Citigroup plans VelocityShares ETNs linked to Short Libor index

By Marisa Wong

Morgantown, W.Va., June 20 – Citigroup Global Markets Holdings Inc. plans to price VelocityShares Short Libor exchange-traded notes due 2032 linked to the Janus Velocity Short Libor index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The Short Libor index aims to approximate the daily performance of a hypothetical short investment in the composite forward Libor, as if the composite forward Libor itself were an asset that could be invested in. The index tracks the return on a hypothetical long position in eurodollar futures contracts, where that position is recalibrated daily to result in a return over the next day that approximates the inverse of the percentage change in the composite forward Libor over that next day, subject to the short Libor floor. If the composite forward Libor is less than the short Libor floor of 2.5% on any day, the index will aim to approximate only a portion of the inverse of the percentage change in the composite forward Libor over the next day.

The payout at maturity will equal the closing indicative value of the ETNs on the final valuation date.

The closing indicative value of the notes on the inception date was $25.00. 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. 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 50,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.2%.

The company can accelerate the notes if their intraday indicative value is ever less than 50% of the prior day’s closing indicative value.

The issuer plans to list the ETNs on the NYSE Arca under the ticker symbol “DLBR.”

Citigroup Global Markets Inc. is the agent.

The Cusip number is 17325K529.

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