Citigroup Funding Inc.
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May 27, 2011
Medium-Term Notes, Series D
No. 2011-MTNDG0050
Registration Statements Nos. 333-172554 and 333-172554-01
Filed pursuant to Rule 433
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SUMMARY TERMS
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Issuer:
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Citigroup Funding Inc.
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Guarantee:
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Any payments due on the notes, including the repayment of principal, are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company.
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Issue price:
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$1,000 per note (see “Underwriting fee and issue price” below)
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Principal amount:
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$1,000 per note
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Aggregate principal amount:
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$
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Pricing date:
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June , 2011 (expected to price on or about June 27, 2011)
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Original issue date:
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June , 2011 (two business days after the pricing date)
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Valuation date:
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June 22, 2018, subject to postponement for non-trading days and certain market disruption events.
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Maturity date:
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June 27, 2018
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Underlying commodity:
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Gold
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Payment at maturity per note:
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▪ $1,000 + note return amount
In no event will the payment at maturity be greater than $2,000 to $2,250 per note (to be determined on the pricing date) or less than $1,070 per note.
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Note return amount:
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▪ If a fixing event does not occur: $1,000 × the greater of (i) the commodity return percentage and (ii) 7%;
▪ If a fixing event occurs: $1,000 × 28%.
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Fixing event:
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A fixing event will occur if the commodity price on any trading day during the valuation period is greater than the upside threshold price.
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Upside threshold price:
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Expected to be 200% to 225% of the initial commodity price. The actual upside threshold price will be determined on the pricing date.
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Valuation period:
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The period from but excluding the pricing date to and including the valuation date.
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Commodity return percentage:
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(final commodity price – initial commodity price) / initial commodity price
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Initial commodity price:
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$ , the commodity price on the pricing date
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Final commodity price:
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The commodity price on the valuation date
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Commodity price:
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For any trading day, the afternoon gold fixing price per troy ounce of gold for delivery in London through a member of the London Bullion Market Association (the “LBMA”) authorized to effect such delivery, stated in U.S. dollars, as calculated by the London Gold Market and published by the LBMA on such day.
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CUSIP:
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1730T0MQ9
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ISIN:
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US1730T0MQ93
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Listing:
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The notes will not be listed on any securities exchange.
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Underwriter:
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Citigroup Global Markets Inc., an affiliate of the issuer. See “Fact sheet—Supplemental information regarding plan of distribution; conflicts of interest” in this offering summary.
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Underwriting fee and issue price:
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Price to public(1)
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Underwriting fee(1)(2)
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Proceeds to issuer
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Per note
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$1,000.00
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$35.00
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$965.00
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Total
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$
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$
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$
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n
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To gain a similar exposure to the underlying commodity in a moderately bullish scenario in which a fixing event has not occurred and the final commodity price is greater than the initial commodity price without actually owning the underlying commodity or futures or forward contracts on the underlying commodity;
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n
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Who are seeking a minimum return per note at maturity of $1,070 per note; and
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n
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Are willing to forgo market interest rates that would have been otherwise payable on 7-year debt issued by the issuer (and guaranteed by Citigroup Inc.).
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Maturity:
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7 years
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Payment at maturity per note:
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$1,000 plus the note return amount
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Minimum payment at maturity:
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$1,070 per note (107% of the principal amount)
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Maximum payment at maturity:
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$2,000 to $2,250 per note (to be determined at the pricing date). However, if a fixing event occurs, the maximum payment at maturity will equal $1,280, regardless of the final commodity price.
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Coupon:
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None
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Bloomberg Ticker Symbol*:
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GOLDLNPM
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Current Commodity Price:
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$1,518.50
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52 Weeks Ago (on 5/27/2010):
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1,211.00
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52 Week High (on 5/4/2011):
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1,541.00
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52 Week Low (on 7/27/2010):
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1,157.00
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Gold – Daily Commodity Prices
January 3, 2006 to May 26, 2011
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May 2011
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Page 2
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Payment Scenario 1
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A fixing event does not occur, and the final commodity price is equal to the upside threshold price (assumed for this scenario to be 200% of the initial commodity price). The investor will receive a payment at maturity of $2,000 per note.
