Offering Summary

LOGO

 

  

May 28, 2010

Medium-Term Notes, Series D

No. 2010-MTNDD562

relating to Preliminary Pricing Supplement No. 2010-MTNDD562 dated May 28, 2010

to Registration Statement Nos. 333-157386 and 333-157386-01

Filed pursuant to Rule 433

STRUCTURED INVESTMENTS

Opportunities in Commodities

Jump Securities Based on the S&P GSCITM Brent Crude Index Excess Return due June 27, 2012

The Jump Securities offer the opportunity for investors to earn a return based on the performance of the S&P GSCITM Brent Crude Index Excess Return. Unlike ordinary debt securities, the securities do not pay interest and do not guarantee the return of 100% of the principal at maturity. Instead, at maturity, you will receive a positive return on the securities equal to 35% to 39%, which we refer to as the upside payment, if the index value on the valuation date is, at all, above the initial index value. If, on the other hand, the index value on the valuation date is at or below the initial index value, you will receive for each $10 stated principal amount of securities that you hold, a payment that is equal to or less than the stated principal amount of $10 by an amount that is proportionate to any percentage decrease from the initial index value. This amount may be significantly less than the stated principal amount of the securities and may be zero. The securities are a series of unsecured securities issued by Citigroup Funding Inc. Any payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company. All payments on the securities are subject to the credit risk of Citigroup Inc.

 

SUMMARY TERMS

    

Issuer:

   Citigroup Funding Inc.

Guarantee:

   Any payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company; however, because the securities are not principal protected, you may receive an amount at maturity that is substantially less than the stated principal amount of your initial investment and could be zero.

Aggregate principal amount:

   $

Stated principal amount:

   $10 per security

Issue price:

   $10 per security (see “Underwriting fee and issue price” below)

Pricing date:

   June     , 2010 (expected to price on or about June 25, 2010, or if such day is not a scheduled index business day, the next succeeding scheduled index business day)

Original issue date:

   June     , 2010 (three business days after the pricing date)

Maturity date:

   June 27, 2012

Underlying index:

   S&P GSCITM Brent Crude Index Excess Return (Bloomberg: “SPGCBRP”)

Payment at maturity:

  

If the final index value is greater than the initial index value,

• $10 + upside payment

If the final index value is less than or equal to the initial index value,

• $10 x index performance factor

This amount will be less than or equal to the stated principal amount of $10.

Upside payment:

   $3.50 to $3.90 per security (35% to 39% of the stated principal amount) to be determined on the pricing date. Accordingly, even if the final index value is significantly greater than the initial index value, your payment at maturity will not exceed $13.50 to $13.90 per security.

Initial index value:

   The closing value of the underlying index on the pricing date.

Final index value:

   The closing value of the underlying index on the valuation date.

Valuation date:

   June 22, 2012, subject to postponement for non-index business days and certain market disruption events.

Index performance factor:

   final index value / initial index value

CUSIP:

  

17314V239

ISIN:

  

US17314V2390

Listing:

   The securities will not be listed on any securities exchange.

Underwriter:

   Citigroup Global Markets Inc., an affiliate of the issuer. See “Supplemental information regarding plan of distribution; conflicts of interest” in this offering summary.

Underwriting fee and issue price:

     Price to Public(1)      Underwriting Fee(1)(2)    Proceeds to Issuer

Per Security

     $10.00      $0.225    $9.775

Total

     $      $    $

(1) The actual price to public and underwriting fee for a particular investor may be reduced for volume purchase discounts depending on the aggregate amount of securities purchased by that investor. The lowest price payable by an investor is $9.9250 per security. Please see “Syndicate Information” on page 7 for further details.

(2) Selected dealers, including Morgan Stanley Smith Barney LLC (an affiliate of the underwriter), and their financial advisors will collectively receive from the underwriter, Citigroup Global Markets Inc., a fixed concession of $0.2250 for each security they sell. See “Fees and selling concessions” on page 7. The concession may be reduced for volume purchase discounts depending on the aggregate amount of securities purchased by an investor. See “Syndicate Information” on page 7. For additional information, see “Plan of Distribution; Conflicts of Interest” in the accompanying preliminary pricing supplement.

YOU SHOULD READ THIS DOCUMENT TOGETHER WITH THE PRELIMINARY PRICING SUPPLEMENT, PROSPECTUS SUPPLEMENT AND PROSPECTUS, EACH OF WHICH CAN BE ACCESSED VIA THE HYPERLINKS BELOW, BEFORE YOU DECIDE TO INVEST.

Preliminary Pricing Supplement filed on May 28, 2010:

http://www.sec.gov/Archives/edgar/data/831001/000095013010001186/d424b2.htm

Prospectus Supplement filed on February 18, 2009:

http://www.sec.gov/Archives/edgar/data/831001/000095012309003022/y74453b2e424b2.htm

Prospectus filed on February 18, 2009:

http://www.sec.gov/Archives/edgar/data/831001/000095012309003016/y74453sv3asr.htm

THE SECURITIES ARE NOT BANK DEPOSITS AND ARE NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENTAL AGENCY, NOR ARE THEY OBLIGATIONS OF, OR GUARANTEED BY, A BANK.

