Citibank, N.A.’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities. Such judgments could include, among other things:
|
|
·
|
determining whether a market disruption event has occurred;
|
|
·
|
if a market disruption event has occurred on the valuation date, determining whether to postpone the valuation date;
|
|
·
|
if a market disruption event occurs on the valuation date and the valuation date is not postponed, determining the EUR/USD exchange rate; or
|
|
·
|
if a succession event occurs, selecting a successor currency and making related adjustments to the terms of the securities.
|
■
|
The offering of the securities does not constitute a recommendation of the U.S. dollar by CGMI or its affiliates or by the placement agents or their affiliates. You should not take the offering of the securities as an expression of our views or the views of the placement agents or our or their respective affiliates regarding how the U.S. dollar will perform relative to the euro in the future or as a recommendation to invest in the U.S. dollar, including through an investment in the securities. As we and the placement agents are part of global financial institutions, our and their affiliates may, and often do, have positions that conflict with an investment in the securities, including short positions with respect to the U.S. dollar. You should undertake an independent determination of whether an investment in the securities is suitable for you in light of your specific investment objectives and financial resources.
|
■
|
Our affiliates or the placement agents or their affiliates may have published research, expressed opinions or provided recommendations that are inconsistent with investing in the securities and may do so in the future, and any such research, opinions or recommendations could adversely affect the EUR/USD exchange rate. CGMI and other of our affiliates or the placement agents or their affiliates may publish research from time to time relating to the U.S. dollar and the euro. Any research, opinions or recommendations provided by CGMI and other of our affiliates or the placement agents or their affiliates may influence the exchange rate between U.S. dollar and the euro, and they may be inconsistent with purchasing or holding the securities. CGMI and other of our affiliates or the placement agents or their affiliates may have published or may publish research or other opinions that call into question the investment view implicit in an investment in the securities. Investors should make their own independent investigation of the U.S. dollar and the euro and the merits of investing in the securities.
|
November 2014
|
PS-8
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
■
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities. We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who in turn will likely take positions in or with respect to the U.S. dollar and the euro. Our affiliates and the placement agents and/or their affiliates also trade the U.S. dollar and the euro and financial instruments related to the U.S. dollar and the euro on a regular basis as part of their general trading and other businesses. Any of these hedging or trading activities at or prior to the pricing date could increase the value of the euro relative to the U.S. dollar at the time of your initial investment and, as a result, the value that the U.S. dollar must attain relative to the euro on the valuation date before you would receive a positive return at maturity on the securities. Additionally, such hedging or trading activities on or near the valuation date could potentially affect the EUR/USD exchange rate on the valuation date and, therefore, adversely affect your payment at maturity. Our affiliates and the placement agents and their affiliates are among the largest participants in the foreign currency trading markets.
|
If a succession event occurs, a successor currency may be substituted for the U.S. dollar or the euro. A succession event will occur if (i) the U.S. dollar or the euro is lawfully eliminated and replaced with, converted into, redenominated as, or exchanged for, another currency, or (ii) the euro ceases to be used by the eurozone as the single common currency, no other single common currency is adopted in its place, and the eurozone countries go on to use different local currencies. As more fully described under “Additional Terms of the Securities” in this pricing supplement, if a succession event occurs, the U.S. dollar or the euro will be replaced with a successor currency. We can give you no assurance as to the performance of any such successor currency or as to the impact on the performance of the securities of the occurrence of a succession event. The occurrence of a succession event may have a significant adverse effect on the performance of the securities.