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Payment Scenario 2
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A fixing event does not occur, and the final commodity price is equal to or less than 107% of the initial commodity price. The investor will receive a payment at maturity of $1,070 per note.
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Payment Scenario 3
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A fixing event occurs, and the final commodity price is greater than the initial commodity price. The investor will receive a payment at maturity of $1,280 per note regardless of the amount of appreciation in the commodity price on the valuation date.
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Payment Scenario 4
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A fixing event occurs, and the final commodity price is less than the initial commodity price. The investor will receive a payment at maturity of $1,280 per note regardless of the depreciation in the commodity price on the valuation date.
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n
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The return on the notes is linked to the performance of the underlying commodity.
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n
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Potential for a lower effective yield.
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n
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The return on your investment in the notes will be limited in certain cases.
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n
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If the commodity price does not exceed the upside threshold price during the valuation period, your return on the notes will depend on the final commodity price.
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n
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Secondary market sales of the notes may result in a loss of principal.
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n
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The notes are subject to the credit risk of Citigroup Inc., and any actual or anticipated changes to its credit ratings and credit spreads may adversely affect the market value of the notes.
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n
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Investing in the notes is not equivalent to investing in the underlying commodity.
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n
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Investments linked to commodities are subject to sharp fluctuations in commodity prices.
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n
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The notes will not be regulated by the Commodity Futures Trading Commission.
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n
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Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the value of the notes.
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n
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There are risks relating to trading of commodities on the London Bullion Market Association.
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n
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The historical performance of the underlying commodity is not an indication of the future performance of the underlying commodity.
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n
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The price at which you will be able to sell your notes prior to maturity will depend on a number of factors and may be substantially less than the amount you originally invest.
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n
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The inclusion of underwriting fees and projected profit from hedging in the original issue price is likely to adversely affect secondary market prices.
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n
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The notes will not be listed on any securities exchange and secondary trading may be limited.
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n
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The calculation agent, which is an affiliate of ours, will make determinations with respect to the notes.
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n
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Hedging and trading activity by the calculation agent and its affiliates could potentially affect the value of the notes.
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May 2011
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Page 3
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Expected Key Dates
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Pricing date
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Original issue date (settlement date)
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Maturity date
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June , 2011 (expected to price on or about June 27, 2011)
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June , 2011 (two business days after the pricing date)
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June 27, 2018
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Key Terms
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Issuer:
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Citigroup Funding Inc.
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Guarantee:
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Any payments due on the notes, including the repayment of principal, are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company.
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Issue price:
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$1,000 per note (see “Underwriting fee and issue price” below)
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Principal amount:
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$1,000 per note.
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Aggregate principal amount:
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$
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Pricing date:
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June , 2011 (expected to price on or about June 27, 2011)
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Original issue date:
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June , 2011 (two business days after the pricing date)
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Valuation date:
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June 22, 2018, subject to postponement for non-trading days and certain market disruption events.
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Maturity date:
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June 27, 2018
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Underlying commodity:
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Gold
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Payment at maturity:
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▪ $1,000 + note return amount
In no event will the payment at maturity be greater than $2,000 to $2,250 per note (to be determined on the pricing date) or less than $1,070 per note.
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Note return amount:
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▪ If a fixing event does not occur: $1,000 × the greater of (i) the commodity return percentage and (ii) 7%;
▪ If a fixing event occurs: $1,000 × 28%.
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Fixing event:
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A fixing event will occur if the commodity price on any trading day during the valuation period is greater than the upside threshold price.
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Upside threshold price:
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Expected to be 200% to 225% of the initial commodity price. The actual upside threshold price will be determined on the pricing date.
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Valuation period:
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The period from but excluding the pricing date to and including the valuation date.
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Commodity return percentage:
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(final commodity price – initial commodity price) / initial commodity price
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Initial commodity price:
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$ , the commodity price on the pricing date
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Final commodity price:
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The commodity price on the valuation date
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Commodity price:
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For any trading day, the afternoon gold fixing price per troy ounce of gold for delivery in London through a member of the London Bullion Market Association (the “LBMA”) authorized to effect such delivery, stated in U.S. dollars, as calculated by the London Gold Market and published by the LBMA on such day.