Citigroup Funding Inc., the issuer, and Citigroup Inc., the guarantor, have filed a registration statement (including a preliminary pricing supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (“Commission”) for the offering to which this communication relates. Before you invest, you should read the preliminary pricing supplement, prospectus supplement and prospectus in that registration statement (File No. 333-157386) and the other documents Citigroup Funding and Citigroup Inc. have filed with the Commission for more complete information about Citigroup Funding Inc., Citigroup Inc. and this offering. You may get these documents for free by visiting EDGAR on the Commission’s website at www.sec.gov. Alternatively, you can request the preliminary pricing supplement and related prospectus supplement and prospectus by calling toll-free 1-877-858-5407.


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Investment Overview

The Jump Securities

The Jump Securities based on the S&P GSCITM Brent Crude Index Excess Return due June 27, 2012 can be used:

 

n  

As an alternative to direct exposure to the underlying index that provides a fixed positive return if the underlying index appreciate in value at all

n  

To enhance returns and potentially outperform the underlying index in a moderately bullish scenario

The securities are exposed on a 1:1 basis to the negative performance of the S&P GSCITM Brent Crude Index Excess Return.

 

Maturity:    2 years
Upside payment:    $3.50 to $3.90 (35% to 39% of the stated principal amount)
Principal protection:    None

S&P GSCITM Brent Crude Index Excess Return Overview

The S&P GSCITM Brent Crude Index Excess Return is a sub-index of the S&P GSCITM Excess Return (the “S&P GSCITM ER”). It represents only the Brent crude oil component of the S&P GSCITM ER. You should refer to “Information about the S&P GSCITM ER” and “Information about the S&P GSCITM” below for more information regarding the calculation of the value of the S&P GSCITM Brent Crude Index Excess Return. While the descriptions contained in the sections referred to above relate to the S&P GSCITM ER and the S&P GSCITM, respectively, the methodologies described therein will also apply to the S&P GSCITM Brent Crude Index Excess Return.

Information as of market close on May 27, 2010:

 

Bloomberg Ticker Symbol:

   SPGCBRP

Current Index Value:

   546.0273

52 Weeks Ago (on 5/28/2009):

   528.2338

52 Week High (on 5/3/2010):

   659.2701

52 Week Low (on 7/1/2009):

   487.0408

LOGO

 

May 2010    Page 2


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Key Investment Rationale

Investors will receive a positive return on the securities if the index value on the valuation date is above the initial index value.

 

Payment Scenario 1

   The final index value is greater than the initial index value. In this scenario, each security redeems for $13.50 to $13.90 per security (135% to 139% of the stated principal amount), as determined on the pricing date. Accordingly, even if the final index value is significantly greater than the initial index value, your payment at maturity will not exceed $13.50 to $13.90 per security, and your return may be less than if you invested in the underlying index directly.

Payment Scenario 2

   The final index value is less than or equal to the initial index value. In this scenario, each security redeems for less than the stated principal amount of $10 by an amount proportionate to the decrease in the value of the underlying index from the initial index value. There is no minimum payment at maturity.

Summary of Selected Key Risks (see page 10)

 

n  

No guaranteed return of principal.

 

n  

No interest payments.

 

n  

Appreciation potential is fixed and limited.

 

n  

Historically, the value of the underlying index has been volatile.

 

n  

The return on the securities (the effective yield to maturity) may be less than the amount that would be paid on a conventional fixed-rate debt security of ours (guaranteed by Citigroup Inc.) of comparable maturity.

 

n  

The securities are subject to the credit risk of Citigroup Inc., Citigroup Funding’s parent company and guarantor of any payments due on the securities, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the securities.

 

n  

The market price of the securities will be influenced by many unpredictable factors.

 

n  

Investing in the securities is not equivalent to investing in the underlying index, Brent crude oil or in futures contracts or forward contracts on Brent crude oil.

 

n  

Investments linked to commodities are subject to sharp fluctuations in commodity prices.

 

n  

Brent crude oil prices are volatile and are affected by numerous factors.

 

n  

The securities will not be regulated by the Commodity Futures Trading Commission.

 

n  

Adjustments to the underlying index could adversely affect the value of the securities.

 

n  

The underlying index may in the future include contracts that are not traded on regulated futures exchanges.

 

n  

Higher future prices of Brent crude oil relative to its current price may adversely affect the value of the underlying index and the value of the securities.

 

n  

Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the value of the securities.

 

n  

The inclusion of underwriting fees and projected profit from hedging in the original issue price is likely to adversely affect secondary market prices.

 

n  

The securities will not be listed on any securities exchange and secondary trading may be limited.

