Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the notes. You should read the risk factors below together with the risk factors included in the accompanying prospectus
supplement and in the documents incorporated by reference in the accompanying prospectus, including Citigroup Inc.’s most recent
Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to our business more generally.
We also urge you to consult your investment, legal, tax, accounting and other advisers before you decide to invest in the notes.
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The notes may be redeemed at our option, which limits your ability to accrue interest over the full term of the notes. We may
redeem the notes, in whole but not in part, on any redemption date, upon not less than five business days’ notice. In the event
that we redeem the notes, you will receive the principal amount of the notes and any accrued and unpaid interest to but excluding the
applicable redemption date. In this case, you will not have the opportunity to continue to accrue and be paid interest to the maturity
date of the notes.
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Market interest rates at a particular time will affect our decision to redeem the notes. It is more likely that we will call
the notes for redemption prior to their maturity date at a time when the interest rate on the notes is greater than that which we would
pay on a comparable debt security of Citigroup Inc. with a maturity comparable to the remaining term of the notes. Consequently, if we
redeem the notes prior to their maturity, you may not be able to invest in other securities with a similar level of risk that yield as
much interest as the notes.
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The step-up feature presents different investment considerations than conventional fixed-rate notes. Unless general market
interest rates rise significantly, you should not expect to earn the higher stated interest rates because the notes are more likely to
be redeemed prior to maturity if general market interest rates remain the same or fall during the term of the notes. When determining
whether to invest in the notes, you should consider, among other things, the overall annual percentage rate of interest to maturity or
the various potential redemption dates as compared to other equivalent investment alternatives rather than the higher stated interest
rates or any potential interest payments you may receive during the term of the notes. If general market interest rates increase beyond
the rates provided by the notes during the term of the notes, we are less likely to redeem the notes, and if we do not redeem the notes
investors will be holding notes that bear interest at below-market rates.
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An investment in the notes may be more risky than an investment in notes with a shorter term. By purchasing notes with a relatively
long term, you will bear greater exposure to fluctuations in interest rates than if you purchased a note with a shorter term. In particular,
you may be negatively affected if interest rates begin to rise, because the likelihood that we will redeem your notes will decrease and
the interest rate on the notes may be less than the amount of interest you could earn on other investments with a similar level of risk
available at such time. In addition, if you tried to sell your notes at such time, the value of your notes in any secondary market transaction
would also be adversely affected.
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The notes are subject to the credit risk of Citigroup Inc., and any actual or anticipated changes to its credit ratings or credit
spreads may adversely affect the value of the notes. You are subject to the credit risk of Citigroup Inc. If Citigroup Inc. defaults
on its obligations under the notes, your investment would be at risk and you could lose some or all of your investment. As a result, the
value of the notes will be affected by changes in the market’s view of Citigroup Inc.’s creditworthiness. Any decline, or
anticipated decline, in Citigroup Inc.’s credit ratings or increase, or anticipated increase, in the credit spreads charged by the
market for taking Citigroup Inc. credit risk is likely to adversely affect the value of the notes.
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The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. CGMI currently intends
to make a secondary market in relation to the notes and to provide an indicative bid price for the notes on a daily basis. Any indicative
bid price for the notes provided by CGMI will be determined in CGMI’s sole discretion, taking into account prevailing market conditions
and other relevant factors, and will not be a representation by CGMI that the notes can be sold at that price or at all. CGMI may suspend
or terminate making a market and providing indicative bid prices without notice, at any time and for any reason. If CGMI suspends or terminates
making a market, there may be no secondary market at all for the notes because it is likely that CGMI will be the only broker-dealer that
is willing to buy your notes prior to maturity. Accordingly, an investor must be prepared to hold the notes until maturity.
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Immediately following issuance, any secondary market bid price provided by CGMI, and the value that will be indicated on any brokerage
account statements prepared by CGMI or its affiliates, will reflect a temporary upward adjustment. The amount of this temporary upward
adjustment will steadily decline to zero over the temporary adjustment period. See “General Information—Temporary adjustment
period” in this pricing supplement.
