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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 | |
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0.00 | 0.00% | 0 | - |
Dated November , 2013
Medium-Term Senior Notes, Series H
Pricing Supplement No. 2013—CMTNH to Prospectus Supplement dated December 20, 2012 and Prospectus dated May 12, 2011
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-172562
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Investment Description
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Airbag Autocallable Yield Optimization Notes are senior unsecured notes issued by Citigroup Inc. (“Citigroup”) (each, a “Note” and collectively, the “Notes”) linked to the performance of the common stock of a specific company or the American Depositary Shares (“ADSs”) representing the ordinary stock of a specific company (each an “Underlying Stock”). The Notes will rank on par with all of our other unsecured and unsubordinated notes, unless otherwise required by law. The stated principal amount and issue price of each Note will be $1,000. On a monthly basis, Citigroup will pay you a coupon regardless of the performance of the applicable Underlying Stock unless the Notes have been previously automatically called. If the price of one share of the applicable Underlying Stock closes at or above the applicable Initial Price on any quarterly Observation Date, Citigroup will automatically call the Notes and pay you an amount equal to the stated principal amount per Note
plus
the corresponding monthly coupon and no further amounts will be owed to you. If by maturity, the Notes have not been automatically called, Citigroup will either pay you the stated principal amount per Note or, if the Closing Price of one share of the applicable Underlying Stock on the Final Valuation Date is below the specified Conversion Price, Citigroup will deliver to you a number of shares of the applicable Underlying Stock equal to the stated principal amount per Note divided by the applicable Conversion Price (the “Share Delivery Amount”) for each Note (subject to adjustments, in the sole discretion of the Calculation Agent, in the case of certain corporate events described in this pricing supplement under “Additional Terms of the Notes—Dilution and Reorganization Adjustments”).
Investing in the Notes involves significant risks. You may lose some or all of your stated principal amount.
In exchange for receiving a coupon on the Notes, you are accepting the risk of receiving a number of shares of the applicable Underlying Stock per Note at maturity that are worth less than your stated principal amount and the credit risk of Citigroup for all payments under the Notes. Generally, the higher the Coupon Rate, the greater the risk of loss on that Note. The contingent repayment of principal applies only if you hold the Notes to maturity.
Any payment on the Notes
, including any repayment of principal,
is subject to the creditworthiness of Citigroup. If Citigroup were to default on its payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
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Features
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Key Dates
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q
Income
— Regardless of the performance of the applicable Underlying Stock, Citigroup will pay you a monthly coupon unless the Notes have been previously automatically called. In exchange for receiving the monthly coupon on the Notes, you are accepting the risk of receiving shares of the applicable Underlying Stock per Note at maturity that are worth less than your stated principal amount and the credit risk of Citigroup for all payments under the Notes.
q
Automatic Call
— The Notes will be called automatically if the price of one share of the applicable Underlying Stock closes at or above the applicable Initial Price on any quarterly Observation Date, including the Final Valuation Date. If the Notes are automatically called, you will receive on the applicable Call Settlement Date your stated principal amount
plus
the applicable coupon for that date and no further amounts will be owed to you.
q
Contingent Repayment of Stated Principal Amount at Maturity
— If by maturity the Notes have not been automatically called and the price of one share of the applicable Underlying Stock does not close below the applicable Conversion Price on the Final Valuation Date, Citigroup will pay you the stated principal amount per Note at maturity and you will not participate in any appreciation or decline in the value of the applicable Underlying Stock. If the Notes have not been previously automatically called and the price of one share of the applicable Underlying Stock closes below the applicable Conversion Price on the Final Valuation Date, Citigroup will deliver to you a number of shares of the applicable Underlying Stock equal to the Share Delivery Amount for each Note at maturity, which will likely be worth less than your stated principal amount and may have no value at all. The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of Citigroup.
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Trade Date
1
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November 15, 2013
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Settlement Date
1
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November 20, 2013
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Observation Dates
2
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Quarterly (see page 4)
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Final Valuation Date
2
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November 17, 2014
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Maturity Date
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November 20, 2014
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1
Expected. In the event that we make any change to the expected Trade Date and Settlement Date, the Observation Dates, the Final Valuation Date and/or Maturity Date will be changed so that the stated term of the Notes remains the same.
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2
Subject to postponement in the event of a Market Disruption Event with respect to the applicable Underlying Stock as described under “Additional Terms of the Notes—Consequences of a Market Disruption Event; Postponement of an Observation Date”
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THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. CITIGROUP IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL STATED PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE UP TO THE FULL DOWNSIDE MARKET RISK OF THE APPLICABLE UNDERLYING STOCK. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF CITIGROUP. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “RISK FACTORS RELATING TO THE NOTES” BEGINNING ON PAGE 5 BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR STATED PRINCIPAL AMOUNT.
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Note Offering
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This pricing supplement relates to five (5) separate Note offerings. Each issuance of offered Notes is linked to one, and only one, Underlying Stock. You may participate in any of the five (5) Note offerings or, at your election, in two or more of the offerings. This pricing supplement does not, however, allow you to purchase a Note linked to a basket of some or all of the Underlying Stocks described below. The Notes will be issued in minimum denominations equal to $1,000 and integral multiples thereof. Each of the five (5) Note offerings is linked to the common stock or ADSs representing the ordinary shares of a different company, and each of the five (5) Note offerings has a different Coupon Rate, Initial Price and Conversion Price, each of which will be determined on the Trade Date. The actual Coupon Rate for each Note will not be less than the bottom of the applicable range listed below, but you should be willing to invest in the Notes if the Coupon Rate were set equal to the bottom of that range.
The performance of each Note offering will not depend on the performance of any other Note offering.
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Underlying Stock
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Coupon Rate
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Initial Price
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Conversion Price*
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CUSIP
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ISIN
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ADSs representing the ‘A’ ordinary shares of Tata Motors Limited
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5.00% to 7.00% per annum
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$•
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80% of Initial Price
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17321F581
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US17321F5816
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Common stock of Continental Resources, Inc.
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6.00% to 7.70% per annum
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$•
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80% of Initial Price
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17321F573
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US17321F5733
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Common stock of Tenet Healthcare Corporation
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6.25% to 8.25% per annum
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$•
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80% of Initial Price
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17321F565
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US17321F5659
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Common stock of United States Steel Corporation
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6.30% to 8.30% per annum
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$•
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75% of Initial Price
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17321F557
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US17321F5576
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Common stock of Gilead Sciences, Inc.
