Hilbert FTSE 100 EW45 Super Defensive Autocall – Issue 15

Citigroup Global Markets Limited (http://www.citigroup.com/). The product issuer is  Citigroup Global Markets Funding Luxembourg S.C.A. with a guarantee by Citigroup  Global Markets Limited.

Call +44 20 7986 2121 for more information.

Authorised by the U.K. Prudential Regulation Authority and regulated by the U.K.  Financial Conduct Authority and U.K. Prudential Regulation Authority

The product is designed to provide a return in the form of a cash payment on the  maturity date in an amount that depends on whether the underlying satisfies the barrier conditions specified below. The product has a fixed term and will terminate on the  maturity date, unless terminated early.

Early termination following an autocall: The product will terminate prior to the  maturity date if, on any autocall observation date, the reference level is at or above the relevant autocall barrier level. On any such early termination, you will on the  immediately following autocall payment date receive a cash payment equal to the  applicable autocall payment. The relevant dates, autocall barrier levels and autocall  payments are shown in the table(s) in the key information document.

Termination on the maturity date: If the product has not terminated early, on the  maturity date you will receive:

1. if the final reference level is at or above 65.00% of the initial reference level, a cash  payment equal to GBP 1.85;

2. otherwise, if the final reference level is at or above 50.00% of the initial reference  level and below 65.00% of the initial reference level, a cash payment equal to GBP  1.00;

3.otherwise, if the final reference level is at or above 1.00% of the initial reference level and at or below 50.00% of the initial reference level, a cash payment equal to (i) the  product notional amount multiplied by (ii) (A) the final reference level divided by (B) the initial reference level;

4.otherwise, if the final reference level is below 1.00% of the initial reference level, a  cash payment equal to GBP 1.00

Investors should note that the payments described above are based on the expected  value of the preference shares. Therefore any return you may receive on the product  depends directly on the value of the preference shares. As such, your return is only  indirectly dependent on the underlying.

Under the product terms, certain dates specified above and below will be adjusted if  the respective date is either not a business day or not a trading day (as applicable).  Any adjustments may affect the return, if any, you receive.

The product terms also provide that if certain exceptional events occur (1) adjustments may be made to the product and/or (2) the product issuer may terminate the product,  as applicable, early. These events are specified in the product terms and principally  relate to the product and the product issuer. The preference shares in turn contain  provisions allowing the preference shares to be adjusted or terminated early in the  case of certain exceptional events, in particular relating to the underlying. Any such  adjustments or early termination are likely to affect the amount and timing of return you receive under the product, meaning the return (if any) that you receive on such early  termination is likely to be different from the scenarios described above and may be  less than the amount you invested.

The product is intended to be offered to retail investors who fulfil all of the criteria below:

– they have the ability to make an informed investment decision through sufficient knowledge and understanding of the product and its specific risks and rewards, with experience of investing in and/or holding a number of similar products providing a similar market exposure;

– they seek capital growth, expect the movement in the underlying to perform in a way that generates a favourable return, have an investment horizon of the recommended holding period specified in the key information document and understand that the product may terminate early;

– they accept the risk that the issuer or guarantor could fail to pay or perform its obligations under the product and they are able to bear a total loss of their investment; and

– they are willing to accept a level of risk to achieve potential returns that is consistent with the summary risk indicator shown on the Key Information Document.

The product is not intended to be offered to retail clients who do not fulfil these criteria.

Please ensure that you have read and understood the important documents contained on this page.