FWP 1 dfwp.htm OFFERINGS BROCHURE Offerings Brochure
Table of Contents

Issuer Free Writing Prospectus

Filed Pursuant to Rule 433

Registration Statement Nos. 333-172554 and 333-172554-01

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CitiFirst Structured Investments

Offerings Brochure for Third Party Distributors

July 2011

For all offerings documented herein (other than the Market-Linked Certificates of Deposit):

Investment Products Not FDIC Insured May Lose Value No Bank Guarantee

July 6, 2011

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  2   

Table of Contents

 

 

Introduction to CitiFirst Structured Investments

 

3

CitiFirst Protection Investments  
Market-Linked Notes Based on the Value of the S&P 500® Index   4
Callable Notes Based on the Performance of 3-Month LIBOR and the Russell 2000 Index   5
  6
  7
CitiFirst Performance Investments  

ELKS® Based Upon the Common Stock of Las Vegas Sands Corp. (“LVS”)

   8

ELKS® Based Upon the Common Stock of Broadcom Corporation (“BRCM”)

   9

ELKS® Based Upon the Common Stock of Transocean Ltd’ (“RIG”)

   10

General Overview of Structures

  

11

Important Information for the Monthly Offerings

  

12

Overview of Key Benefits and Risks of Structured Investments

  

13

Additional Considerations

  

14

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  3   

Introduction to CitiFirst Structured Investments

CitiFirst is the brand name for Citi’s offering of structured investments including notes, deposits, and certificates. Tailored to meet the needs of a broad range of investors, CitiFirst structured investments are divided into three categories based on the amount of principal due at maturity:

 

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CitiFirst Protection

Full principal amount due at maturity

    Investments provide for the full principal amount to be due at maturity, subject to the credit risk of the issuer or guarantor, and are for investors who place a priority on the preservation of principal while looking for a way to potentially outperform cash or traditional fixed income investments

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CitiFirst Performance

Payment due at maturity may be less than the principal amount

    Investments provide for a payment at maturity that may be less than the principal amount and in some cases may be zero, and are for investors who are seeking the potential for current income and/or growth, in addition to partial or contingent downside protection

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CitiFirst Opportunity

Payment due at maturity may be zero

    Investments provide for a payment at maturity that may be zero and are for investors who are willing to take full market risk in return for either leveraged principal appreciation at a predetermined rate or access to a unique underlying strategy

All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of the Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations.

CitiFirst operates across all asset classes meaning that underlying assets include equities, commodities, currencies, interest rates and alternative investments. When depicting a specific product, the relevant underlying asset will be shown as a symbol on the cube:

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For instance, if a CitiFirst Performance investment were based upon a single stock, which belongs to an equity asset class, its symbol would be shown as follows:    LOGO

Classification of structured investments into categories is not intended to guarantee particular results or performance. Though the potential returns on structured investments are based upon the performance of the relevant underlying asset or index, investing in a structured investment is not equivalent to investing directly in the underlying asset or index.

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Market-Linked Notes Based on the

Value of the S&P 500® Index

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Indicative Terms*

 

Issuer:

  

Citigroup Funding Inc.

Guarantee:

  

Any payments due on the notes are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company.

Issue price:

  

$1,000 per note

Pricing date:

  

July     , 2011 (expected to price on or about July 25, 2011).

Maturity date:

  

January 25, 2017

Issue date:

  

July     , 2011 (three days after the pricing date)

Valuation Dates:

  

Quarterly on each October, January, April, and July (expected to be on or about the 25th day of each month), beginning on October 25, 2011

Interest:

  

0.50% per annum, paid semi-annually

Interest Payment Date:

  

Semi-annually on each January and July (expected to be the [25th] day of each month), beginning on January     , 2012 (expected to be January [25], 2012) and ending on the maturity date.

