FWP 1 d296021dfwp.htm FWP FWP
Table of Contents

Filed pursuant to Rule 433

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

 

LOGO

 

Table of Contents

 

  2   

    

Table of Contents

 

 

Introduction to CitiFirst Investments

     3   
CitiFirst Protection Investments   
Market-Lined Notes Based on the Value of the Russell 2000® Index      4   
Non-Callable Fixed to Float Notes      5   
CitiFirst Performance Investments   

Single Observation ELKS® Based Upon the Common Stock of Valero Energy Group (“VLO”)

      7   

LASERSSM Based Upon the S&P 500® Index

      8   

Buffered Digital Notes Based on the Value of the S&P 500 ® Index

      9   

Important Information for the Monthly Offerings

      11   

Overview of Key Benefits and Risks of Investments

      12   

Additional Considerations

      13   

Table of Contents

 

        3   

    

Introduction to CitiFirst Investments

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

 

LOGO  

   

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

LOGO  

   

CitiFirst Performance

Payment due at maturity may be less than the principal amount

    Investments provide for a payment due 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

LOGO  

   

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:

 

LOGO

 

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 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.

Table of Contents

 

  4   

 

 

Market-Linked Notes Based on the Value of the Russell 2000® Index

     LOGO     

Indicative Terms*

 

Issuer:

   Citigroup Funding Inc.

Guarantor:

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

Issue price:

   $1000 per note

Pricing date:

   February     , 2012 (expected to price on or about February 23, 2012).

Original issue date:

   February     , 2012 (three days after the pricing date)

Maturity date:

           , 2015 (expected to be between February 2015 and August 2015). The actual maturity date will be determined on the pricing date.

Valuation date:

           , 2015 (three business days prior to the maturity date), subject to postponement for non-underlying index business days and certain market disruption events.

Underlying index:

     The Russell 2000® Index (Bloomberg Symbol: “RUT”)

Principal due at maturity:

   Full principal amount due at maturity

Payment at maturity:

   For each note, the $1,000 principal amount per note, plus the note return amount, which may be zero or positive

Note return amount:

  

•   If the final index value is less than or equal to the initial index value:

$0

•   If the final index value is greater than the initial index value but less than or equal to the upside knock-out value:

$1,000 × the index return percentage

•   If the final index value is greater than the upside knock-out value:

$60 (6% of the principal amount per note)

The note return amount will never be greater than $240 per note (24% of the principal amount per note), and your payment at maturity will never be greater than $1,240 per note. The note return amount will be $0 if the final index value is less than or equal to the initial index value.

Upside knock-out value:

  

(124% of the initial value)

Index return percentage:

   (final index value – initial index value) / initial index value

Initial index value:

   The closing value of the underlying index on the pricing date

Final index value:

   The closing value of the underlying index on the valuation date

CUSIP:

   1730T0WA3

Listing:

   The notes will not be listed on any securities exchange.

Selling Concession:

   3.00%

Investor Profile

Investor Seeks:

 

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

 

 ¡  

Exposure to the Russell 2000® Index

 

 ¡   A medium-term equity index-linked investment

Investor Can Accept:

 

 ¡   A holding period of approximately 3.0 to 3.5 years

 

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

 

 ¡   Please review the “Risk Factors” section of the applicable preliminary 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.

Table of Contents

 

  5   

 

Non-Callable Fixed to Float Notes

   LOGO  

Indicative Terms*

 

Issuer:

   Citigroup Funding Inc.

Guarantor:

   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:

   February     , 2012 (expected to price on or about February 23, 2012).

Original issue date:

   February     , 2012 (three days after the pricing date)

Stated Maturity date:

   February     , 2015, (expected to be February 27, 2015)

Payment at maturity:

  

The principal payment at maturity per $1,000 note will equal:

$1,000 + any accrued or unpaid interest

In no event will the payment at maturity be less than $1,000.

Interest rate per annum:

   From and including the original issue date to but excluding February     , 2014 (expected to be February 28, 2014): a fixed per annum rate of 2.25%. From and including February     , 2014 (expected to be February 28, 2014), to but excluding the stated maturity date: a floating rate equal to three-month U.S. dollar LIBOR determined on the second London business day prior to the first day of the applicable interest period plus a spread of 1.75%, subject to a maximum rate of 6.00% per annum for any interest period.

Interest payment dates:

   Each February     , May     , August and November (expected to be the 28th of each month), beginning on May     , 2012 (expected to be May 28, 2012) and ending on the maturity date.

Interest period:

   Each three-month period from and including an interest payment date to but excluding the next interest payment date.

Quarterly interest payment

period:

   The product of $1,000 and the applicable interest rate per annum divided by 4.

