MLI Income Kicker (MLI 2010 - 21)

CitiFirst Protection

Overview

The MLI provides Investors with exposure to equity markets by being linked to the performance of shares in four (4) U.S companies which operate in the technology sector and which are listed on the NASDAQ Stock Market.

It offers Investors the potential for variable income payments ("Coupon Amounts") paid in arrears on designated dates throughout the term of Investment ("Coupon Payment Dates"). The calculation of each Coupon Amount is linked to the performance of the lowest performing Reference Asset ("Worst Performing Reference Asset") on designated calculation dates throughout the term of Investment ("Coupon Calculation Dates").

In order for Investors to be eligible for the payment of a Coupon Amount on a Coupon Payment Date, the Reference Asset Performance of the Worst Performing Reference Asset must be greater than 95% on the corresponding Coupon Calculation Date. In addition the MLI also offers Investors the safety of Capital Protection for Investments held until Maturity or if an Autocall Event occurs.

Indicative Terms

Offer Open: 6 December 2010
Offer Close: 21 January 2011
Issue Date: 28 January 2011
Maturity: 28 January 2016
Currency: AUD
Capital Protection at Maturity
Type: Deferred Purchase Agreement

Issuer:	Citigroup Global Markets Australia Pty Limited
Guarantor:	Citigroup Inc.
Investment:	The 'MLI' is a complex, financial product which is an agreement between the Investor and the Issuer governed by the Terms.
Reference Assets:	A share in the following U.S technology companies is a 'Reference Asset' and, together, they are the 'Reference Assets': Apple Inc. ("AAPL"); Google Inc. ("GOOG"); Microsoft Corporation ("MSFT"); and Yahoo! Inc. ("YHOO"). Investors should note that the risks associated with each Reference Asset are different. Accordingly, Investors should assess whether the risks associated with each Reference Asset are appropriate for them.
Offer Opening Date:	6 December 2010 at 9:00 am (Sydney time)
Offer Closing Date:	21 January 2011 at 5:00 pm (Sydney time)
Offer Period:	The 'Offer Period' is the period during which Investors can invest in the MLI before the Issue Date. The Offer Period opens on the Offer Opening Date and expires on the Offer Closing Date. During the Offer Period, Units will be issued at the Issue Price.
Issue Date:	28 January 2011
Maturity Date:	28 January 2016 However, the Investment will terminate before that date if an Autocall Event occurs or Early Maturity occurs.
Term:	Five (5) years
Denomination:	Australian dollars ("AUD")
Issue Price:	AUD 1.00 per Unit
Investment Amount:	The total amount paid in respect of an Investment by the Investor to the Issuer by the Offer Closing Date.
Minimum Investment Amount:	AUD 10,000 per Application, with multiples of AUD 1,000 thereafter.
Risks:	The MLI is subject to investment risks, including the possible loss of the Investment Amount if Early Maturity occurs, and possible delays in payment. Investors should be aware of the possibility that the MLI will not generate a return if the Coupon Rate does not exceed 0% on any Coupon Calculation Date throughout the Term. For information regarding the risks associated with the MLI, please refer to Section 4 of this PDS. For information regarding the possible returns that an Investor can receive, please refer to the worked examples in Section 5 of this PDS.
Capital Protection⁺:	'Capital Protection' means that the value of each Unit on the Maturity Date will be no less than the Issue Price (subject to certain restrictions as described in Section 4 of this PDS). Capital Protection does apply if an Autocall Event occurs but does not apply if there is Early Maturity. Therefore, there is a risk that Investors may lose some or all of their Investment Amount if Early Maturity occurs.
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 Performance:	In respect of each Reference Asset: *Reference Asset Performance (%) = Reference Price / Initial Price*
Worst Performing Reference Asset:	The 'Worst Performing Reference Asset' is the Reference Asset with the lowest Reference Asset Performance, as determined by the Issuer on a Coupon Calculation Date.
