Description
 
The C-Tracks Exchange-Traded Notes – Miller/Howard Strategic Dividend Reinvestor Due September 16, 2024, which we refer to as the “C-Tracks,” are unsecured senior debt securities issued by Citigroup Inc. The C-Tracks are designed for investors who seek exposure to the performance of the Miller/Howard Strategic Dividend Index Total Return (the “Index”), reduced by an accrued investor fee.

The Index is designed to track the performance of 30 equally weighted stocks traded on U.S. exchanges that are selected quarterly pursuant to rules based upon certain 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 Index sponsor is Miller/Howard Strategic Indexes, LLC. Cash dividends paid by the Index constituents are notionally reinvested in the Index.

We announced on June 15, 2015 that we do not intend to issue any additional C-Tracks. However, our affiliate Citigroup Global Markets Inc. (“CGMI”) may continue to sell any C-Tracks that it now holds or in the future may acquire. These include C-Tracks issued by us prior to June 15, 2015 and not yet sold to the public as of that date as well as C-Tracks previously issued by us that CGMI may repurchase from the public from time to time. The market value of the C-Tracks may be influenced by, among other things, supply and demand for the C-Tracks.  It is possible that the discontinuance of further issuances of the C-Tracks by us may influence the market value of the C-Tracks. Due to market supply and demand, the price of the C-Tracks may trade at a premium above their closing or intraday indicative value. Any such premium may subsequently decrease at any time and for any reason, resulting in financial loss to sellers who paid this premium. Investors should always consult their financial advisors before purchasing or selling the C-Tracks, especially C-Tracks with premium characteristics.  Our discontinuance of further issuances of C-Tracks does not affect the terms of the outstanding C-Tracks, including the right of investors to require us to redeem the C-Tracks on the terms, and subject to the limitations, described in the pricing supplement, and our right to redeem the C-Tracks at a price based on their closing indicative value in the circumstances and at the times described in the pricing supplement. See “Risk Factors Relating to the C-Tracks—Risks Relating to the C-Tracks Generally—There is a significant risk that we will exercise our right to redeem outstanding C-Tracks prior to January 1, 2020” in the pricing supplement.  

This website does not contain all of the information required to make a decision to invest in the C-Tracks. Prior to investing in the C-Tracks, investors must carefully review the pricing supplement for the C-Tracks, which is accessible via the link on the right.
 
Daily Index Closing Level (MHDT)
Key Risks

The C-Tracks have complex features and are not suitable for all investors. We have highlighted below some key risks of the C-Tracks and the Index. They are not all the risks. You should read the section entitled “Risk Factors Relating to the C-Tracks” in the pricing supplement, which is accessible via the link on the right, for a more detailed discussion of risks. Certain terms and concepts referred to below are defined and explained more fully in the pricing supplement.

 

Risks Relating to the C-Tracks Generally

 

