Best Of Profile Securities
Summary of Indicative Terms (CFI, EUR)
DRAFT – 11th November 2011
Issuer:
Citigroup Funding Inc
Guarantor:
Citigroup Inc
Security:
Debt securities linked to a multi asset underlying basket.
Status:
Senior, Unsecured
Form:
Bearer Notes, issued in the form of Classic Global Note from the Issuer’s Global
Medium Term Note and Certificate Programme
Underlying:
The securities described herein have not been and will not be registered under the United
States Securities Act of 1933 (the “Securities Act”) or any state securities law, and may
not be offered or sold within the United States or to, or for the account or benefit of, any
US person, except pursuant to an exemption from, or in a transaction not subject to, the
registration requirements of the Securities Act.
TEFRA D applies: Bearer notes are subject to US tax law requirements and may not be
offered, sold or delivered within the United States or its possessions, except in certain
limited circumstances as permitted by US tax regulations.
The Issuer’s senior debt is currently rated A3 / Negative Outlook / P-2 (Moody’s), A /
Negative Outlook / A-1 (S&P), and A+ / Rating Watch Negative / F1+ (Fitch), based on
the guarantee by Citigroup Inc. The Rating and Outlook are subject to change during the
term of the notes.
Basket of Mutual Funds, as defined below.
Nominal Amount:
[3,000,000] EUR
Security Denomination:
EUR 1,000
Ratings:
If the notes are sold as a private placement, EUR 1,000, subject to a minimum initial
investment of EUR 50,000 equivalent or a maximum solicitation of 99 people for
countries covered under the EU Prospective Directive.
Subscription Period:
November 16th 2011 to January 04th 2012
Offer:
Spain
Trade Date:
January 04th 2012
Strike Date:
January 04th 2012
Issue Date / Value Date:
January 11th 2012
Final Valuation Date:
January 04th 2017
Final Redemption Date /
Maturity Date:
January 11th 2017
Issue Price:
100% of notional amount
Net Proceeds:
[96.50%]
Final Redemption Amount
per Security Denomination:
The Final Redemption Amount per Note will be determined on the Final Valuation Date
as:
Denomination * (1+ PR * Max(0% ; Best Performance))
“Best Performance” shall mean the performance of the PortfolioP whose performance is
the highest.
“PR” shall mean the participation rate: [70%]
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Best Of Profile Securities
Portfolio Performance:
The percentage performance of Portfolio P determined in accordance with the formula set
out below:
Portfolio P , Final
Portfolio P , Initial
1
Portfolio P , Final is the Average Value of Portfolio P on the Final Valuation Date.
Portfolio P , Initial is the is the Value of Portfolio P on the Strike Date.
PortfolioP:
Each reference portfolio (identified using a specific number P) containing the
Underlyings in various proportions, Weighting (N, P) as specified in the table set out
below.
P
1
Portfolio 1
Value of Portfolio:
2
Portfolio 2
3
Portfolio 3
N 1
20%
0%
0%
2
65%
25%
0%
3
5%
25%
25%
4
10%
25%
35%
5
0%
20%
30%
6
0%
5%
10%
“Portfolio(P, T)” shall mean the value of Portfolio P on a Day T, which shall be an
amount determined in accordance with the formula set out below:
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PortfolioP, T   Weighting N , P  
N 1
Underlying N , T 
Underlying N , Initial 
Where:
“Underlying (N,T)” shall mean the Net Asset Value on Day T of Underlying N
“Underlying (N, Initial)” shall mean the Net Asset Value of Underlying N on the
Strike Date
“Weighting(N, P)” shall mean the weighting of each Underlying N in each
Portfolio P, as specified in the table set out above
“N” is each Underlying contained in Portfolio P;
Average Value:
The average of the Value of Portfolio (P) on each Averaging Date.
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Best Of Profile Securities
Averaging Dates (Day T):
Underlying:
NAV:
Scheduled Trading Day
Rollover days:
04-Apr-12
04-Jul-12
04-Oct-12
04-Jan-13
04-Apr-13
04-Jul-13
04-Oct-13
06-Jan-14
04-Apr-14
04-Jul-14
06-Oct-14
05-Jan-15
07-Apr-15
06-Jul-15
05-Oct-15
04-Jan-16
04-Apr-16
04-Jul-16
04-Oct-16
Final Valuation Date
N Underlying
Bloomberg Page
1. Schroder ISF Euro Liquidity B
SISFELB LX Equity
2. Schroder ISF EURO BOND A
SCHEBDA LX Equity
3. LM WA GMS A Acc (H) €
LEMSAHA ID Equity
4. BGF European A2 EUR
MERSEEI LX Equity
5. Franklin Mutual Global Disc N € H2
FMGDNAH LX Equity
6. SISF Emerging Markets
SCHIMAA LX Equity
Means, with respect to a Scheduled Trading Day, the net asset value per Fund Unit as
calculated for such Scheduled Trading Day by the Fund Manager and published by or on
behalf of the Fund Event;
A day on which the NAV of all the Funds are expected to be published in accordance
with the Fund Documents, subject to Fund Market Disruptions. In case a Scheduled
Trading Day is disrupted with respect to one or more Funds, the valuation for those
affected Funds will be postponed.
