Pricing Supplement No. 2013—CMTNG0010 to Product Supplement No. EA-02-03 dated November 13, 2013, Underlying Supplement
No. 3 dated November 13, 2013, Prospectus Supplement and Prospectus each dated November 13, 2013
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-192302
Dated December , 2013
Citigroup Inc. $ Trigger Return Optimization Securities
|
Investment Description
|
Features
|
Key Dates1
|
||
q Enhanced Growth Potential — At maturity, the Securities enhance any positive Index Return up to the Maximum Gain. If the Index Return is negative, investors will be exposed to the negative Index Return at maturity if the Final Index Level is less than the Trigger Level.
q Downside Exposure with Contingent Repayment of the Stated Principal Amount at Maturity: If the Index Return is zero or negative and the Final Index Level is greater than or equal to the Trigger Level, the Issuer will repay the Stated Principal Amount of the Securities at maturity. However, if the Index Return is negative and the Final Index Level is less than the Trigger Level, the Issuer will pay less than the Stated Principal Amount of the Securities at maturity, resulting in a loss on the Stated Principal Amount to investors that is proportionate to the percentage decline in the level of the Underlying Index. The contingent repayment of the Stated Principal Amount applies only if you hold the Securities to maturity. You might lose some or all of your initial investment. Any payment on the Securities is subject to the creditworthiness of the Issuer. If the Issuer were to default on its payment obligations, you might not receive any amounts owed to you under the Securities and you could lose your entire investment.
|
Trade Date
Settlement Date
Final Valuation Date2
Maturity Date
|
December 26, 2013
December 31, 2013
December 27, 2016
December 30, 2016
|
|
1 Expected
2 See page PS-3 for additional details.
|
Security Offering
|
Underlying Index
|
Initial Index Level
|
Multiplier
|
Maximum Gain
|
Trigger Level
|
CUSIP/ ISIN
|
S&P 500® Index (Ticker: SPX)
|
1.5
|
25% to 31%
|
75% of the Initial Index Level
|
17321F490 / US17321F4900
|
Issue Price(1) (2)
|
Underwriting Discount(2)
|
Proceeds to Issuer(3)
|
|||
Per Security
|
$10.00
|
$0.25
|
$9.75
|
||
Total
|
$
|
$
|
$
|
(1)
|
Citigroup Inc. currently expects that the estimated value of the Securities on the Trade Date will be between $9.414 and $9.561 per Security, which will be less than the issue price. The estimated value of the Securities is based on proprietary pricing models of Citigroup Global Markets Inc. (“CGMI”) and our internal funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any, at which CGMI or any other person may be willing to buy the Securities from you at any time after issuance. See “Valuation of the Securities” in this pricing supplement.
|
(2)
|
The Issue Price is $9.75 per Security for fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor.
|
(3)
|
CGMI, an affiliate of Citigroup Inc. and the lead agent for the sale of the Securities, is acting as principal and will receive an underwriting discount of $0.25 for each Security sold in this offering to brokerage accounts and no underwriting discount for each Security sold in this offering to fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor. UBS Financial Services Inc., the agent for the sale of the Securities, acting as principal, has agreed to purchase from CGMI, and CGMI has agreed to sell to UBS Financial Services Inc., all of the Securities sold in this offering for $9.75 per Security, which includes the underwriting discount to the extent applicable. UBS Financial Services Inc. proposes to offer the Securities to brokerage accounts at a price of $10.00 per Security and to fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor at a price of $9.75 per Security. UBS Financial Services Inc. will receive an underwriting discount of $0.25 per Security for each Security it sells to brokerage accounts but will not receive any sales commission with respect to sales to fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor. For additional information on the distribution of the Securities, see “Supplemental Plan of Distribution” in this pricing supplement. In addition to the underwriting discount, CGMI and its affiliates may profit from expected hedging activity related to this offering, even if the value of the Securities declines. See “Use of Proceeds and Hedging” in the accompanying prospectus.
|
Citigroup Global Markets Inc. | UBS Financial Services Inc. |
Additional Terms Specific to the Securities
|
¨
|
Product Supplement No. EA-02-03 dated November 13, 2013:
|
¨
|
Underlying Supplement No. 3 dated November 13, 2013:
|
¨
|
Prospectus Supplement and Prospectus each dated November 13, 2013:
|
Investor Suitability
|
The Securities may be suitable for you if, among other considerations:
|
The Securities may not be suitable for you if, among other considerations:
|
|
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate a loss of all or a substantial portion of your initial investment and are willing to make an investment that may have the full downside market risk of an investment in the Underlying Index or in the stocks included in the Underlying Index.