 

n  

The calculation agent, which is an affiliate of the issuer, will make determinations with respect to the securities.

 

n  

Hedging and trading activity by the calculation agent and its affiliates could potentially affect the value of the securities.

 

n  

The U.S. federal income tax consequences of an investment in the securities are unclear.

 

May 2010    Page 3


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Fact Sheet

The securities offered are senior unsecured obligations of Citigroup Funding, will pay no interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying preliminary pricing supplement, the prospectus supplement and the prospectus. At maturity, if the final index value is greater than the initial index value an investor will receive for each $10 stated principal amount of securities that the investor holds, the $10 stated principal amount and a fixed return equal to the upside payment. However, if the final index value is less than or equal to the initial index value, the payment at maturity will be less than the stated principal amount of $10 by an amount that is proportionate to the percentage decrease of the final index value from the initial index value. The securities are senior notes issued as part of Citigroup Funding’s Series D Medium-Term Senior Notes program. Any payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company. All payments on the securities are subject to the credit risk of Citigroup Inc.

 

Expected Key Dates

Pricing Date:

   Original Issue Date (Settlement Date):    Maturity Date:

June     , 2010 (expected to price on or about June 25, 2010, or if such day is not a scheduled index business day, the next succeeding scheduled index business day).

   June     , 2010 (three business days after the pricing date)    June 27, 2012, subject to postponement due to a market disruption event

 

Key Terms

Issuer:

   Citigroup Funding Inc.

Guarantee:

   Any payments due on the securities are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company; however, because the securities are not principal protected, you may receive an amount at maturity that is substantially less than the stated principal amount of your initial investment and could be zero.

Underlying index:

   S&P GSCI Brent Crude Index Excess Return (Bloomberg: “SPGCBRP”)

Aggregate principal amount:

  

$            

Issue price:

   $10 per security

Stated principal amount:

   $10 per security

Denominations:

   $10 per security and integral multiples thereof

Interest:

   None

Payment at maturity:

  

If the final index value is greater than the initial index value,

•   $10 + the upside payment

If the final index value is less than or equal to the initial index value,

•   $10 × index performance factor

This amount will be less than or equal to the stated principal amount of $10.

Upside payment:

   $3.50 to $3.90 per security (35% to 39% of the stated principal amount) to be determined on the pricing date. Accordingly, even if the final index value is significantly greater than the initial index value, your payment at maturity will not exceed $13.50 to $13.90 per security.

Initial index value:

   The closing value of the underlying index on the pricing date.

Final index value:

   The closing value of the underlying index on the valuation date.

Valuation date:

   June 22, 2012, subject to postponement for non-index business days and certain market disruption events.

Index performance factor:

   (final index value / initial index value)

Risk factors:

   Please see “Risk Factors” beginning on page 10.

Clearing and settlement:

   DTC

 

May 2010    Page 4


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

General Information

    

Listing:

   The securities will not be listed on any securities exchange.

CUSIP:

  

17314V239

ISIN:

  

US17314V2390

Tax considerations:

  

Prospective investors should note that the discussion under “Certain United States Federal Income Tax Considerations” in the accompanying prospectus supplement does not apply to the securities offered under the accompanying preliminary pricing supplement and is superseded by the following discussion.

 

Each holder, by purchasing the securities, agrees to treat them as prepaid forward contracts for U.S. federal income tax purposes. There is uncertainty regarding this treatment, and the Internal Revenue Service (the “IRS”) or a court might not agree with it.

 

Assuming this treatment of the securities is respected and subject to the discussion in “Description of Securities—Certain United States Federal Tax Considerations” in the accompanying preliminary pricing supplement, the following U.S. federal income tax consequences should result based on current law:

 

•   A U.S. Holder should not be required to recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or exchange.

 

•   Upon sale, exchange or settlement of the securities at maturity, a U.S. Holder should recognize capital gain or loss equal to the difference between the amount realized and the U.S. Holder’s tax basis in the securities. Such gain or loss should be long-term capital gain or loss if the investor has held the securities for more than one year.

 

Under current law, Non-U.S. Holders generally will not be subject to U.S. federal income or withholding tax with respect to amounts received on the sale, exchange or retirement of the securities. Special rules apply to non-U.S. investors who are present in the United States for 183 days or more in a taxable year or whose gain on the securities is effectively connected with a U.S. trade or business.

 

In 2007, the Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments, which may include the securities. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, 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, possibly with retroactive effect.

 

Both U.S. and non-U.S. persons considering an investment in the securities should read the discussion under “Description of Securities—Certain United States Federal Tax Considerations” in the accompanying preliminary pricing supplement and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by the 2007 notice, and any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.

Trustee:

   The Bank of New York Mellon (as successor trustee under an indenture dated June 1, 2005)

Calculation agent:

   Citigroup Global Markets Inc.