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6.00% to 7.70% per annum
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$•
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85% of Initial Price
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17321F540
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US17321F5402
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(1)
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Citigroup currently expects that the estimated value of the Notes will be (i) between $956.90 and $967.40 for Notes linked to ADSs representing the ‘A’ ordinary shares of Tata Motors Limited, (ii) between $963.50 and $972.30 for Notes linked to the common stock of Continental Resources, Inc., (iii) between $960.60 and $970.90 for Notes linked to the common stock of Tenet Healthcare Corporation, (iv) between $959.40 and $970.30 for Notes linked to the common stock of United States Steel Corporation, and (v) between $964.30 and $973.00 for Notes linked to the common stock of Gilead Sciences, Inc., which, in each case, will be less than the issue price of those Notes. The estimated values of the Notes are 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 Notes from you at any time after issuance. See “Valuation of the Notes” in this pricing supplement.
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(2)
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CGMI, acting as principal, has agreed to purchase from Citigroup, and Citigroup has agreed to sell to CGMI, the aggregate stated principal amount of the Notes set forth above for $985 per Note. UBS Financial Services Inc. (“UBS”), acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS, all of the Notes sold in this offering for $985 per Note, which includes the underwriting discount. UBS proposes to offer the Notes to the public at a price of $1,000 per Note. Additionally, it is possible that CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the Notes declines. You should refer to “Risk Factors Relating to the Notes” and “Plan of Distribution; Conflicts of Interest” in this pricing supplement for more information.
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Additional Information about the Note
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t
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Prospectus Supplement dated December 20, 2012 and Prospectus dated May 12, 2011:
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Investor Suitability
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The Notes may be suitable for you if, among other considerations:
t
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
t
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the full downside market risk of the applicable Underlying Stock.
t
You believe the applicable Underlying Stock will close at or above the applicable Initial Price on one of the specified Observation Dates.
t
You believe the Final Price of the applicable Underlying Stock is not likely to be below the applicable Conversion Price and, if it is, you can tolerate receiving a number of shares of the applicable Underlying Stock per Note at maturity worth less than your stated principal amount or that may have no value at all.
t
You understand and accept that you will not participate in any appreciation in the price of the applicable Underlying Stock and that your return is limited to the coupons paid on the applicable Note.
t
You are willing to accept the risks of owning equities in general and the applicable Underlying Stock in particular.
t
You can tolerate fluctuations in the value of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the applicable Underlying Stock.
t
You would be willing to invest in the Notes if the applicable Coupon Rate was set equal to the bottom of the applicable range indicated on the cover hereof (the actual applicable Coupon Rate will be determined on the Trade Date and will not be less than the bottom of the applicable range listed on the cover).
t
You are willing and able to hold notes that may be called early and you are otherwise willing to hold the Notes to maturity, a term of 12 months.
t
You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to trade the Notes.
t
You are willing to assume the credit risk of Citigroup for all payments under the Notes, and understand that if Citigroup defaults on its obligations you may not receive any amounts due to you, including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
t
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You require an investment designed to provide a full return of principal at maturity.
t
You are not willing to make an investment that may have the full downside market risk of the applicable Underlying Stock.
t
You believe that the price of the applicable Underlying Stock will decline during the term of the Notes and that the Final Price of the applicable Underlying Stock is likely to be below the applicable Conversion Price, which could result in a total loss of your initial investment.
t
You cannot tolerate receiving a number of shares of the applicable Underlying Stock per Note at maturity worth less than your stated principal amount or that may have no value at all.
t
You seek an investment that participates in the full appreciation in the price of the applicable Underlying Stock or that has unlimited return potential.
t
You are not willing to accept the risks of owning equities in general and the applicable Underlying Stock in particular.
t
You cannot tolerate fluctuations in the value of the Notes prior to maturity that may be similar to or exceed the downside price fluctuations of the applicable Underlying Stock.
t
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
t
You would be unwilling to invest in the Notes if the applicable Coupon Rate was set equal to the bottom of the applicable range indicated on the cover hereof (the actual applicable Coupon Rate will be determined on the Trade Date and will not be less than the bottom of the applicable range listed on the cover).
t
You are unable or unwilling to hold notes that may be called early or you are unable or unwilling to hold the Notes to maturity, a term of 12 months, and seek an investment for which there will be an active secondary market.
t
You are not willing to assume the credit risk of Citigroup for all payments under the Notes, including any repayment of principal.
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Indicative Terms
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Investment Timeline | |||
Issuer
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Citigroup Inc.
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR STATED PRINCIPAL AMOUNT. YOU MAY RECEIVE SHARES AT MATURITY THAT ARE WORTH LESS THAN YOUR STATED PRINCIPAL AMOUNT OR THAT MAY HAVE NO VALUE AT ALL. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF CITIGROUP. IF CITIGROUP WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
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Issue Price
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$1,000 per Note
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Stated Principal Amount
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$1,000 per Note
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Underlying Stock
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ADSs representing the ‘A’ ordinary shares of Tata Motors Limited
(1)
Common stock of Continental Resources, Inc.
Common stock of Tenet Healthcare Corporation
Common stock of United States Steel Corporation
Common stock of Gilead Sciences, Inc.
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Term
(2)
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12 months, unless called earlier
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Call Feature
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The Notes will be automatically called if the Closing Price of one share of the applicable Underlying Stock on any Observation Date is equal to or greater than the applicable Initial Price. If the Notes are automatically called, Citigroup will pay you on the applicable Call Settlement Date a cash payment per Note equal to the stated principal amount
plus
the coupon for the applicable Coupon Payment Date and no further amount will be owed to you under the Notes.
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Observation Dates
(2), (3)
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February 18, 2014
May 16, 2014
August 18, 2014
November 17, 2014 (Final Valuation Date)
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Call Settlement Dates
(3)
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The Coupon Payment Date immediately following the applicable Observation Date, which will be the 4th Business Day following the applicable Observation Date, except that the Call Settlement Date for the Final Valuation Date is the Maturity Date
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Coupon Payment
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Coupons payable in arrears in twelve equal monthly installments based on the applicable Coupon Rate, regardless of the performance of the applicable Underlying Stock, unless the Notes have been previously automatically called. The Coupon Rate is expected to be between (i) 5.00% and 7.00% per annum for Notes linked to ADSs representing the ‘A’ ordinary shares of Tata Motors Limited, (ii) 6.00% and 7.70% per annum for Notes linked to the common stock of Continental Resources, Inc., (iii) 6.25% and 8.25% per annum for Notes linked to the common stock of Tenet Healthcare Corporation, (iv) 6.30% and 8.30% per annum for Notes linked to the common stock of United States Steel Corporation and (v) 6.00% and 7.70% per annum for Notes linked to the common stock of Gilead Sciences, Inc. The actual Coupon Rate for each Note will be set on the Trade Date.
