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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 | |
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0.00 | 0.00% | 0 | - |
Pricing Supplement No. 2013—CMTNH0223 to Product Supplement No. EA-02-02 dated December 27, 2012, Underlying Supplement
No. 2 dated December 27, 2012, Prospectus Supplement dated December 20, 2012 and Prospectus dated May 12, 2011
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-172562
Dated November , 2013
Citigroup Inc. $ Trigger Performance Securities
|
|
Investment Description
|
Security Offering
|
Index
|
Initial Index Level
|
Participation Rate
|
Trigger Level
|
CUSIP/ ISIN
|
||||
S&P 500
®
Index
(Ticker: SPX)
|
151% to 156%
|
50% of the Initial Index Level
|
17321F615 / US17321F6152
|
Issue Price
(1)
|
Underwriting Discount
(2)
|
Proceeds to Issuer
|
|
Per Security
|
$10
.00
|
$
0.
50
|
$9.50
|
Total
|
$
|
$
|
$
|
(1)
|
Citigroup Inc. currently expects that the estimated value of the Securities on the Trade Date will be between $8.950 and $9.075 per Security, which will be less than the issue price. The estimated value of the Securities is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”) and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the Securities from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
|
(2)
|
The underwriting discount is $0.50 per Security. CGMI, acting as principal, has agreed to purchase from Citigroup Inc., and Citigroup Inc. has agreed to sell to CGMI, the aggregate Stated Principal Amount of the Securities set forth above for $9.50 per Security. UBS Financial Services Inc., acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS Financial Services Inc., all of such Securities for $9.50 per Security. UBS Financial Services Inc. will receive an underwriting discount of $
0.
50 per Security for each Security it sells. UBS Financial Services Inc. proposes to offer the Securities to the public at a price of $10.00 per Security. For additional information on the distribution of the Securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the Securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
|
Citigroup Global Markets | UBS Financial Services Inc. |
Additional Terms Specific to the Securities
|
¨
|
Product Supplement No. EA-02-02 dated December 27, 2012:
|
¨
|
Underlying Supplement No. 2 dated December 27, 2012:
|
¨
|
Prospectus Supplement dated December 20, 2012 and Prospectus dated May 12, 2011:
|
Investor Suitability
|
The Securities may be suitable for you if, among other considerations:
|
The Securities may
not
be suitable for you if, among other considerations:
|
|
¨
You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨
You can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have the full downside market risk of an investment in the Index or in the stocks included in the Index.
¨
You believe that the level of the Index will increase over the term of the Securities.
¨
You would be willing to invest in the Securities if the Participation Rate was set equal to the bottom of the range indicated on the cover hereof (the actual Participation Rate will be set on the Trade Date).
¨
You can tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Index.
¨
You do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on the stocks included in the Index for the 10-year term of the Securities.
¨
You seek an investment with exposure to the
large capitalization segment of the U.S. equity market
.
¨
You are willing and able to hold the Securities, which have a term of approximately 10 years
,
to maturity, and accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the Securities.
¨
You are willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, and understand that if Citigroup Inc. defaults on its obligations you might not receive any amounts due to you
,
including any repayment of the Stated Principal Amount.
|
¨
You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨
You require an investment designed to guarantee a full return of the Stated Principal Amount at maturity.
¨
You cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an investment that may have the full downside market risk of an investment in the Index or in the stocks included in the Index.
¨
You believe that the level of the Index will decline during the term of the Securities and is likely to close below the Trigger Level on the Final Valuation Date.
¨
You would be unwilling to invest in the Securities if the Participation Rate was set equal to the bottom of the range indicated on the cover hereof (the actual Participation Rate will be set on the Trade Date).
¨
You cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Index.
¨
You seek current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks included in the Index for the 10-year term of the Securities
.
¨
You do not seek an investment with exposure to
the large capitalization segment of the U.S. equity market
.
¨
You are unwilling or unable to hold the Securities, which have a term of approximately 10 years, to maturity, or you seek an investment for which there will be an active secondary market.
¨
You are not willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, including any repayment of the Stated Principal Amount.
|
Indicative Terms
|
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE STATED PRINCIPAL AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER. IF CITIGROUP INC. WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. | |||
Issuer
|
Citigroup Inc.
|
|||
Issue Price
|
100% of the Stated Principal Amount per Security
|
|||
Stated Principal Amount
|
$10.00 per Security
|
|||
Term
|
Approximately 10 years
|
|||
Trade Date
1
|
November 12, 2013
|
|||
Settlement Date
1
|
November 15, 2013
|
|||
Final Valuation Date
1, 2
|
November 13, 2023
|
Investment Timeline
|
||
Maturity Date
1
|
November 17, 2023
|
|||
Index
|
S&P 500
®
Index
(Ticker: SPX)
|
|||
Trigger Level
|
50% of the Initial Index Level
|
|||
Participation Rate
|
151% to 156%. The actual Participation Rate will be determined on the Trade Date.
|
|||
Payment at Maturity (per $10.00 Stated Principal Amount of Securities)
|
If the Index Return is positive,
Citigroup Inc. will pay you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount of $10.00 plus a return equal to the Index Return multiplied by the Participation Rate, calculated as follows:
$10.00 + ($10.00 × Index Return × Participation Rate)
If the Index Return is zero or negative and the Final Index
Level is greater than or equal to the Trigger Level on the Final Valuation Date,
Citigroup Inc. will pay you a cash payment of $10.00 per $10.00 Stated Principal Amount of Securities
.
