Chicago, April 15 – Citigroup Inc. priced $85.88 million of C-Tracks exchange-traded notes, series H, due Sept. 28, 2023 linked to the Miller/Howard MLP Fundamental index, according to a 424B3 filing with the Securities and Exchange Commission.
As of April 1, $14,930,425 of principal amount of C-Tracks were outstanding and held by the public and $70,944,575 in stated principal amount was held by affiliate Citigroup Global Markets Inc.
The index is designed to measure the performance of 25 energy master limited partnerships selected quarterly by a methodology that is based on certain quantitative fundamental factors of publicly traded MLPs, including distribution growth, estimated capital expenditures and distribution coverage.
Each quarter, the notes will pay a coupon amount equal to the accrued distribution amount, which is based on the ordinary cash distributions that a hypothetical holder of the index constituents would have been entitled to receive during the relevant period, reduced by the accrued investor fee.
The payout at maturity will be an amount equal to the closing indicative value of the C-Tracks adjusted down by any final coupon amount due at maturity.
On any day, the closing indicative value equals (i) the current value of the C-Tracks on that day plus (ii) the accrued distribution amount on that day minus (iii) the accrued investor fee on that day.
On April 1, the closing indicative note value is $4.73 per $25 principal amount C-Track.
The current value was $25 on the inception date, Sept. 25. On subsequent days, it equals the current value on the immediately preceding day multiplied by the daily return factor, which equals the closing level of the index on that day divided by the closing level on the preceding day.
The accrued investor fee was zero on the inception date. On each subsequent day, it is (i) the accrued investor fee on the immediately preceding calendar day plus (ii) (a) 0.95% multiplied by (b) the closing indicative value on the previous calendar day divided by 365 minus (iii) the coupon fee adjustment amount on the current calendar day.
The notes are putable at any time, subject to a minimum of 50,000 notes and a 0.1% redemption charge. The notes are callable as of Sept. 25, 2014. The payout will be equal to the closing indicative value adjusted down by any final coupon due.
The notes have been approved for listing on NYSE Arca under the symbol "MLPC.”
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | C-Tracks exchange-traded notes, series H
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| Underlying index: | Miller/Howard MLP Fundamental index
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| Amount: | $85,875,000
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| Maturity: | Sept. 28, 2023
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| Coupon: | Amount equal to accrued distribution amount, which is based on ordinary cash distributions that hypothetical holder of index constituents would have been entitled to receive during relevant period, reduced by accrued investor fee; payable quarterly
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| Face amount: | $25
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| Payout at maturity: | Cash amount equal to final closing indicative value, adjusted down by any final coupon amount due at maturity
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| Call option: | Begun Sept. 25, 2014, closing indicative note value adjusted down by any final coupon amount
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| Put option: | At any time, subject to minimum of 50,000 C-Tracks and 0.1% redemption charge
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| Initial index factor: | 4.00360, equal to initial index level divided by $25
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| Inception date: | Sept. 25, 2013
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| Original settlement date: | Sept. 30, 2013
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| Pricing date: | April 6
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | No underwriting discount; underwriter is entitled to receive accrued investor fee and any redemption charge
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| Listing: | NYSE Arca: MLPC
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| Cusip: | 17321F201
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