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Installment Amount
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For Notes linked to ADSs representing the ‘A’ ordinary shares of Tata Motors Limited: expected to be between approximately 0.4167% and 0.5833% (or between $4.1666 and $5.8333 per Note).
For Notes linked to the common stock of Continental Resources, Inc.: expected to be between approximately 0.5000% and 0.6417% (or between $5.0000 and $6.4167 per Note).
For Notes linked to the common stock of Tenet Healthcare Corporation: expected to be between approximately 0.5208% and 0.6875% (or between $5.2083 and $6.8750 per Note).
For Notes linked to the common stock of United States Steel Corporation: expected to be between approximately 0.5250% and 0.6917% (or between $5.2500 and $6.9167 per Note).
For Notes linked to the common stock of Gilead Sciences, Inc.: expected to be between approximately 0.5000% and 0.6417% (or between $5.0000 and $6.4167 per Note).
The actual installment amount will be based on the Coupon Rate and set on the Trade Date.
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Conversion Price
(4)
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A percentage of the applicable Initial Price, as specified on the cover of this pricing supplement
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Payment at Maturity (per Note)
(4)
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If the Notes have not been called prior to maturity and the Final Price of the applicable Underlying Stock is not below the applicable Conversion Price on the Final Valuation Date, at maturity we will pay you an amount in cash equal to $1,000 for each $1,000 stated principal amount Note
plus
accrued and unpaid interest.
If the Notes have not been called prior to maturity and the Final Price of the applicable Underlying Stock is below the applicable Conversion Price on the Final Valuation Date, at maturity we will deliver to you a number of shares of the applicable Underlying Stock equal to the applicable Share Delivery Amount (subject to adjustments) for each Note you own
plus
accrued and unpaid interest.
The value of shares delivered for the applicable Share Delivery Amount is expected to be worth less than the stated principal amount of your Notes and may be worthless.
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Share Delivery Amount
(3),(4)
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The number of shares of the applicable Underlying Stock per $1,000 stated principal amount Note equal to $1,000
divided
by
the applicable Conversion Price, as determined on the Trade Date
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Initial Price
(3)
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The Closing Price of one share of the applicable Underlying Stock on the Trade Date
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Final Price
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The Closing Price of one share of the applicable Underlying Stock on the Final Valuation Date
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(1)
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With respect to ADSs representing the ‘A’ ordinary shares of Tata Motor Limited, references in this pricing supplement to share of the applicable Underlying Stock refer to such ADSs unless the context requires otherwise.
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(2)
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See footnote 1 under “Key Dates” on the front cover
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(3)
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See footnote 2 under “Key Dates” on the front cover
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(4)
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Subject to adjustment upon the occurrence of certain corporate events affecting the applicable Underlying Stock. See “Additional Terms of the Notes—Dilution and Reorganization Adjustments” in this pricing supplement. The Conversion Price for each Underlying Stock may be rounded to the nearest cent.
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(5)
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We will pay cash in lieu of delivering any fractional shares of the applicable Underlying Stock in an amount equal to that fraction
multiplied by
the Closing Price of one share of the applicable Underlying Stock on the Final Valuation Date.
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Coupon Payment Dates
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December 20, 2013
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June 20, 2014
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January 21, 2014
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July 21, 2014
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February 24, 2014*
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August 22, 2014*
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March 20, 2014
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September 22, 2014
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April 21, 2014
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October 20, 2014
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May 22, 2014*
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November 20, 2014* (the Maturity Date)
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Risk Factors Relating to the Notes
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You May Lose Some or All of the Stated Principal Amount of Your Notes.
Unlike conventional debt securities, the Notes do not provide for the repayment of the stated principal amount at maturity in all circumstances. If the Notes have not been automatically called prior to maturity and the applicable Final Price is less than the applicable Conversion Price, you will not be repaid the stated principal amount of your Notes at maturity and, instead, will receive a number of shares of the applicable Underlying Stock equal to the applicable Share Delivery Amount. These shares will be worth less than the stated principal amount per Note and may be worth nothing. You should not invest in the Notes if you are unwilling or unable to bear the risk of losing the entire stated principal amount of your Notes. See “Hypothetical Examples and Return Table” below.
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t
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Your Opportunity to Receive Coupon Payments May Be Limited by the Automatic Call Feature.
If the Closing Price of the applicable Underlying Stock is greater than or equal to the applicable Initial Price on any of the quarterly Observation Dates, the Notes will be automatically called on the related call settlement date. If the Notes are called early, you will not receive any additional coupon payments following the call and may not be able to reinvest your funds in another investment that offers comparable terms or returns. The term of your investment in the Notes may be limited to as short as three months by the automatic early call feature of the Notes.
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t
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Market Risk Prior to Maturity.
The contingent repayment of stated principal based on the applicable Conversion Price applies only at maturity. If you are able to sell your Notes prior to maturity in the secondary market, you may incur substantial losses even if the price of the applicable Underlying Stock at the time of sale is above the applicable Conversion Price.
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t
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The Notes May Be Adversely Affected by Volatility in the Closing Price of the Applicable Underlying Stock.
If the Closing Price of the applicable Underlying Stock is volatile, or if the volatility of the applicable Underlying Stock increases over the term of the Notes, it is more likely that you will not receive the stated principal amount of the Notes at maturity. This is because greater volatility in the Closing Price of the applicable Underlying Stock is associated with a greater likelihood that the Closing Price of the applicable Underlying Stock will be less than the applicable Conversion Price on the Final Valuation Date. You should understand that, in general, the higher the applicable Coupon Rate as determined on the Trade Date, the greater the expected likelihood as of the Trade Date that the Closing Price of the applicable Underlying Stock will be less than the applicable Conversion Price on the Final Valuation Date, such that you would not receive the stated principal amount of the Notes at maturity and, instead, would receive shares of the applicable Underlying Stock worth less than the stated principal amount and possibly worth nothing.