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Clearing and Settlement of
the Notes:
Euroclear Bank S.A./N.V. and/or Clearstream, Lux
Listing:
ISIN:
Governing Law:
Luxembourg
TBD
Tax:
Form:
English Law
As per Issuer’s GMTN programme
Bearer Notes, issued in the form of Classic Global Note from the Issuer’s GMTN
Programme
The securities described herein have not been and will not be registered under the United
States Securities Act of 1933 (the “Securities Act”) or any state securities law, and may
not be offered or sold within the United States or to, or for the account or benefit of, any
US person, except pursuant to an exemption from, or in a transaction not subject to, the
registration requirements of the Securities Act.
TEFRA D applies: Bearer notes are subject to US tax law requirements and may not be
offered, sold or delivered within the United States or its possessions, except in certain
limited circumstances as permitted by US tax regulations.
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Best Of Profile Securities
Legal and Regulatory:
This Term Sheet does not constitute a public offer of Notes. However, the Notes may be
offered to the public in compliance with all applicable laws and regulations specific to
each country or jurisdiction. Note-holders and prospective purchasers will be deemed to
represent that they have and will comply with all applicable laws and regulations in each
country or jurisdiction in or from which they purchase, offer, sell or deliver the Notes
Suitability:
Investors should determine whether an investment in the Notes is appropriate to their
particular circumstances and should consult with their own independent financial, legal,
regulatory capital, accounting, business and tax advisers to determine the consequences of
an investment in the Notes and to arrive at their own evaluation of the investment.
Credit Risk:
Investors in these Notes are exposed to the credit risk of the Issuer. The ratings above
reflect the independent opinion of the relevant Rating Agencies as to the safety of
payments of principal and interest. These ratings are not a guarantee of credit quality.
These ratings do not take into consideration any risks associated with fluctuations in the
market value of these Notes, or where factors other than the Issuer’s credit quality
determine the level of principal and interest payments.
Market Risk:
Investors in these Notes should have prior experience of products featuring embedded
derivatives, or should take steps to familiarize themselves with these products. Various
factors may influence the market value of these Notes, including, but not limited to, the
level and shape of the relevant yield curve(s), levels of volatility in the underlying
markets and the implied future direction of these. Changes to any of these factors,
remaining life to maturity and the credit quality of the Issuer will affect secondary market
prices for these Notes.
Interest Risk:
These Notes may include features whereby the Interest payable to Note-holders is at risk.
Investors should determine whether an investment in the Notes is appropriate to their
particular circumstances.
Call Risk:
These Notes may include a “Call Option” whereby the Issuer retains the right to call these
Notes according to the specified conditions.
In such an event, the Notes may redeem early and Note-holders may not find it possible
to reinvest at the same rate.
Liquidity and Early Sale
Risk:
Citigroup Global Markets Limited will endeavour to make a secondary market in these
Notes, but does not guarantee that a secondary market will exist. The bid/offer spread for
the Notes will be wider than that for plain vanilla instruments.
Investors seeking to liquidate/sell positions in these Notes prior to the stated Maturity
Date may receive substantially less than their original purchase price. 100% of the
principal amount is only protected at Maturity (subject to Credit Risk above)
Tax Risk:
We recommend that investors take independent tax advice before committing to the
purchase of the Notes. Citigroup does not provide tax advice and therefore responsibility
for any tax implications of investing in these Notes rests entirely with the investor.
Investors should note that the tax treatment will differ from jurisdiction to jurisdiction.
Leverage Risk:
Borrowing to fund the purchase of the Notes (leveraging) can have a significant negative
impact on the value of and return on the investment. Any hypothetical examples provide
herein of potential performance of the Notes, do not take into account the effect of any
leveraging. Investors considering leveraging the Notes should obtain further detailed
information as to the applicable risks from the leverage provider. If the investor obtains
leverage for the investment, the investor should make sure they have sufficient liquid
assets to meet the margin requirements in the event of market movements adverse to the
investor's position. In such case, if the investor does not make the margin payments then
the investor’s investment in the Notes may be liquidated with little or no notice.
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Best Of Profile Securities
Compounding of Risks:
Due to the inter -linked nature of financial markets, an investment in the Notes involves
risks and should only be made after assessing the direction, timing and magnitude of
potential future market changes (e.g. in the value of the reference securities, indices,
commodities, interest rates etc.), as well as the terms and conditions of the Notes. More
than one risk factor may have simultaneous effects with regard to the Notes such that the
effect of a particular risk factor may not be predictable. In addition, more than one risk
factor may have a compounding effect, which may not be predictable. No assurance can
be given as to the effect that any combination of risk factors may have on the value of the
Notes.