Coupon Rate^¤:	The 'Coupon Rate' is the reference rate upon which the Coupon Amount is calculated. The Coupon Rate is a simple (non-compounding) variable rate that is calculated by the Issuer on designated Coupon Calculation Dates. The Coupon Rate is also subject to the Cap Level. The Coupon Rate is calculated in accordance with the following formula: *Coupon Rate = Min [Cap Level, Max (0%, Reference Asset Performance of the Worst Performing Reference Asset - 95%)]* This means that the Coupon Rate must be between 0% and the Cap Level, inclusive. In order for the Investor to be eligible for the payment of a Coupon Amount, the Reference Asset Performance of the Worst Performing Reference Asset must be greater than 95% on the corresponding Coupon Calculation Date. This also means that if the Reference Price of the Worst Performing Reference Asset is equal to its Initial Price on a Coupon Calculation Date, Investors are eligible for a Coupon Rate of at least 5% on the corresponding Coupon Payment Date. Accordingly, Investors should be aware that there is a risk that they may not be eligible for the payment of any Coupon Amounts if the Reference Asset Performance of the Worst Performing Reference Asset is continuously equal to, or less than, 95% on each Coupon Calculation Date throughout the Term and that they may only receive their Investment Amount back at Maturity. This means that if the value of the Worst Performing Reference Asset falls by 5% or more between the Issue Date and the relevant Coupon Calculation Date, the Investor will receive no Coupon Amount on the corresponding Coupon Payment Date. The Investor will receive a letter of confirmation which sets out how the Coupon Rate was calculated within ten (10) Business Days after each Coupon Calculation Date. Please refer to the sections “What is the Coupon Rate and how is it calculated?” and “What factors affect how the Coupon Rate is determined?” in Section 1 of this PDS for further details. Investors should also refer to the scenarios set out in Section 5 of this PDS for an explanation of how the Coupon Rate may affect the Investor’s total returns.
Cap Level:	The ‘Cap Level’: is a fixed level which represents the maximum Coupon Rate that will be available; will be determined by the Issuer on the Issue Date and specified in the Confirmation and on Citi’s website at www.citifirst.com.au; and is expected to range between 8.50% and 12.50%. By way of example, if the Units had been issued on 3 December 2010, the Cap Level would have been 11.00%. When set by the Issuer on the Issue Date, the Cap Level will be 95% less than the Autocall Level. For example, if the Autocall Level is set at 105.50% on the Issue Date, the Cap Level would be: Cap Level = Autocall Level minus 95% = 105.50% - 95% = 10.5% Please refer to the sections “What is the Cap Level” and “What factors affect the Cap Level?” in Section 1 of this PDS for further details. Investors should also refer to the scenarios set out in Section 5 of this PDS for an explanation of how the Cap Level may affect the Investor’s total returns.
Coupon Amount^¤:	The ‘Coupon Amount’ is an income amount per Unit payable to the Investor on designated Coupon Payment Dates. On each Coupon Calculation Date, a Coupon Amount will be calculated by reference to the Coupon Rate and will be payable for each Unit in accordance with the formula set out below: *Coupon Amount = Issue Price x Coupon Rate* If an Autocall Event occurs, the Investment will terminate and the relevant Autocall Event Observation Date will be the final Coupon Calculation Date. Any Coupon Amount unpaid up to the occurrence of the Autocall Event will be paid on the following Coupon Payment Date thereafter. If Early Maturity occurs, the Investment will terminate. Any Coupon Amount unpaid as at the Early Maturity Date will continue to be paid on the following Coupon Payment Date. Investors should note that no further Coupon Amounts will accrue after the occurrence of either an Autocall Event or Early Maturity. The Investor will receive a letter of confirmation which sets out how the Coupon Amount (if any) was calculated within ten (10) Business Days after each Coupon Calculation Date. Please refer to the section “What is the Coupon Amount and how is it calculated?” in Section 1 of this PDS for further details. Investors should also refer to the scenarios set out in Section 5 of this PDS for an explanation of how the Coupon Amount(s) may affect the Investor’s total returns.
Coupon Calculation Dates:	‘Coupon Calculation Dates’ occur on the following dates throughout the term of the Investment:
	Year 1	Year 2	Year 3	Year 4	Year 5
	28-Jul-11	30-Jul-12	29-Jul-13	28-Jul-14	28-Jul-15
	30-Jan-12	29-Jan-13	28-Jan-14	28-Jan-15	28-Jan-16
