Citigroup to redeem C-Tracks ETNs due 2020 linked to Citi Volatility

By Wendy Van Sickle

Columbus, Ohio, May 6 – Citigroup Inc. will redeem its C-Tracks exchange-traded notes due Nov. 12 2020 linked to the Citi Volatility Index Total Return (NYSE: CVOL) on May 24, according to a press release.

Investors will receive a cash payment per ETN equal to the sum of the index exposure and notional cash amount determined over the mandatory redemption valuation period, expected to be May 16 through May 20.

The calculation of the index exposure and notional cash amount during this period simulates a proportionate allocation from index exposure to cash on a daily basis.

This means the value of the ETNs will not be based entirely on the fluctuations of the underlying index during this period, and investors will not entirely benefit from increases in the value of the underlying index as the notional cash amount increases relative to the index exposure amount, according to the release.

Moreover, even for the calculated cash position represented by the notional cash amount, investors will not be compensated for any interest or time value of money during this period prior to their receiving the payment upon redemption.

The last day of trading for the ETNs will be May 23.

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