Volatility refers to the magnitude and frequency of changes in the price of the applicable Underlying Stock over any given period. Although the applicable Underlying Stock may theoretically experience volatility in either a positive or a negative direction, the price of the applicable Underlying Stock is much more likely to decline as a result of volatility than to increase.
Historically, the price of each Underlying Stock has been volatile. From January 2, 2008 to November 11, 2013, the Closing Price of ADSs representing the ‘A’ ordinary shares of Tata Motors Limited has been as low as $3.14 and as high as $36.00, the Closing Price of the common stock of Continental Resources, Inc. has been as low as $13.54 and as high as $121.00, the Closing Price of the common stock of Tenet Healthcare Corporation has been as low as $3.60 and as high as $49.25, the Closing Price of the common stock of United States Steel Corporation has been as low as $16.18 and as high as $191.96, and the Closing Price of the common stock of Gilead Sciences, Inc. has been as low as $15.93 and as high as $72.67. See “The Underlying Stocks” below for additional historical data.
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You May Be Exposed to the Negative Performance, But Will Not Participate in Any Positive Performance, of the Applicable Underlying Stock.
Even though you will be subject to the risk of a decline in the Closing Price of the applicable Underlying Stock, you will not participate in any appreciation in the Closing Price of the applicable Underlying Stock from its Initial Price to its Final Price. Your maximum possible return on the Notes will be limited to the sum of the monthly coupon payments you receive. If the Notes are called prior to maturity, you will not participate in any of the applicable Underlying Stock’s appreciation and your return will be limited to the stated principal amount
plus
the coupons received up to and including the Call Settlement Date. If the Notes are not called and the applicable Final Price is greater than the applicable Conversion Price, Citigroup will repay your stated principal amount; however, if the applicable Final Price is less than the applicable Conversion Price, you will receive the applicable Share Delivery Amount at maturity and will participate in the negative performance of the applicable Underlying Stock. Consequently, your return on the Notes may be significantly less than the return you could achieve on an alternative investment that provides for participation in the appreciation of the applicable Underlying Stock. You should not invest in the Notes if you seek to participate in any appreciation of the applicable Underlying Stock.
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The Notes Are Subject to the Credit Risk of Citigroup, and Any Actual or Anticipated Changes to Its Credit Ratings or Credit Spreads May Adversely Affect the Value of the Notes.
Any payment on the Notes will be made by Citigroup and therefore is subject to the credit risk of Citigroup. If we default on our obligations under the Notes, your investment would be at risk and you could lose some or all of your investment. As a result, the value of the Notes 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 Notes.
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The Notes Will Not Be Listed on Any Securities Exchange and You May Not be Able to Sell Your Notes Prior to Maturity.
The Notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Notes. CGMI currently intends to make a secondary market in relation to the Notes and to provide an indicative bid price for the Notes on a daily basis. Any indicative bid prices 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 Notes 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 Notes because it is likely that CGMI will be the only broker-dealer that is willing to buy your Notes prior to maturity. Accordingly, an investor must be prepared to hold the Notes until maturity.
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The Estimated Value of the Notes 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 Notes that are included in the issue price. These costs include (i) the selling concessions paid in connection with the offering of the Notes, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the Notes 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 Notes. These costs adversely affect the economic terms of the Notes because, if they were lower, the economic terms of the Notes would be more favorable to you. The economic terms of the Notes are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the Notes. See “The Estimated Value of the Notes Would Be Lower if it Were Calculated Based on Our Secondary Market Rate” below.
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The Estimated Value of the Notes was Determined for Us by Our Affiliate Using Proprietary Pricing Models.
CGMI derived the estimated value disclosed on the cover 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 applicable Underlying Stock, dividend yield on the applicable Underlying Stock and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an
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The Estimated Value of the Notes Would Be Lower if it Were Calculated Based on Our Secondary Market Rate.
The estimated value of the Notes 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 Notes. 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 Notes, 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 Notes.
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The Estimated Value of the Notes Is Not an Indication of the Price, if any, at which CGMI or any Other Person May Be Willing to Buy the Notes from You in the Secondary Market.
Any such secondary market price will fluctuate over the term of the Notes 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 Notes 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 Notes than if our internal funding rate were used. In addition, any secondary market price for the Notes will be reduced by a bid-ask spread, which may vary depending on the aggregate stated principal amount of the Notes 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 Notes will be less than the issue price.
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The Value of Your Notes Prior to Maturity Will Fluctuate Based on Many Unpredictable Factors.
The value of your Notes prior to maturity will fluctuate based on the price of the applicable Underlying Stock and a number of other factors, including those described below. Some of these factors are interrelated in complex ways. As a result, the effect of any one factor may be offset or magnified by the effect of another factor. The paragraphs below describe what we expect to be the impact on the value of the Notes of a change in a specific factor, assuming all other conditions remain constant. You should understand that the value of your Notes at any time prior to maturity may be significantly less than the stated principal amount.
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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 decline to zero over the temporary adjustment period. See “Valuation of the Notes” in this pricing supplement.
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The Performance of the Notes Will Depend on the Closing Price of the Applicable Underlying Stock Solely on the Quarterly Observation Dates, Which Makes the Notes Particularly Sensitive to Volatility of the Applicable Underlying Stock.
The performance of the Notes—including what you receive at maturity and whether the Notes are automatically called prior to maturity—will depend on the Closing Price of the applicable Underlying Stock on only four dates (or fewer, if the Notes are automatically called prior to maturity). If the Notes are not earlier called, what you receive at maturity will depend solely on the Closing Price of the applicable Underlying Stock on the Final Valuation Date. You will not receive the full stated principal amount of your Notes at maturity if the Closing Price of the applicable Underlying Stock on the Final Valuation Date is less than the applicable Conversion Price, even if the Closing Price of the applicable Underlying Stock is greater than the applicable Conversion Price on other days during the term of the Notes. Moreover, your Notes will be automatically called prior to maturity if the Closing Price of the applicable Underlying Stock is greater than or equal to the applicable Initial Price on any of the first three Observation Dates, even if the Closing Price of the applicable Underlying Stock is less than the applicable Initial Price on other days during the term of the Notes.
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Hedging and Trading Activity by the Calculation Agent and Its Affiliates, or UBS and Its Affiliates, Could Potentially Affect the Value of the Notes.