¨ You believe that the level of the Underlying Index will increase over the term of the Securities and are willing to give up any appreciation in excess of the Maximum Gain (the actual Maximum Gain will be set on the Trade Date).
¨ You understand and accept that your potential return is limited by the Maximum Gain and you would be willing to invest in the Securities if the Maximum Gain was set equal to the bottom of the range indicated on the cover hereof (the actual Maximum Gain will be set on the Trade Date).
¨ You can tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying Index.
¨ You do not seek current income from your investment and are willing to forgo dividends or any other distributions paid on the stocks included in the Underlying Index for the 3-year term of the Securities.
¨ You seek an investment with exposure to the large capitalization segment of the U.S. equity market.
¨ You are willing and able to hold the Securities, which have a term of approximately three years, to maturity, and accept that there may be little or no secondary market for the Securities and that any secondary market will depend in large part on the price, if any, at which CGMI is willing to purchase the Securities.
¨ You are willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, and understand that if Citigroup Inc. defaults on its obligations you might not receive any amounts due to you, including any repayment of the Stated Principal Amount.
|
¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You require an investment designed to guarantee a full return of the Stated Principal Amount at maturity.
¨ You cannot tolerate the loss of all or a substantial portion of your initial investment, and you are not willing to make an investment that may have the full downside market risk of an investment in the Underlying Index or in the stocks included in the Underlying Index.
¨ You believe that the level of the Underlying Index will decline during the term of the Securities and the Final Index Level is likely to close below the Trigger Level on the Final Valuation Date, or you believe the Underlying Index will appreciate over the term of the Securities by more than the Maximum Gain.
¨ You seek an investment that participates in the full appreciation in the level of the Underlying Index or that has unlimited return potential, or you would be unwilling to invest in the Securities if the Maximum Gain was set equal to the bottom of the range indicated on the cover page hereof (the actual Maximum Gain will be set on the Trade Date).
¨ You cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying Index.
¨ You seek current income from this investment or prefer to receive the dividends and any other distributions paid on the stocks included in the Underlying Index for the 3-year term of the Securities.
¨ You do not seek an investment with exposure to the large capitalization segment of the U.S. equity market.
¨ You are unwilling or unable to hold the Securities, which have a term of approximately three years, to maturity or you seek an investment for which there will be an active secondary market.
¨ You are not willing to assume the credit risk of Citigroup Inc. for all payments under the Securities, including any repayment of the Stated Principal Amount.
|
Indicative Terms
|
|
|||
Issuer
|
Citigroup Inc.
|
|||
Issue Price
|
· $10.00 per Security for brokerage accounts;
· $9.75 per Security for fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor
|
|||
Stated Principal Amount
|
$10.00 per Security
|
|||
Term
|
Approximately 3 years
|
|||
Trade Date1
|
December 26, 2013
|
|||
Settlement Date1
|
December 31, 2013
|
|||
Final Valuation Date1, 2
|
December 27, 2016
|
|||
Maturity Date1
|
December 30, 2016
|
|||
Underlying Index
|
S&P 500® Index (Ticker: SPX)
|
|||
Maximum Gain
|
25% to 31%. The actual Maximum Gain will be determined on the Trade Date.
|
|||
Multiplier
|
1.5
|
|||
Trigger Level
|
75% of the Initial Index Level
|
|||
Payment at Maturity (per $10.00 Stated Principal Amount of Securities)
|
If the Index Return is positive, Citigroup Inc. will pay you a cash payment per $10.00 Stated Principal Amount of Securities that provides you with the Stated Principal Amount of $10.00 per Security plus a return equal to the Index Return multiplied by 1.5, subject to the Maximum Gain, calculated as follows:
$10.00 + ($10.00 x the lesser of (i) Index Return x Multiplier and (ii) Maximum Gain)
If the Index Return is zero or negative and the Final Index Level is greater than or equal to the Trigger Level on the Final Valuation Date, Citigroup Inc. will pay you a cash payment of $10.00 per $10.00 Stated Principal Amount of Securities.