If the Index Return is negative and the Final Index Level is less than the Trigger Level on the Final Valuation Date,
Citigroup Inc. will pay you a cash payment at maturity less than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate to the percentage decline in the level of the Index, calculated as follows:
$10.00 + ($10.00 × Index Return)
In this scenario, you will be exposed to the full negative Index Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate to the percentage decline in the Index.
|
|||
Index Return
|
Final Index Level – Initial Index Level
Initial Index Level
|
|||
Initial Index Level
|
The closing level of the Index on the Trade Date
|
|||
Final Index Level
|
The closing level of the Index on the Final Valuation Date
|
1
|
In the event that we make any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date may be changed to ensure that the stated term of the Securities remains the same.
|
2
|
Subject to postponement as described under “Description of the Securities—Certain Additional Terms for Securities Linked to an Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product supplement.
|
Summary Risk Factors
|
¨
|
You may lose some or all of your investment –
The Securities differ from ordinary debt securities in that we will not necessarily repay the full Stated Principal Amount of your Securities at maturity. Instead, your return on the Securities is linked to the performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the Final Index Level is less than the Trigger Level, you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Index Level is less than the Initial Index Level. There is no minimum payment at maturity on the Securities, and you may lose up to all of your investment in the Securities.
|
¨
|
The reduced market risk offered by the Securities is contingent, and you will have full downside exposure to the Index if the Final Index Level is less than the Trigger Level –
If the Final Index Level is below the Trigger Level, the contingent reduced market risk with respect to a limited range of potential depreciation of the Index offered by the Securities will not apply and you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Index Level is less than the Initial Index Level. The Securities will have full downside exposure to the decline of the Index if the Final Index Level is below the Trigger Level. As a result, you may lose your entire investment in the Securities. Further, this contingent reduced market risk applies only if you hold the Securities to maturity. If you are able to sell the Securities prior to maturity you may have to sell them for a loss even if the Index has not declined below the Trigger Level.
|
¨
|
The Securities do not pay interest —
Unlike conventional debt securities, the Securities do not pay interest or any other amounts prior to maturity. You should not invest in the Securities if you seek current income during the term of the Securities.
|
¨
|
Investing in the Securities is not equivalent to investing in the Index or the stocks that constitute the 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 the Index. As of November 7, 2013, the average dividend yield of the Index was 2.03% per year. While it is impossible to know the future dividend yield of the Index, if this average dividend yield were to remain constant for the term of the Securities, you would be forgoing an aggregate yield of approximately 20.30% (assuming no reinvestment of dividends) by investing in the Securities instead of investing directly in the stocks that constitute the Index or in another investment linked to the Index that provides for a passthrough of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the Securities.
|
¨
|
Your payment at maturity depends on the closing level of the Index on a single day —
Because your payment at maturity depends on the closing level of the Index solely on the Final Valuation Date, you are subject to the risk that the closing level of the Index on that day 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 Index that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the Index, you might have achieved better returns.
|
¨
|
The Securities are subject to the credit risk of Citigroup Inc. —
Any payment on the Securities will be made by Citigroup Inc. and therefore is subject to the credit risk of Citigroup Inc. If we default on our obligations under the Securities, you may not receive any payments that become due under the Securities. As a result, the value of the Securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any decline, or anticipated decline, in our credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Securities.
|
¨
|
The Securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity —
The Securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Securities. CGMI currently intends to make a secondary market in relation to the Securities and to provide an indicative bid price for the Securities on a daily basis. Any indicative bid price for the Securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the Securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the Securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your Securities prior to maturity. Accordingly, an investor must be prepared to hold the Securities until maturity.
|
¨
|
The estimated value of the Securities on the Trade 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.
|
¨
|
The estimated value of the Securities was determined for us by our affiliate using proprietary pricing models —
CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the Index, dividend yields on the stocks that constitute the Index 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 pricing supplement may differ from the value that we or our affiliates may determine for the Securities for other purposes,
|
¨
|
The estimated value of the Securities would be lower if it were calculated based on our secondary market rate —
The estimated value of the Securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the Securities. Our internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the Securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the Securities, which do not bear interest.