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Secondary market sales of the notes may result in a loss of principal. You will be entitled to receive at least the full stated
principal amount of your notes, subject to the credit risk of Citigroup Inc., only if you hold the notes to maturity or redemption. If
you are able to sell your notes in the secondary market prior to maturity or redemption, you are likely to receive less than the stated
principal amount of the notes.
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The inclusion of underwriting fees and projected profit from hedging in the issue price is likely to adversely affect
secondary market prices. Assuming no changes in market conditions or other relevant factors, the price, if any, at which CGMI
may be willing to purchase the notes in secondary market transactions will likely be lower than the issue price since the issue
price of the notes will include, and secondary market prices are likely to exclude, underwriting fees paid with respect to the
notes, as well as the cost of hedging our obligations under the notes. 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. The secondary market prices for the notes are
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also likely to be reduced by the costs of unwinding
the related hedging transactions. Our affiliates may realize a profit from the expected hedging activity even if the value of the notes
declines. In addition, any secondary market prices for the notes may differ from values determined by pricing models used by CGMI, as
a result of dealer discounts, mark-ups or other transaction costs.
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The price at which you may be able to sell your notes prior to maturity will depend on a number of factors and may be substantially
less than the amount you originally invest. A number of factors will influence the value of the notes in any secondary market that
may develop and the price at which CGMI may be willing to purchase the notes in any such secondary market, including: interest rates in
the market and the volatility of such rates, the time remaining to maturity of the notes, hedging activities by our affiliates, fees and
projected hedging fees and profits, expectations about whether we are likely to redeem the notes and any actual or anticipated changes
in the credit ratings, financial condition and results of Citigroup Inc. The value of the notes will vary and is likely to be less than
the issue price at any time prior to maturity or redemption, and sale of the notes prior to maturity or redemption may result in a loss.
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The U.S. federal tax consequences of an assumption of the notes are unclear. The notes may be assumed by a successor issuer,
as discussed in “Additional Terms of the Notes.” The law regarding whether or not such an assumption would be considered a
taxable modification of the notes is not entirely clear and, if the Internal Revenue Service (the “IRS”) were to treat the
assumption as a taxable modification, a U.S. Holder would generally be required to recognize gain (if any) on the notes and the timing
and character of income recognized with respect to the notes after the assumption could be affected significantly. You should read carefully
the discussion under “United States Federal Income Tax Considerations” in this pricing supplement. You should also consult
your tax adviser regarding the U.S. federal tax consequences of an assumption of the notes.
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Additional Terms of the Notes
The notes are intended to qualify as eligible debt securities for purposes
of the Federal Reserve's total loss-absorbing capacity (“TLAC”) rule. As a result, in the event of a Citigroup Inc. bankruptcy,
Citigroup Inc.'s losses and any losses incurred by its subsidiaries would be imposed first on Citigroup Inc.’s shareholders and
then on its unsecured creditors, including the holders of the notes. Further, in a bankruptcy proceeding of Citigroup Inc. any value realized
by holders of the notes may not be sufficient to repay the amounts owed on the notes. For more information about the consequences of “TLAC”
on the notes, you should refer to the “Citigroup Inc.” section beginning on page 9 of the accompanying prospectus.
Upon at least 15 business days’ notice, any wholly owned subsidiary
(the “successor issuer”) of Citigroup Inc. may, without the consent of any holder of the notes, assume all of Citigroup Inc.’s
obligations under the notes, and in such event Citigroup Inc. shall be released from its obligations under the notes (in each case, except
as described below), subject to the following conditions:
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(a)
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Citigroup Inc. shall enter into a supplemental indenture under which Citigroup Inc. fully and unconditionally guarantees all payments
on the notes when due, agrees to comply with the covenants described in the section “Description of Debt Securities—Covenants—Limitations
on Liens” and “—Limitations on Mergers and Sales of Assets” in the accompanying prospectus as applied to itself
and retains certain reporting obligations under the indenture;
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(b)
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the successor issuer shall be organized under the laws of the United States of America, any State thereof or the District of Columbia;
and
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(c)
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immediately after giving effect to such assumption of obligations, no default or event of default shall have occurred and be continuing.