Coupon Payment Dates:	Five (5) Business Days after each Coupon Calculation Date.
Autocall Event^* and Autocall Level:	An ‘Autocall Event’ automatically triggers the early termination of the MLI. An Autocall Event will occur if the Reference Asset Performance of the Worst Performing Reference Asset on any Autocall Event Observation Date throughout the Term is greater than, or equal to, a fixed level (“Autocall Level”) set by the Issuer on the Issue Date and specified in the Confirmation. The Autocall Level is expected to range between 103.50% and 107.50%. By way of example, if the Units had been issued on 3 December 2010, the Issuer would have set the Autocall Level at 106.00%. The Issuer reserves the right to set the Autocall Level outside the range set out above. In the event that the Issuer sets the Autocall Level at a level below the minimum level set out above, Investors will be given the opportunity to withdraw their Application (and receive a full refund of their Investment Amount without interest) or proceed with the offer at the Autocall Level specified by the Issuer. If an Autocall Event occurs on any designated Autocall Event Observation Date, the Maturity Date will be deemed to be the Autocall Event Observation Date on which the Autocall Event occurred as well as the final Coupon Calculation Date and: the MLI will be terminated; any Coupon Amount unpaid up to the occurrence of the Autocall Event will be paid on the following Coupon Payment Date thereafter; and the Final Value per Unit will be as specified below in the Term Sheet. Investors should note that no further Coupon Amounts will accrue after the occurrence of an Autocall Event. Investors should note that on the Issue Date, the Issuer will set the Cap Level at the Autocall Level minus 95%. Investors will be notified of this in the Confirmation and on Citi’s website at www.citifirst.com.au.
Autocall Event Observation Dates:	The ‘Autocall Event Observation Dates’ occur on the following dates throughout the term of Investment:
	Year 1	Year 2	Year 3	Year 4	Year 5
	28-Jul-11	30-Jul-12	29-Jul-13	28-Jul-14	28-Jul-15
	30-Jan-12	29-Jan-13	28-Jan-14	28-Jan-15	N/A
Final Value per Unit^¤:	Regardless of whether or not an Autocall Event occurs during the Term and triggers Maturity, the ‘Final Value per Unit’ will be determined as follows: *Issue Price x 100%* This means that at Maturity, the Final Value per Unit will equal the Issue Price, regardless of whether or not an Autocall Event has occurred. This also means that Investors will not have exposure to any growth in their Investment Amount. Investors should note that the Final Value per Unit does not apply if Early Maturity occurs and should refer to the section “Can the MLI be terminated early?” in Section 3 for more information. Investors should refer to the section “How is the Final Value per Unit determined at Maturity?” in Section 1 for more information on how the Final Value per Unit is calculated.
Delivery Asset:	Ordinary shares in Commonwealth Bank of Australia Limited (“CBA”) (an ASX quoted share, ASX code: CBA).
Fees:	Distributor Fee – an upfront fee payable by the Issuer of up to 3.00% (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. For more information on what fees and commissions are payable in connection with an investment in the MLI, please refer to Section 6 of this PDS.

¤ The calculation of the Coupon Rate is linked to the Reference Asset Performance of the Worst Performing Reference Asset on each Coupon Calculation Date. Hence, Investors should be aware that their exposure is not based on the average performance of the Reference Assets on each Coupon Calculation Date and that the performance of the Worst Performing Reference Asset will not be offset by the performance of the other Reference Assets on that same date.
+ Capital Protection applies to Investments held at Maturity or if an Autocall Event occurs but does not apply if Early Maturity occurs. This means that if Early Maturity occurs, Investors will not have the benefit of Capital Protection and, accordingly, they may receive an amount less than their Investment Amount. Capital Protection safeguards the MLI from market risks up to the value of the Issue Price, but is subject to the credit worthiness of Citigroup Global Markets Australia Pty Limited and Citigroup Inc. For more details, please refer to Section 4 of this PDS.
* For an explanation of the risks associated with an Autocall Event, 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.