If the Index Return is negative and the Final Index Level is less than the Trigger Level on the Final Valuation Date, Citigroup Inc. will pay you a cash payment at maturity less than the Stated Principal Amount of $10.00 per Security, resulting in a loss on the Stated Principal Amount that is proportionate to the percentage decline in the level of the Underlying Index, calculated as follows:
$10.00 + ($10.00 × Index Return)
In this scenario, you will be exposed to the full negative Index Return, and you will lose a substantial portion or all of the Stated Principal Amount in an amount proportionate to the percentage decline in the Underlying Index.
|
|||
Index Return
|
Final Index Level – Initial Index Level
Initial Index Level
|
|||
Initial Index Level
|
The closing level of the Underlying Index on the Trade Date
|
|||
Final Index Level
|
The closing level of the Underlying Index on the Final Valuation Date
|
|||
1
|
In the event that we make any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and Maturity Date may be changed to ensure that the stated term of the Securities remains the same.
|
2
|
Subject to postponement as described under “Description of the Securities—Certain Additional Terms for Securities Linked to an Underlying Index—Consequences of a Market Disruption Event; Postponement of a Valuation Date” in the accompanying product supplement.
|
Summary Risk Factors
|
¨
|
You may lose some or all of your investment — The Securities differ from ordinary debt securities in that we will not necessarily repay the full Stated Principal Amount of your Securities at maturity. Instead, your return on the Securities is linked to the performance of the Underlying Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the Final Index Level is less than the Trigger Level, you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Index Level is less than the Initial Index Level. There is no minimum payment at maturity on the Securities, and you may lose up to all of your investment in the Securities.
|
¨
|
The reduced market risk offered by the Securities is contingent, and you will have full downside exposure to the Underlying Index if the Final Index Level is less than the Trigger Level — If the Final Index Level is below the Trigger Level, the contingent reduced market risk with respect to a limited range of potential depreciation of the Underlying Index offered by the Securities will not apply and you will lose 1% of the Stated Principal Amount of the Securities for every 1% by which the Final Index Level is less than the Initial Index Level. The Securities will have full downside exposure to the decline of the Underlying Index if the Final Index Level is below the Trigger Level. As a result, you may lose your entire investment in the Securities. Further, this contingent reduced market risk applies only if you hold the Securities to maturity. If you are able to sell the Securities prior to maturity you may have to sell them for a loss even if the Underlying Index has not declined below the Trigger Level.
|
¨
|
The Securities do not pay interest — Unlike conventional debt securities, the Securities do not pay interest or any other amounts prior to maturity. You should not invest in the Securities if you seek current income during the term of the Securities.
|
¨
|
The appreciation potential of the Securities is limited by the Maximum Gain — Your potential total return on the Securities at maturity is limited by the Maximum Gain. As a result, the return on an investment in the Securities may be less than the return on a hypothetical direct investment in the Underlying Index. In addition, the Maximum Gain reduces the effect of the Multiplier for all Final Index Levels exceeding the Final Index Level at which, by multiplying the corresponding Index Return by the Multiplier, the Maximum Gain is reached.
|
¨
|
Investing in the Securities is not equivalent to investing in the Underlying Index or the stocks that constitute the Underlying Index — You will not have voting rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute the Underlying Index. As of December 3, 2013, the average dividend yield of the Underlying Index was 1.98% per year. While it is impossible to know the future dividend yield of the Underlying Index, if this average dividend yield were to remain constant for the term of the Securities, you would be forgoing an aggregate yield of approximately 5.94% (assuming no reinvestment of dividends) by investing in the Securities instead of investing directly in the stocks that constitute the Underlying Index or in another investment linked to the Underlying Index that provides for a passthrough of dividends. The payment scenarios described in this pricing supplement do not show any effect of lost dividend yield over the term of the Securities.
|
¨
|
Your payment at maturity depends on the closing level of the Underlying Index on a single day — Because your payment at maturity depends on the closing level of the Underlying Index solely on the Final Valuation Date, you are subject to the risk that the closing level of the Underlying Index on that day may be lower, and possibly significantly lower, than on one or more other dates during the term of the Securities. If you had invested in another instrument linked to the Underlying Index that you could sell for full value at a time selected by you, or if the payment at maturity were based on an average of closing levels of the Underlying Index, you might have achieved better returns.