Underlying Index:

  

S&P 500® Index (Bloomberg Symbol: “SPX”)

Payment at Maturity:

  

For each $1000.00 note, $1000.00 plus:

•     If the Final Index Return Percentage is greater than zero, an amount equal to the product of (i) $1000 (ii) the Final Index Return Percentage and (iii) the Participation Rate

•     Otherwise, $0

Participation Rate:

  

[95.00 - 105.00]% (actual Participation Rate to be determined on the Pricing Date)

Interim Index Return Percentage:

  

The Interim Index Return Percentage will be computed as follows on each Valuation Date:

 

Ending Index Value – Initial Index Value

Initial Index Value

Final Index Return Percentage:

  

The arithmetic average of the 22 Interim Index Return Percentages

Initial Index Value:

  

The closing value of the underlying index on the pricing date

Ending Index Value:

  

The closing value of the underlying index on the relevant valuation date

CUSIP:

  

1730T0MU0

Listing:

  

The notes will not be listed on any securities exchange.

Selling concession:

  

up to 3.50%

Investor Profile

Investor Seeks:

• Full principal amount due at maturity subject to the credit risk of the guarantor

• Exposure to the S&P 500® Index

• A medium-term equity index-linked investment

Investor Can Accept:

• A holding period of approximately 5.5 years

• The possibility of losing part or all of the principal amount invested if not held to maturity

• Please review the “Risk Factors Relating to the Notes” section of the applicable Pricing Supplement for a complete

  description of the risks associated with this investment

For questions, please call your Financial Advisor

*The information listed above is not intended to be a complete description of all of the terms, risks and benefits of a particular investment. All maturities are approximate. All terms in brackets are indicative only and will be set on the applicable pricing date. All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of the Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. Please refer to the relevant investment’s offering documents and related material(s) for additional information.

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Callable 3-Month USD-LIBOR-BBA

and Russell 2000® Index  Linked Range

Accrual Notes

   

 

 

 

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Indicative Terms*

 

Issuer:

  

Citigroup Funding Inc.

Guarantee:

  

Any payments due on the notes are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company.

Issue price:

  

$1,000 per note

Pricing date:

  

July     , 2011 (expected to price on or about July 22, 2011).

Maturity date:

  

July 27, 2026

Issue date:

  

July     , 2011 (three business days after the pricing date)

Interest Payment Dates:

  

Quarterly on each October, January 27, April 27, July 27 and October 27, beginning on October 27, 2011

Accrual Period:

   The period beginning on and including July 27, 2012 to but excluding the immediately following interest payment date, and each successive period from and including an interest payment date to but excluding the next interest payment date.

Interest:

   From and including the issue date to but including July 27, 2012, interest will accrue on the notes at an annual rate of 8.00%, but only for each day during the accrual period described below on which both (i) the LIBOR reference rate is within the LIBOR reference rate range and (ii) the closing value of the underlying index is greater than or equal to the index reference level. If on each day for an entire accrual period either (i) the LIBOR reference rate is outside the LIBOR reference rate range or (ii) the closing value of the underlying index is less than the index reference level, then no interest will accrue on the notes and you will not receive any interest payment on the related interest payment date.

Underlying index:

  

Russell 2000® Index (Bloomberg Symbol: “RUY”)

LIBOR Reference Rate:

   On any day, the 3-Month USD-LIBOR-BBA rate appearing on Reuters page “LIBOR01” at 11:00 a.m., London, England time for that day

Index Reference Level:

  

550

LIBOR Reference Rate Range:

  

From and including 0.00% to and including 6.50%

Call feature:

  

Callable on any interest payment date beginning July 27, 2012

Payment at maturity:

  

$1,000 per Note plus any accrued and unpaid interest

CUSIP:

  

1730T0MV8

Listing:

  

The notes will not be listed on any securities exchange.

