By Marisa Wong
Morgantown, W.Va., March 20 – Citigroup Global Markets Holdings Inc. priced $750 million of 0% Citi FI Enhanced Global High Yield exchange-traded notes due March 22, 2028 linked to the MSCI World High Dividend Yield USD Gross Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by Citigroup Inc.
The index is designed to track the performance of large- and mid-cap stocks (excluding REITS) across 23 developed markets countries tracked by the MSCI World index with higher than average dividend yields that are potentially both sustainable and persistent. The index also incorporates some screening mechanisms based on specific “quality” characteristics and recent one-year price performance that seek to exclude stocks with potentially deteriorating fundamentals that may force them to cut or reduce dividends.
The ETNs offer a payout based on the 2 times leveraged performance, compounded at least quarterly, of the underlying index, less the daily investor and financing fees and any loss rebalancing fees.
The leveraged exposure to the index is reset to 2 on quarterly rebalancing days and will also be reset to 2 if a loss rebalancing event occurs. In general, a loss rebalancing event will occur if the closing level of the index on any day has fallen by more than 20% from closing level on the immediately preceding rebalancing day. Any increase in the closing level of the index following a leveraged exposure reset due to a loss rebalancing event will generally result in a smaller increase in the indicative value of the ETNs than if no loss rebalancing event had occurred.
The ETNs are very sensitive to changes in the performance of the index, and returns on the ETNs may be negatively impacted by volatility of the index on a quarterly or more frequent basis, the filing noted.
Payout terms
The payout at maturity will be the closing indicative ETN value on the final valuation date minus the settlement fee on the final valuation date.
The closing indicative ETN value was $100 on the inception date. The closing indicative ETN value on any subsequent determination date will equal (a) the closing indicative ETN value on the immediately preceding rebalancing day times the leveraged index factor on that day minus (b) the accrued fees on that date, provided that the closing indicative ETN value will never be less than zero.
The leveraged index factor on any day will equal the sum of (a) 1 plus (b) 2 times the index return.
The index return on the inception date is equal to zero. The index return on any subsequent determination date will equal (a) the index closing level on that day minus the rebalancing index level (the index closing level on the immediately preceding rebalancing day) divided by (b) the rebalancing index level.
Accrued fees on any determination date will equal the sum of (a) the accrued investor fee that day plus (b) the accrued financing fee on that day plus (c) any loss rebalancing fee on the immediately preceding rebalancing day.
The accrued investor fee is equal to the product of (a) 0.71% per year times (b) the closing indicative ETN value on the immediately preceding trading day times (c) the number of calendar days from, but excluding, the immediately preceding trading day to, and including, the current determination date divided by 360.
The accrued financing fee is the product of (a) the financing rate as of the immediately preceding rebalancing day times (b) 2 times the closing indicative ETN value on the immediately preceding rebalancing day times (c) the number of calendar days from, but excluding, the immediately preceding trading day to, and including, the current determination date divided by 360.
The financing rate is Libor plus 110 basis points.
Rebalancing
A rebalancing day is any of the following: the inception date; the first trading day on or after the first calendar day of each calendar quarter from and including April 1, 2018 to and including Jan. 1, 2028; and the first trading day after any day on which a loss rebalancing event occurs.
A loss rebalancing event occurs if (a) the closing index level on any day is less than or equal to 80% of the rebalancing index level as of that day and (b) no rebalancing day or automatic acceleration event has occurred on that day.
The loss rebalancing fee with respect to any loss rebalancing day is an amount equal to 0.05% of the rebalancing amount on that rebalancing day. The loss rebalancing fee with respect to any other determination date will be zero.
The loss rebalancing amount on any loss rebalancing day is an amount equal to the absolute value of the difference of (a) the closing indicative ETN value on that rebalancing day minus the closing indicative ETN value on the immediately preceding rebalancing day. The loss rebalancing amount will not be negative.