For purposes of determining whether a fixing event has occurred, meaning whether the commodity price has reached the upside threshold price on any trading day during the valuation period, we will disregard trading days on which a market disruption event occurs and will use closing level monitoring, which means that the commodity price will be calculated only once on each trading day based on the fixing price published by the relevant exchange on such day.
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Interest:
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None
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May 2011
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Page 4
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General Information
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Listing:
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The notes will not be listed on any securities exchange.
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CUSIP:
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1730T0MQ9
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ISIN:
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US1730T0MQ93
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Certain U.S. federal income tax considerations:
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We and, by purchasing the notes, each holder agree to treat the notes as “contingent payment debt instruments” for U.S. federal income tax purposes. Assuming this treatment, U.S. holders will generally be required to recognize interest income at a “comparable yield,” determined by us at the time the notes are issued. Generally, amounts received at maturity or on earlier sale or exchange in excess of a U.S. holder’s basis will be treated as additional interest income. Special rules will apply if a fixing event occurs. U.S. holders should read the discussion under “Certain United States Federal Income Tax Considerations” in the accompanying pricing supplement and consult their tax advisers regarding the application of these rules.
Under current law, non-U.S. holders generally will not be subject to U.S. federal income or withholding tax with respect to interest paid and amounts received on the sale, exchange or retirement of the notes, provided they fulfill certain certification requirements.
Both U.S. and non-U.S. persons considering an investment in the notes should read the discussion under “Certain United States Federal Income Tax Considerations” in the accompanying pricing supplement for more information.
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Trustee:
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The Bank of New York Mellon (as successor trustee under an indenture dated June 1, 2005)
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Calculation agent:
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Citigroup Global Markets Inc.
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Use of proceeds and hedging:
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The net proceeds we receive from the sale of the notes will be used for general corporate purposes and, in part, in connection with hedging our obligations under the notes through one or more of our affiliates.
On, or prior to, the pricing date, we, through our affiliates or others, will hedge our anticipated exposure in connection with the notes by trading in futures contracts on the underlying commodity as well as in other instruments, such as options and/or swaps related to the underlying commodity. Our affiliates also trade in the underlying commodity and other financial instruments related to the underlying commodity on a regular basis as part of their general commodity trading, proprietary trading and other businesses. This hedging activity on, or prior to, the pricing date could potentially have an adverse impact on the initial commodity price and the commodity prices during the term of the notes and, therefore, the market value of the notes. For further information on our use of proceeds and hedging, see “Can You Tell Me More About the Effect of Citigroup Funding’s Hedging Activity?” in the accompanying pricing supplement related to this offering of notes.
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ERISA and IRA purchase considerations:
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Employee benefit plans subject to ERISA, entities the assets of which are deemed to constitute the assets of such plans, governmental or other plans subject to laws substantially similar to ERISA and retirement accounts (including Keogh, SEP and SIMPLE plans, individual retirement accounts and individual retirement annuities) are permitted to purchase the notes as long as either (A) (1) no Citigroup Global Markets affiliate or employee or affiliate’s employee is a fiduciary to such plan or retirement account that has or exercises any discretionary authority or control with respect to the assets of such plan or retirement account used to purchase the notes or renders investment advice with respect to those assets, and (2) such plan or retirement account is paying no more than adequate consideration for the notes or (B) its acquisition and holding of the notes is not prohibited by any such provisions or laws or is exempt from any such prohibition.
However, individual retirement accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to purchase or hold the notes if the account, plan or annuity is for the benefit of an employee of Citigroup Global Markets or Morgan Stanley Smith Barney or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of notes by the account, plan or annuity.
You should refer to the section “ERISA Matters” in the accompanying pricing supplement related to this offering for more information.