 

May 2010    Page 5


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Use of proceeds and hedging:

  

The net proceeds we receive from the sale of the securities will be used for general corporate purposes and, in part, in connection with hedging our obligations under the securities 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 securities by taking positions in swaps or futures contracts on the underlying index or on the commodity contracts that underlie the underlying index. Such purchase activity could increase the value of the underlying index, and, accordingly, potentially increase the initial index value, and, therefore, increase the value at which the underlying index must close on the valuation date before investors would receive at maturity a payment that exceeds the stated principal amount of the securities. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the accompanying preliminary pricing supplement.

ERISA and IRA considerations:

  

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 securities as long as either (A) (1) no Citigroup Global Markets affiliate or 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 securities 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 securities or (B) its acquisition and holding of the securities 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 securities 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 securities by the account, plan or annuity.

 

You should refer to the section “ERISA Matters” in the accompanying preliminary pricing supplement for more information.

Fees and selling concessions:

  

Citigroup Global Markets, an affiliate of Citigroup Funding and the underwriter of the sale of the securities, will receive an underwriting fee of $0.225 from Citigroup Funding for each security sold in this offering. From this underwriting fee, Citigroup Global Markets will pay selected dealers, including its affiliate Morgan Stanley Smith Barney LLC, and their financial advisors collectively a fixed selling concession of $0.225 for each security 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 securities declines. You should refer to “Risk Factors” below and “Risk Factors” and “Plan of Distribution; Conflicts of Interest” in the accompanying preliminary pricing supplement for more information.

Supplemental information regarding plan of distribution; conflicts of interest:

   Citigroup Global Markets is an affiliate of Citigroup Funding. Accordingly, the offering of the securities will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 2720 of the NASD Conduct Rules adopted by 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 securities, either directly or indirectly. See “Plan of Distribution; Conflicts of Interest” in the accompanying preliminary pricing supplement.

Contact:

   Morgan Stanley Smith Barney clients may contact their local Morgan Stanley Smith Barney branch office or our 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) 723-7288.

 

May 2010    Page 6


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Syndicate Information

The actual public offering price, the underwriting fee received by Citigroup Global Markets and the selling concession granted to selected dealers per security may be reduced for volume purchase discounts depending on the aggregate amount of securities purchased by a particular investor according to the following chart.

 

Syndicate Information

 

Aggregate Principal Amount of Securities for Any Single Investor    Price to Public per Security   

Underwriting Fee per

Security

   Selling Concession per Security
< $1,000,000    $10.0000    $0.2250    $0.2250
³ $1,000,000 and < $3,000,000    $9.9625    $0.1875    $0.1875
³ $3,000,000 and < $5,000,000    $9.9438    $0.1688    $0.1688
³ $5,000,000    $9.9250    $0.1500    $0.1500

Selling concessions allowed to dealers in connection with the offering may be reclaimed by the underwriter, if, within 30 days of the offering, the underwriter repurchases the securities distributed by such dealers.

This offering summary represents a summary of the terms and conditions of the securities. We encourage you to read the accompanying preliminary pricing supplement, prospectus supplement and prospectus related to this offering, which can be accessed via the hyperlinks on the front page of this document.

 

May 2010    Page 7


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

How the Jump Securities Work

Payoff Diagram

The payoff diagram below illustrates the payment at maturity on the securities based on the following terms:

 

Stated principal amount:    $10 per security
Hypothetical upside payment:    $3.80 (38% of the stated principal amount)
Minimum payment at maturity:    None
Principal protection:    None

LOGO

How it works

 

n  

If the final index value is greater than the initial index value, the payment at maturity on the securities reflected in the graph above is greater than the $10 stated principal amount per security, but in all cases is equal to and will not exceed the $10 stated principal amount plus the hypothetical upside payment of $3.80 per security. In the payoff diagram above, an investor will receive $13.80 per security, the stated principal amount plus the hypothetical upside payment, at any final index value greater than the initial index value.

 

n  

Where the final index value is less than or equal to the initial index value, the payment at maturity will be less than the stated principal amount of $10 by an amount that is proportionate to the percentage decrease from the initial index value. For example, if the closing value of the underlying index has decreased by 25%, the payment at maturity will be $7.50 per security (75% of the stated principal amount). There is no minimum payment at maturity on the securities.

 

May 2010    Page 8


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Payment at Maturity

At maturity, investors will receive for each $10 stated principal amount of securities that they hold an amount in cash based upon the closing value of the underlying index on the valuation date, as determined as follows:

If the final index value is greater than the initial index value:

$10 + Upside Payment

The upside payment will be $3.50 to $3.90 per security, to be determined on the pricing date.

If the final index value is less than or equal to the initial index value:

$10 × Index Performance Factor

 

   Principal      Index Performance Factor  
             
   $10       ×          final index value    
          initial index value    

Because the index performance factor will be less than or equal to 1.0, this payment will be less than or equal to $10.

 

May 2010    Page 9


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled “Risk Factors” beginning on page PS-7 of the accompanying preliminary pricing supplement. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the securities.