Early redemption
The notes are putable subject to a minimum of 12,500 notes and a settlement fee.
The settlement fee upon redemption and at maturity is 0.08% times the long index exposure on the applicable determination date.
The long index exposure on any rebalancing day is equal to 2 times the closing indicative ETN value on that rebalancing day. The long index exposure on any other determination date is equal to (a) 2 times the closing indicative ETN value on the immediately preceding rebalancing day times (b) 1 plus the index return on that day.
The issuer may call the notes in whole at any time beginning March 19, 2019. In addition, the notes will be automatically callable if the intraday index level is less than or equal to the 70% of the rebalancing index level as of that day.
The notes are listed NYSE Arca under the symbol “FGDY.”
Citigroup Global Markets Inc. is the agent.
The issuer expects to sell a portion of the notes at par on March 22; the remainder of the notes will be sold from time to time at variable prices. The issuer said there will be an initial $25 million of the ETNs outstanding as of March 22.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Citi FI Enhanced Global High Yield exchange-traded notes
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| Underlying index: | MSCI World High Dividend Yield USD Gross Total Return index
|
| Amount: | $750 million
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| Maturity: | March 22, 2028
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| Coupon: | 0%
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| Price: | Par of $100 for initial notes
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| Payout at maturity: | Closing indicative ETN value on the final valuation date minus the settlement fee on the final valuation date
|
| Closing indicative ETN value: | $100 on the inception date; on any subsequent determination date, (a) the closing indicative ETN value on the immediately preceding rebalancing day times the leveraged index factor on that day minus (b) the accrued fees on that date, provided that the closing indicative ETN value will never be less than zero
|
| Leveraged index factor: | Sum of (a) 1 plus (b) 2 times the index return
|
| Index return: | Zero on the inception date; on any subsequent determination date (a) the index closing level on that day minus the rebalancing index level (the index closing level on the immediately preceding rebalancing day) divided by (b) the rebalancing index level
|
| Accrued fees: | Sum of (a) the accrued investor fee that day plus (b) the accrued financing fee on that day plus (c) any loss rebalancing fee on the immediately preceding rebalancing day
|
| Accrued investor fee: | Product of (a) 0.71% per year times (b) the closing indicative ETN value on the immediately preceding trading day times (c) the number of calendar days from, but excluding, the immediately preceding trading day to, and including, the current determination date divided by 360
|
| Accrued financing fee: | Product of (a) the financing rate as of the immediately preceding rebalancing day times (b) 2 times the closing indicative ETN value on the immediately preceding rebalancing day times (c) the number of calendar days from, but excluding, the immediately preceding trading day to, and including, the current determination date divided by 360
|
| Financing rate: | Libor plus 110 bps
|
| Rebalancing day: | Inception date; the first trading day on or after the first calendar day of each calendar quarter from and including April 1, 2018 to and including Jan. 1, 2028; and the first trading day after any day on which a loss rebalancing event occurs
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| Loss rebalancing event: | If (a) the closing index level on any day is less than or equal to 80% of the rebalancing index level as of that day and (b) no rebalancing day or automatic acceleration event has occurred on that day
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| Loss rebalancing fee: | 0.05% of the rebalancing amount on a rebalancing day; zero with respect to any other determination date
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| Loss rebalancing amount: | Absolute value of the difference of (a) the closing indicative ETN value on that rebalancing day minus the closing indicative ETN value on the immediately preceding rebalancing day
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| Put option: | Subject to a minimum of 12,500 notes and a settlement charge of 0.08% times the long index exposure on the applicable determination date
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| Call option: | In whole at any time beginning March 19, 2019
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| Acceleration: | If the intraday index level is less than or equal to the 70% of the rebalancing index level as of that day
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| Inception date: | March 19
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| Settlement date: | March 22 for $25 million
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| Agent: | Citigroup Global Markets Inc.
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| Listing: | NYSE Arca: FGDY
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| Cusip: | 17326K395
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