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Upon any such assumption, the successor issuer shall succeed to and
be substituted for, and may exercise every right and power of, Citigroup Inc. under the notes with the same effect as if such successor
issuer had been named as the original issuer of the notes, and Citigroup Inc. shall be relieved from all obligations and covenants under
the notes, except that Citigroup Inc. shall have the obligations described in clause (a) above. For the avoidance of doubt, the successor
issuer shall not be responsible for Citigroup Inc.’s compliance with the covenants described in clause (a) above.
If a successor issuer assumes the obligations of Citigroup Inc. under
the notes as described above, events of bankruptcy or insolvency or resolution proceedings relating to Citigroup Inc. will not constitute
an event of default with respect to the notes, nor will any breach of a covenant by Citigroup Inc. (other than payment default). Therefore,
if a successor issuer assumes the obligations of Citigroup Inc. under the notes as described above, events of bankruptcy or insolvency
or resolution proceedings relating to Citigroup Inc. (in the absence of any such event occurring with respect to the successor issuer)
will not give holders the right to declare the notes to be due and payable, and a breach of a covenant by Citigroup Inc. (including the
covenants described in the section “Description of Debt Securities—Covenants—Limitations on Liens” and “—Limitations
on Mergers and Sales of Assets” in the accompanying prospectus), other than payment default, will not give holders the right to
declare the notes to be due and payable. Furthermore, if a successor issuer assumes the obligations of Citigroup Inc. under the notes
as described above, it will not be an event of default under the notes if the guarantee of the notes by Citigroup Inc. ceases to be in
full force and effect or if Citigroup Inc. repudiates the guarantee.
There are no restrictions on which subsidiary of Citigroup Inc. may
be a successor issuer other than as specifically set forth above. The successor issuer may be less creditworthy than Citigroup Inc. and/or
may have no or nominal assets. If Citigroup Inc. is resolved in bankruptcy, insolvency or other resolution proceedings and the notes
are not contemporaneously declared due and payable, and if the successor issuer is subsequently resolved in later bankruptcy, insolvency
or other resolution proceedings, the value you receive on the
notes may be significantly less than what you would have received had the
notes been declared due and payable immediately upon certain events of bankruptcy or insolvency or resolution proceedings relating to
Citigroup Inc. or the breach of a covenant by Citigroup Inc.
The notes are “specified securities” for purposes of the
indenture. The terms set forth above do not apply to all securities issued under the indenture, but only to the notes offered by this
pricing supplement (and similar terms may apply to other securities issued by Citigroup Inc. that are identified as “specified securities”
in the applicable pricing supplement).
You should read carefully the discussion of U.S. federal tax consequences
of any such assumption under “United States Federal Tax Considerations” in this pricing supplement.
General Information
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Temporary adjustment period:
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For a period of approximately six months following issuance of the notes, the price, if any, at which CGMI would be willing to buy the notes from investors, and the value that will be indicated for the notes on any brokerage account statements prepared by CGMI or its affiliates (which value CGMI may also publish through one or more financial information vendors), will reflect a temporary upward adjustment from the price or value that would otherwise be determined. This temporary upward adjustment represents a portion of the hedging profit expected to be realized by CGMI or its affiliates over the term of the notes. The amount of this temporary upward adjustment will decline to zero on a straight-line basis over the six-month temporary adjustment period. However, CGMI is not obligated to buy the notes from investors at any time. See “Risk Factors—The notes will not be listed on any securities exchange and you may not be able to sell them prior to maturity.”
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U.S. federal income tax considerations:
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The notes will be treated for U.S. federal income tax purposes as fixed
rate debt instruments that are issued without original issue discount. See “United States Federal Tax Considerations—Tax Consequences
to U.S. Holders—Original Issue Discount” in the accompanying prospectus supplement for further information regarding the treatment
under the original issue discount rules of debt instruments that are subject to early redemption.
Under their terms, the notes may be assumed by a successor issuer, in
which case we will guarantee the successor issuer’s payment obligations under the notes. See “Additional Terms of the Notes.”