We expect to hedge our obligations under the Notes through certain affiliated or unaffiliated counterparties, who may take positions directly in shares of the applicable Underlying Stock or in instruments, such as options, futures and/or swaps, the value of which is derived from the applicable Underlying Stock. We or our counterparties may also adjust this hedge during the term of the Notes and close out or unwind this hedge on or before an Observation Date, which may involve our counterparties purchasing or selling shares of the applicable Underlying Stock or such instruments. This hedging activity on or prior to the Trade Date could potentially affect the price of the applicable Underlying Stock on the Trade Date. Additionally, this hedging activity during the term of the Notes, including on or near an Observation Date, could affect the price of the applicable Underlying Stock on such Observation Date and, therefore, affect the likelihood of the Notes being automatically called or, in the case of the Final Valuation Date, of your receiving shares of applicable Underlying Stock at maturity worth less than the stated principal amount. This hedging activity may present a conflict of interest between your interests as a holder of the Notes and the interests we and/or our counterparties, which may be our affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities could also affect the price, if any, at which CGMI may be willing to purchase your Notes in a secondary market transaction.
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Our Offering of the Notes Does Not Constitute a Recommendation of the Applicable Underlying Stock.
You should not take our offering of the Notes as an expression of our views about how the applicable Underlying Stock will perform in the future or as a recommendation to invest in the applicable Underlying Stock, including through an investment in the Notes. As we are part of a global financial institution, our affiliates may, and often do, have positions (including short positions) in the applicable Underlying Stock that conflict with an investment in the Notes. You should undertake an independent determination of whether an investment in the Notes is suitable for you in light of your specific investment objectives, risk tolerance and financial resources.
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Any Research, Opinions or Recommendations Published or Made by CGMI, UBS or their Respective Affiliates May Be Inconsistent with an Investment in the Notes or with Each Other.
CGMI, UBS or their respective affiliates and agents may publish research from time to time on financial markets and other matters that may influence the value of the Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any research, opinions or recommendations expressed by CGMI, UBS or their respective affiliates or agents may not be consistent with each other and may be modified from time to time without notice. You should make your own independent investigation of the merits of investing in the Notes.
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We or Our Affiliates, or UBS or its Affiliates, May Have Economic Interests that Are Adverse to Those of the Holders of the Notes as a Result of their Respective Business Activities.
Our affiliates, or UBS or its affiliates, may currently or from time to time engage in business with the applicable Underlying Stock Issuer. These activities may include extending loans to, making equity investments in or providing advisory services to the applicable Underlying Stock Issuer, including merger and acquisition advisory services. In the course of this business, we or our affiliates, or UBS or its affiliates, may acquire non-public information about the applicable Underlying Stock Issuer, which will not be disclosed to you. Any prospective purchaser of the Notes should undertake an independent investigation of the applicable Underlying Stock Issuer as in its judgment is appropriate to make an informed decision with respect to an investment in the Notes. We do not make any representation or warranty to any purchaser of the Notes with respect to any matters whatsoever relating to our affiliates’ business with the applicable Underlying Stock Issuer.
If any of our affiliates, or if UBS or any of its affiliates, is or becomes a creditor of the applicable Underlying Stock Issuer or otherwise enter into any transaction with the applicable Underlying Stock Issuer in the course of our business, they may exercise remedies against the applicable Underlying Stock Issuer without regard to the impact on your interests as a holder of the Notes.
Additionally, we or one of our affiliates, or UBS or one of its affiliates, may serve as issuer, agent or underwriter for issuances of other securities or financial instruments with returns linked or related to changes in the price of the applicable Underlying Stock. To the extent that we or one of our affiliates, or UBS or one of its affiliates, does so, our or their interests with respect to these products may be adverse to those of the holders of the Notes. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates, or UBS or one or more of its affiliates, could adversely affect the value of the Notes.
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The Historical Performance of the Applicable Underlying Stock Is Not an Indication of the Future Performance of the Applicable Underlying Stock.
The historical performance of the applicable Underlying Stock, which is included in this pricing supplement under “The Underlying Stocks” below, should not be taken as an indication of the future performance of the applicable Underlying Stock during the term of the Notes. Changes in the price of the applicable Underlying Stock will affect the value of the Notes and the payments you will receive on the Notes, but it is impossible to predict whether the price of the applicable Underlying Stock will fall or rise.
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You Will Have No Rights Against the Applicable Underlying Stock Issuer, and You Will Not Receive Dividends On the Applicable Underlying Stock, Unless and Until You Receive Shares of the Applicable Underlying Stock at Maturity.
As a holder of the Notes, you will not be entitled to any rights with respect to the applicable Underlying Stock or the applicable Underlying Stock Issuer, including voting rights and rights to receive any dividends or other distributions on the applicable Underlying Stock, but you will be subject to all changes affecting the applicable Underlying Stock. You will have rights with respect to the applicable
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We Have No Affiliation With the Applicable Underlying Stock Issuer and Are Not Responsible for Its Public Disclosures.
We are not affiliated with the applicable Underlying Stock Issuer, and the applicable Underlying Stock Issuer is not involved in this offering of the Notes in any way. Consequently, we have no control over the actions of the applicable Underlying Stock Issuer, including any corporate actions of the type that would require the Calculation Agent to adjust what you will receive at maturity. The applicable Underlying Stock Issuer does not have any obligation to consider your interests as an investor in the Notes in taking any corporate actions that might affect the value of your Notes. None of the money you pay for the Notes will go to the applicable Underlying Stock Issuer.
In addition, as we are not affiliated with the applicable Underlying Stock Issuer, we do not assume any responsibility for the accuracy or adequacy of any information about the applicable Underlying Stock or the applicable Underlying Stock Issuer contained in the applicable Underlying Stock Issuer’s public disclosures. We have made no “due diligence” or other investigation into the applicable Underlying Stock Issuer. As an investor in the Notes, you should make your own investigation into the applicable Underlying Stock Issuer.
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The Notes Will Not Be Adjusted for All Events that Could Affect the Price of the Applicable Underlying Stock.
