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Name | Symbol | Market | Type |
---|---|---|---|
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 | - |
Investment Products
|
Not FDIC Insured
|
May Lose Value
|
No Bank Guarantee
|
§
|
These Single Observation Equity LinKed Securities (ELKS
®
), which we refer to as the “securities,” are unsecured senior debt securities issued by Citigroup Inc. The securities offer a monthly coupon payment at a per annum rate that is generally higher than the rate we would pay on conventional debt securities of the same maturity. In exchange for this higher coupon, you will be exposed to the risk that, if a downside event (as described below) occurs, you will not receive the stated principal amount of your securities at maturity and, instead, will receive shares of common stock of Netflix, Inc. (or, in our sole discretion, cash based on the value of those shares) that are worth significantly less than the stated principal amount and may be worth nothing.
|
§
|
Investors in the securities must be willing to accept (i) an investment that may have limited or no liquidity and (ii) the risk of not receiving any cash or underlying shares due under the securities if we default on our obligations.
All payments on the securities are subject to the credit risk of Citigroup Inc.
|
Underlying shares:
|
Shares of common stock of Netflix, Inc. (NASDAQ symbol: “NFLX”) (the “underlying share issuer”)
|
Pricing date:
|
November , 2013 (expected to be November 22, 2013)
|
Issue date:
|
November , 2013 (three business days after the pricing date)
|
Valuation date:
|
May , 2014 (expected to be May 22, 2014), subject to postponement if such date is not a scheduled trading day or if certain market disruption events occur
|
Maturity date:
|
May , 2014 (expected to be May 28, 2014)
|
Aggregate principal amount:
|
$
|
Stated principal amount:
|
$1,000 per security
|
Coupon:
|
10.00% to 12.00% per annum (approximately 5.03% to 6.03% for the term of the securities). The actual coupon rate will be determined on the pricing date.
|
Coupon payment dates:
|
Expected to be the 28th day of each month, commencing December , 2013 (expected to be December 28, 2013) and ending on the maturity date
|
Payment at maturity:
|
For each $1,000 security you hold at maturity, you will be entitled to receive the final coupon payment
plus
:
|
|
▪ If a downside event occurs:
|
a number of underlying shares equal to the equity ratio (or, in our sole discretion, cash in an amount equal to the equity ratio
multiplied by
the final share price)
|
|
▪ If a downside event does
not
occur:
|
$1,000 in cash
|
|
If a downside event occurs, you will not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares (or, in our sole discretion, cash based on the value thereof) that will be worth less than 70% of the stated principal amount and may be worth nothing. Although you will be subject to the risk of a decline in the price of the underlying shares, you will not participate in any appreciation of the underlying shares over the term of the securities.
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
Initial share price:
|
$322.00 (the hypothetical closing price of the underlying shares on the pricing date)
|
Equity ratio:
|
3.10559 (the $1,000 stated principal amount per security
divided by
the hypothetical initial share price)
|
Downside threshold price:
|
$225.40 (70% of the hypothetical initial share price)
|
Coupon:
|
10.00% per annum (approximately 5.03% over the term of the securities)
|
Annualized dividend yield:
|
0.00%
|
November 2013
|
PS-3
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
§
|
You may lose some or all of your investment.
Unlike conventional debt securities, the securities do not provide for the repayment of the stated principal amount at maturity in all circumstances. If a downside event occurs, you will not receive the stated principal amount of your securities at maturity and, instead, will receive underlying shares (or, in our sole discretion, cash based on the value thereof) that will be worth less than 70% of the stated principal amount and may be worth nothing.
|
§
|
The securities will be adversely affected by volatility in the price of the underlying shares.
The more volatile the price of the underlying shares, the more likely it is that a downside event will occur and that you will not receive the full stated principal amount of your securities at maturity. In general, the higher the coupon on the securities, the greater the expected likelihood as of the pricing date that a downside event will occur and, as a result, that you will receive underlying shares at maturity (or, in our sole discretion, cash based on the value thereof) worth less than the stated principal amount.
|
§
|
The securities offer downside exposure, but no upside exposure, to the underlying shares.
You will not participate in any appreciation in the price of the underlying shares over the term of the securities. Consequently, your return on the securities will be limited to the coupon payments and may be significantly less than the return on the underlying shares over the term of the securities.
|
§
|
The occurrence of a downside event depends on the closing price of the underlying shares on a single day.