We intend to treat such an assumption as not giving rise to a taxable modification of the notes. While our counsel, Davis Polk & Wardwell
LLP, believes this treatment of such an assumption is reasonable under current law and based on the expected circumstances of the assumption,
it has not rendered an opinion regarding such treatment in light of the lack of clear authority addressing the consequences of such an
assumption. Provided that an assumption of the notes is not a taxable modification, the U.S. federal income tax treatment of the notes
would not be affected by the assumption. However, if the IRS were to treat an assumption of the notes as a taxable modification, the timing
and character of income recognized with respect to the notes after the assumption could be affected significantly, depending on circumstances
at the time of the assumption. Moreover, a U.S. Holder (as defined in the accompanying prospectus supplement) would generally be required
to recognize gain (if any) with respect to the notes at the time of the assumption in the same manner as described in the accompanying
prospectus supplement in respect of a sale or other taxable disposition of the notes. You should consult your tax adviser regarding the
consequences of an assumption of the notes.
Both U.S. and non-U.S. persons considering an investment in the notes
should read the discussion under “United States Federal Tax Considerations,” and in particular the sections entitled “United
States Federal Tax Considerations—Tax Consequences to U.S. Holders,” “—Tax Consequences to Non-U.S. Holders”
and “—FATCA” in the accompanying prospectus supplement for more information regarding the U.S. federal income tax consequences
of an investment in the notes.
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Trustee:
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The Bank of New York Mellon (as trustee under an indenture dated November 13, 2013) will serve as trustee for the notes.
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Use of proceeds and hedging:
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The net proceeds received from the sale of the notes will be used for
general corporate purposes and, in part, in connection with hedging our obligations under the notes through one or more of our affiliates.
Hedging activities related to the notes by one or more of our affiliates
involves trading in one or more instruments, such as options, swaps and/or futures, and/or taking positions in any other available securities
or instruments that we may wish to use in connection with such hedging and may include adjustments to such positions during the term of
the notes. It is possible that our affiliates may profit from this hedging activity, even if the value of the notes declines. Profit or
loss from this hedging activity could affect the price at which Citigroup Inc.’s affiliate, CGMI, may be willing to purchase your
notes in the secondary market. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging”
in the accompanying prospectus.
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ERISA and IRA purchase considerations:
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Please refer to “Benefit Plan Investor Considerations” in the accompanying prospectus supplement for important information for investors that are ERISA or other benefit plans or whose underlying assets include assets of such plans.
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Fees and selling concessions:
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The issue price is $1,000 per note; provided that the issue price
for an eligible institutional investor or an investor purchasing the notes in a fee-based advisory account will vary based on
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then-current
market conditions and the negotiated price determined at the time of each sale. The issue price for such investors will not be less than
$977.50 per note and will not be more than $1,000 per note. The issue price for such investors reflects a forgone selling concession with
respect to such sales as described in the next paragraph.
CGMI, an affiliate of Citigroup Inc., is the underwriter of the
sale of the notes and is acting as principal. CGMI may resell the notes to other securities dealers at the issue price of $1,000 per
note less a selling concession not in excess of the underwriting fee. CGMI will receive an underwriting fee of up to $22.50 per note,
and from such underwriting fee will allow selected dealers a selling concession of up to $22.50 per note depending on market conditions
that are relevant to the value of the notes at the time an order to purchase the notes is submitted to CGMI. Dealers who purchase the
notes for sales to eligible institutional investors and/or to investors purchasing the notes in fee-based advisory accounts may forgo
some or all selling concessions, and CGMI may forgo some or all of the underwriting fee for sales to it makes to eligible institutional
investors and/or to investors purchasing the notes in fee-based advisory accounts.
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Supplemental information regarding plan of distribution; conflicts of interest:
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The terms and conditions set forth in the Amended and Restated Global
Selling Agency Agreement dated April 7, 2017 among Citigroup Inc. and the agents named therein, including CGMI, govern the sale and purchase
of the notes.
The notes will not be listed on any securities exchange.
In order to hedge its obligations under the notes, Citigroup Inc. expects
to enter into one or more swaps or other derivatives transactions with one or more of its affiliates. You should refer to the section
“General Information—Use of proceeds and hedging” in this pricing supplement and the section “Use of Proceeds
and Hedging” in the accompanying prospectus.