Fees and other
compensation:
Calculation Agent:
Investors should be aware that Citigroup and its affiliates, and other third parties that may
be involved in this transaction may make or receive a fee, commission or other
compensation (in cash or in kind) in connection with the purchase and sale of the Notes,
hedging activities related to the notes and other roles involved in the transaction; and that
salespersons and employees of the related entities may be paid a fee or otherwise receive
a commission or other compensation (in cash or in kind) in connection with investors’
purchase of the Notes. Investors must note that the market value of the securities will be
net of such fee and other compensation as discussed above. Early termination of the
Notes by the Note-holders may also involve payment by such Note-holders of the
relevant fees and other compensation.
This termsheet contains terms that are indicative only and are subject to amendment and
completion. The final terms of the Notes will be set out in the Final Terms which together
with the Base Prospectus dated 12 May 2011 and any supplements thereto will comprise
the prospectus relating to the Notes. The list of supplements to the Base Prospectus will
be set out in the Final Terms. A copy of the Base Prospectus and any supplements thereto
are available on request.
Citigroup Global Markets Limited
Dealer:
Citigroup Global Markets Limited
Additional:
Mutual Fund Annex
Adjustment Events:
Following the occurrence (as determined by the Calculation Agent) of an Adjustment
Event, the Calculation Agent will determine whether an adjustment is required to any of
the terms of the Notes as a result of such Adjustment Event and, if so, will treat such
adjustment as an “Adjustment Event” and make such adjustment to the terms of the Notes
as it determines necessary or appropriate to account for the effect of such Adjustment
Event and determine the effective date(s) of such adjustment(s) . Any adjustment made by
the Calculation Agent may include: :
a) a “Fund Substitution” and, if so, the provisions detailed below shall apply, or
b) an “Early Redemption Event”.
Fund Substitution:
Substitute totally the affected Funds by other Fund [or Indices] subject to the following
constraints:
a) a Fund with the same strategies, and
b) a Fund with the same currency, and
c) a Fund complying with the Fund Criteria.
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Best Of Profile Securities
Mutual Fund Adjustment
Events
Additional Mutual Fund
Adjustment Event(s):
Additional Mutual Fund
Market Disruptions
The following events are defined in the Issuer’s Global Medium Term Note and
Certificate Programme:
 Corporate Action
 Insolvency
 Merger Event
 Nationalisation
 Adviser Resignation Event
 Fund Modification
 Strategy Breach
 Regulatory Action
 Reporting Disruption
 Cross-contamination
 Failure by a Fund Service Provider
The nominal amount invested by the Calculation Agent and any affiliate or related entity
shall not represent more than 10% of the total net asset value of such Fund at any time;
Delisting of the Fund;
The following events are defined in the Issuer’s Global Medium Term Note and
Certificate Programme:










Fund Criteria:
Fees or Charges Event
Fund Adviser Event
Hedging Disruption
Holding Ratio Change
Increased Cost of Hedging
Limitation Event
NAV Trigger Event
New Information Event
Non Currency Redmeption
Related Agreement Termination
Means, in relation to a Fund, each of the criteria set out below:
a) each Fund is a Mutual Fund;
b) provide daily liquidity;
c) offers the possibility to subscribe for and redeem its shares or units at, or at a
value that equates to, the net asset value on every Fund Business Days (as
defined in its prospectus), by giving no more than 2 business Days notice,
without the subscriber or redeemer having to pay any charges in respect of such
subscription or redemption;
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Best Of Profile Securities
Hedging Disruptions:
Hedging Disruption means that any Hedging Party is unable, after using commercially
reasonable efforts to (a) acquire, establish, re establish, substitute, maintain, unwind or
dispose of any transaction(s) or asset(s) that the Calculation Agent deems necessary to
hedge the price risk of the Issuer issuing and performing its obligations under the Notes;
or (b) realise, recover or remit the proceeds of any such transaction(s) or asset(s).
Increased Cost of Hedging means that any Hedging Party would incur a materially
increased (as compared with circumstances existing on the Trade Date) amount of tax,
duty, expense or fee (other than brokerage commissions) to (a) acquire, establish, reestablish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) that the
Calculation Agent deems necessary to hedge the price risk of the Issuer issuing and
performing its obligations under the Notes; or (b) realise, recover or remit the proceeds of
any such transaction(s) or asset(s). Any such materially increased amount that is incurred
solely due to the deterioration of the creditworthiness of any Hedging Party shall not be
deemed an Increased Cost of Hedging.
Disclaimer
This Termsheet has been issued by Citigroup Global Markets Limited (“CGML”) which is authorised and regulated in the
United Kingdom by the Financial Services Authority (“FSA”) and is directed at persons who have been or can be classified by
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investment banking activities.
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department. On the occasions when the information provided includes extracts or summary material derived from a research
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Best Of Profile Securities
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