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.
Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.
Guarantor: All payments on the C-Tracks are fully and unconditionally guaranteed by Citigroup Inc.
Maturity Date: July 13, 2026, unless earlier redeemed
Closing Indicative Value: For any calendar day, (i) the C-Tracks current value on that day, plus (ii) the accrued distribution amount on that day, minus (iii) 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.
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. The closing indicative value on the final valuation period end date will be adjusted down by any final coupon amount otherwise due at maturity.
Coupon Amounts: The coupon amount will equal the accrued distribution amount, which is based on the ordinary cash distributions that a hypothetical holder of Index constituents would have been entitled to receive in respect of the Index constituents during the relevant period, reduced by the accrued investor fee.
Coupon Determination Dates: Calculation of coupon amounts will occur on the 4th day of each January, April, July and October, beginning October 4, 2016 and ending on the final valuation period end date or issuer redemption period end date, as applicable, subject to postponement for non-business days and, in the case of the coupon determination date that is on the final valuation period end date or issuer redemption period end date, as applicable, non-observation days.
Coupon Payment Dates: For any coupon determination date, the fifth business day after such date, except that the coupon payment date for the final valuation period end date or the issuer redemption valuation period end date, as applicable, will be the maturity date or the redemption date, as applicable.
Coupon Record Dates: Each coupon payment will be made to the holders of record of the C-Tracks as of the business day immediately prior to the coupon payment date, except that any final coupon payment for the maturity date or, in the event of a redemption at our option, the redemption date, will be payable to persons who receive the payment of the closing indicative value at maturity or early redemption at our option, as applicable.
Coupon Ex-Dates: For any coupon record date other than the final valuation period end date or issuer redemption period end date, as applicable, the second scheduled trading day immediately preceding that coupon record date.
Coupon Distribution Adjustment Amount: For any calendar day that is not a coupon ex-date: $0.00. For any calendar day that is a coupon ex-date: the accrued distribution amount as of the close of the immediately preceding coupon determination date.
Coupon Fee Adjustment Amount: For any calendar day that is not a coupon ex-date: $0.00. For any calendar day that is a coupon ex-date: (i) if the coupon amount as calculated on the most recent coupon determination date is greater than zero, the accrued investor fee as of the immediately preceding coupon determination date and (ii) if the coupon amount in respect of such coupon ex-date is zero, the coupon distribution adjustment amount as of that coupon ex-date.
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) 0.85% multiplied by (b) the closing indicative value on the immediately preceding calendar day divided by 365, minus (iii) the coupon fee adjustment amount on the current calendar day. If the C-Tracks undergo any subsequent 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.
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.
Early Redemption at Your Option: Subject to the notification and minimum redemption requirements set forth herein, 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 January 1, 2017, 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. The closing indicative value on the issuer redemption valuation period end date will be adjusted down by any final coupon amount otherwise due on the applicable redemption 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.
Index Distribution: For each calendar day, the sum of the products of (i) the value of ordinary cash distributions of each of the Index constituents, net of any dividend withholding tax, that a hypothetical holder of one unit of each Index constituent on such calendar day would have been entitled to receive in respect of that Index constituent for those ordinary cash distributions whose “ex-dividend” date occurs on such calendar day and (ii) the number of units represented by each Index constituent’s applicable weight in the Index. Any special distributions of an Index constituent will not be included in the index distribution and will instead be reinvested in that Index constituent.
Index Factor: Initially equal to the closing level of the Index on the inception date divided by $25.00, which we refer to as the “initial index factor.” The index factor will be reset on each coupon determination date and will equal the greater of (i) the initial index factor and (ii) the closing level of the Index divided by the closing indicative value, each calculated as of that coupon determination date. If the C-Tracks undergo any subsequent split or reverse split, the index factor will be adjusted accordingly.
Final Valuation Period: The consecutive observation day period commencing on, and including, the final valuation period start date (July 1, 2026) and ending on, and including, the final valuation period end date (July 6, 2026).
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.