If the closing price of the underlying shares on the valuation date is less than or equal to the downside threshold price, a downside event will occur and you will not receive the full stated principal amount of your securities at maturity, even if the closing price is greater than the downside threshold price on other dates during the term of the securities.
|
§
|
You will have no rights and will not receive dividends with respect to the underlying shares unless and until you receive underlying shares at maturity.
If any change to the underlying shares is proposed, such as an amendment to the underlying share issuer's certificate of incorporation, you will not have the right to vote on such change, but you will be subject to such change in the event you receive underlying shares at maturity. Any such change may adversely affect the market price of the underlying shares.
|
The securities are subject to the credit risk of Citigroup Inc.
If we default on our obligations under the securities, you may not receive anything owed to you under the securities.
|
§
|
The securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI currently intends to make a secondary market in relation to the securities and to provide an indicative bid price for the securities on a daily basis. Any indicative bid price for the securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your securities prior to maturity. Accordingly, an investor must be prepared to hold the securities until maturity.
|
§
|
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 (1) the selling concessions paid in connection with the offering of the securities, (2) hedging and other costs incurred by us and our affiliates in connection with the offering of the securities and (3) 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.
|
November 2013
|
PS-4
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
§
|
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 preliminary pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the underlying shares, the dividend yield on the underlying shares 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, the estimated value of the securities set forth on the cover page of this preliminary pricing supplement may differ from the value that we or our affiliates may determine for the securities for other purposes, including for accounting purposes. You should not invest in the securities because of the estimated value of the securities. Instead, you should be willing to hold the securities to maturity irrespective of the initial estimated value.
|
§
|
The estimated value of the securities would be lower if it were calculated based on our secondary market rate.
The estimated value of the securities included in this preliminary 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 preliminary 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 the same as the coupon that is payable on the securities.
|
§
|
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 preliminary pricing supplement, any value of the securities determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the securities than if our internal funding rate were used. In addition, any secondary market price for the securities will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the securities will be less than the issue price.
|
§
|
The value of 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 price and volatility of the underlying shares and a number of other factors, including the dividend yield on the underlying shares, 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.
|
§
|
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 preliminary pricing supplement.
|
§
|
Our offering of the securities is not a recommendation of the underlying shares.
The fact that we are offering the securities does not mean that we believe that investing in an instrument linked to the underlying shares 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 underlying shares
or in instruments related to the
underlying shares, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the underlying shares. These and other activities of our affiliates may affect the price of the underlying shares in a way that has a negative impact on your interests as a holder of the securities.
|
§
|
The price of the underlying shares 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 underlying shares
and other financial instruments related to the underlying shares. Our affiliates also trade the underlying shares
and other financial instruments related to the underlying shares 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 price of the underlying shares 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.
|
§
|
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 underlying share issuer, including extending loans to, making equity investments in or providing advisory services to the underlying share issuer. In the course of this business, we or our affiliates may acquire non-public information about the underlying share issuer, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of the underlying share issuer, they may exercise any remedies against the underlying share issuer that are available to them without regard to your interests.
|
§
|
Even if the underlying share issuer
pays a dividend that it identifies as special or extraordinary, no adjustment will be required under the securities for that dividend unless it meets the criteria specified in the accompanying product
|
November 2013
|
PS-5
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
§
|
An adjustment will not be made for all events that may have a dilutive effect on or otherwise adversely affect the market price of the underlying shares.
For example, we will not make any adjustment for ordinary dividends, extraordinary dividends that do not meet the criteria described above, partial tender offers or additional public offerings of the underlying shares. Moreover, the adjustments we do make may not fully offset the dilutive or adverse effect of the particular event. Investors in the securities may be adversely affected by such an event in a circumstance in which a direct holder of the underlying shares would not.
|
§
|
If the underlying shares are delisted, we may call the securities prior to maturity for an amount that may be less than the stated principal amount.
If we exercise this call right, you will receive the amount described under “Description of the Securities—Delisting of Underlying Shares (Other than Shares of an ETF)” in the accompanying product supplement. This amount may be less, and possibly significantly less, than the stated principal amount of the securities.
|
§
|
The securities may become linked to shares of an issuer other than the original underlying share issuer upon the occurrence of a reorganization event or upon the delisting of the underlying shares.