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May 2011
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Page 5
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Fees and selling concessions:
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Citigroup Global Markets Inc., an affiliate of Citigroup Funding and the underwriter of the sale of the notes, will receive an underwriting fee of $35.00 for each note sold in this offering. Selected dealers affiliated with Citigroup Global Markets, including Morgan Stanley Smith Barney LLC, Citi International Financial Services, Citigroup Global Markets Singapore Pte. Ltd. and Citigroup Global Markets Asia Limited, and their financial advisors will collectively receive from Citigroup Global Markets a selling concession of $35.00 from this underwriting fee for each note they sell. Selected dealers not affiliated with Citigroup Global Markets will receive a selling concession of up to $35.00 for each note they sell.
Additionally, it is possible that Citigroup Global Markets 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” below and “Risk Factors Relating to the Notes” and “Plan of Distribution; Conflicts of Interest” in the accompanying pricing supplement related to this offering of notes.
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Supplemental information regarding plan of distribution; conflicts of interest:
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Citigroup Global Markets is an affiliate of Citigroup Funding. Accordingly, the offering of the notes will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc., its subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted to purchase the notes, either directly or indirectly, without the prior written consent of the client. See “Plan of Distribution; Conflicts of Interest” in the accompanying pricing supplement related to this offering of notes.
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Contact:
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Morgan Stanley Smith Barney clients may contact their local Morgan Stanley Smith Barney branch office or its principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Citi Structured Investment Sales at (212) 723-7005.
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Syndicate Information
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Aggregate Principal Amount of Notes for Any Single Investor
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Price to Public per Note
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Underwriting Fee per
Note
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Selling Concession per Note
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< $1,000,000
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$1,000.00
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up to $35.00
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up to $35.00
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≥ $1,000,000 and < $3,000,000
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$995.00
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up to $30.00
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up to $30.00
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≥ $3,000,000 and < $5,000,000
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$992.50
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up to $27.50
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up to $27.50
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≥ $5,000,000
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$990.00
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up to $25.00
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up to $25.00
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May 2011
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Page 6
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If a Fixing Event Occurs
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If a Fixing Event Does Not Occur
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||||
Final commodity price
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Commodity return percentage
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Payment at maturity
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Return on notes
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Payment at maturity
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Return on notes
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$4,500
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200.00%
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$1,280
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28%
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N/A
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N/A
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$4,125
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175.00%
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$1,280
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28%
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N/A
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N/A
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$3,750
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150.00%
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$1,280 (C)
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28%
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N/A
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N/A
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$3,375
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125.00%
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$1,280
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28%
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N/A
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N/A
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$3,000
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100.00%
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$1,280
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28%
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$2,000 (A)
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100.00%
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$2,625
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75.00%
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$1,280
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28%
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$1,750
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75.00%
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$2,250
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50.00%
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$1,280
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28%
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$1,500
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50.00%
|
$1,875
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25.00%