Selling concession:

  

Up to 3.50%

Investor Profile

Investor Seeks:

• Full principal amount due at maturity, subject to the credit risk of the guarantor

• A fixed interest rate of 8.00% per annum for the first year

• Interest payments that may vary after the first year depending on the levels of 3-Month USD-LIBOR-BBA and the

  Russell 2000® Index

Investor Can Accept:

• A holding period of 15 years, subject to our call right after the first year

• The possibility of receiving no interest payments or below-market interest rates

• The possibility that the notes will be called by us on any interest payment date beginning July 27, 2012

• Please review the “Risk Factors Relating to the Notes” section of the applicable Pricing Supplement for a complete

  description of the risks associated with this investment

For questions, please call your Financial Advisor

*The information listed above is not intended to be a complete description of all of the terms, risks and benefits of a particular investment. All maturities are approximate. All terms in brackets are indicative only and will be set on the applicable pricing date. All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of the Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. Please refer to the relevant investment’s offering documents and related material(s) for additional information.

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ELKS® Based Upon the Common

Stock of Las Vegas Sands

Corporation (“LVS”)

   

 

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Indicative Terms*

 

Issuer:

   

Citigroup Funding Inc.

Guarantee:

   

Any payments due on the ELKS are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company; however, you may receive an amount at maturity that is less than the stated principal amount of your initial investment.

Issue price:

   

$10 per ELKS

Underlying equity:

   

The common stock of Las Vegas Sands Corporation (NYSE symbol: “LVS”)

Pricing date:

   

July     , 2011 (expected to price on or about July 25, 2011, or if such day is not a scheduled trading day, the next succeeding scheduled trading day).

Issue date:

   

July     , 2011 (three business days after the pricing date).

Maturity date:

   

January     , 2012 (expected to be on or about January 25, 2012)

Valuation date:

   

January     , 2012 (expected to be three trading days before the maturity date)

Principal due at maturity*:

   

Payment at maturity may be less than the principal amount

Coupon:

   

[11.00 % to 13.00 %] per annum (approximately [5.50% to 6.50%] for the term of the ELKS) paid monthly and computed on the basis of a 360-day year of twelve 30-day months

Downside threshold closing price:

   

$             (80.00 % of the initial equity price).

Initial equity price:

   

$            , the closing price of the underlying equity on the pricing date.

Payment at maturity:

   

For each $10 ELKS:

 

(1)       a fixed number of shares of the underlying equity equal to the equity ratio (or, if you exercise your cash election right, the cash value of those shares based on the closing price of the underlying equity on the valuation date) if the closing price of the underlying equity on any trading day from but excluding the pricing date to and including the valuation date declines to or below the downside threshold closing price (to be determined on the pricing date), or

 

(2)       $10 in cash.

Equity ratio:

   

The number of shares of the underlying equity per ELKS equal to $10 divided by the initial equity price (actual equity ratio to be determined on the pricing date).

Listing:

   

None

CUSIP:

   

17317U774

Selling concession:

   

up to 1.50 %

Investor Profile

Investor Seeks:

n  Monthly fixed coupon

n  Contingent downside protection of approximately 20%

n  A short-term equity-linked investment

Investor Can Accept:

n  A holding period of approximately 6 months

n  The possibility of losing part or all of the principal amount invested

n  Please review the “Key Risk Factors” section of the applicable Offering Summary for a complete description of the

     risks associated with this investment

For questions, please call your Financial Advisor

*The information listed above is not intended to be a complete description of all of the terms, risks and benefits of a particular investment. All maturities are approximate. All terms in brackets are indicative only and will be set on the applicable pricing date. All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. Please refer to the relevant investment’s offering documents and related material(s) for additional information.

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ELKS® Based Upon the Common Stock of Broadcom Corporation
(“BRCM”)

  

 

LOGO

Indicative Terms*

 

Issuer:

   

Citigroup Funding Inc.

Guarantee:

   

Any payments due on the ELKS are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company; however, you may receive an amount at maturity that is less than the stated principal amount of your initial investment.

Issue price:

   

$10 per ELKS

Underlying equity:

   

The Common Stock of Broadcom Corporation (NASDAQ symbol: “BRCM”)

Pricing date:

   

July     , 2011 (expected to price on or about July 25, 2011, or if such day is not a scheduled trading day, the next succeeding scheduled trading day).

Issue date:

   

July     , 2011 (three business days after the pricing date).