  • You may lose some or all of your investment in the C-Tracks. Unlike conventional debt securities, the C-Tracks do not provide for the repayment of a fixed amount of principal at maturity. Instead, your payment at maturity or earlier redemption will depend on the closing indicative value of the C-Tracks on the applicable valuation date, which in turn will depend on the performance of the Index minus an accrued investor fee. You should not invest in the C-Tracks if you are unable or unwilling to the bear the risk of losing a significant portion or all of your investment in the C-Tracks.
  • The C-Tracks do not provide for interest payments.
  • The C-Tracks are not suitable for all investors. The C-Tracks are not a suitable investment for you if: you are not willing to be exposed to the potential for significant daily fluctuations in the level of the Index and value of the C-Tracks; you are not willing to be exposed to the potential for a significant decline in the level of the Index and value of the C-Tracks over time; you are not willing to accept the risk that, beginning September 16, 2015, we may redeem the C-Tracks prior to maturity; you seek interest payments; you seek a guaranteed return of principal; you seek the assurance of a liquid market for the C-Tracks; you seek exposure to the broader U.S. equity market as a whole, rather than the 30 Index constituents in particular; you believe the Index will perform adversely or insufficiently beneficially to offset the impact of the accrued investor fee during the term of the C-Tracks; you prefer the lower risk and more predictable returns of fixed income investments with comparable maturities and credit ratings; or you are unwilling to accept exposure to the credit risk of Citigroup Inc.
  • The C-Tracks are subject to the credit risk of Citigroup Inc. If Citigroup Inc. defaults on its obligations under the C-Tracks, you could lose some or all of your investment. In addition, any decline in Citigroup Inc.’s actual or perceived creditworthiness is likely to adversely affect the value of the C-Tracks.
  • Even if the level of the Index on the applicable valuation date is greater than it was at the time of your investment, you may receive less than the amount of your investment because of the accrued investor fee. The accrued investor fee reduces the closing indicative value of the C-Tracks on a daily basis.
  • To submit your C-Tracks for redemption at your option, you must make the request with respect to at least 50,000 C-Tracks. If you own fewer than 50,000 C-Tracks, you will not be able to submit them for redemption and will instead have to sell them in the secondary market. There can be no assurance that an active secondary market will exist at any time. If you are able to sell your C-Tracks in the secondary market, we can give you no assurance that the C-Tracks will not trade at a discount from the value an investor would have received upon optional early redemption.
  • You will not know the repurchase amount you will receive at the time you elect to request that we repurchase your C-Tracks. The repurchase amount will be determined on the business day after your repurchase notice is effective.
  • The C-Tracks are subject to our redemption right. The term of the C-Tracks may be limited by our right to redeem the C-Tracks at our option, in whole and not in part, on any business day beginning September 16, 2015.
  • The intraday indicative value and the closing indicative value are not the same as the closing price or any other trading price of the C-Tracks in the secondary market. The trading price of the C-Tracks at any time is the price at which you may be able to sell your C- Tracks in the secondary market at such time, if one exists. The trading price of the C-Tracks at any time may vary significantly from the intraday indicative value of the C-Tracks at such time. Paying a premium purchase price over the intraday indicative value of the C-Tracks could lead to significant losses in the event the investor sells such C-Tracks at a time when such premium is no longer present in the marketplace or such C-Tracks are redeemed (including at our option).
  • The market value of the C-Tracks may be influenced by many unpredictable factors. The market value of the C-Tracks may fluctuate significantly between the date you purchase them and the applicable valuation date.
  • There may not be an active trading market in the C-Tracks; sales in the secondary market may result in significant losses. Although the C-Tracks have been listed on NYSE Arca, no assurance can be given that a secondary market will exist or that it will provide significant liquidity. If there is insufficient liquidity in the secondary market, the price at which you would be able to sell your C-Tracks would likely be lower than if an active market existed. The liquidity of the market for the C-Tracks may vary materially over time.