 

n  

The securities do not pay interest or guarantee return of principal. The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest and do not guarantee the return of any of the stated principal amount at maturity. If the final index value is less than the initial index value, the payout at maturity will be an amount in cash that is less than the $10 stated principal amount of each security by an amount proportionate to the decrease in the closing value of the underlying index. There is no minimum payment at maturity on the securities, and, accordingly, you could lose your entire investment. See “How the Jump Securities Work” on page 8 above.

 

n  

The appreciation potential of the securities is fixed and limited. Where the final index value is greater than the initial index value, the appreciation potential of the securities is limited to the fixed upside payment of $3.50 to $3.90 per security (35% to 39% of the stated principal amount) even if the final index value is significantly greater than the initial index value. The actual upside payment will be determined on the pricing date. See “How the Jump Securities Work” on page 8 above.

 

n  

Volatility of the underlying index. Historically, the value of the underlying index has been volatile. From January 3, 2005 to May 27, 2010, the closing value of the underlying index has been as low as 353.5982 and as high as 1,574.4010. The volatility of the value of the underlying index may result in you receiving at maturity an amount less than the stated principal amount of your investment in the security.

 

n  

Potential for a lower comparable yield. The securities do not pay any periodic interest. As a result, if the final index value does not increase from the initial index value, the effective yield on the securities will be less than that which would be payable on a conventional fixed-rate debt security of Citigroup Funding of comparable maturity.

 

n  

The securities are subject to the credit risk of Citigroup Inc., the guarantor of any payments due on the securities, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the securities. Investors are dependent on the ability of Citigroup Inc., Citigroup Funding’s parent company and the guarantor of any payments due on the securities, to pay all amounts due on the securities at maturity, 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 securities are not guaranteed by any other entity. If Citigroup Inc. defaults on its obligations under the securities, your investment would be at risk and you could lose some or all of your investment. Any actual or anticipated decline in Citigroup Inc.’s credit ratings or actual 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 securities.

 

n  

The market price of the securities will be influenced by many unpredictable factors. Several factors will influence the value of the securities in the secondary market and the price at which Citigroup Global Markets may be willing to purchase or sell the securities in the secondary market, including: the value and volatility of the underlying index, the price and volatility of the commodity contracts that underlie the underlying index, trends of supply and demand for Brent crude oil (including any trends associated with the recent oil spill in the Gulf of Mexico), geopolitical conditions and economic, financial, political and regulatory or judicial events, interest and yield rates in the market, time remaining to maturity and any actual or anticipated changes in the credit ratings or credit spreads of Citigroup Inc. In addition, the commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government intervention. As a result, the market value of the securities will vary and may be less than the original issue price at any time prior to maturity and sale of the securities prior to maturity may result in a loss.

 

n  

Investing in the securities is not equivalent to investing in the underlying index. Investing in the securities is not equivalent to investing in the underlying index, Brent crude oil or in futures contracts or forward contracts on Brent crude oil. By purchasing the securities, you do not purchase any entitlement to Brent crude oil or futures contracts or forward contracts on Brent crude oil.

 

n  

Investments linked to commodities are subject to sharp fluctuations in commodity prices. Investments, such as the securities, 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 value of the underlying index and the value of the securities in varying and potentially inconsistent ways. As a result of these or other factors, the value of the underlying index may be, and has recently been, highly volatile. See “Historical Information” on page 16.

 

n  

Brent crude oil prices are volatile and may be affected by numerous factors, including the recent oil spill in the Gulf of Mexico. The underlying index is composed entirely of Brent crude oil futures contracts included in the underlying index. The price of Brent crude oil futures is primarily affected by the global demand for and supply of crude oil, but is also

 

May 2010    Page 10


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

 

influenced significantly from time to time by speculative actions and by currency exchange rates. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors, including any effects associated with the recent oil spill in the Gulf of Mexico. These include production decisions by the Organization of Oil and Petroleum Exporting Countries and other crude oil producers. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities.

 

n  

The securities will not be regulated by the Commodity Futures Trading Commission (“CFTC”). Unlike an investment in the securities, an investment in a collective investment vehicle that invests in futures contracts on behalf of its participants may be regulated as a commodity pool and its operator may be required to be registered with and regulated by the CFTC as a commodity pool operator. Because the securities are not interests in a commodity pool, they will not be regulated by the CFTC as a commodity pool, we will not be registered with the CFTC as a commodity pool operator, and 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  

Adjustments to the underlying index could adversely affect the value of the securities. The publisher of the underlying index may add, delete or substitute the commodity constituting the underlying index or make other methodological changes that could change the value of the underlying index. The publisher of the underlying index may discontinue or suspend calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.

