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Name | Symbol | Market | Type |
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Calamos ETF Trust Russell 2000 Structured Alt Protection ETF July | NYSE:CPRJ | NYSE | Exchange Traded Fund |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 0 | - |
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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, do not guarantee the repayment of principal at maturity and are subject to potential automatic early redemption on an annual basis on the terms described below. Your return on the securities will depend on the
worst performing
of the S&P 500
®
Index and the Russell 2000
®
Index (each, an “index”).
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▪
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The securities provide for the repayment of principal plus a premium following the first annual valuation date on which the closing level of the worst performing index is greater than or equal to its initial index level. However, if the closing level of the worst performing index is not greater than or equal to its initial index level on any of the annual valuation dates, you will not receive any premium, and if the closing level of the worst performing index on the final valuation date is less than 80% of its initial index level, you will incur a loss on your investment in the securities.
If the securities are not automatically redeemed prior to maturity and the closing level of the worst performing index on the final valuation date is less than 80% of its initial index level, you will lose at least 20%, and up to all, of your investment in the securities.
Your return on the securities will depend solely on the performance of the worst performing index, and you will not benefit in any way from the performance of the better performing index.
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▪
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The securities are subject to the credit risk of Citigroup Inc. If we default on our obligations, you may not receive any amount owed to you under the securities.
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Citigroup Inc.
|
Autocallable Securities Based Upon the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due November , 2016
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November 2013
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PS-2
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Citigroup Inc.
|
Autocallable Securities Based Upon the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due November , 2016
|
If the first valuation date on which the closing level of the worst performing index is greater than or equal to the applicable initial index level is . . .
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. . . then you will receive the following payment per security upon automatic early redemption or at maturity, as applicable:
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November 21, 2014
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$1,000 + applicable premium = $1,000 + $102 = $1,102
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November 20, 2015
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$1,000 + applicable premium = $1,000 + $204 = $1,204
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November 23, 2016
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$1,000 + applicable premium = $1,000 + $306 = $1,306
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Index performance factor of the S&P 500
®
Index
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= closing level on final valuation date /
initial index level
= 1,487.50 / 1,750.00
= 0.85
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Index performance factor of the Russell 2000
®
Index
|
= closing level on final valuation date /
initial index level
= 1,210.00 / 1,100.00
= 1.1
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Index performance factor of the S&P 500
®
Index
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= closing level on final valuation date /
initial index level
= 1,837.50 / 1,750.00
= 1.05
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Index performance factor of the Russell 2000
®
Index
|
= closing level on final valuation date /
initial index level
= 550.00 / 1,100.00
= 0.5
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November 2013
|
PS-3
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Payment at maturity per security
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= 1,000 × the index performance factor of the worst performing index
= $1,000 × 0.5
= $500
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§
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You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not guarantee repayment of the stated principal amount at maturity. If the securities are not automatically redeemed prior to maturity, your payment at maturity will depend on the performance of the worst performing index. If the closing level of the worst performing index on the final valuation date is less than the applicable trigger level, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing index has declined from its initial index level, regardless of the performance of the other index. There is no minimum payment at maturity on the securities, and you may lose your entire investment in the securities.
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§
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The trigger feature of the securities exposes you to particular risks.
If the closing level of the worst performing index on the final valuation date is less than the applicable trigger level, you will lose 1% of the stated principal amount of the securities for every 1% by which the worst performing index has declined from its initial index level. Although you will be repaid your stated principal amount at maturity if the worst performing index depreciates by 20% or less from its initial index level, you will have full downside exposure to the worst performing index if it depreciates by more than 20%. As a result, you may lose your entire investment in the securities.
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§
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The securities do not pay interest.
You should not invest in the securities if you seek current income during the term of the securities.
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§
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Your potential return on the securities is limited.
Your potential return on the securities is limited to the applicable premium payable upon automatic early redemption or at maturity, as described on the cover page of this pricing supplement. If the closing level of the worst performing index is greater than or equal to the applicable initial index level on one of the valuation dates, you will be repaid the stated principal amount of your securities and will receive the fixed premium applicable to that valuation date, regardless of how significantly the closing level of the indices on that valuation date may exceed their respective initial index levels. Accordingly, the premium may result in a return on the securities that is significantly less than the return you could have achieved on a direct investment in either of both of the indices.
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§
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The securities are subject to the risks of both indices and will be negatively affected if either performs poorly, even if the other performs well.
You are subject to risks associated with both indices. If either index performs poorly, you will be negatively affected, even if the other index performs well. The securities are not linked to a basket composed of the indices, where the better performance of one could ameliorate the poor performance of the other. Instead, you are subject to the full risks of whichever of the indices is the worst performing index.
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§
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You will not benefit in any way from the performance of the better performing index.
The return on the securities depends solely on the performance of the worst performing index, and you will not benefit in any way from the performance of the better performing index. The securities may underperform a similar investment in both of the indices or a similar alternative investment linked to a basket composed of the indices, since in either such case the performance of the better performing index would be blended with the performance of the worst performing index, resulting in a better return than the return of the worst performing index.
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§
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The term of the securities may be as short as one year.
If the closing level of the worst performing index on any valuation date, including the valuation date expected to occur one year after the pricing date, is greater than or equal to the applicable initial index level, the securities will be automatically redeemed. The earlier the automatic redemption, the lower the premium you will receive.
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§
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You will be subject to risks relating to the relationship between the indices.