CGMI is an affiliate of Citigroup Inc. Accordingly, the offering of
the notes will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth
in Rule 5121 of the Conduct Rules of the Financial Industry Regulatory Authority, Inc. Client accounts over which Citigroup Inc., its
subsidiaries or affiliates of its subsidiaries have investment discretion are not permitted to purchase the notes, either directly or
indirectly, without the prior written consent of the client.
See “Plan of Distribution; Conflicts of Interest” in
the accompanying prospectus supplement for more information.
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Paying agent:
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Citibank, N.A. will serve as paying agent and registrar and will also hold the global security representing the notes as custodian for The Depository Trust Company (“DTC”).
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Contact:
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Clients may contact their local brokerage representative.
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We encourage you to also read the accompanying prospectus supplement
and prospectus, which can be accessed via the hyperlink on the cover page of this pricing supplement.
Determination of Interest Payments
On each interest payment date, the amount of each interest payment will
equal (i) the stated principal amount of the notes multiplied by the interest rate in effect during the applicable interest period,
multiplied by (ii) (180/360). If we call the notes for mandatory redemption on a redemption date that is not also an interest payment
date, the amount of interest included in the payment you receive upon redemption will equal (i) the stated principal amount of the notes
multiplied by the interest rate in effect during the applicable interest period, multiplied by (ii) (90/360).
Hypothetical Examples
The following examples illustrate
how the payments on the notes will be calculated with respect to various hypothetical interest payment dates and redemption dates, depending
on whether we exercise our right in our sole discretion to redeem the notes on a redemption date or, if we do not redeem the notes prior
to the maturity date, whether the interest payment date is the maturity date. The hypothetical payments in the following examples are
for illustrative purposes only, do not illustrate all possible payments on the notes and may not correspond to the actual payment for
any interest payment date applicable to a holder of the notes. The numbers appearing in the following examples have been rounded for ease
of analysis.
Example
1: The interest payment date is on or prior to August 18, 2024 and either the interest payment date is not a redemption date or it is
a redemption date but we choose not to exercise our right to redeem the notes on that date.
In this example,
we would pay you an interest payment on the interest payment date per note calculated as follows:
($1,000 ×
2.25%) × (180/360) = $11.25
Because the
notes are not redeemed on the interest payment date, the notes would remain outstanding and would continue to accrue interest.
Example
2: We elect to exercise our right to redeem the notes on the second redemption date, which is not an interest payment date.
In this example,
we would pay you on the second redemption date the stated principal amount of the notes plus an interest payment per note calculated
as follows:
($1,000 ×
2.25%) × (90/360) = $5.625
Therefore,
you would receive a total of $1,005.625 per note (the stated principal amount plus $5.625 of interest) on the second redemption
date. Because the notes are redeemed on the second redemption date, you would not receive any further payments from us.
Example
3: The notes are not redeemed prior to the maturity date and the interest payment date is the maturity date.
In this example,
we would pay you on the maturity date, the stated principal amount of the notes plus an interest payment per note calculated as
follows:
($1,000 ×
3.50%) × (180/360) = $17.50
Therefore,
you would receive a total of $1,017.50 per note (the stated principal amount plus $17.50 of interest) on the maturity date, and
you will not receive any further payments from us.
Because we have
the right to redeem the notes prior to the maturity date, there is no assurance that the notes will remain outstanding until the maturity
date. You should expect the notes to remain outstanding after the first redemption date only if the interest rate payable on the notes
is unfavorable to you as compared to other market rates on comparable investments at that time.
Certain Selling Restrictions
Prohibition of Sales to EEA Retail Investors
The notes may not be offered, sold or otherwise made available to any
retail investor in the European Economic Area. For the purposes of this provision:
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(a)
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the expression “retail investor” means a person who is one (or more) of the following:
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(i)
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a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
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(ii)
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a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in
point (10) of Article 4(1) of MiFID II; or
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(iii)
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not a qualified investor as defined in Directive 2003/71/EC; and
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(b)
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the expression “offer” includes the communication in any form and by any means of sufficient information on the terms
of the offer and the notes offered so as to enable an investor to decide to purchase or subscribe the notes.
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