|
¨
|
The estimated value of the Securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the Securities from you in the secondary market —
Any such secondary market price will fluctuate over the term of the Securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the Securities determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the Securities than if our internal funding rate were used. In addition, any secondary market price for the Securities will be reduced by a bid-ask spread, which may vary depending on the aggregate Stated Principal Amount of the Securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the Securities will be less than the issue price.
|
¨
|
The value of 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 Index and a number of other factors, including the price and volatility of the stocks that constitute the Index, dividend yields on the stocks that constitute the Index, 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. The stated payout from the Issuer, including the potential application of the Participation Rate and Trigger Level, only applies if you hold the Securities to maturity.
|
¨
|
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 decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
|
¨
|
Our affiliates, or UBS Financial Services Inc. or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities —
Any such research, opinions or recommendations could affect the level of the Index and the value of the Securities. Our affiliates, and UBS Financial Services Inc. and its affiliates, publish research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that may be inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by our affiliates or by UBS Financial Services Inc. or its affiliates may not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or UBS Financial Services Inc. or its affiliates may adversely affect the level of the Index and may have a negative impact on your interests as a holder of the Securities. Investors should make their own independent investigation of the merits of investing in the Securities and the Index to which the Securities are linked.
|
¨
|
Trading and other transactions by our affiliates, or by UBS Financial Services Inc. or its affiliates, in the equity and equity derivative markets may impair the value of the Securities
— We expect to hedge our exposure under the Securities through CGMI or other of our affiliates, who will likely enter into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to the Index or the stocks included in the Index. It is possible that our affiliates could receive substantial returns from these hedging activities while the value of the Securities declines. Our affiliates and UBS Financial Services Inc. and its affiliates may also engage in trading in instruments linked to the Index on a regular basis as part of their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities may affect the level of the Index and reduce the return on your investment in the Securities. Our affiliates or UBS Financial Services Inc. or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the Index. By introducing competing products into the marketplace in this manner, our affiliates or UBS Financial Services Inc. or its affiliates could adversely affect the value of the Securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment strategies relating to the Securities.
|
¨
|
Our affiliates, or UBS Financial Services Inc. or its affiliates, may have economic interests that are adverse to yours as a result of their respective business activities —
Our affiliates or UBS Financial Services Inc. or its affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the Index, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business, our affiliates or UBS Financial Services Inc. or its affiliates may acquire non-public information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS Financial Services Inc. or any of its affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without regard to your interests.
|
¨
|
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 the Index, CGMI, as calculation agent, may be required to make discretionary judgments that could significantly affect your payment 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.
|
¨
|
Adjustments to the Index may affect the value of your Securities —
S&P Dow Jones Indices LLC (the “index publisher”) may add, delete or substitute the stocks that constitute the Index or make other methodological changes that could affect the level of the Index. The index publisher may discontinue or suspend calculation or publication of the Index at any time without regard to your interests as holders 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 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.
|
Hypothetical Examples
|
Final Index Level
|
Index Return
|
Payment at Maturity
|
Total Return on Securities at Maturity
|
3,500.00
|
100.00%
|
$25.10
|
151.00%
|
3,325.00
|
90.00%
|
$23.59
|
135.90%
|
3,150.00
|
80.00%
|
$22.08
|
120.80%
|
2,975.00
|
70.00%
|
$20.57
|
105.70%
|
2,800.00
|
60.00%
|
$19.06
|
90.60%
|
2,625.00
|
50.00%
|
$17.55
|
75.50%
|
2,450.00
|
40.00%
|
$16.04
|
60.40%
|
2,275.00
|
30.00%
|
$14.53
|
45.30%
|
2,100.00
|
20.00%
|
$13.02
|
30.20%
|
1,925.00
|
10.00%
|
$11.51
|
15.10%
|
1,750.00
|
0.00%
|
$10.00
|
0.00%
|
1,575.00
|
-10.00%
|
$10.00
|
0.00%
|
1,400.00
|
-20.00%
|
$10.00
|
0.00%
|
1,225.00
|
-30.00%
|
$10.00
|
0.00%
|
1,050.00
|
-40.00%
|
$10.00
|
0.00%
|
875.00
|
-50.00%
|
$10.00
|
0.00%
|
874.83
|
-50.01%
|
$5.00
|
-50.01%
|
700.00
|
-60.00%
|
$4.00
|
-60.00%
|
525.00
|
-70.00%
|
$3.00
|
-70.00%
|
350.00
|
-80.00%
|
$2.00
|
-80.00%
|
175.00
|
-90.00%
|
$1.00
|
-90.00%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
The S&P 500
®
Index
|
United States Federal Tax Considerations
|
·
|
You should not recognize taxable income over the term of the Securities prior to maturity, other than pursuant to a sale or exchange.
|
·
|
Upon a sale or exchange 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.
|
Supplemental Plan of Distribution
|
Valuation of the Securities
|
1 Year Calamos ETF Trus Chart |
1 Month Calamos ETF Trus Chart |
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