Certain events may occur during the term of the Notes that have a dilutive effect on the value of the applicable Underlying Stock or otherwise adversely affect the price of the applicable Underlying Stock. The Calculation Agent will make certain adjustments for some of these events, as described under “Additional Terms of the Notes—Dilution and Reorganization Adjustments.” However, an adjustment will not be made for all events that could have a dilutive or adverse effect on the applicable Underlying Stock or its price, such as ordinary dividends, share repurchases, partial tender offers or additional public offerings of shares of the applicable Underlying Stock by the applicable Underlying Stock Issuer, and the adjustments that are made may not fully offset the dilutive or adverse effect of the particular event. Accordingly, the occurrence of any event that has a dilutive or adverse effect on the applicable Underlying Stock may make it more likely that the Closing Price of the applicable Underlying Stock declines below the applicable Conversion Price on the Final Valuation Date, and in that case, reduce the value of the applicable Underlying Stock that you would receive at maturity. Unlike an investor in the Notes, a direct holder of shares of the applicable Underlying Stock may receive an offsetting benefit from any such event that may not be reflected in an adjustment to the terms of the Notes, and so you may experience dilution or adverse consequences in a circumstance in which a direct holder would not.
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If the Applicable Underlying Stock is Delisted, We May Call the Notes Prior to Maturity.
If the applicable Underlying Stock is delisted from its exchange (other than in connection with a reorganization event) and not then or immediately thereafter listed on a U.S. national securities exchange, we will have the right to call the Notes prior to the maturity date. If we exercise this call right, you will receive the amount described below under “Additional Terms of the Notes—Delisting of the Applicable Underlying Stock.” This amount may be less, and possibly significantly less, than the stated principal amount of the Notes and/or the total amount you would have received under the Notes had you continued to hold your Notes to maturity or earlier call.
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The Notes May Become Linked to Shares of an Issuer Other Than the Original Applicable Underlying Stock Issuer.
In connection with certain reorganization events described under “Additional Terms of the Notes—Dilution and Reorganization Adjustments” and “—Delisting of the Applicable Underlying Stock,” the Notes may become linked to shares of an issuer other than the original applicable Underlying Stock Issuer. For example, if the applicable Underlying Stock Issuer enters into a merger agreement with another issuer that provides for holders of shares of the applicable Underlying Stock to receive shares of the other issuer, the Notes will become linked to such other shares upon consummation of the merger. In any such case, the Closing Price of the applicable Underlying Stock will be determined by reference to the Closing Price of the applicable other shares, and if the Notes are not redeemed early and the applicable Final Price is less than the applicable Conversion Price, you will receive such other shares at maturity. You may not wish to have investment exposure to the shares of any other issuer to which the Notes may become linked and may not have bought the Notes had they been linked to such other shares from the beginning.
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The Notes May Be Subject to Risks Associated with Non-U.S. Companies.
An investment in the Notes linked to the value of non-U.S. companies, such as ADSs representing the ‘A’ ordinary shares of Tata Motors Limited, which is issued by an Indian issuer, involves risks associated with the home country of such non-U.S. company. The price of Tata Motors Limited’s ‘A’ ordinary shares and ADSs representing its ‘A’ ordinary shares, therefore, may be affected by political, economic, financial and social factors in India, including changes in India’s government, economic and fiscal policies, currency exchange laws or other laws or restrictions.
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There are important differences between the rights of holders of ADSs representing ordinary shares of Tata Motors Limited and the rights of holders of the ordinary shares of Tata Motors Limited.
Because the applicable Notes are linked to the performance of an ADS representing ordinary shares of Tata Motors Limited, you should be aware that the applicable Notes are linked to the price of the ADSs and not the ordinary shares of Tata Motors Limited (which we refer to as the “Underlying Equity”) and there exist important differences between the rights of holders of ADSs and the Underlying Equity. Each ADS is a security evidenced by American Depositary Shares that represents shares of the Underlying Equity. The ADSs are issued under a deposit agreement, which sets forth the rights and responsibilities of the ADS depositary, Tata Motors Limited and holders of the ADSs, which may be different from the rights of holders of the Underlying Equity. For example, Tata Motors Limited may make distributions in respect of the Underlying Equity that are not passed on to the holders of its ADSs. Any such differences between the rights of holders of the ADSs and holders of the Underlying Equity may be significant and may materially and adversely affect the value of the applicable Notes.
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Fluctuations in exchange rates will affect the price of ADSs representing the ‘A’ ordinary shares of Tata Motors Limited.
There are significant risks related to an investment in Notes that are linked to ADSs, such as Tata Motors Limited, that are quoted and traded in U.S. dollars and represent ordinary shares that are quoted and traded in a foreign currency. Such ADSs will trade differently from the ordinary shares they represent as a result of fluctuations in the currency exchange rate between the U.S. dollar and the applicable foreign currency. In recent years, the rates of exchange between the U.S. dollar and some other currencies have been highly volatile and this volatility may continue in the future. These risks generally depend on economic and political events over which we have no control. You should understand that, if the U.S. dollar strengthens relative to the currency in which the applicable ordinary shares trade, the price of the ADSs will likely decline for that reason alone.
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The Notes linked to ADSs representing the ‘A’ ordinary shares of Tata Motors Limited are subject to risks associated with non-U.S. markets.
Investments in Notes linked to the price of equity securities of non-U.S. companies involve certain risks. Where the underlying ordinary shares principally trade on a non-U.S. market, that market may be more volatile than U.S. markets. Also, there is generally less publicly available information about non-U.S. companies than U.S. companies, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. companies. In addition, share prices of companies located in emerging markets, or whose principal operations are located in emerging markets, such as India, are subject to political, economic, financial and social factors that affect emerging markets. These factors, which could negatively affect the value of such Notes, include the possibility of changes in local or national economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to such companies or to investments in equity securities of companies located, or whose principal operations are located, in emerging markets. Specifically, political and/or legal developments in emerging markets could include forced divestiture of assets; restrictions on production, imports and exports; war or other international conflicts; civil unrest and local security concerns that threaten the safe operation of company facilities; price controls; tax increases and other retroactive tax claims; expropriation of property; cancellation of contract rights; and environmental regulations. Moreover, the economies of emerging nations may differ unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital investment, resources and self-sufficiency.
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The Notes linked to ADSs representing the ‘A’ ordinary shares of Tata Motors Limited may become linked to the ordinary shares represented by the ADSs.
If ADSs representing ordinary shares of Tata Motors Limited are delisted (other than in connection with a reorganization event) and we do not exercise our call right, the Calculation Agent will have discretion to select the ordinary shares represented by the ADSs to be successor shares. In any such case, the price of the shares will be determined by reference to the price of the underlying ordinary shares. You may not wish to have investment exposure to the ordinary shares to which the Notes may become linked and may not have bought the Notes had they been linked to such underlying ordinary shares at the time of your investment.