|
¨
|
The Securities are subject to the credit risk of Citigroup Inc. — Any payment on the Securities will be made by Citigroup Inc. and therefore is subject to the credit risk of Citigroup Inc. If we default on our obligations under the Securities, you may not receive any payments that become due under the Securities. As a result, the value of the Securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any decline, or anticipated decline, in our credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Securities.
|
¨
|
The Securities will not be listed on a securities exchange and you may not be able to sell them prior to maturity — The Securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Securities. CGMI currently intends to make a secondary market in relation to the Securities and to provide an indicative bid price for the Securities on a daily basis. Any indicative bid price for the Securities provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions and other relevant factors, and will not be a representation by CGMI that the Securities can be sold at that price, or at all. CGMI may suspend or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates making a market, there may be no secondary market at all for the Securities because it is likely that CGMI will be the only broker-dealer that is willing to buy your Securities prior to maturity. Accordingly, an investor must be prepared to hold the Securities until maturity.
|
¨
|
The estimated value of the Securities on the Trade Date, based on CGMI’s proprietary pricing models and our internal funding rate, will be less than the issue price — The difference is attributable to certain costs associated with selling, structuring and hedging the Securities that are included in the issue price. These costs include (i) the selling concessions paid in connection with the offering of the Securities, (ii) hedging and other costs incurred by us and our affiliates in connection with the offering of the Securities and (iii) the expected profit (which may be more or less than actual profit) to CGMI or other of our affiliates in connection with hedging our obligations under the Securities. These costs adversely affect the economic terms of the Securities because, if they were lower, the economic terms of the Securities would be more favorable to you. The economic terms of the Securities are also likely to be adversely affected by the use of our internal funding rate, rather than our secondary market rate, to price the Securities. See “The estimated value of the Securities would be lower if it were calculated based on our secondary market rate” below.
|
¨
|
The estimated value of the Securities was determined for us by our affiliate using proprietary pricing models — CGMI derived the estimated value disclosed on the cover page of this pricing supplement from its proprietary pricing models. In doing so, it may have made discretionary judgments about the inputs to its models, such as the volatility of the Underlying Index, dividend yields on the stocks that constitute the Underlying Index and interest rates. CGMI’s views on these inputs may differ from your or others’ views, and as an underwriter in this offering, CGMI’s interests may conflict with yours. Both the models and the inputs to the models may prove to be wrong and therefore not an accurate reflection of the value of the Securities. Moreover, the estimated value of the Securities set forth on the cover page of this pricing supplement may differ from the value that we or our affiliates may determine for the Securities for other purposes, including for accounting purposes. You should not invest in the Securities because of the estimated value of the Securities. Instead, you should be willing to hold the Securities to maturity irrespective of the initial estimated value.
|
¨
|
The estimated value of the Securities would be lower if it were calculated based on our secondary market rate — The estimated value of the Securities included in this pricing supplement is calculated based on our internal funding rate, which is the rate at which we are willing to borrow funds through the issuance of the Securities. Our internal funding rate is generally lower than the market rate implied by traded instruments referencing our debt obligations in the secondary market for those debt obligations, which we refer to as our secondary market rate. If the estimated value included in this pricing supplement were based on our secondary market rate, rather than our internal funding rate, it would likely be lower. We determine our internal funding rate based on factors such as the costs associated with the Securities, which are generally higher than the costs associated with conventional debt securities, and our liquidity needs and preferences. Our internal funding rate is not an interest rate that we will pay to investors in the Securities, which do not bear interest.
|
¨
|
The estimated value of the Securities is not an indication of the price, if any, at which CGMI or any other person may be willing to buy the Securities from you in the secondary market — Any such secondary market price will fluctuate over the term of the Securities based on the market and other factors described in the next risk factor. Moreover, unlike the estimated value included in this pricing supplement, any value of the Securities determined for purposes of a secondary market transaction will be based on our secondary market rate, which will likely result in a lower value for the Securities than if our internal funding rate were used. In addition, any secondary market price for the Securities will be reduced by a bid-ask spread, which may vary depending on the aggregate Stated Principal Amount of the Securities to be purchased in the secondary market transaction, and the expected cost of unwinding related hedging transactions. As a result, it is likely that any secondary market price for the Securities will be less than the issue price.