Maturity date:

   

January     , 2012 (expected to be on or about January 25, 2012)

Valuation date:

   

January     , 2012 (expected to be three trading days before the maturity date)

Principal due at maturity*:

   

Payment at maturity may be less than the principal amount

Coupon:

   

[8.00 % to 10.00 %] per annum (approximately [4.00% to 5.00%] for the term of the ELKS) paid monthly and computed on the basis of a 360-day year of twelve 30-day months

Downside threshold closing price:

   

$             (80.00 % of the initial equity price).

Initial equity price:

   

$            , the closing price of the underlying equity on the pricing date.

Payment at maturity:

   

For each $10 ELKS:

 

(1)       a fixed number of shares of the underlying equity equal to the equity ratio (or, if you exercise your cash election right, the cash value of those shares based on the closing price of the underlying equity on the valuation date) if the closing price of the underlying equity on any trading day from but excluding the pricing date to and including the valuation date declines to or below the downside threshold closing price (to be determined on the pricing date), or

 

(2)       $10 in cash.

Equity ratio:

   

The number of shares of the underlying equity per ELKS equal to $10 divided by the initial equity price (actual equity ratio to be determined on the pricing date).

Listing:

   

None

CUSIP:

   

17317U766

Selling concession:

   

up to 1.50 %

Investor Profile

Investor Seeks:

n  Monthly Fixed Coupon

n  Contingent downside protection of approximately 20%

n  A short-term equity-linked investment

Investor Can Accept:

n  A holding period of approximately 6 months

n  The possibility of losing part or all of the principal amount invested

n  Please review the “Key Risk Factors” section of the applicable Offering Summary for a complete description of the

     risks associated with this investment

For questions, please call your Financial Advisor

*The information listed above is not intended to be a complete description of all of the terms, risks and benefits of a particular investment. All maturities are approximate. All terms in brackets are indicative only and will be set on the applicable pricing date. All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. Please refer to the relevant investment’s offering documents and related material(s) for additional information.

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ELKS® Based Upon the  Common

Stock of Transocean Ltd. (“RIG”)

  

 

 

 

LOGO  

 

  

Indicative Terms*

 

Issuer:

   

Citigroup Funding Inc.

Guarantee:

   

Any payments due on the ELKS are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company; however, you may receive an amount at maturity that is less than the stated principal amount of your initial investment.

Issue price:

   

$10 per ELKS

Underlying equity:

   

The Common Stock of Transocean Ltd. (NYSE symbol: “RIG”)

Pricing date:

   

July     , 2011 (expected to price on or about July 25, 2011, or if such day is not a scheduled trading day, the next succeeding scheduled trading day).

Issue date:

   

July     , 2011 (three business days after the pricing date).

Maturity date:

   

January     , 2012 (expected to be on or about January 25, 2012)

Valuation date:

   

January     , 2012 (expected to be three trading days before the maturity date)

Principal due at maturity*:

   

Payment at maturity may be less than the principal amount

Coupon:

   

[8.00 % to 10.00 %] per annum (approximately [4.00% to 5.00%] for the term of the ELKS) paid monthly and computed on the basis of a 360-day year of twelve 30-day months

Downside threshold closing price:

   

$             (75.00 % of the initial equity price).

Initial equity price:

   

$             , the closing price of the underlying equity on the pricing date.

Payment at maturity:

   

For each $10 ELKS:

 

(1)       a fixed number of shares of the underlying equity equal to the equity ratio (or, if you exercise your cash election right, the cash value of those shares based on the closing price of the underlying equity on the valuation date) if the closing price of the underlying equity on any trading day from but excluding the pricing date to and including the valuation date declines to or below the downside threshold closing price (to be determined on the pricing date), or

 

(2)       $10 in cash.

Equity ratio:

   

The number of shares of the underlying equity per ELKS equal to $10 divided by the initial equity price (actual equity ratio to be determined on the pricing date).