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Calculation Agent, Which is an Affiliate of Ours, Will Make Important Determinations with Respect to the Notes.
As Calculation Agent, CGMI, our affiliate, will determine whether the Closing Price of the applicable Underlying Stock is less than the applicable Conversion Price on the Final Valuation Date or greater than or equal to the applicable Initial Price on any Observation Date, whether the Notes are automatically called and, if not, what you will receive at maturity. In addition, if certain events occur, CGMI will be required to make certain discretionary judgments that could significantly affect what you will receive at maturity of the Notes. In making these judgments, CGMI’s interests as an affiliate of ours could be adverse to your interests as a holder of the Notes. Such judgments could include, among other things:
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determining whether a Market Disruption Event with respect to the applicable Underlying Stock has occurred;
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if a Market Disruption Event with respect to the applicable Underlying Stock occurs on any Observation Date, determining whether to postpone the Observation Date, as described under “Additional Terms of the Notes—Consequences of a Market Disruption Event; Postponement of an Observation Date”;
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determining the Closing Price of the applicable Underlying Stock if the price is not otherwise available or a Market Disruption Event has occurred with respect to the applicable Underlying Stock;
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determining the appropriate adjustments to be made to the applicable Share Delivery Amount, Initial Price and Conversion Price upon the occurrence of an event described under “Additional Terms of the Notes—Dilution and Reorganization Adjustments;” and
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if the applicable Underlying Stock is delisted and we do not exercise our call right, determining whether to select Successor Shares and, if so, determining which shares to select as Successor Shares (see “Additional Terms of the Notes—Delisting of the Applicable Underlying Stock”).
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The Tax Consequences of an Investment in the Notes are Unclear.
There is no direct legal authority as to the proper U.S. federal tax treatment of the Notes, and we do not intend to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree with the treatment described herein. If the IRS were successful in asserting an alternative treatment, the tax consequences of ownership and disposition of the Notes 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. While it is not clear whether the Notes would be viewed as similar to the typical prepaid forward contract described in the notice, 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 Notes, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons is subject to withholding tax, possibly with retroactive effect.
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Hypothetical Examples and Return Table
|
Hypothetical Term:
|
12 months (unless earlier called)
|
Hypothetical Coupon Rate**:
|
6.00% per annum (or $5.00 per monthly period)
|
Hypothetical Initial Price:
|
$50.00 per share
|
Hypothetical Conversion Price:
|
$40.00 (80% of the Initial Price)
|
Hypothetical Share Delivery
Amount
:
|
25 shares per Note ($1,000 / Conversion Price of $40.00)
|
Hypothetical Stated Principal Amount:
|
$1,000 per Note
|
Hypothetical Dividend Yield on the Underlying Stock***:
|
3.00% during the term of the Notes (3.00% annual dividend yield)
|
*
|
Actual Coupon Rate and other terms for each Note to be set on the Trade Date. The actual value of the coupon payments you will receive over the term of the Notes (until maturity or an earlier automatic call), the actual market value of the number of shares of the applicable Underlying Stock equal to the Share Delivery Amount or the stated principal amount, as applicable, you may receive at maturity if the Notes have not been automatically called, and therefore the total return at maturity or upon an automatic call, and the actual Conversion Price applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios, and will depend in part on the Initial Price of the applicable Underlying Stock, which will be set on the Trade Date.
|
**
|
Coupon payments will be paid in arrears in monthly installments during the term of the Note on an unadjusted basis, unless earlier called.
|
***
|
Hypothetical dividend yield holders of the hypothetical Underlying Stock might receive over the term of the Notes. Holders of the Notes will not be entitled to any dividend payments received by holders of the applicable Underlying Stock.
|
Closing Price at First Observation Date:
|
$55.00 (at or above Initial Price, Notes are called)
|
Payment at Call Settlement Date:
|
$1,005.00
|
Coupons Previously Paid:
|
$10.00 ($5 × 2 months)
|
Total Payments on the Notes:
|
$1,015.00
|
Total Return on the Notes
|
1.50%
|
Closing Price at First Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Second Observation Date:
|
$40.00 (below Initial Price, Notes NOT called)
|
Closing Price at Third Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$52.50 (at or above Initial Price, Notes are called)
|
Payment at Call Settlement Date:
|
$1,005.00
|
Coupons Previously Paid:
|
$55.00 ($5 × 11 months)
|
Total Payments on the Notes:
|
$1,060.00
|
Total Return on the Notes
|
6.00%
|
Closing Price at First Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Second Observation Date:
|
$40.00 (below Initial Price, Notes NOT called)
|
Closing Price at Third Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Final Valuation Date*:
|
$45.00 (below Initial Price, but above Conversion Price, Notes NOT called)
|
Payment at Maturity:
|
$1,005.00
|
Coupons Previously Paid:
|
$55.00 ($5 × 11 months)
|
Total Payments on the Notes:
|
$1,060.00
|
Total Return on the Notes
|
6.00%
|
Closing Price at First Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Second Observation Date:
|
$40.00 (below Initial Price, Notes NOT called)
|
Closing Price at Third Observation Date:
|
$45.00 (below Initial Price, Notes NOT called)
|
Closing Price at Final Valuation Date:
|
$20.00 (below Initial Price
and
Conversion Price, Notes NOT called)
|
Payment at Maturity (consisting of the Share Delivery
Amount)*:
|
$500.00 (25 shares × $20)
|
Coupon Paid at Maturity:
|
$5.00
|
Coupons Previously Paid:
|
$55.00 ($5 × 11 months)
|
Total Value Paid or Delivered on the Notes:
|
$560.00
|
Total Return on the Notes
|
-44.00%
|
Underlying Stock
|
Conversion Event Does Not Occur
(2)
|
Conversion Event Occurs
(3)
|
|||||
Hypothetical
Final Stock
Price
(4)
|
Stock Price
Return
(5)
|
Total Return on
the Underlying
Stock at
Maturity
(6)
|
Payment at
Maturity +
Coupon
Payments
(7)
|
Total Return on
the Notes at
Maturity
(8)
|
Value of
Payment at
Maturity +
Coupon
Payments
(9)
|
Total Return on
the Notes at
Maturity
(8)
|
|
$75.00
|
50.00%
|
53.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$72.50
|
45.00%
|
48.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$70.00
|
40.00%
|
43.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$67.50
|
35.00%
|
38.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$65.00
|
30.00%
|
33.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$62.50
|
25.00%
|
28.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$60.00
|
20.00%
|
23.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$57.50
|
15.00%
|
18.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$55.00
|
10.00%
|
13.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$52.50
|
5.00%
|
8.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$50.00
|
0.00%
|
3.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$47.50
|
-5.00%
|
-2.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$45.00
|
-10.00%
|
-7.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$42.50
|
-15.00%
|
-12.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$40.00
|
-20.00%
|
-17.00%
|
$1,060.00
|
6.00%
|
N/A
|
N/A
|
|
$39.50
|
-21.00%
|
-18.00%
|
N/A
|
N/A
|
$1,047.50
|
4.80%
|
|
$38.80
|
-22.40%
|
-19.40%
|
N/A
|
N/A
|
$1,030.00
|
3.00%
|
|
$37.50
|
-25.00%
|
-22.00%
|
N/A
|
N/A
|
$997.50
|
-0.25%
|
|
$35.00
|
-30.00%
|
-27.00%
|
N/A
|
N/A
|
$935.00
|
-6.50%
|
|
$32.50
|
-35.00%
|
-32.00%
|
N/A
|
N/A
|
$872.50
|
-12.80%
|
|
$30.00
|
-40.00%
|
-37.00%
|
N/A
|
N/A
|
$810.00
|
-19.00%
|
|
$27.50
|
-45.00%
|
-42.00%
|
N/A
|
N/A
|
$747.50
|
-25.25%
|
|
$25.00
|
-50.00%
|
-47.00%
|
N/A
|
N/A
|
$685.00
|
-31.50%
|
|
$20.00
|
-60.00%
|
-57.00%
|
N/A
|
N/A
|
$560.00
|
-44.00%
|
|
$15.00
|
-70.
