By Marisa Wong
Morgantown, W.Va., Dec. 8 – Citigroup Global Markets Holdings Inc. priced $400 million of 0% VelocityShares 3x Inverse Crude Oil ETNs due Dec. 15, 2031 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The issuer expects to sell $20 million of the notes at par on the initial settlement date, Dec. 13.
The payout at maturity will equal the closing indicative value of the notes on the final valuation date. The final valuation period is the period of five trading days beginning Dec. 4, 2031.
The closing indicative value of the notes on the inception date was $25. On subsequent days prior to the final valuation period, it equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. The closing indicative value will never be less than zero.
The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times negative three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate.
The daily investor fee is an annualized amount equal to 1.5% of the closing indicative value on the preceding day.
The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.08%.
The company can accelerate the notes if their intraday indicative value is ever less than 25% of the prior day’s closing indicative value.
The notes will be listed on the NYSE Arca under the ticker symbol “DWT.”
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | VelocityShares 3x Inverse Crude Oil ETN
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| Underlying index: | S&P GSCI Crude Oil Index Excess Return
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| Amount: | $400 million
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| Maturity: | Dec. 15, 2031
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| Coupon: | 0%
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| Prices: | Par for initial $20 million
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| Payout at maturity: | Closing indicative value of the notes on the final valuation date; final valuation period is the period of five trading days beginning Dec. 4, 2031
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| Closing indicative value: | $25 at inception; on subsequent days, (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee; closing indicative value will never be less than zero
|
| Daily ETN performance: | (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times negative three; daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate
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| Daily investor fee: | Annualized amount equal to 1.5% of the closing indicative value on the preceding day
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| Put option: | Subject to minimum of 25,000 notes and 0.08% early redemption charge
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| Acceleration: | If intraday indicative value of notes on any day is less than 25% of prior day’s closing indicative value
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| Inception date: | Dec. 8
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| Settlement date: | Dec. 13 for $20 million
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | None
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| Listing: | NYSE Arca: DWT
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| Cusip: | 17325E309
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