MLI Autocall (MLI 2010 - 05)

CitiFirst Protection

Overview

The MLI is a short term product that is linked to the performance of 2 Australian stocks (BHP & WBC). The structure provides Investors with Conditional Protection and offers a high Conditional Coupon if an Autocall Event occurs on an Autocall Event Observation Date.

Indicative Terms

Maturity: 31 May 2011
Currency: AUD and USD
Conditional Protection
Type: Deferred Purchase Agreement

Issuer:	Citigroup Global Markets Australia Pty Limited
Guarantor:	Citigroup Inc.
Reference Assets:	A share in the following Australian companies is a “Reference Asset” and together they are the “Reference Assets”: BHP Billiton Limited; and Westpac Banking Corporation.
Offer Opening Date:	27 April 2010 at 9:00 am (Sydney time)
Offer Closing Date:	25 May 2010 at 5:00 pm (Sydney time)
Issue Date:	31 May 2010
Maturity Date:	31 May 2011 If an Autocall Event occurs on any Autocall Event Observation Date, the Maturity Date will be deemed to be the Autocall Event Observation Date on which that Autocall Event occurs.
Term:	12 months
Denomination:	AUD Series: Australian dollars (AUD) USD Series: United States dollars (USD)
Investment:	The MLI, which is an agreement between the Investor and the Issuer governed by the Terms.
Issue Price:	AUD Series: AUD 1.00 per Unit USD Series: USD 1.00 per Unit
Minimum Investment Amount:	AUD Series: AUD 10,000 and multiples of AUD 1,000 thereafter. USD Series: USD 10,000 and multiples of USD 1,000 thereafter.
Investment Amount:	The total amount paid in respect of an Investment by the Investor to the Issuer by the Offer Closing Date.
Initial Price:	In respect of each Reference Asset, the ‘Initial Price’ is the Official Closing Price of the Reference Asset on the Issue Date.
Reference Price:	In respect of each Reference Asset, the ‘Reference Price’ is the Official Closing Price of the Reference Asset as at the date on which it is observed.
Reference Asset Return:	In respect of each Reference Asset: *Reference Asset Return (%) = (Reference Price – Initial Price) / Initial Price*
Worst Performing Reference Asset:	The Worst Performing Reference Asset is the Reference Asset with the lowest Reference Asset Return, as determined by the Issuer. The Worst Performing Reference Asset as at the Maturity Date is not necessarily the Reference Asset (if any) that has triggered a Knock-In Event.
Autocall Event:	An Autocall Event will occur if the Reference Asset Return of each Reference Asset on an Autocall Event Observation Date is greater than or equal to 0%. If an Autocall Event occurs on any Autocall Event Observation Date, the Maturity Date will be deemed to be the Autocall Event Observation Date on which the Autocall Event occurs and the Final Value per Unit will be as specified below.
Autocall Event Observation Dates:	The Autocall Event Observation dates are the date three months after the Issue Date and, thereafter, monthly throughout the Term (including the Maturity Date).
Conditional Coupon Payment Date:	5 Business Days after the Autocall Event Observation Date on which an Autocall Event occurs.
Conditional Coupon Rate:	The ‘Conditional Coupon Rate’ is a simple (non-compounding) fixed rate of return per annum payable if an Autocall Event occurs. The Conditional Coupon Rate is to be determined by the Issuer on the Issue Date and notified to the Investor after the Issue Date. The Conditional Coupon Rate determined by the Issuer will be between 17.50% p.a. and 25.50% p.a. for the AUD Series and between 10.50% p.a. and 18.50% p.a. for the USD Series. As an indication, if the Units had been issued on 20 April 2010, the Conditional Coupon Rate for the AUD Series would have been 21.50% p.a. and the Conditional Coupon Rate for the USD Series would have been 14.50% p.a.. Please refer to the section “What factors affect how the Conditional Coupon Rate is determined?” on page 16 for further details.
Conditional Coupon Amount:	The Conditional Coupon Amount is an amount determined in accordance with the formula set out below: *m/M x Conditional Coupon Rate x Issue Price x number of Units held* where:m = the number of months between the Issue Date and the date on which an Autocall Event occurs. M = the number of months in the Term. The Conditional Coupon Amount will be paid on the Conditional Coupon Payment Date.
Knock-In Event:	A Knock-In Event occurs if any Reference Asset has a Reference Asset Return equal to, or less than, -30% of the Initial Price on any day on, or prior to, the Maturity Date.
Knock-In Level:	The Knock-In Level is where the Reference Asset Return of the Worst Performing Reference Asset is less than, or equal to, -30% of the Initial Price. Numerically, the Knock-In Level is: *Reference Asset Return of the Worst Performing Reference Asset ≤ -30%*
Final Value per Unit ¤ :	The Final Value per Unit will be determined in the following manner: *Autocall Event occurs* If an Autocall Event occurs, then the Final Value per Unit will be equal to: *Issue Price x 100%* This will be the case even if a Knock-In Event occurs during the investment period prior to the occurrence of the Autocall Event. *Neither Knock-In Event nor Autocall Event occur* If neither a Knock-In Event nor an Autocall Event occurs on, or prior to, the Maturity Date, then the Final Value per Unit will be equal to: *Issue Price x 100%* *Knock-In Event does occur but Autocall Event does not occur* If a Knock-In Event occurs on, or prior to, the Maturity Date but no Autocall Event occurs, then the Final Value per Unit will be equal to: *Issue Price x [100% + Min (Reference Asset Return of the Worst Performing Reference Asset on the Maturity Date, 0%)]* This means that the Final Value per Unit cannot be greater than the Issue Price.
Conditional Protection+:	Conditional Protection means that the Issuer will deliver to an Investor the Delivery Assets with a value equal to the number of Units held by the Investor multiplied by the Issue Price if the requirements below for Conditional Protection apply. The value of each Unit will not be principal protected but is conditionally protected if: a Knock-In Event does not occur; or both a Knock-In Event and Autocall Event occur. Conditional Protection does not apply where a Knock-In Event occurs and an Autocall Event does not occur. Investors should consider the Conditional Protection risk and credit risk as described in Section 4 of this PDS.
Delivery Asset:	Ordinary shares in Westpac Banking Corporation (“WBC”) (an ASX quoted share, ASX code: WBC).
Fees:	Distributor Fee – an upfront fee payable by the Issuer of up to 2.50% (including GST if applicable) of the Investment Amount. This fee is payable by the Issuer out of its own funds and is not an additional cost to the Applicant, nor is it deducted from the Investment Amount.