Listing:

   

None

CUSIP:

   

17317U58

Selling concession:

   

up to 1.50 %

Investor Profile

Investor Seeks:

n  Monthly Fixed Coupon

n  Contingent downside protection of approximately 25%

n  A short-term equity-linked investment

Investor Can Accept:

n  A holding period of approximately 6 months

n  The possibility of losing part or all of the principal amount invested

n  Please review the “Key Risk Factors” section of the applicable Offering Summary for a complete description of the

     risks associated with this investment

For questions, please call your Financial Advisor

*The information listed above is not intended to be a complete description of all of the terms, risks and benefits of a particular investment. All maturities are approximate. All terms in brackets are indicative only and will be set on the applicable pricing date. All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. Please refer to the relevant investment’s offering documents and related material(s) for additional information.

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11  

General Overview of Structures

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Investments       Maturity           Risk Profile*       Return*

Contingent

Absolute Return

MLDs/Notes

   1-2 Years   Full principal
amount due at
maturity		   If the underlying never crosses either an upside or downside threshold, the return on the
investment equals the absolute value of the return of the underlying; Otherwise the return
equals zero

Contingent Upside

Participation

MLDs/Notes

   1-3 Years   Full principal
amount due at
maturity		   If the underlying crosses an upside threshold, the return on the investment equals an
interest payment paid at maturity; Otherwise the return equals the greater of the return of
the underlying and zero

Minimum Coupon

Notes

   3-5 Years   Full principal
amount due at
maturity		   If the underlying ever crosses an upside threshold during a coupon period, the return for the
coupon period equals the minimum coupon; Otherwise the return for a coupon period
equals the greater of the return of the underlying during the coupon period and the
minimum coupon

Safety First Trust

Certificates

   3-6 Years   Full principal
amount due at
maturity		   The return on the investment equals the greater of the return of the underlying multiplied by
a participation rate and zero; sometimes the maximum return is capped

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Investments       Maturity           Risk Profile*       Return*
ELKS®  

6-13

Months

   Payment at maturity may be less than the principal amount   A fixed coupon is paid regardless of the performance of the underlying. If the underlying never crosses a downside threshold, the return on the investment equals the coupons paid; Otherwise the return equals the sum of the coupons paid and the return of the underlying at maturity
Buffer Notes   1-2 Years   Payment at maturity may be less than the principal amount   If the return of the underlying is positive at maturity, the return on the investment equals the lesser of (a) the return of the underlying multiplied by a participation rate and (b) the maximum return on the notes; Otherwise, the return equals the lesser of (a) the return of the underlying plus the buffer amount and (b) zero
PACERSSM   1-3 Years   Payment at maturity may be less than the principal amount   If the underlying is equal to or greater than a threshold (such as its initial value) on any call date, the note is called and the return on the investment equals a fixed premium. If the note has not been called, at maturity, if the underlying has crossed a downside threshold, the return on the investment equals the return of the underlying, which will be negative; Otherwise the return equals zero
LASERSSM   3-4 Years   Payment at maturity may be less than the principal amount   If the return of the underlying is positive at maturity, the return on the investment equals the return of the underlying multiplied by a participation rate (some versions are subject to a maximum return on the notes). If the return of the underlying is negative and the underlying has crossed a downside threshold, the return on the investment equals the return of the underlying, which will be negative; Otherwise the return equals zero

LOGO

 

Investments       Maturity           Risk Profile*       Return*
Upturn Notes   1-2 Years   Payment at maturity may be zero   If the underlying is up at maturity, the return on the investment equals the lesser of the return of the underlying multiplied by a participation rate and the maximum return on the notes; Otherwise the return equals the return of the underlying

Fixed Upside

Return Notes

   1-2 Years   Payment at maturity may be zero   If the underlying is equal to or above its initial level at maturity, the return on the investment equals a predetermined fixed amount; Otherwise the return equals the return of the underlying

Strategic Market

Access Notes

   3-4 Years   Payment at maturity may be zero   The return on the investment equals the return of a unique index created by Citi

*All returns and any principal amount due at maturity are subject to the applicable issuer or guarantor credit risk, with the exception of Market-Linked Certificates of Deposit which has FDIC insurance, subject to applicable limitations. This is not a complete list of CitiFirst structures. The descriptions above are not intended to completely describe how an investment works or to detail all of the terms, risks and benefits of a particular investment. The return profiles can change. Please refer to the offering documents and related material(s) of a particular investment for a comprehensive description of the structure, terms, risks and benefits related to that investment.