 

n  

The underlying index may in the future include contracts that are not traded on regulated futures exchanges. The underlying index was originally based solely on futures contracts traded on regulated futures exchanges (referred to in the United States as “designated contract markets”). At present, the underlying index continues to be composed exclusively of regulated futures contracts. As described below, however, the underlying index may in the future include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections afforded by, the Commodity Exchange Act of 1936, as amended, or other applicable statutes and related regulations, that govern trading on regulated futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities and the inclusion of such contracts in the indices may be subject to certain risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.

 

n  

Higher future prices of Brent crude oil relative to its current price may adversely affect the value of the underlying index and the value of the securities. The underlying index is composed of futures contracts on a physical commodity. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity. As the futures contracts that compose the underlying index approach expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in September may specify an October expiration. As time passes, the contract expiring in October is replaced by a contract for delivery in November. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a “roll yield.” Brent crude oil, however, has historically traded in a “contango” market. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The absence of backwardation in the commodity markets could result in negative “roll yields,” which could adversely affect the value of the underlying index and, accordingly, the value of the securities.

 

n  

Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the value of the securities. 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. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these

 

May 2010    Page 11


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

 

limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the value of the underlying index and, therefore, the value of the securities.

 

n  

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 securities in secondary market transactions will likely be lower than the original issue price, since the original issue price will include, and secondary market prices are likely to exclude, underwriting fees paid with respect to the securities, as well as the cost of hedging our obligations under the securities. The cost of hedging includes the projected profit that our affiliates may realize in consideration for assuming the risks inherent in managing the hedging transactions. In addition, any secondary market prices may differ from values determined by pricing models used by Citigroup Global Markets, as a result of dealer discounts, mark-ups or other transaction costs.

 

n  

The securities will not be listed on any securities exchange and secondary trading may be limited. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. Citigroup Global Markets may, but is not obligated to, make a market in the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Because we do not expect that other broker-dealers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities 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 securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

 

n  

The calculation agent, which is an affiliate of ours, will make determinations with respect to the securities. Citigroup Global Markets, the calculation agent, is an affiliate of ours. As calculation agent, Citigroup Global Markets will determine the initial index value, the final index value and the index performance factor, and will calculate the amount of cash, if any, you receive at maturity. Determinations made by Citigroup Global Markets, 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 final index value in the event of a market disruption event, or discontinuance of the underlying index, may affect the payout to you at maturity.

 

n  

Hedging and trading activity by the calculation agent and its affiliates could potentially affect the value of the securities. Citigroup Global Markets and other affiliates of ours will carry out hedging activities related to the securities (and possibly to other instruments linked to the underlying index), including trading in futures and options contracts on the underlying index as well as in other instruments related to the underlying index. Our affiliates also trade in the futures contracts underlying the underlying index and other financial instruments related to the underlying index 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 increase the initial index value and, as a result, could increase the price at which the underlying index must close on the valuation date before you receive a payment at maturity that exceeds the issue price of the securities. Additionally, such hedging or trading activities during the term of the securities, including on the valuation date, could adversely affect the value of the underlying index on the valuation date and, accordingly, the amount of cash, if any, an investor will receive at maturity.

 

n  

The U.S. federal income tax consequences of an investment in the securities are unclear. There is no direct legal authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from 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 for the securities, the tax consequences of ownership and disposition of the securities might be affected materially and adversely. As described above under “Tax considerations,” in 2007, Treasury 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, which may include the securities. 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, possibly with retroactive effect. Both U.S. and non-U.S. persons considering an investment in the securities should review carefully the section of the accompanying preliminary pricing supplement entitled “Description of Securities—Certain United States Federal Tax Considerations” and consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

 

May 2010    Page 12


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Information about the S&P GSCI ER

General. We have derived all information regarding the S&P GSCI ER contained in this offering summary, including, without limitation, its make-up and method of calculation from publicly available information. While the description below relates to the S&P GSCI ER, the methodologies below will also apply to the underlying index. The S&P GSCI ER is calculated, maintained and published daily, by Standard & Poor’s, a division of The McGraw-Hill Companies, Inc., which we refer to as “S&P.” The S&P GSCI ER is a world production-weighted index that is designed to reflect the relative significance of each of the underlying commodities in the world economy. The S&P GSCI ER was established in May 1991 and represents the return of a portfolio of commodity futures contracts included in the S&P GSCI, the composition of which, on any given day, reflects the contract production weight (“CPW”) and “roll weights” of the contracts included in the S&P GSCI (discussed below).

Value of the S&P GSCI ER. The value of the S&P GSCI ER on any given day is equal to the product of (i) the value of the S&P GSCI ER on the immediately preceding day multiplied by (ii) one plus the contract daily return on the day on which the calculation is made. The value of the S&P GSCI ER is indexed to a normalized value of 100 on January 2, 1970.

Contract Daily Return. The contract daily return on any given day is equal to the sum, for each of the commodities included in the S&P GSCI, of the applicable daily contract reference price on the relevant contract multiplied by the appropriate CPW and the appropriate “roll weight,” divided by the total dollar weight of the S&P GSCI on the preceding day, minus one.