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$1,280
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28%
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$1,250
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25.00%
|
$1,725
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15.00%
|
$1,280
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28%
|
$1,150
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15.00%
|
$1,650
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10.00%
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$1,280
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28%
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$1,100
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10.00%
|
$1,605
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7.00%
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$1,280
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28%
|
$1,070
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7.00%
|
$1,575
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5.00%
|
$1,280
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28%
|
$1,070
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7.00%
|
$1,500
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0.00%
|
$1,280
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28%
|
$1,070
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7.00%
|
$1,425
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-5.00%
|
$1,280 (D)
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28%
|
$1,070
|
7.00%
|
$1,350
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-10.00%
|
$1,280
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28%
|
$1,070
|
7.00%
|
$1,275
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-15.00%
|
$1,280
|
28%
|
$1,070
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7.00%
|
$750
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-50.00%
|
$1,280
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28%
|
$1,070 (B)
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7.00%
|
$375
|
-75.00%
|
$1,280
|
28%
|
$1,070
|
7.00%
|
$0
|
-100.00%
|
$1,280
|
28%
|
$1,070
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7.00%
|
Commodity return percentage
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=
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(final commodity price – initial commodity price) / initial commodity price
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=
|
($3,000 – $1,500) / $1,500
|
|
=
|
100%
|
|
Note return amount
|
=
|
stated principal amount x the greater of (i) commodity return percentage and (ii) 7%
|
=
|
$1,000 x 100%
|
|
=
|
$1,000
|
|
Payment at maturity
|
=
|
stated principal amount + note return amount
|
=
|
$1,000 + $1,000
|
|
=
|
$2,000
|
|
Payment at maturity = $2,000 (see (A) in the chart above)
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May 2011
|
Page 7
|
Commodity return percentage
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=
|
(final commodity price – initial commodity price) / initial commodity price
|
=
|
($750 – $1,500) / $1,500
|
|
=
|
-50%
|
|
Note return amount
|
=
|
stated principal amount x the greater of (i) commodity return percentage and (ii) 7%
|
=
|
$1,000 x 7%
|
|
=
|
$70
|
|
Payment at maturity
|
=
|
stated principal amount + note return amount
|
=
|
$1,000 + $70
|
|
=
|
$1,070
|
|
Payment at maturity = $1,070 (see (B) in the chart above)
|
Commodity return percentage
|
=
|
(commodity price – initial commodity price) / initial commodity price
|
=
|
($3,750 – $1,500) / $1,500
|
|
=
|
150%
|
|
Note return amount
|
=
|
stated principal amount x 28%
|
=
|
$1,000 x 28%
|
|
=
|
$280
|
|
Payment at maturity
|
=
|
stated principal amount + note return amount
|
=
|
$1,000 + $280
|
|
=
|
$1,280
|
|
Payment at maturity = $1,280 (see (C) in the chart above)
|
Commodity return percentage
|
=
|
(commodity price – initial commodity price) / initial commodity price
|
=
|
($1,425 – $1,500) / $1,500
|
|
=
|
-5%
|
|
Note return amount
|
=
|
stated principal amount x 28%
|
=
|
$1,000 x 28%
|
|
=
|
$280
|
|
Payment at maturity
|
=
|
stated principal amount + note return amount
|
=
|
$1,000 + 280
|
|
=
|
$1,280
|
|
Payment at maturity = $1,280 (see (D) in the chart above)
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May 2011
|
Page 8
|
n
|
The return on the notes is linked to the performance of the underlying commodity. The return on the notes at maturity is linked to the performance of the underlying commodity over the term of the notes and will depend on (i) whether a fixing event occurs and (ii) the final commodity price. If a fixing event has not occurred over the term of the notes and the commodity price depreciates or does not appreciate by more than 7% on the valuation date, the return on notes will be as low as 7% of the stated principal amount over the 7-year investment (equivalent to 1% per annum). If a fixing event has not occurred and the underlying commodity appreciates more than 7% on the valuation date, the return on your notes will be based on the commodity return percentage. If a fixing event has occurred, the return on your notes will be fixed at 28% (equivalent to 4% per annum).
|
n
|
Potential for a lower effective yield. The notes do not pay any periodic interest. As a result, if a fixing event has not occurred and the commodity price depreciates or does not appreciate sufficiently on the valuation date, or if a fixing event has occurred, resulting in a fixed return of 28% (equivalent to 4% per annum) the effective yield on the notes may be at a rate lower than that which would be payable on a conventional fixed-rate debt security of Citigroup Funding (guaranteed by Citigroup Inc.) of comparable maturity.
|
n
|
The return on your investment in the notes will be limited in certain cases. If a fixing event occurs, the payment at maturity on your notes will be fixed at $1,280 per note. This means that the return on your notes will be fixed at 28% (equivalent to 4% per annum) upon the occurrence of a fixing event, even if the commodity price has appreciated beyond 28% on the valuation date. You will have lost the potential to participate in the appreciation of the underlying commodity in this case.
|
n
|
If the commodity price does not exceed the upside threshold price during the valuation period, your return on the notes will depend on the final commodity price. If a fixing event does not occur, your return will depend on the commodity price as of the valuation date, regardless of whether the commodity price has been greater than the final commodity price on any other trading days during the term of the notes.
|
n
|
Secondary market sales of the notes may result in a loss of principal. You will be entitled to receive at least the full principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity. The market value of the notes may fluctuate, and if you sell your notes in the secondary market prior to maturity, you may receive less than your initial investment.