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Important Information for the Monthly Offerings

Investment Information

The investments set forth in the previous pages are intended for general indication only of the CitiFirst Structured Investments offerings. The issuer reserves the right to terminate any offering prior to its pricing date or to close ticketing early on any offering.

SEC Registered (Public) Offerings

Each issuer and guarantor, if applicable, has separately filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the “SEC”) for the SEC registered offerings by that issuer or guarantor, if applicable, to which this communication relates. Before you invest in any of the registered offerings identified in this Offerings Brochure, you should read the prospectus in the applicable registration statement and the other documents the issuer and guarantor, if applicable, have filed with the SEC for more complete information about that issuer, the guarantor, if applicable, and offerings. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov.

For Registered Offerings Issued by: Citigroup Funding Inc.

Issuer’s Registration Statement Number: 333-172554

Issuer’s CIK on the SEC Website: 0001318281

Alternatively, you can request a prospectus and any other documents related to the offerings, either in hard copy or electronic form, by calling toll-free 1-877-858-5407 or by calling your Financial Advisor.

The SEC registered securities described herein are not bank deposits but are senior, unsecured debt obligations of the issuer. The SEC registered securities are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other governmental agency or instrumentality.

Market-Linked Certificates of Deposit

The Market-Linked Deposits (“MLDs”) are not SEC registered offerings and are not required to be so registered. For indicative terms and conditions on any MLD, please contact your Financial Advisor or call the toll-free number 1-877-858-5407.

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        13   

Overview of Key Benefits

and Risks of Structured Investments

 

Benefits

 

n  

Investors can access investments linked to a variety of underlying assets or indices, such as domestic and foreign indices, exchange-traded funds, commodities, foreign-exchange, interest rates, equities, or a combination thereof.

 

n  

Structured investments can offer unique risk/return profiles to match investment objectives, such as the amount of principal due at maturity, periodic income, and enhanced returns.

Risks

 

n  

The risks below are not intended to be an exhaustive list of the risks associated with a particular CitiFirst Structured Investment offering. Before you invest in any CitiFirst Structured Investment you should thoroughly review the particular investment’s offering document(s) and related material(s) for a comprehensive description of the risks and considerations associated with the particular investment.

 

n  

Potential for Loss

 

  n  

The terms of certain investments provide that the full principal amount is due at maturity, subject to the applicable issuer or guarantor credit risk. However, if an investor sells or redeems such investment prior to maturity, the investor may receive an amount less than his/her original investment.

 

  n  

The terms of certain investments provide that the payment due at maturity could be significantly less than the full principal amount and, for certain investments, could be zero. In these cases, an investor may receive an amount significantly less than his/her original investment and may receive nothing at maturity of the investment.

 

n  

Appreciation May Be Limited – Depending on the investment, an investor’s appreciation may be limited by a maximum amount payable or by the extent to which the return reflects the performance of the underlying asset or index.

 

n  

Issuer or Guarantor Credit Risk – All payments on CitiFirst Structured Investments are dependent on the applicable issuer’s or guarantor’s ability to pay all amounts due on these investments including any principal due at maturity and therefore investors are subject to the credit risk of the applicable issuer or guarantor.

 

n  

Secondary Market – There may be little or no secondary market for a particular investment. If the applicable offering document(s) so specifies, the issuer may apply to list an investment on a securities exchange, but it is not possible to predict whether any investment will meet the listing requirements of that particular exchange, or if listed, whether any secondary market will exist.