|
¨
|
The value of the Securities prior to maturity will fluctuate based on many unpredictable factors — The value of your Securities prior to maturity will fluctuate based on the level and volatility of the Underlying Index and a number of other factors, including the price and volatility of the stocks that constitute the Underlying Index, dividend yields on the stocks that constitute the Underlying Index, interest rates generally, the time remaining to maturity and our creditworthiness, as reflected in our secondary market rate. You should understand that the value of your Securities at any time prior to maturity may be significantly less than the issue price. The stated payout from the Issuer, including the potential application of the Multiplier and the Trigger Level, only applies if you hold the Securities to maturity.
|
¨
|
Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment — The amount of this temporary upward adjustment will decline to zero over the temporary adjustment period. See “Valuation of the Securities” in this pricing supplement.
|
¨
|
Our affiliates, or UBS Financial Services Inc. or its affiliates, may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities — Any such research, opinions or recommendations could affect the level of the Underlying Index and the value of the Securities. Our affiliates, and UBS Financial Services Inc. and its affiliates, publish research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that may be inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by our affiliates or by UBS Financial Services Inc. or its affiliates may not be consistent with each other and may be modified from time to time without notice. These and other activities of our affiliates or UBS Financial Services Inc. or its affiliates may adversely affect the level of the Underlying Index and may have a negative impact on your interests as a holder of the Securities. Investors should make their own independent investigation of the merits of investing in the Securities and the Underlying Index to which the Securities are linked.
|
¨
|
Trading and other transactions by our affiliates, or by UBS Financial Services Inc. or its affiliates, in the equity and equity derivative markets may impair the value of the Securities — We expect to hedge our exposure under the Securities through CGMI or other of our affiliates, who will likely enter into equity and/or equity derivative transactions, such as over-the-counter options or exchange-traded instruments, relating to the Underlying Index or the stocks included in the Underlying Index. It is possible that our affiliates could receive substantial returns from these hedging activities while the value of the Securities declines. Our affiliates and UBS Financial Services Inc. and its affiliates may also engage in trading in instruments linked to the Underlying Index on a regular basis as part of their respective general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities may affect the level of the Underlying Index and reduce the return on your investment in the Securities. Our affiliates or UBS Financial Services Inc. or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlying Index. By introducing competing products into the marketplace in this manner, our affiliates or UBS Financial Services Inc. or its affiliates could adversely affect the value of the Securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment strategies relating to the Securities.
|
¨
|
Our affiliates, or UBS Financial Services Inc. or its affiliates, may have economic interests that are adverse to yours as a result of their respective business activities — Our affiliates or UBS Financial Services Inc. or its affiliates may currently or from time to time engage in business with the issuers of the stocks that constitute the Underlying Index, including extending loans to, making equity investments in or providing advisory services to such issuers. In the course of this business, our affiliates or UBS Financial Services Inc. or its affiliates may acquire non-public information about those issuers, which they will not disclose to you. Moreover, if any of our affiliates or UBS Financial Services Inc. or any of its affiliates is or becomes a creditor of any such issuer, they may exercise any remedies against that issuer that are available to them without regard to your interests.
|
¨
|
The calculation agent, which is an affiliate of ours, will make important determinations with respect to the Securities — If certain events occur, such as market disruption events or the discontinuance of the Underlying Index, CGMI, as calculation agent, may be required to make discretionary judgments that could significantly affect your payment at maturity. In making these judgments, the calculation agent’s interests as an affiliate of ours could be adverse to your interests as a holder of the Securities.
|
¨
|
Adjustments to the Underlying Index may affect the value of your Securities — S&P Dow Jones Indices LLC (the “Underlying Index Publisher”) may add, delete or substitute the stocks that constitute the Underlying Index or make other methodological changes that could affect the level of the Underlying Index. The Underlying Index Publisher may discontinue or suspend calculation or publication of the Underlying Index at any time without regard to your interests as holders of the Securities.