  • We do not intend to issue any additional C-Tracks, which may cause distortions to arise in the market for the C-Tracks. On June 15, 2015, we announced that we do not intend to issue any additional C-Tracks. It is possible that, as a result of our discontinuance of further issuances of the C-Tracks, an imbalance between supply and demand for the C-Tracks may arise, which could give rise to distortions in the market for the C-Tracks. These distortions could lead to the market price of the C-Tracks differing, perhaps significantly, from the intraday indicative value and closing indicative value of the C-Tracks. If this circumstance occurs, the C-Tracks could become highly volatile and subject to rapid and significant decreases in price, independently of the performance of the Index. For example, due to market supply and demand, the price of the C- Tracks may trade at a premium above their intraday indicative value and closing indicative value. Any such premium may subsequently decrease at any time and for any reason, resulting in financial loss to sellers who paid this premium. Investors should always consult their financial advisors before purchasing or selling the C-Tracks, especially C-Tracks with premium characteristics.
  • Our offering of the C-Tracks does not constitute a recommendation of the Index or its constituents. Our offering of the C-Tracks does not mean that we believe that investing in an instrument linked to the Index is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in or related to the Index constituents, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the Index. These and other activities of our affiliates may adversely affect the prices of the Index constituents and the value of the C-Tracks.
  • The level of the Index may be affected by our or our affiliates’ hedging and other trading activities. We hedge our obligations under the C-Tracks through our affiliates, who take positions in the Index constituents and/or other financial instruments related to those constituents. Our affiliates also trade the Index constituents and other financial instruments related to the Index constituents as part of their regular business activities. These activities could adversely affect the prices of the Index constituents and the value of the C-Tracks.
  • We and our affiliates may have economic interests that are adverse to those of the holders of the C-Tracks as a result of our affiliates’ business activities. Our affiliates may from time to time engage in business with the Index constituents. In the course of this business, we or our affiliates may acquire non-public information about the Index constituents, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of an Index constituent, they may exercise any remedies against the Index constituent that are available to them without regard to your interests.
  • There are potential conflicts of interest between you and the C-Tracks calculation agent. As calculation agent for the C-Tracks, Citigroup Global Markets Inc. will, among other things, decide the amount to be paid to you on the C-Tracks at maturity or upon redemption. If the Index sponsor or Index calculation agent were to discontinue or suspend calculation or publication of the Index, or if the level of the Index is not available or cannot be calculated because of a market disruption event, or for any other reason, the C-Tracks calculation agent may be required to make a good faith estimate in its sole discretion of the level of the Index. In addition, the C-Tracks calculation agent may have to determine whether to postpone a valuation date as a result of a market disruption event. Since these determinations by the C-Tracks calculation agent may affect the market value of the C-Tracks, the C-Tracks calculation agent may have a conflict of interest if it needs to make any such decision.
  • At maturity or upon earlier redemption at our option, you may receive less cash than expected because the closing level of the Index may fluctuate or decline after the start of the final valuation period or issuer redemption valuation period, as applicable, but before we settle our obligations.
  • Your payment at maturity or upon earlier redemption at our option is based upon a declining exposure to the Index over a number of observation days.
  • The U.S. federal tax consequences of an investment in the C-Tracks are uncertain. There is no direct legal authority regarding the proper U.S. federal tax treatment of the C-Tracks, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the C-Tracks are uncertain, and the IRS or a court might not agree with the treatment of the C-Tracks as prepaid forward contracts. If the IRS were successful in asserting an alternative treatment for the C-Tracks, the tax consequences of ownership and disposition of the C-Tracks might be materially and adversely affected. Moreover, even if the C-Tracks are treated as prepaid forward contracts, certain possible taxable events could cause a holder to recognize gain on a C-Track prior to maturity or earlier disposition. In 2007, the U.S. Treasury Department (“Treasury”) and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments, which may include the C-Tracks. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the C-Tracks, possibly with retroactive effect. You should review carefully the section of the pricing supplement accessible via the link on the right entitled “United States Federal Tax Considerations.” You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the C-Tracks, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