 

n  

Resale Value of a CitiFirst Structured Investment May be Lower than Your Initial Investment – Due to, among other things, the changes in the price of and dividend yield on the underlying asset, interest rates, the earnings performance of the issuer of the underlying asset, the applicable issuer or guarantor of the CitiFirst Structured Investment’s perceived creditworthiness, the investment may trade, if at all, at prices below its initial issue price and an investor could receive substantially less than the amount of his/her original investment upon any resale of the investment.

n  

Volatility of the Underlying Asset or Index – Depending on the investment, the amount you receive at maturity could depend on the price or value of the underlying asset or index during the term of the trade as well as where the price or value of the underlying asset or index is at maturity; thus, the volatility of the underlying asset or index, which is the term used to describe the size and frequency of market fluctuations in the price or value of the underlying asset or index, may result in an investor receiving an amount less than he/she would otherwise receive.

 

n  

Potential for Lower Comparable Yield – The effective yield on any investment may be less than that which would be payable on a conventional fixed-rate debt security of the same issuer with comparable maturity.

 

n  

Affiliate Research Reports and Commentary – Affiliates of the particular issuer may publish research reports or otherwise express opinions or provide recommendations from time to time regarding the underlying asset or index which may influence the price or value of the underlying asset or index and, therefore, the value of the investment. Further, any research, opinion or recommendation expressed within such research reports may not be consistent with purchasing, holding or selling the investment.

 

n  

The United States Federal Income Tax Consequences of Structured Investments are Uncertain – No statutory, judicial or administrative authority directly addresses the characterization of structured investments for U.S. federal income tax purposes. The tax treatment of a structured investment may be very different than that of its underlying asset. As a result, significant aspects of the U.S. federal income tax consequences and treatment of an investment are not certain. The offering document(s) for each structured investment contains tax conclusions and discussions about the expected U.S. federal income tax consequences and treatment of the related structured investment. However, no ruling is being requested from the Internal Revenue Service with respect to any structured investment and no assurance can be given that the Internal Revenue Service will agree with the tax conclusions and treatment expressed within the offering document(s) of a particular structured investment. Citigroup Global Markets Inc., its affiliates, and employees do not provide tax or legal advice. Investors should consult with their own professional advisor(s) on such matters before investing in any structured investment.

 

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Fees and Conflicts – The issuer of a structured investment and its affiliates may play a variety of roles in connection with the investment, including acting as calculation agent and hedging the issuer’s obligations under the investment. In performing these duties, the economic interests of the affiliates of the issuer may be adverse to the interest of the investor.

 

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Additional Considerations

 

Please note that the information contained in this brochure is current as of the date indicated and is not intended to be a complete description of the terms, risks and benefits associated with any particular structured investment. Therefore, all of the information set forth herein is qualified in its entirety by the more detailed information provided in the offering documents(s) and related material for the respective structured investment.

 

The structured investments discussed within this brochure are not suitable for all investors. Prospective investors should evaluate their financial objectives and tolerance for risk prior to investing in any structured investment.

 

Tax Disclosure

 

Citigroup Global Markets Inc., its affiliates and employees do not provide tax or legal advice. To the extent that this brochure or any offering document(s) concerns tax matters, it is not intended to be used and cannot be used by a taxpayer for the purpose of avoiding penalties that may be imposed by law. Any such taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor.

 

ERISA and IRA Purchase Considerations

 

Employee benefit plans subject to ERISA, entities the assets of which are deemed to constitute the assets of such plans, governmental or other plans subject to laws substantially similar to ERISA and retirement accounts (including Keogh, SEP and SIMPLE plans, individual retirement accounts and individual retirement annuities) are permitted to purchase structured investments as long as either (A) (1) no Citigroup Global Markets affiliate or employee is a fiduciary to such plan or retirement account that has or exercises any discretionary authority or control with respect to the assets of such plan or retirement account used to purchase the structured investments or renders investment advice with respect to those assets, and (2) such plan or retirement account is paying no more than adequate consideration for the structured investments or (B) its acquisition and holding of the structured in is not prohibited by any such provisions or laws or is exempt from any such prohibition.

 

However, individual retirement accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to purchase or hold the structured investments if the account, plan or annuity is for the benefit of an employee of Citigroup Global Markets or Morgan Stanley Smith Barney or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of structured investments by the account, plan or annuity. You should refer to the section “ERISA Matters” in the applicable offering document(s) for more information.