For example, if the underlying share issuer enters into a merger agreement that provides for holders of the underlying shares to receive shares of another entity, the shares of such other entity will become the underlying shares for all purposes of the securities upon consummation of the merger. Additionally, if the underlying shares are delisted and we do not exercise our call right, the calculation agent may, in its sole discretion, select shares of another issuer to be the underlying shares. See “Description of the Securities—Dilution and Reorganization Adjustments” and “—Delisting of Underlying Shares (Other than Shares of an ETF)” in the accompanying product supplement.
|
§
|
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, corporate events with respect to the underlying share issuer that may require a dilution adjustment or the delisting of the underlying shares, CGMI, as calculation agent, will be required to make discretionary judgments that could significantly affect what you receive at maturity. 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.
|
§
|
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 described in “United States Federal Tax Considerations” below. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the securities might be materially and adversely affected. As described in the accompanying product supplement 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. While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that 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 also should 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.
|
November 2013
|
PS-6
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
Common Stock of Netflix, Inc. – Historical Closing Prices
January 2, 2008 to October 31, 2013
|
|
November 2013
|
PS-7
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
Common Stock of Netflix, Inc.
|
High
|
Low
|
Dividends
|
|||
2008
|
||||||
First Quarter
|
$
|
38.17
|
$
|
21.77
|
$
|
0.00000
|
Second Quarter
|
$
|
40.70
|
$
|
26.07
|
$
|
0.00000
|
Third Quarter
|
$
|
32.97
|
$
|
26.73
|
$
|
0.00000
|
Fourth Quarter
|
$
|
30.04
|
$
|
17.94
|
$
|
0.00000
|
2009
|
||||||
First Quarter
|
$
|
43.42
|
$
|
29.54
|
$
|
0.00000
|
Second Quarter
|
$
|
49.61
|
$
|
37.08
|
$
|
0.00000
|
Third Quarter
|
$
|
47.73
|
$
|
38.70
|
$
|
0.00000
|
Fourth Quarter
|
$
|
61.13
|
$
|
44.62
|
$
|
0.00000
|
2010
|
||||||
First Quarter
|
$
|
75.06
|
$
|
49.13
|
$
|
0.00000
|
Second Quarter
|
$
|
126.81
|
$
|
75.00
|
$
|
0.00000
|
Third Quarter
|
$
|
170.63
|
$
|
98.02
|
$
|
0.00000
|
Fourth Quarter
|
$
|
205.90
|
$
|
149.33
|
$
|
0.00000
|
2011
|
||||||
First Quarter
|
$
|
247.55
|
$
|
177.90
|
$
|
0.00000
|
Second Quarter
|
$
|
273.68
|
$
|
228.16
|
$
|
0.00000
|
Third Quarter
|
$
|
298.73
|
$
|
113.16
|
$
|
0.00000
|
Fourth Quarter
|
$
|
123.24
|
$
|
63.87
|
$
|
0.00000
|
2012
|
||||||
First Quarter
|
$
|
129.25
|
$
|
72.24
|
$
|
0.00000
|
Second Quarter
|
$
|
113.97
|
$
|
62.66
|
$
|
0.00000
|
Third Quarter
|
$
|
84.97
|
$
|
53.79
|
$
|
0.00000
|
Fourth Quarter
|
$
|
95.69
|
$
|
56.05
|
$
|
0.00000
|
2013
|
||||||
First Quarter
|
$
|
196.45
|
$
|
92.01
|
$
|
0.00000
|
Second Quarter
|
$
|
243.40
|
$
|
163.06
|
$
|
0.00000
|
Third Quarter
|
$
|
314.03
|
$
|
220.91
|
$
|
0.00000
|
Fourth Quarter (through October 31, 2013)
|
$
|
354.99
|
$
|
288.43
|
$
|
0.00000
|
November 2013
|
PS-8
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
§
|
a portion of each coupon payment made with respect to the securities will be attributable to interest on the Deposit; and
|
§
|
the remainder will represent premium attributable to your grant of the Put Option (“Put Premium”).
|
November 2013
|
PS-9
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
November 2013
|
PS-10
|
Citigroup Inc.
|
Single Observation ELKS
®
Based on the Common Stock of Netflix, Inc. Due May , 2014
|
November 2013
|
PS-11
|
1 Year Calamos ETF Trus Chart |
1 Month Calamos ETF Trus Chart |
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