     

  • Non-U.S. Holders may be subject to withholding tax under Section 871(m) in respect of the C-Tracks. Section 871(m) of the Internal Revenue Code of 1986 (the “Code”) requires withholding in respect of “dividend equivalents” paid or deemed paid to non-U.S. persons with respect to certain financial instruments. Regulations applying these rules to “equity linked instruments” are generally effective for instruments issued on or after January 1, 2017. However, under a recent IRS notice, the C-Tracks will not be subject to withholding under Section 871(m) until January 1, 2020. There are uncertainties regarding the application of these rules, particularly in the context of an exchange-traded instrument such as a C-Track.

    Even if your C-Tracks were issued prior to 2017, withholding agents may not distinguish between C-Tracks issued prior to 2017 and those issued thereafter, and as a result your C-Tracks may be treated as subject to withholding under Section 871(m). Moreover, if the IRS were to assert that a C-Track is deemed to be terminated and reissued for U.S. federal income tax purposes, the C-Track might lose its “grandfathered” status under Section 871(m) and therefore be subject to withholding beginning in 2018. In either case, the consequences under Section 871(m) may be unclear and are likely to be adverse. We will not be required to pay any additional amounts in respect of any withholding taxes. You should consult your tax adviser about the possible application of Section 871(m) in your circumstances.