 

Distribution Limitations and Considerations

 

This document may not be distributed in any jurisdiction where it is unlawful to do so. The investments described in this document may not be marketed, or sold or be available for offer or sale in any jurisdiction outside of the U.S., unless explicitly stated in the offering document(s) and related materials. In particular:

 

WARNING TO INVESTORS IN HONG KONG ONLY: The contents of this document have not been reviewed by any regulatory authority in Hong Kong. Investors are advised to exercise caution in relation to the offer. If Investors are in any doubt about any of the contents of this document, they should obtain independent professional advice.

   

This offer is not being made in Hong Kong, by means of any document, other than (1) to persons whose ordinary business it is to buy or sell shares or debentures (whether as principal or agent); (2) to “professional investors” within the meaning of the Securities and Futures Ordinance (Cap. 571) of Hong Kong (the “SFO”) and any rules made under the SFO; or (3) in other circumstances which do not result in the document being a “prospectus” as defined in the Companies Ordinance (Cap. 32) of Hong Kong (the “CO”) or which do not constitute an offer to the public within the meaning of the CO.

 

There is no advertisement, invitation or document relating to structured investments, which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the laws of Hong Kong) other than with respect to structured investments which are or are intended to be disposed of only to persons outside Hong Kong or only to the persons or in the circumstances described in the preceding paragraph.

 

WARNING TO INVESTORS IN SINGAPORE ONLY: This document has not been registered as a prospectus with the Monetary Authority of Singapore under the Securities and Futures Act, Chapter 289 of the Singapore Statutes (the Securities and Futures Act). Accordingly, neither this document nor any other document or material in connection with the offer or sale, or invitation for subscription or purchase, of the structured investments may be circulated or distributed, nor may the structured investments be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to the public or any member of the public in Singapore other than in circumstances where the registration of a prospectus is not required and thus only (1) to an institutional investor or other person falling within section 274 of the Securities and Futures Act, (2) to a relevant person (as defined in section 275 of the Securities and Futures Act) or to any person pursuant to section 275(1A) of the Securities and Futures Act and in accordance with the conditions specified in section 275 of that Act, or (3) pursuant to, and in accordance with the conditions of, any other applicable provision of the Securities and Futures Act. No person receiving a copy of this document may treat the same as constituting any invitation to him/her, unless in the relevant territory such an invitation could be lawfully made to him/her without compliance with any registration or other legal requirements or where such registration or other legal requirements have been complied with. Each of the following relevant persons specified in Section 275 of the Securities and Futures Act who has subscribed for or purchased structured investments, namely a person who is:

 

(a) a corporation (which is not an accredited investor) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited investor, or

 

(b) a trust (other than a trust the trustee of which is an accredited investor) whose sole purpose is to hold investments and of which each beneficiary is an individual who is an accredited investor, should note that securities of that corporation or the beneficiaries’ rights and interest in that trust may not be transferred for 6 months after that corporation or that trust has acquired the structured investments under Section 275 of the Securities and Futures Act pursuant to an offer made in reliance on an exemption under Section 275 of the Securities and Futures Act unless:

 

(i) the transfer is made only to institutional investors, or relevant persons as defined in Section 275(2) of that Act, or arises from an offer referred to in Section 275(1A) of that Act (in the case of a corporation) or in accordance with Section 276(4)(i)(B) of that Act (in the case of a trust);

 

(ii) no consideration is or will be given for the transfer; or

 

(iii) the transfer is by operation of law.

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At Citi, our talented professionals are dedicated to delivering innovative value added investments and services to our clients across the globe. Our teams in structuring, marketing, sales and trading are focused on educating at educating our distribution partners and putting clients first.

To discuss CitiFirst structured investment ideas and strategies, Financial Advisors, Private Bankers and other distribution partners may call our sales team. Private Investors should call their financial advisor or private banker.

Client service number for Financial Advisors and Distribution Partners in the Americas:

+1 (212) 723-7005 and +1 (212) 723-7288

 

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