|
n
|
The notes are subject to the credit risk of Citigroup Inc., and any actual or anticipated changes to its credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on the ability of Citigroup Inc., Citigroup Funding’s parent company and the guarantor of any payments due on the notes, to pay all amounts due on the notes, and, therefore, investors are subject to the credit risk of Citigroup Inc. and to changes in the market’s view of Citigroup Inc.’s creditworthiness. The notes are not guaranteed by any other entity. If Citigroup Inc. defaults on its obligations under the notes, your investment would be at risk and you could lose some or all of your investment. Any decline, or anticipated decline, in Citigroup Inc.’s credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking Citigroup Inc.’s credit risk is likely to adversely affect the market value of the notes.
|
n
|
Investing in the notes is not equivalent to investing in the underlying commodity. Investing in the notes is not equivalent to investing in the underlying commodity or in futures contracts or forward contracts on the underlying commodity. The return on the notes will not reflect the return you would realize if you actually owned the underlying commodity or futures or forward contracts on the underlying commodity. For example, if a fixing event occurs, the payment at maturity on the notes will be fixed at $1,280 regardless of the actual commodity price on the valuation date. Moreover, by purchasing the notes, you do not purchase any entitlement to the underlying commodity or futures contracts or forward contracts on the underlying commodity.
|
n
|
Investments linked to commodities are subject to sharp fluctuations in commodity prices. Investments, such as the notes, linked to the prices of commodities are subject to sharp fluctuations in the prices of commodities and related contracts over short periods of time for a variety of factors, including: changes in supply and demand relationships; weather; climatic events; the occurrence of natural disasters; wars; political and civil upheavals; acts of terrorism; trade, fiscal, monetary, and exchange control programs; domestic and foreign political and economic events and policies; disease; pestilence; technological developments; changes in interest rates; and trading activities in commodities and related contracts. These factors may affect the commodity price and the value of the notes in varying and potentially inconsistent ways.
The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including macroeconomic factors such as the structure of and confidence in the global
|
May 2011
|
Page 9
|
n
|
The notes will not be regulated by the Commodity Futures Trading Commission (the “CFTC”). The notes will not be regulated by the CFTC. You will not benefit from the CFTC’s or any non-U.S. regulatory authority’s regulatory protections afforded to persons who trade in futures contracts or who invest in regulated commodity pools.
|
n
|
Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the value of the notes. The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These circumstances could adversely affect the commodity price and, therefore, the value of the notes.
|
n
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There are risks relating to trading of commodities on the London Bullion Market Association. Gold is traded on the London Bullion Market Association, which we refer to as the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of LBMA price fixings as a global benchmark for the value of gold may be adversely affected. The LBMA is a principals’ market that operates in a manner more closely analogous to over-the-counter physical commodity markets than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA, which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would continue to decline without limitation within a day or over a period of days.
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n
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The historical performance of the underlying commodity is not an indication of the future performance of the underlying commodity. The historical performance of the underlying commodity, which is included in this pricing supplement, should not be taken as an indication of the future performance of the underlying commodity during the term of the notes. Changes in the price of the underlying commodity will affect the trading price of the notes, but it is impossible to predict whether the value of the underlying commodity will fall or rise.
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n
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The price at which you will be able to sell your notes prior to maturity will depend on a number of factors and may be substantially less than the amount you originally invest. We believe that the value of your notes in the secondary market will be affected by the supply of, and demand for, the notes, the commodity price and a number of other factors. 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 following bullets describe what we expect to be the impact on the market value of the notes of a change in a specific factor, assuming all other conditions remain constant:
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•
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the market price for the underlying commodity and futures contracts on the underlying commodity and the volatility (frequency and magnitude of changes in price) of commodity prices and futures contract prices;
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•
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whether or not a fixing event has occurred;
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•
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trends of supply and demand for the underlying commodity at any time, as well as the effects of speculation or any government actions that could affect the markets for the underlying commodity;
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•
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interest and yield rates in the market;
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•
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying commodity or commodities markets generally and that may affect the price of the underlying commodity;
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•
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the time remaining until the maturity of the notes; and
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•
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any actual or anticipated changes in our credit ratings or credit spreads.