  • There is a significant risk that we will exercise our right to redeem outstanding C-Tracks prior to January 1, 2020. Under the Section 871(m) regulations, as modified by an IRS notice, withholding is generally expected to apply to C-Tracks held by Non-U.S. Holders beginning in 2020. There are uncertainties about the application of these rules, particularly in the context of an exchange-traded instrument such as a C-Track. Accordingly, we may exercise our right to redeem the outstanding C-Tracks prior to January 1, 2020. If we exercise our right to redeem the outstanding C-Tracks prior to January 1, 2020, you will be subject to the consequences described above under “—The C-Tracks are subject to our redemption right.”

    Any determination to exercise our right to redeem the C-Tracks, or to take any other action or refrain from taking any action in connection with the matters described in this risk factor, will be made by us in our sole discretion. We are not obligated to take your interests into account in making any such determination, and any determination we make may have adverse consequences for you.

    Risk Factors Relating to the Index

  • The Index methodology may not be successful in selecting stocks that have favorable future performance. In fact, the efficient market hypothesis is a well-known theory in academic financial literature that states it is impossible to choose investments that outperform the market, because the market is efficient and current asset prices reflect all available relevant information. If true, the efficient market hypothesis implies that the fundamental factors used by the Index methodology should not be accurate predictors of a stock’s future performance and the Index may perform no better than a random allocation among all eligible stocks.
  • The Index is subject to risks associated with dividend-paying stocks. The Index is composed of dividend-paying stocks with above-average dividend yields. Companies that pay above-average dividends may have less growth potential than companies that reinvest profits in their businesses rather than pay dividends and may lag the performance of the broader U.S. equity markets, particularly in bull markets. Dividend-paying stocks are also subject to interest rate risk. If interest rates rise, interest-bearing investments such as bonds may become more attractive relative to dividend-paying stocks, which may lead investors to sell dividend-paying stocks in order to buy bonds instead, causing the market price of dividend-paying stocks to fall. In addition, dividend-paying stocks are subject to risks that affect the U.S. equity markets broadly. In economic downturns, dividend-paying stocks may be especially hard hit, as the failure to pay dividends may exacerbate the stock price decline that resulted from the general market downturn.
  • Even if the Index methodology successfully identifies stocks that will have favorable future performance, the quarterly rebalancing of the Index will limit the Index’s potential exposure to that performance. The Index methodology is premised on the notion that stocks with relatively low market valuations, based on the measures relied upon by the Index, are undervalued by the market and will appreciate in price once the market recognizes their true value. That may not happen, however, as discussed in the next risk factor. Moreover, even if it does happen for any given Index constituent, it may not happen within the three-month period of time in which the Index will have exposure to that Index constituent.
  • The Index methodology attempts to select stocks with relatively low market valuations, and those stocks may have heightened risks. Stocks with relatively low market valuations may have relatively low valuations because of heightened risks facing those companies, which are not captured in the measures of book value and return on invested capital used by the Index. If the market is efficient, relatively low market valuations should not be the result of mispricing by the market, but rather should reflect the market’s assessment of stocks’ true value, taking into account all available information. Accordingly, the Index may not select stocks that are undervalued because of market mispricing, but rather stocks that have low market valuations because of heightened risks, which may result in adverse Index performance.
  • The measures of the fundamental factors used to select the Index constituents may be subject to distortions and errors and may fail to measure what they seek to measure. For example, estimated return on invested capital and expected growth of dividend yield are based on estimates of future earnings and dividends, respectively. Because these measures are based on analyst expectations about the future, they may be wrong for a variety of reasons, including the reason that it is impossible for anyone to predict the future. In addition, there can be no assurance that the analyst estimates utilized by the Index methodology will be accurate predictors of the future or accurate representations of analysts’ views generally. Moreover, measures such as book value and earnings are based on accounting concepts and may be influenced by many factors that may cause them to fail to be reliable indicators of the true value or profitability of a company.
  • The Index is subject to time lags and may fail to take into account the most recent information or allocate exposure to the Index constituents in a timely manner. The Index observes the fundamental factors and re-allocates exposure to Index constituents only once per quarter. During the course of any given quarter, the information that was the basis for selecting the Index constituents for that quarter may change. Furthermore, at the time of a quarterly selection, several of the fundamental factors may be based on outdated information. In addition, the trailing 26-week stock price momentum of stocks may show a favorable 26-week return even if more recent performance would show a downward trend.
  • The selection of Index constituents is highly dependent on the order in which the fundamental factors are applied and the number of eligible constituents filtered out at each stage of the selection process. The various fundamental factors used by the Index to select Index constituents do not all influence the selection of the Index constituents equally. The influence of each factor depends, in a complex way, both on the order in which it is applied and on the number of eligible constituents that it is used to filter out. There is no guarantee that the Index constituents will be selected in a way that leads to favorable Index performance.
  • There may be significant daily fluctuations in the level of the Index, which will affect the value of the C-Tracks. It is possible that the actual performance of the Index will be highly volatile in the future, with the potential for significant fluctuations in the daily performance of the Index. Accordingly, the C-Tracks are not designed for investors who are not willing to be exposed to potential significant fluctuations in the level of the Index and, therefore, in the value of their C-Tracks.
  • The Index has limited historical information. The Index launched on July 2, 2014. Because the Index is of recent origin with limited performance history, an investment linked to the Index may involve a greater risk than an investment linked to an index with an established record of performance. A longer history of actual performance may have provided more reliable information on which to assess the validity of the Index’s investment methodology.
  • The Index differs fundamentally from other widely used benchmarks of U.S. equity market performance and may not be representative of the performance of the U.S. equity markets in general. Although the Index is composed of stocks that may also commonly be included in certain other widely used benchmarks of U.S. equity market performance, the Index is fundamentally different from other benchmark indices because of the manner in which it selects its constituent stocks. At any given time the Index will be composed of only 30 stocks and the broader U.S. equity markets contains many more stocks. Other benchmark indices may provide better indications of the performance of the U.S. equity markets in general, and the performance of the Index may be less favorable than the performance of those other benchmark indices.
  • The Index sponsor and the Index calculation agent may exercise their judgment in the calculation of the Index and they may adjust the Index in a way that negatively affects the level of the Index, and neither has any obligation to consider your interests.
  • You have no ownership interests in any of the stocks included in the Index or rights to receive any dividends on, or shares of, the Index constituents.
  • The Index calculation agent may, in its sole discretion, discontinue the public disclosure of the intraday levels of the Index and the closing level of the Index. In that event, we may not be able to maintain the listing of the C-Tracks on the relevant securities exchange, which could materially and adversely affect the liquidity of the market for the C-Tracks and result in significant losses if you sell your C-Tracks in the secondary market.
Key Terms

We have highlighted below some key terms of the C-Tracks and the Index. They are not all the key terms. You should read the section entitled “Description of the C-Tracks” in the pricing supplement, which is accessible via the above link, for a more detailed description of the C-Tracks.

 

Closing Indicative Value: For any calendar day, (i) the C-Tracks current value on that day minus (ii) the accrued investor fee on that day. The closing indicative value is not the closing price or any other trading price of the C-Tracks in the secondary market, and the trading price of the C-Tracks at any time may vary significantly from this value.

 

C-Tracks Current Value: Set to $25.00 on the inception date.

 

·         For each calendar day thereafter prior to the final valuation period or the issuer redemption valuation period, as applicable, the C-Tracks current value on the immediately preceding calendar day multiplied by the daily return factor on the current calendar day.

·         For each calendar day during the final valuation period or issuer redemption valuation period, as applicable, the sum of (a) the index exposure and (b) the notional cash amount.