00
%
|
-67.00%
|
N/A
|
N/A
|
$435.00
|
-56.50%
|
|
$10.00
|
-80.00%
|
-77.00%
|
N/A
|
N/A
|
$310.00
|
-69.00%
|
|
$5.00
|
-90.00%
|
-87.00%
|
N/A
|
N/A
|
$185.00
|
-81.50%
|
|
$0.00
|
-100.00%
|
-97.00
%
|
N/A
|
N/A
|
$60.00
|
-94.00%
|
|
(1)
|
This table assumes that the Notes are not called at any time during the term of the Notes prior to the Final Valuation Date pursuant to the call feature.
|
||||||
(2)
|
A conversion event does not occur if the hypothetical Final Price of the Underlying Stock is not below the hypothetical Conversion Price.
|
||||||
(3)
|
A conversion event occurs if the hypothetical Final Price of the Underlying Stock is below the hypothetical Conversion Price.
|
||||||
(4)
|
If the hypothetical Final Price of the Underlying Stock is not below the Conversion Price, the hypothetical Final Stock Price represents the Closing Price of one share of the Underlying Stock as of the Final Valuation Date. If the hypothetical Final Price of the Underlying Stock is below the hypothetical Conversion Price on the Final Valuation Date, the hypothetical Final Stock Price represents the Closing Price of one share of the Underlying Stock as of the Final Valuation Date and the Maturity Date.
|
||||||
(5)
|
The stock price return is provided for illustrative purposes only.
|
||||||
(6)
|
The total return on the Underlying Stock at maturity includes a 3.00% cash dividend payment.
|
||||||
(7)
|
Payment consists of the Stated Principal Amount plus coupon payments of 6.00% per annum.
|
||||||
(8)
|
The total return on the Notes at maturity includes coupon payments of 6.00% per annum.
|
||||||
(9)
|
The actual value of this payment consists of the market value of a number of shares of the Underlying
Stock equal to the Share Delivery Amount, valued and delivered as of the Maturity Date, coupled with any fractional shares paid in cash at the Final Price, plus coupon payments of 6.00% per annum.
|
Plan of Distribution; Conflicts of Interest
|
Tata Motors Limited
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2013 includes data for the period from October 1, 2013 through November 11, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2013.
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2013 includes data for the period from October 1, 2013 through November 11, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2013.
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2013 includes data for the period from October 1, 2013 through November 11, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2013.
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2013 includes data for the period from October 1, 2013 through November 11, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2013.
|
*
|
As of the date of this pricing supplement, available information for the fourth calendar quarter of 2013 includes data for the period from October 1, 2013 through November 11, 2013. Accordingly, the “Quarterly High,” “Quarterly Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the fourth calendar quarter of 2013.
|
Additional Terms of the Notes
|
(i)
|
the amount you would be entitled to receive per Note at maturity (excluding the final coupon payment) if the Last Valid Trading Day (as defined below) were the Final Valuation Date
plus
:
|
(ii)
|
accrued and unpaid coupon to but excluding the date of redemption,
plus
|
(iii)
|
the present value of the remaining coupon payments on the Notes (excluding any portion accrued to but excluding the date of redemption) discounted to the date of redemption based on the comparable yield that we would pay on a non-interest bearing, senior unsecured debt obligation of comparable size having a maturity equal to the term of each such remaining scheduled payment, as determined by the Calculation Agent in good faith.
|
·
|
a financial institution;
|
·
|
a dealer or trader subject to a mark-to-market method of tax accounting with respect to the Notes;
|
·
|
a person holding the Notes as part of a “straddle,” conversion transaction or “constructive sale” transaction;
|
·
|
a U.S. Holder (as defined below) whose functional currency is not the U.S. dollar;
|
·
|
an entity classified as a partnership for U.S. federal income tax purposes;
|
·
|
a regulated investment company;
|
·
|
a tax-exempt entity, including an “individual retirement account” or “Roth IRA”; or
|
·
|
a person subject to the alternative minimum tax.
|
·
|
a portion of each coupon payment made with respect to a Note will be attributable to interest on the Deposit; and
|
·
|
the remainder will represent option premium attributable to your grant of the Put Option (with respect to each coupon payment received and, collectively, all coupon payments received, “Put Premium”).
|
·
|
a citizen or individual resident of the United States;
|
·
|
a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof or the District of Columbia; or
|
·
|
an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
|
Valuation of the Notes
|
Benefit Plan Investor Considerations
|
1 Year Calamos ETF Trus Chart |
1 Month Calamos ETF Trus Chart |
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