Day count convention:

   30/360 Unadjusted

CUSIP:

   1730T0WD7

Listing:

   The notes will not be listed on any securities exchange.

Selling Concession:

   up to 1.00%

Investor Profile

Investor Seeks:

 

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

 

 ¡   Exposure to the three-month USD LIBOR

 

 ¡   A medium-term interest rate-linked investment

Investor Can Accept:

 

 ¡   A holding period of approximately 3.0 years

 

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

 

 ¡   Please review the “Risk Factors” section of the applicable preliminary 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.

Table of Contents

 

  6   

 

Non-Callable Fixed to Float Notes

   

LOGO

Indicative Terms*

 

Issuer:

   

Citigroup Funding Inc.

Guarantor:

   

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:

   

February     , 2012 (expected to price on or about February 23, 2012).

Original issue date:

   

February     , 2012 (three days after the pricing date)

Stated Maturity date:

   

February     , 2015, (expected to be February 27, 2015)

Payment at maturity:

   

The principal payment at maturity per $1,000 note will equal:

$1,000 + any accrued or unpaid interest

In no event will the payment at maturity be less than $1,000.

Interest rate per annum:

   

From and including the original issue date to but excluding February     , 2014 (expected to be February 28, 2014): a fixed per annum rate of 2.25%. From and including February     , 2014 (expected to be January 28, 2014), to but excluding the stated maturity date: a floating rate equal to three-month U.S. dollar LIBOR determined on the second London business day prior to the first day of the applicable interest period plus a spread of 1.75%, subject to a maximum rate of 6.00% per annum for any interest period.

Interest payment dates:

   

Each February     , May     , August and November (expected to be the 28th of each month), beginning on May     , 2012 (expected to be May 28, 2012) and ending on the maturity date.

Interest calculation period:  

   

Each three-month period from and including an interest payment date to and including the day immediately preceding the next interest payment date.

Quarterly interest payment:

   

The product of $1,000 and the applicable interest rate per annum divided by 4.

Day count convention:

   

30/360 Unadjusted

CUSIP:

   

1730T0WD7

Listing:

   

The notes will not be listed on any securities exchange.

Selling Concession:

   

up to 1.00%

Investor Profile

Investor Seeks:

 

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

 

¡ Exposure to the three-month USD LIBOR

 

¡ A medium-term interest rate-linked investment

Investor Can Accept:

 

¡ A holding period of approximately 3.0 years

 

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

 

¡ Please review the “Risk Factors” section of the applicable preliminary 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.

Table of Contents

 

        7   

 

Single Observation ELKS® Based Upon the Common Stock of the Valero Energy Group (“VLO”)

   

LOGO  

Indicative Terms*

 

Issuer:

   

Citigroup Funding Inc.

Guarantor:

   

Any payments due on the Single Observation 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 the Single Observation ELKS and possibly zero.

Issue price:

   

$10 per Single Observation ELKS

Underlying equity:

   

The Common Stock of Valero Energy Group (NYSE symbol: “VLO”)

Pricing date:

   

February     , 2012 (expected to price on or about February 23, 2012, or if such day is not a scheduled trading day, the next succeeding scheduled trading day).

Issue date:

   

February     , 2012 (three business days after the pricing date).

Maturity date:

   

August     , 2012 (expected to be on or about August 22, 2012)

Valuation date:

   

August     , 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:

   

[7.00 % to 9.00 %] per annum (approximately [3.382 % to 4.350 %] for the term of the Single Observation 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 Single Observation 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 the valuation date is less than or equal to the downside threshold closing price (to be determined on the pricing date), or

 

(2) $10 in cash.

Equity ratio:

   

The stated principal amount divided by the initial equity price, subject to anti-dilution adjustments for certain corporate events. The equity ratio will be determined on the pricing date.

Listing:

   

The Single Observation ELKS will not be listed on any securities exchange.

CUSIP:

   

17317U170

Selling Concession:

   

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 “Risk Factors” section of the applicable preliminary 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 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.

Table of Contents

 

  8   

 

 

LASERSSM Based Upon the S&P 500® Index

      LOGO     

Indicative Terms*

Issuer:

   

Citigroup Funding Inc.

Guarantor:

   

Any payments due on the Index LASERSSM are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company; however, because the Index LASERSSM are not principal protected, you may receive an amount at maturity that is substantially less than the stated principal amount of the Index LASERSSM and possibly zero.

Issue price:

   

$1,000 per Index LASERSSM

Underlying index:

   

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

Pricing date:

   

February     , 2012 (expected to price on or about February 23, 2012, or if such day is not a scheduled index business day, the next succeeding index business day).