¤ Potential returns in the MLI are linked to the Reference Asset Return of the Worst Performing Reference Asset. Hence, Investors should be aware that their exposure is not based on the average performance of the Reference Assets and, therefore, the negative performance of one Reference Asset may not be offset by the positive performance of other Reference Assets.
+ Conditional Protection only applies to Investments held at Maturity provided no Early Maturity occurs, and no Knock-In Event occurs in the absence of an Autocall Event. This means that if a Knock-In Event occurs, Investors will not have the benefit of Conditional Protection unless an Autocall Event subsequently occurs. Conditional Protection safeguards the MLI from market risks but is subject to the creditworthiness of Citigroup Global Markets Australia Pty Limited and Citigroup Inc. For more details, please refer to Section 4 of this PDS.

Download

More Information

For further information on structured financial products contact the Citigroup Structured Products Service Centre.


Phone	:	1300 30 70 70.
Email	:	citifirst.au@citi.com
Mail	:	GPO Box 557 Sydney NSW 2001

Disclaimer
This material is made available by Citigroup Global Markets Australia Pty Limited (“Citigroup Global Markets”) ABN 64 003 114 832 and AFSL 240992, Participant of the ASX Group and a Participant of the Sydney Futures Exchange Limited. The Financial Products referred to in this document are issued by Citigroup Global Markets. Warrants can be traded on ASX and investors can obtain a copy of the relevant Product Disclosure Statement by contacting Citigroup. Investors may also apply for Instalment Warrants under the Product Disclosure Statement. This information does not take into account the investment objectives or financial situation of any particular person. Investors should be aware that there are risks of investing and that prices both rise and fall. Investors should seek their own independent financial advice based on their own circumstances before making a decision. Warrants are not bank deposits or obligations of, or guaranteed by, Citibank, N.A., Citibank Pty Limited or any of its affiliates or subsidiaries and are subject to investment risks, including the possible loss of the principal amount invested.

The terms set forth herein are intended for discussion purposes only and subject to the final expression of the terms of a transaction as set forth in a definitive agreement and/or confirmation. Although the information contained herein is based upon generally available information and has been obtained from sources believed to be reliable, we do not guarantee its accuracy, and such information may be incomplete or condensed. Any prices used herein are historic and may not be available when any order is entered. All opinions and estimates included in this document constitute our judgment as of this date and are subject to change without notice. This material does not purport to identify the nature of the specific market or other risks associated with a particular transaction. Before entering into a derivative transaction, you should ensure that you fully understand the terms of the transaction, relevant risk factors, the nature and extent of your risk of loss and the nature of the contractual relationship into which you are entering. You should also carefully evaluate whether the transaction is appropriate for you in light of your experience, objectives, financial resources, and other relevant circumstances and whether you have the operational resources in place to monitor the associated risks and contractual obligations over the term of the transaction.

The ultimate decision to proceed with any transaction rests solely with you. We are not acting as your advisor or agent. Therefore prior to entering into the proposed transaction you should determine, without reliance upon us or our affiliates, the economic risks and merits, as well as the legal, tax and accounting characterizations and consequences of the transaction, and independently determine that you are able to assume these risks. In this regard, by acceptance of these materials, you acknowledge that you have been advised that (a) we are not in the business of providing legal, tax or accounting advice, (b) you understand that there may be legal, tax or accounting risks associated with the transaction, (c) you should receive legal tax and accounting advice from advisors with appropriate expertise to assess relevant risks, and (d) you should apprise senior management in your organization as to the legal, tax and accounting advice (and, if acceptable, risks) associated with this transaction and our disclaimers as to these maters. If you are acting as a financial adviser or agent, you should evaluate these considerations in light of the circumstances applicable to your principal and the scope of your authority. If you believe you need assistance in evaluating and understanding the terms or risks of a particular derivative transaction, you should consult appropriate advisers before entering into the transaction.

We and/or our affiliates (together, the “Firm”) may from time to time take proprietary positions and/or make a market in instruments identical or economically related to derivative transactions entered into with you, or may have an investment banking or other commercial relationship with and access to information from the issuer(s) of financial products underlying derivative transactions entered into with you. We may also undertake proprietary activities, including hedging transactions related to the initiation or termination of a derivative transaction with you, that may adversely affect the market price, rate, index or other market factors(s) underlying a derivative transaction entered into with you and consequently the value of the transaction. This document and its contents are proprietary information and products of our firm and may not be reproduced or otherwise disseminated in whole or in part without our written consent unless required to by judicial or administrative proceeding.

© Citigroup 2012. All Rights Reserved. Citi and the Red Arc Device are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world. Any unauthorized use, duplication, redistribution or disclosure is prohibited by law and will result in prosecution.