|
Exchange Rates
|
High
|
Low
|
Period End
|
2009
|
|||
First Quarter
|
1.3921
|
1.2530
|
1.3250
|
Second Quarter
|
1.4303
|
1.2921
|
1.4033
|
Third Quarter
|
1.4790
|
1.3884
|
1.4640
|
Fourth Quarter
|
1.5134
|
1.4249
|
1.4321
|
2011
|
|||
First Quarter
|
1.4513
|
1.3273
|
1.3510
|
Second Quarter
|
1.3653
|
1.1923
|
1.2238
|
Third Quarter
|
1.3634
|
1.2527
|
1.3634
|
Fourth Quarter
|
1.4207
|
1.2983
|
1.3384
|
2011
|
|||
First Quarter
|
1.4226
|
1.2907
|
1.4158
|
Second Quarter
|
1.4830
|
1.4048
|
1.4502
|
Third Quarter
|
1.4539
|
1.3387
|
1.3387
|
Fourth Quarter
|
1.4189
|
1.2941
|
1.2961
|
2012
|
|||
First Quarter
|
1.3458
|
1.2667
|
1.4158
|
Second Quarter
|
1.3321
|
1.2365
|
1.4502
|
Third Quarter
|
1.3130
|
1.2061
|
1.3387
|
Fourth Quarter
|
1.3244
|
1.2704
|
1.2961
|
2013
|
|||
First Quarter
|
1.3640
|
1.2780
|
1.2819
|
Second Quarter
|
1.3392
|
1.2820
|
1.3010
|
November 2014
|
PS-9
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
Exchange Rates
|
High
|
Low
|
Period End
|
Second Quarter
|
1.3392
|
1.2820
|
1.3010
|
Third Quarter
|
1.3530
|
1.2781
|
1.3527
|
Fourth Quarter
|
1.3802
|
1.3367
|
1.3743
|
2014
|
|||
First Quarter
|
1.3934
|
1.3486
|
1.3769
|
Second Quarter
|
1.3928
|
1.3532
|
1.3692
|
Third Quarter
|
1.3679
|
1.2631
|
1.2631
|
Fourth Quarter (through November 12, 2014)
|
1.2823
|
1.2393
|
1.2467
|
Historical Exchange Rate
January 2, 2009 to November 12, 2014
|
November 2014
|
PS-10
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
(i)
|
convert any amount of U.S. dollar into euro or vice versa through customary legal channels; or
|
|
(ii)
|
convert any amount of U.S. dollar into euro or vice versa at a rate at least as favorable as the rate for domestic institutions located in the United States or the eurozone.
|
(i)
|
delivering U.S. dollar or euro from accounts inside the United States or a eurozone country, as applicable, to accounts outside the United States or that eurozone country, as applicable; or
|
|
(ii)
|
delivering U.S. dollar or euro between accounts inside the United States or a eurozone country, as applicable, to a party that is a non-resident of the United States or that eurozone country, as applicable.
|
November 2014
|
PS-11
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
|
(a)
|
the U.S. dollar or the euro is lawfully eliminated and replaced with, converted into, redenominated as, or exchanged for, another currency; or
|
|
(b)
|
the euro ceases to be used by the eurozone as the single common currency, no other single common currency is adopted in its place, and the eurozone countries go on to use different local currencies.
|
|
(i)
|
in the case of clause (a) above, the currency that lawfully replaces the former currency, into which the former currency is converted or redenominated, or for which the former currency is exchanged, as applicable, or
|
|
(ii)
|
in the case of clause (b) above, a currency selected by the calculation agent from among the lawful currencies resulting from the discontinuance of the euro as a common currency and its replacement with local currencies that the calculation agent determines in good faith and in a commercially reasonable manner is most comparable to the former currency, taking into account the latest available quotation for the EUR/USD exchange rate and any other information that it deems relevant.
|
|
·
|
the original initial exchange rate; and
|
|
·
|
a ratio of the successor currency to the former currency, which ratio will be calculated on the basis of the exchange rate set forth by the relevant country or economic region of the former currency for converting the former currency into the successor currency on the effective date of the succession event, as determined by the calculation agent.
|
November 2014
|
PS-12
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
November 2014
|
PS-13
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
|
(i)
|
the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities, (C) the holding of the securities, or (D) the exercise of or failure to exercise any rights we have under or with respect to the securities;
|
|
(ii)
|
we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the securities and (B) all hedging transactions in connection with our obligations under the securities;
|
|
(iii)
|
any and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder;
|
(iv)
|
our interests are adverse to the interests of the purchaser or holder; and
|
November 2014
|
PS-14
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
|
(v)
|
neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment advice.
|
November 2014
|
PS-15
|
Citigroup Inc.
|
Currency-Linked Partial Principal at Risk Securities Due November , 2019
Based on the Performance of the U.S. Dollar Relative to the Euro (Bullish USD/Bearish EUR)
|
November 2014
|
PS-16
|