Original issue date:

   

February     , 2012 (three business days after the pricing date)

Maturity date:

   

February     , 2015 (expected to be February 25, 2015)

Valuation date:

   

February     , 2015 (expected to be February 15, 2015), subject to postponement for non-index business days and certain market disruption events.

Payment at maturity:

   

If the final index value is greater than the downside threshold value,

 

•                      $1,000 + the greater of (i) the upside payment and (ii) $1,000 × the index percent increase

 

If the final index value is less than or equal to the downside threshold value,

 

•                       $1,000 × the index performance factor

 

This amount will be less than or equal to $800 and could be zero.

Downside threshold:

   

(80% of the initial index value)

Upside payment:

   

$150 to $200 per Index LASERSSM (15% to 20% of the stated principal amount), to be determined on the pricing date)

Index performance factor:

   

final index value / initial index value

Initial index value:

   

The closing value of the underlying index on the pricing date

Final index value:

   

The closing value of the underlying index on the valuation date

Index percent increase:

   

(final index value – initial index value) / initial index value

Listing:

   

None

CUSIP:

   

1730T0WB1

Selling Concession:

   

3.00 %

Investor Profile

Investor Seeks:

n  Exposure to the S&P 500® Index

n  A medium-term equity index-linked investment

n  Possibility to lose all of your stated principal amount

Investor Can Accept:

n  A holding period of approximately 3.0 years

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

n  Please review the “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.

Table of Contents

 

  9   

 

 

Buffered Digital Notes based on the Value of

the S&P 500® Index (“SPX”)

     LOGO     

Indicative Terms*

Issuer:

  

Citigroup Funding Inc.

Guarantor:

  

Any payments due on the notes are guaranteed by Citigroup Inc., Citigroup Funding Inc.’s parent company; however, because the return of the stated principal amount of your investment at maturity is not guaranteed, you may receive a payment at maturity with a value less than the amount you initially invest.

Issue price:

  

$1000 per note

Underlying index:

  

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

Pricing date:

  

February     , 2012 (expected to price on or about February 27, 2012, or if such day is not a scheduled index business day, the next succeeding index business day).

Original issue date:

  

February     , 2012 (two business days after the pricing date)

Maturity date:

  

February     , 2014 (expected to be March 3, 2014)

Valuation date:

  

February 27, 2014, subject to postponement for non-index business days and certain market disruption events.

Annual observation periods:

  

Each period commencing on and including an observation date and continuing to and including the next succeeding observation date.

Upside payment:

  

$120 to $140 per Note [12-14% of the stated principal amount] (To be determined on Pricing Date)

Payment at maturity:

  

For each $1,000.00 Note:

 

• $1,000 plus the Upside Payment, if the Final Index Value is greater than the Initial Index Value,

• $1,000, if the Final Index Value is less than the Initial Index Value but has decreased from the Initial Index Value by an amount less than or equal to the Buffer Amount, or

• $1,000 times the Index Performance Factor, plus $200, if the Final Index Value is less than the Initial Index Value and has decreased from the Initial Index Value by an amount greater than the Buffer Amount. This payment will be less than the $1,000 Stated Principal Amount and may be as low as $200 per Note.

Buffer amount:

  

20%

Index performance factor:

  

Final index value

  Initial index value

Minimum payment at maturity:

  

  $200 per Note (20% of the Stated Principal Amount)

Initial annual index value:

  

The closing value of the underlying index on the pricing date.

Final annual index value:

  

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

Listing:

  

None

CUSIP:

  

1730T0VY2

Selling Concession:

  

up to 2.45%

Investor Profile

Investor Seeks:

n  Annual contingent coupon

n  Contingent downside protection of approximately 20%

n  A medium-term equity-linked investment

Investor Can Accept:

n  A holding period of approximately 2 years

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

n  Please review the “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.

Table of Contents

 

  10   

    

General Overview of Investments

 

LOGO

 

        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

 

LOGO

 

        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.

Table of Contents

 

  11   

 

    

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 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.

Table of Contents

 

  12   

 

    

Overview of Key Benefits

and Risks of CitiFirst 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

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.

 

n  

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.

 

Table of Contents

 

  13   

 

    

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.

Table of Contents

 

  14   

    

Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Table of Contents

 

  

 

LOGO

 

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 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

 

LOGO

 

 

For more information, please go to www.citifirst.com

 

ELKS® is a registered service mark of Citigroup Global Markets Inc.

 

Standard & Poor’s,” “S&P 500®,” and “S&P®” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Citigroup Funding.

 

LASERSSM is a service mark of Citigroup Global Markets Inc.

 

©2012 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its subsidiaries and are used and registered throughout the world.

 

“Russell 2000® Index” is a trademark of the Russell Investment Group and has been licensed for use by Citigroup Funding.

 

 

LOGO