By Toni Weeks
San Luis Obispo, Calif., Sept. 15 – Citigroup Inc. priced $25 million of 0% C-Tracks exchange-traded notes due Sept. 16, 2024 linked to the Miller/Howard Strategic Dividend Reinvestor index, according to a 424B2 filing with the Securities and Exchange Commission.
The company registered to sell up to $100 million of the notes. It will sell the additional notes from time to time at varying prices.
The index provides exposure, less an investor fee, to the Miller/Howard Strategic Dividend Index Total Return, which is designed to measure the performance of 30 equally weighted stocks traded on U.S. exchanges selected quarterly based on quantitative fundamental factors, including dividend yield, expected growth of dividend yield, market valuation relative to book value, return on invested capital relative to price-to-earnings ratio and trailing 26-week stock price momentum.
The payout at maturity will be an amount equal to the closing indicative value of the C-Tracks on the final valuation period end date.
On any day, the closing indicative value equals (i) the current value of the C-Tracks on that day minus (ii) the accrued investor fee on that day.
The current value was $25 on the pricing date. On any subsequent day, other than during the final valuation period or issuer redemption valuation period, 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.
On any day during the final valuation period or issuer redemption valuation period, the current value equals the sum of the index exposure and the notional cash amount. The index exposure is equal to the product of (i) the index exposure on the immediately preceding day multiplied by the daily return factor on the current observation day and (ii) a fraction equal to the number of observation days left in the valuation period excluding the current observation day divided by the number of observation days left in that valuation period including the current observation day. The notional cash amount is equal to the sum of (i) the notional cash amount of the prior observation day and (ii) the index exposure on the prior observation date multiplied by the daily return factor on the current observation day divided by the number of scheduled observation days left in the valuation period including the current day.
The accrued investor fee was zero on the pricing date. On each subsequent day, it is an annualized amount equal to the accrued investor fee on the preceding day plus 0.7% of the closing indicative value on the previous 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 beginning Sept. 16, 2015. The payout will be equal to the closing indicative value.
The notes have been approved for listing on NYSE Arca under the symbol “DIVC.”
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | C-Tracks exchange-traded notes
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| Underlying index: | Miller/Howard Strategic Dividend Reinvestor index
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| Amount: | $100 million
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| Maturity: | Sept. 16, 2024
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| Coupon: | 0%
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| Face amount: | $25
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| Payout at maturity: | Cash amount equal to final closing indicative value
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| Call option: | Beginning Sept. 16, 2015
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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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| Pricing date: | Sept. 11
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| Settlement date: | Sept. 16 (for $25 million)
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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: DIVC
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| Cusip: | 17322H149
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