 

Daily Return Factor: For any calendar day, the closing level of the Index on that day, divided by the closing level of the Index on the immediately preceding calendar day. The closing level of the Index on any day that is not a trading day will be deemed to be the same as on the immediately preceding trading day and, during the final valuation period or issuer redemption valuation period, as applicable, the closing level of the Index on any trading day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

 

Accrued Investor Fee: Set to $0.00 on the inception date. For each calendar day thereafter, (i) the accrued investor fee on the immediately preceding calendar day, plus (ii)(a) 0.70% multiplied by (b) the closing indicative value on the immediately preceding calendar day divided by (c) 365. If the C-

Tracks undergo any split or reverse split, the accrued investor fee will be adjusted accordingly. Because the accrued investor fee reduces the amount of your return at maturity or upon redemption, and in addition the redemption charge reduces the amount of your return upon early redemption at your option, the level of the Index will need to increase significantly  in order for you to receive at least the amount of your initial investment at maturity or upon redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the accrued investor fee (and, in the case of early redemption at your option, the redemption charge), or if the level of the Index decreases, you will receive less than your initial investment at maturity or upon redemption.

 

Payment at Maturity: Unless earlier redeemed, for each $25.00 stated principal amount C-Track you then hold, you will receive a cash payment at maturity equal to the closing indicative value of the C- Tracks on the final valuation period end date.

 

Early Redemption at Your Option: Subject to the notification and minimum redemption requirements set forth more fully in the pricing supplement, you may submit your C-Tracks for redemption on any redemption date during the term of the C-Tracks. If you submit your C-Tracks for redemption, you will receive a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the valuation date following the business day on which we receive an investor’s notice of redemption by 4:00 pm, New York City time, minus the redemption charge of 0.10%. You must submit for redemption at least 50,000 C-Tracks at one time to exercise your redemption right on any holder redemption date.

 

Early Redemption at Our Option: Beginning Sep 16, 2015, we may call the C-Tracks for redemption, in whole and not in part on any redemption date during the term of the C-Tracks. If we redeem the C- Tracks, you will receive on the applicable redemption date a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the issuer redemption valuation period end date.

 

Redemption Charge: 0.10%, multiplied by the closing indicative value on the applicable valuation date.

 

Index Exposure: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the product of (i) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day and (ii) a fraction equal to (a) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, excluding the current observation day divided by (b) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The index exposure on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

 

Notional Cash Amount: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the sum of (i) the notional cash amount on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, $0.00) and (ii) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day divided by the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The notional cash amount on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

 

Final Valuation Period: The consecutive observation day period commencing on, and including, the final valuation period start date (Sep 6, 2024) and ending on, and including, the final valuation period end date (Sep 11, 2024).

 