The total dollar weight of the S&P GSCI is the sum of the dollar weight of each of the underlying commodities. The dollar weight of each such commodity on any given day is equal to (i) the daily contract reference price, (ii) multiplied by the appropriate CPWs and (iii) during a roll period, the appropriate “roll weights” (discussed below).

The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided that, if the price is not made available or corrected by 4:00 P.M. New York City time, S&P may, if it deems such action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI calculation.

The “roll weight” of each commodity reflects the fact that the positions in contracts must be liquidated or rolled forward into more distant contract expirations as they approach expiration. Since the S&P GSCI is designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the S&P GSCI also takes place over a period of days at the beginning of each month (referred to as the “roll period”). On each day of the roll period, the “roll weights” of the first nearby contract expirations on a particular commodity and the more distant contract expiration into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the S&P GSCI is gradually shifted from the first nearby contract expiration to the more distant contract expiration.

If any of the following conditions exists on any day during a roll period, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist: (i) no daily contract reference price is available for a given contract expiration; (ii) any such price represents the maximum or minimum price for such contract month, based on exchange price limits; (iii) the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 P.M., New York City time (in such event, S&P may determine a daily contract reference price and complete the relevant portion of the roll based on such price, but must revise the portion of the roll if the trading facility publishes a price before the opening of trading on the next day); or (iv) trading in the relevant contract terminates prior to its scheduled closing time.

If any of these conditions exist throughout the roll period, the roll will be effected in its entirety on the next day on which such conditions no longer exist.

 

May 2010    Page 13


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Information about the S&P GSCI

General. We have derived all information regarding the S&P GSCI contained in this offering summary, including, without limitation, its make-up and method of calculation from publicly available information. While the description below relates to the S&P GSCI, it may affect the underlying index to the extent the S&P GSCI changes its methodology, criteria, or other factors relating to the underlying index, including if S&P no longer includes Brent crude oil as an underlying component of the S&P GSCI. The S&P GSCI is calculated, maintained and published daily by S&P. The S&P GSCI is an index on a production-weighted basket of principal non-financial commodities (i.e., physical commodities) that satisfy specified criteria. The S&P GSCI is designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the S&P GSCI are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities included in the S&P GSCI are weighted, on a production basis, to reflect the relative significance (in the view of S&P, in consultation with the Index Advisory Committee, as described below) of such commodities to the world economy. The fluctuations in the value of the S&P GSCI are intended generally to correlate with changes in the prices of such physical commodities in global markets. The S&P GSCI was established in 1991 and has been normalized such that its hypothetical level on January 2, 1970 was 100. Futures contracts on the S&P GSCI, and options on such futures contracts, are currently listed for trading on the Chicago Mercantile Exchange.

Set forth below is a summary of the composition of and the methodology currently used to calculate the S&P GSCI. The methodology for determining the composition and weighting of the S&P GSCI and for calculating its value is subject to modification in a manner consistent with the purposes of the S&P GSCI, as described below. S&P makes the official calculations of the S&P GSCI.

The Index Advisory Committee established by S&P to assist it in connection with the operation of the S&P GSCI generally meets once each year to discuss the composition of the S&P GSCI. The Index Advisory Committee may, if necessary or practicable, meet at other times during the year as issues arise that warrant its consideration.

Composition of the S&P GSCI. In order to be included in the S&P GSCI, a contract must satisfy the following eligibility criteria:

 

n  

The contract must be in respect of a physical commodity and not a financial commodity;

 

n  

The contract must (a) have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and (b) at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement; and (c) be traded on a trading facility which allows market participants to execute spread transactions, through a single order entry, between the pairs of contract expirations included in the S&P GSCI that, at any given point in time, will be involved in rolls to be effected pursuant to the S&P GSCI;

 

n  

The commodity must be the subject of a contract that is (a) denominated in U.S. dollars and (b) traded on or through an exchange, facility or other platform (referred to as a trading facility) that has its principal place of business or operations in a country which is a member of the Organization for Economic Cooperation and Development and that meets other criteria relating to the availability of market price quotations and trading volume information, acceptance of bids and offers from multiple participants or price providers and accessibility by a sufficiently broad range of participants;

 

n  

The price of the relevant contract that is used as a reference or benchmark by market participants (which we refer to as the daily contract reference price) generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI;

 

n  

At and after the time a contract is included in the S&P GSCI™, the daily contract reference price for such contract must be published between 10:00 AM. and 4:00 P.M., New York City time, on each business day relating to such contract by the trading facility on or through which it is traded;

 

n  

For a contract to be eligible for inclusion in the S&P GSCI, volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made; and

 

n  

Contracts must also satisfy volume trading requirements and certain percentage dollar weight requirements to be eligible for inclusion in the S&P GSCI.