It is preferable from your perspective for the indices to be correlated with each other, in the sense that they tend to increase or decrease at similar times and by similar magnitudes. By investing in the securities, you assume the risk that the indices will not exhibit this relationship. The less correlated the indices, the more likely it is that one or the other of the indices will perform poorly over the term of the securities. All that is necessary for the securities to perform poorly is for one of the indices to perform poorly; the performance of the index that is not the worst performing index is not relevant to your return on the securities at maturity or on an earlier automatic redemption date. It is impossible to predict what the relationship between the indices will be over the term of the securities. Although the indices both represent portions of the U.S. equity markets, it is important to understand that they represent different portions of the U.S. markets which may not perform similarly over the term of the securities.
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§
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Investing in the securities is not equivalent to investing in either index or the stocks that constitute either index.
You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute either index. As of October 30, 2013, the average dividend yield of the S&P 500
®
Index was 2.15% per year, which, if this dividend yield remained constant for the term of the securities, would be equivalent to 6.45% (assuming no reinvestment of dividends) over the term of the securities (assuming they are not automatically redeemed prior to maturity). As of October 30, 2013, the average dividend yield of the Russell 2000
®
Index was 1.82% per year, which, if this dividend yield remained constant for the term of the securities, would be equivalent to 5.46% (assuming no reinvestment of dividends) over the term of the securities (assuming they are not automatically redeemed prior to maturity). However, it is impossible to predict whether the dividend yield over the term of the securities will be higher, lower or the same as the dividend yield or the average dividend yield over any period.
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§
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Your return on the securities depends on the closing levels of the indices on only three days.
Because your payment upon automatic early redemption, if applicable, or at maturity depends on the closing levels of the indices solely on one of the three valuation dates, you are subject to the risk that the closing levels of the indices on those days may be lower, and possibly significantly lower, than on one or more other dates during the term of the securities. If you had invested in another instrument linked to the indices that you could sell for full value at a time selected by you, or if the return on the securities was based on an average of closing levels of the indices, you might have achieved better returns.
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§
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The securities are subject to the credit risk of Citigroup Inc.
If we default on our obligations under the securities, you may not receive any amounts owed to you under the securities.
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The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity.
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.
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The estimated value of the securities on the pricing date, based on CGMI’s proprietary pricing models and our internal funding rate, 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 selling concessions 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.
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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 and correlation between the indices, dividend yields on the stocks that constitute the indices and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the securities. Moreover, t
he 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.
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§
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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.
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The estimated value of the securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the securities from you in the secondary market.
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.
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The value of the securities prior to maturity will fluctuate based on many unpredictable factors.
The value of your securities prior to maturity will fluctuate based on the level and volatility of the indices and a number of other factors, including the price and volatility of the stocks that constitute the indices, the correlation between the indices, dividend yields on the stocks that constitute the indices, interest rates generally, the time remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your securities at any time prior to maturity may be significantly less than the issue price.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment.
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.
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The securities are linked to the Russell 2000
®
Index and will be subject to risks associated with small capitalization stocks.
The stocks that constitute the Russell 2000
®
Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
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Our offering of the securities is not a recommendation of either index.
The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the indices is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in the stocks that constitute the indices or in instruments related to the indices or the stocks that constitute the indices, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the indices. These and other of our affiliates’ activities may adversely affect the levels of the indices in a way that has a negative impact on your interests as a holder of the securities.
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The levels of the indices may be adversely affected by our or our affiliates’ hedging and other trading activities.
We expect to hedge our obligations under the securities through CGMI or other of our affiliates, who may take positions directly in the stocks that constitute the indices or in instruments related to the indices. Our affiliates also trade the stocks that constitute the indices and other financial instruments related to the indices on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions on behalf of customers. These activities could affect the levels of the indices in a way that negatively affects the value of the securities. They could also result in substantial returns for us or our affiliates while the value of the securities declines.
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We and our affiliates may have economic interests that are adverse to yours as a result of our affiliates’ business activities.
Our affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the indices, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business, we or our affiliates may acquire non-public information about such issuers, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against such issuer that are available to them without regard to your interests.
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The calculation agent, which is an affiliate of ours, will make important determinations with respect to the securities.
If certain events occur, such as market disruption events or the discontinuance of either index, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect your return on the securities. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the securities.
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Adjustments to either index may affect the value of your securities.
S&P Dow Jones Indices LLC, as publisher of the S&P 500
®
Index, or Russell Investment Group, as publisher of the Russell 2000
®
Index, may add, delete or substitute the stocks that constitute either index or make other methodological changes that could affect the level of either index. S&P Dow Jones Indices LLC or Russell Investment Group may discontinue or suspend calculation or publication of either index at any time without regard to your interests as holders of the securities.
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The U.S. federal tax consequences of an investment in the securities are unclear.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the ownership and disposition of the securities might be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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November 2013
|
PS-8
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Citigroup Inc.
|
Autocallable Securities Based Upon the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index Due November , 2016
|
November 2013
|
PS-9
|
|
·
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You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.
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·
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Upon a sale, exchange or redemption of the securities, or retirement of the securities at maturity, you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the securities. Such gain or loss should be long-term capital gain or loss if you held the securities for more than one year.
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November 2013
|
PS-10
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November 2013
|
PS-12
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1 Year Calamos ETF Trus Chart |
1 Month Calamos ETF Trus Chart |
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