Issuer Redemption Valuation Period: The consecutive observation day period commencing on, and including, the issuer redemption valuation period start date and ending on, and including, the issuer redemption valuation period end date, as specified in the issuer redemption notice.
Closing Indicative Value
Closing Indicative Value: For any calendar day, (i) the C-Tracks current value on that day minus (ii) the accrued investor fee on that day. The closing indicative value is not the closing price or any other trading price of the C-Tracks in the secondary market, and the trading price of the C-Tracks at any time may vary significantly from this value.
C-Tracks Current Value
C-Tracks Current Value: Set to $25.00 on the inception date.
  • For each calendar day thereafter prior to the final valuation period or the issuer redemption valuation period, as applicable, the C-Tracks current value on the immediately preceding calendar day multiplied by the daily return factor on the current calendar day.
  • For each calendar day during the final valuation period or issuer redemption valuation period, as applicable, the sum of (a) the index exposure and (b) the notional cash amount.
Daily Return Factor
Daily Return Factor: For any calendar day, the closing level of the Index on that day, divided by the closing level of the Index on the immediately preceding calendar day. The closing level of the Index on any day that is not a trading day will be deemed to be the same as on the immediately preceding trading day and, during the final valuation period or issuer redemption valuation period, as applicable, the closing level of the Index on any trading day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.
Accrued Investor Fee
Accrued Investor Fee: Set to $0.00 on the inception date. For each calendar day thereafter, (i) the accrued investor fee on the immediately preceding calendar day, plus (ii)(a) 0.70% multiplied by (b) the closing indicative value on the immediately preceding calendar day divided by (c) 365. If the C-Tracks undergo any split or reverse split, the accrued investor fee will be adjusted accordingly. Because the accrued investor fee reduces the amount of your return at maturity or upon redemption, and in addition the redemption charge reduces the amount of your return upon early redemption at your option, the level of the Index will need to increase significantly in order for you to receive at least the amount of your initial investment at maturity or upon redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the accrued investor fee (and, in the case of early redemption at your option, the redemption charge), or if the level of the Index decreases, you will receive less than your initial investment at maturity or upon redemption.
Payment at Maturity
Payment at Maturity: Unless earlier redeemed, for each $25.00 stated principal amount C-Track you then hold, you will receive a cash payment at maturity equal to the closing indicative value of the C-Tracks on the final valuation period end date.
Early Redemption at Your Option
Early Redemption at Your Option: Subject to the notification and minimum redemption requirements set forth more fully in the pricing supplement, you may submit your C-Tracks for redemption on any redemption date during the term of the C-Tracks. If you submit your C-Tracks for redemption, you will receive a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the valuation date following the business day on which we receive an investor’s notice of redemption by 4:00 pm, New York City time, minus the redemption charge of 0.10%. You must submit for redemption at least 50,000 C-Tracks at one time to exercise your redemption right on any holder redemption date.
Early Redemption at Our Option
Early Redemption at Our Option: Beginning Sep 16, 2015, we may call the C-Tracks for redemption, in whole and not in part on any redemption date during the term of the C-Tracks. If we redeem the C-Tracks, you will receive on the applicable redemption date a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the issuer redemption valuation period end date.
Redemption Charge
Redemption Charge: 0.10%, multiplied by the closing indicative value on the applicable valuation date.
Index Exposure
Index Exposure: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the product of (i) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day and (ii) a fraction equal to (a) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, excluding the current observation day divided by (b) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The index exposure on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.
Notional Cash Amount
Notional Cash Amount: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the sum of (i) the notional cash amount on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, $0.00) and (ii) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day divided by the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The notional cash amount on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.
Final Valuation Period
Final Valuation Period: The consecutive observation day period commencing on, and including, the final valuation period start date (Sep 6, 2024) and ending on, and including, the final valuation period end date (Sep 11, 2024).
Issuer Redemption Valuation Period
Issuer Redemption Valuation Period: The consecutive observation day period commencing on, and including, the issuer redemption valuation period start date and ending on, and including, the issuer redemption valuation period end date, as specified in the issuer redemption notice.
Daily Market Data (as of 6/22/2018)
Closing indicative value36.8500
Net change0.1000
% change0.2721
High37.01
Low36.83
Source: Bloomberg
Base Data
Stock ExchangeNYSE Arca
ETN TickerDIVC
ETN Intraday Indicative Value TickerDIVCN
Index TickerMHDT
CUSIP17322H149
Issue DateSep 16, 2014
Maturity DateSep 16, 2024
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Pricing Supplement: C-Tracks ETN Miller/Howard Strategic Dividend Reinvestor
MHDP, MHDT, DIVCN, DIVC Daily Closing Levels History
DIVCN Daily Inputs
SEC Legend
The Issuer has filed a registration statement (including a prospectus and related prospectus supplement) with the Securities and Exchange Commission ("SEC") for each of the offerings to which this communication relates. Before you invest, you should read the prospectus and related prospectus supplement in that registration statement and the other documents relating to the relevant offering that the Issuer has filed with the SEC for more complete information about the Issuer and such offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the Issuer, or any agent or dealer participating in this offering, will arrange to send you the prospectus and each prospectus supplement as well as any product supplement and term sheet if you so request by calling toll-free 1-877-858-5407.

 

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