|
¨
|
The U.S. federal tax consequences of an investment in the Securities are unclear — There is no direct legal authority regarding the proper U.S. federal tax treatment of the Securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Securities are uncertain, and the IRS or a court might not agree with the treatment of the Securities as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment of the Securities, the tax consequences of the ownership and disposition of the Securities might be materially and adversely affected. As described below under “United States Federal Tax Considerations,” in 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities, including the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. persons should be subject to withholding tax, possibly with retroactive effect. You should read carefully the discussion under “United States Federal Tax Considerations” and “Risk Factors Relating to the Securities” in the accompanying product supplement and “United States Federal Tax Considerations” in this pricing supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the Securities, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
Hypothetical Examples
|
Final Index Level
|
Index Return
|
Payment at Maturity
|
Total Return on Securities at Maturity per $10.00 Issue Price(1)
|
Total Return on Securities at Maturity per $9.75 Issue Price(2)
|
3,600.00
|
100.00%
|
$12.50
|
25.00%
|
28.21%
|
3,420.00
|
90.00%
|
$12.50
|
25.00%
|
28.21%
|
3,240.00
|
80.00%
|
$12.50
|
25.00%
|
28.21%
|
3,060.00
|
70.00%
|
$12.50
|
25.00%
|
28.21%
|
2,880.00
|
60.00%
|
$12.50
|
25.00%
|
28.21%
|
2,700.00
|
50.00%
|
$12.50
|
25.00%
|
28.21%
|
2,520.00
|
40.00%
|
$12.50
|
25.00%
|
28.21%
|
2,340.00
|
30.00%
|
$12.50
|
25.00%
|
28.21%
|
2,250.00
|
25.00%
|
$12.50
|
25.00%
|
28.21%
|
2,160.00
|
20.00%
|
$12.50
|
25.00%
|
28.21%
|
2,100.00
|
16.67%
|
$12.50
|
25.00%
|
28.21%
|
1,980.00
|
10.00%
|
$11.50
|
15.00%
|
17.95%
|
1,800.00
|
0.00%
|
$10.00
|
0.00%
|
2.56%
|
1,620.00
|
-10.00%
|
$10.00
|
0.00%
|
2.56%
|
1,440.00
|
-20.00%
|
$10.00
|
0.00%
|
2.56%
|
1,350.00
|
-25.00%
|
$10.00
|
0.00%
|
2.56%
|
1,349.82
|
-25.01%
|
$7.50
|
-25.01%
|
-23.08%
|
1,260.00
|
-30.00%
|
$7.00
|
-30.00%
|
-28.21%
|
1,080.00
|
-40.00%
|
$6.00
|
-40.00%
|
-38.46%
|
900.00
|
-50.00%
|
$5.00
|
-50.00%
|
-48.72%
|
720.00
|
-60.00%
|
$4.00
|
-60.00%
|
-58.97%
|
540.00
|
-70.00%
|
$3.00
|
-70.00%
|
-69.23%
|
360.00
|
-80.00%
|
$2.00
|
-80.00%
|
-79.49%
|
180.00
|
-90.00%
|
$1.00
|
-90.00%
|
-89.74%
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
-100.00%
|
The S&P 500® Index
|
United States Federal Tax Considerations
|
|
•
|
You should not recognize taxable income over the term of the Securities prior to maturity, other than pursuant to a sale or exchange.
|
|
•
|
Upon a sale or exchange of the Securities, or retirement of the Securities at maturity, you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the Securities. Such gain or loss should be long-term capital gain or loss if you held the Securities for more than one year.
|
Supplemental Plan of Distribution
|
Valuation of the Securities
|
KA,T?NTYR]LI4\50BXSJ4Z5/$4G'G:KI03D5:-:CB-/'OAZV22.[\%ZBMU]HD@6,7MFT;3*TYM<<'*6.JX
MZCA:4I3RZJZ5:[A%>[@5F$JD;S5X1H2L]JCJ7C&$E:3UJQAAIX6G5JQISQF$
MJXNBK3?/&CC*>#G2O:KG4=6/,XTG1ISO555PI3Z[X@?&_1_A7\)W^*_CW
MPAXUT"*.XT;3CX%6'PMK/C=M<\1Z]:>'-"T&,>'O%=_X>DU"]U._L@DB^(3:
M(ERK37415PEU;PQ>6X##+Z[B\VQ.%PF&IT6H3@JD88;V\Y_6'[/V$
M(1=2U:G[>%%JJJ7/ZS\?M8T*?P3I-W^S]\:&\6>/+KQ3!I'@RWU+X"-K5K;^
M$[&PU"]U+4M1D^.4>@0V=S;7SFV2#6KBX)L+@3P0$P?:7%