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We want you to understand that the impact of one of the factors specified above may offset some or all of any change in the market value of the notes attributable to another factor.
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n
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The inclusion of underwriting fees and projected profit from hedging in the original issue price is likely to adversely affect secondary market prices. Assuming no change in market conditions or any other relevant factors, the price, if any, at which Citigroup Global Markets is willing to purchase the notes in secondary market transactions will likely
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May 2011
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Page 10
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n
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The notes will not be listed on any securities exchange and secondary trading may be limited. The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. Citigroup Global Markets Inc. currently intends, but is not obligated, to make a market in the notes. Even if a secondary market does develop, it may not be liquid and may not continue for the term of the notes. If the secondary market for the notes is limited, there may be few buyers should you choose to sell your notes prior to maturity and this may reduce the price you receive. Because we do not expect that other broker-dealers will participate significantly in the secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which Citigroup Global Markets is willing to transact. If at any time Citigroup Global Markets were not to make a market in the notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to maturity.
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n
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The calculation agent, which is an affiliate of the ours, will make determinations with respect to the notes. Citigroup Global Markets Inc., the calculation agent, is an affiliate of ours. As calculation agent, Citigroup Global Markets Inc. will determine the number of accrual days and the payment that you will receive on each interest payment date, upon early redemption or at maturity. Determinations made by Citigroup Global Markets Inc., in its capacity as calculation agent, including with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the closing value in the event of discontinuance of the underlying index, may adversely affect the payout to you at maturity.
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n
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Hedging and trading activity by the calculation agent and its affiliates could potentially affect the value of the notes. Citigroup Global Markets and other affiliates of ours will carry out hedging activities related to the notes (and possibly to other instruments linked to the underlying commodity), including trading in futures contracts on the underlying commodity as well as in other instruments, such as options and/or swaps related to the underlying commodity. Our affiliates also trade in the underlying commodity and other financial instruments related to the underlying commodity on a regular basis as part of their general commodity trading, proprietary trading and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially have an adverse impact on the initial commodity price and the commodity price on each day during the valuation period and, accordingly, the payment an investor will receive at maturity.
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May 2011
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Page 11
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Gold
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High
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Low
|
Period End
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2006
|
|||
First Quarter
|
584.00
|
524.75
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582.00
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Second Quarter
|
725.00
|
567.00
|
613.50
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Third Quarter
|
663.25
|
573.60
|
599.25
|
Fourth Quarter
|
648.75
|
560.75
|
632.00
|
2007
|
|||
First Quarter
|
685.75
|
608.40
|
661.75
|
Second Quarter
|
691.40
|
642.10
|
650.50
|
Third Quarter
|
743.00
|
648.75
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743.00
|
Fourth Quarter
|
841.10
|
725.50
|
833.75
|
2008
|
|||
First Quarter
|
1,011.25
|
846.75
|
933.50
|
Second Quarter
|
946.00
|
853.00
|
930.25
|
Third Quarter
|
986.00
|
740.75
|
884.50
|
Fourth Quarter
|
903.50
|
712.50
|
869.75
|
2009
|
|||
First Quarter
|
989.00
|
810.00
|
916.50
|
Second Quarter
|
981.75
|
870.25
|
934.50
|
Third Quarter
|
1,018.50
|
908.50
|
995.75
|
Fourth Quarter
|
1,212.50
|
1,003.50
|
1,087.50
|
2010
|
|||
First Quarter
|
1,153.00
|
1,058.00
|
1,115.50
|
Second Quarter
|
1,261.00
|
1,123.50
|
1,244.00
|
Third Quarter
|
1,307.50
|
1,157.00
|
1,307.00
|
Fourth Quarter
|
1,421.00
|
1,313.50
|
1,405.50
|
2011
|
|||
First Quarter
|
1,447.00
|
1,319.00
|
1,439.00
|
Second Quarter (through May 26, 2011)
|
1,541.00
|
1,418.00
|
1,518.00
|
May 2011
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Page 12
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