The contracts currently included in the S&P GSCI are all futures contracts traded on the NYMEX, the ICE Futures, the Chicago Mercantile Exchange, the Chicago Board of Trade, the Coffee, Sugar & Cocoa Exchange, Inc., the New York Cotton Exchange, the Kansas City Board of Trade, the Commodities Exchange, Inc. and the LME.

Calculation of the S&P GSCI. The value of the S&P GSCI on any given day is equal to the total dollar weight of the S&P GSCI divided by a normalizing constant that assures the continuity of the S&P GSCI over time.

 

May 2010    Page 14


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Contract Expirations. Because the S&P GSCI is composed of actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as “contract expirations.” The contract expirations included in the S&P GSCI for each commodity during a given year are designated by S&P, in consultation with the Index Advisory Committee, provided that each such contract must be an “active contract.” An “active contract” for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a trading facility deletes one or more contract expirations, the S&P GSCI will be calculated during the remainder of the year in which such deletion occurs on the basis of the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the S&P GSCI. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the S&P GSCI.

License Agreement. S&P and Citigroup Global Markets have entered into a non-exclusive license agreement providing for the license to Citigroup Inc., Citigroup Funding and its affiliates, in exchange for a fee, of the right to use indices owned and published by S&P in connection with certain financial instruments, including the securities.

The license agreement between S&P and Citigroup Global Markets provides that the following language must be stated in this offering summary.

“The securities are not sponsored, endorsed, sold or promoted by S&P. S&P makes no representation or warranty, express or implied, to the holders of the securities or any member of the public regarding the advisability of investing in securities generally or in the securities particularly. S&P’s only relationship to Citigroup Funding and its affiliates (other than transactions entered into in the ordinary course of business) is the licensing of certain trademarks, trade names and service marks of S&P and of the S&P GSCI Brent Crude Index Excess Return, which is determined, composed and calculated by S&P without regard to Citigroup Funding, its affiliates or the securities. S&P has no obligation to take the needs of Citigroup Funding, its affiliates or the holders of the securities into consideration in determining, composing or calculating the S&P GSCI Brent Crude Index Excess Return. S&P is not responsible for and has not participated in the determination of the timing of, prices at or quantities of the securities to be issued or in the determination or calculation of the equation by which the securities are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the securities.

S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P GSCI BRENT CRUDE INDEX EXCESS RETURN OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY CITIGROUP FUNDING, HOLDERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P GSCI BRENT CRUDE INDEX EXCESS RETURN OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P GSCI BRENT CRUDE INDEX EXCESS RETURN OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P AND CITIGROUP FUNDING.”

All disclosures contained in this offering summary regarding the S&P GSCI Brent Crude Index Excess Return, including its makeup, method of calculation and changes in its components, are derived from publicly available information prepared by S&P. None of Citigroup Funding, Citigroup, Citigroup Global Markets or the trustee assumes any responsibility for the accuracy or completeness of such information.

 

May 2010    Page 15


LOGO

 

 

Jump Securities Based on the S&P GSCI Brent Crude Index Excess Return due June 27, 2012

The Jump Securities

 

 

 

Historical Information

The following table sets forth the published high and low closing values as well as the end-of-quarter closing values of the underlying index for each quarter in the period from January 3, 2005 through May 27, 2010. The closing value of the underlying index on May 27, 2010 was 546.0273. We obtained the information below from Bloomberg Financial Markets, without independent verification. You should not take the historical closing values of the underlying index as an indication of future performance, and no assurance can be given as to the closing value of the underlying index on the valuation date.

 

S&P GSCI Brent Crude Index Excess Return      High      Low      Period End

2005

              

First Quarter

     806.5575      585.6782      792.7308

Second Quarter

     832.0475      685.6897      782.6629

Third Quarter

     921.2378      773.1704      861.4689

Fourth Quarter

     852.2116      723.0358      769.5195

2006

              

First Quarter

     861.6602      747.3957      830.0096

Second Quarter

     936.5114      835.3968      905.0875

Third Quarter

     947.4770      729.8762      759.1187

Fourth Quarter

     747.4829      685.4407      702.1380

2007

              

First Quarter

     739.5484      583.2453      739.5484

Second Quarter

     772.1448      700.5182      765.9957

Third Quarter

     845.7232      728.5804      836.0778

Fourth Quarter

     1,013.6750      809.3849      999.9536

2008

              

First Quarter

     1,140.8240      923.2914      1,077.4320

Second Quarter

     1,513.2930      1,075.1720      1,509.9640

Third Quarter

     1,574.4010      945.2966      1,039.1281

Fourth Quarter

     1,009.7990      369.7040      460.7850

2009

              

First Quarter

     502.7862      353.5982      426.8229

Second Quarter

     588.6757      418.7187      561.5999

Third Quarter

     603.5893      487.0408      543.6245

Fourth Quarter

     620.0170      529.9171      593.2141

2010

              

First Quarter

     622.1772      524.3621      614.4398

Second Quarter (through May 27, 2010)

     659.2701      509.4711      546.0273

© 2010 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.

 

May 2010    Page 16