Press Release

VelocityShares® Launches Suite of Ten Currency‐Related ETNs Linked to 4x Leveraged Long Currency Indices

Company Release - 12/12/2017 7:00 AM ET

DARIEN, Conn., Dec. 12, 2017 (GLOBE NEWSWIRE) -- VelocityShares, a Janus Henderson Group plc (NYSE:JHG) (ASX:JHG) brand that creates exchange traded products for institutional investors, announces the launch of a suite of ten series of currency-related exchange traded notes (ETNs), to be traded on the NYSE Arca exchange. Each series of the VelocityShares currency ETNs is linked to a Velocity Shares Daily 4X leveraged long currency index. The ETNs are designed to offer 4 times leveraged exposure, reset daily, to changes in the exchange rate between the US Dollar and any one of the following five currencies: Japanese Yen (JPY), Euro (EUR), British Pound (GBP), Swiss Franc (CHF) and Australian Dollar (AUD). Five of the ETNs offer long exposure to the US Dollar versus a foreign currency, and five offer long exposure to a foreign currency versus the US Dollar. The ETNs are issued by Citigroup Global Markets Holdings Inc. and guaranteed by Citigroup Inc.

VelocityShares Logo
VelocityShares


NameETN TickerIndex Ticker
VelocityShares Daily 4x Long USD vs JPYDJPYDJPYID
VelocityShares Daily 4x Long USD vs EURDEURDEURID
VelocityShares Daily 4x Long USD vs GBPDGBPDGBPID
VelocityShares Daily 4x Long USD vs CHFDCHFDCHFID
VelocityShares Daily 4x Long USD vs AUDDAUDDAUDID
VelocityShares Daily  4x Long JPY vs USDUJPYUJPYID
VelocityShares Daily  4x Long EUR vs USDUEURUEURID
VelocityShares Daily  4x Long GBP vs USDUGBPUGBPID
VelocityShares Daily  4x Long CHF vs USDUCHFUCHFID
VelocityShares Daily  4x Long AUD vs USDUAUDUAUDID

The new ETNs are in response to demand for instruments to express views in the foreign exchange markets. The family complements the 23 existing ETNs that VelocityShares has brought to market, and is intended to provide sophisticated investors a means of managing their currency exposures and expressing market views.

“This launch further demonstrates our dedication to developing sophisticated exchange traded products for institutional investors,” said Nick Cherney, Senior Vice President, Head of Exchange Traded Products for Janus Henderson.

Exchange traded notes are senior, unsecured debt securities issued by financial institutions that provide knowledgeable investors with sophisticated tools for executing their trading strategies. There are restrictions on the minimum number of ETNs investors may redeem pursuant to the ETNs’ early redemption right. There may not be an active trading market in ETNs. The ETNs are subject to significant risks, as described in the pricing supplement for the ETNs (available at the hyperlink below).  

About Janus Henderson

Janus Henderson is a leading global active asset manager dedicated to helping investors achieve long-term financial goals through a broad range of investment solutions, including equities, quantitative equities, fixed income, multi-asset and alternative asset class strategies.

As of 30 September 2017, Janus Henderson had approximately US$361 billion in assets under management, more than 2,000 employees and offices in 27 cities worldwide. Headquartered in London, the company is listed on the New York Stock Exchange (NYSE) and the Australian Securities Exchange (ASX).

Through its VelocityShares brand, Janus Henderson designs exchange-traded, algorithmic products for institutional investors.

An investment in the ETNs involves significant risks. Please read the more detailed explanation of risks relating to an investment in the ETNs in “Risk Factors” in the applicable pricing supplement (available at the hyperlink below).

The ETNs are complex securities and are not suitable for all investors. The ETNs are not intended to be “buy and hold” investments. The ETNs are intended to be daily trading tools for sophisticated investors and are not intended to be held to maturity. Each ETN is designed to achieve its stated investment objective on a daily basis, and its performance over longer periods of time can differ significantly from its stated daily objective. The ETNs are riskier than securities that have intermediate- or long-term investment objectives, and may not be suitable for investors who plan to hold them for a period longer than one day. Any decision to invest in the ETNs should be made with extreme caution. Any decision to hold the ETNs for more than one day should be made with great care and only as the result of a series of daily (or more frequent) investment decisions to remain invested in the ETNs for the next one-day period. Accordingly, the ETNs should be purchased only by sophisticated investors who understand and can bear the potential risks and consequences of a highly leveraged short-term investment based on currency exchange rates and that will be subject to the effects of decay, the forward points adjustment and bid-ask spreads, may be highly volatile and may experience significant losses, up to the entire amount invested, in a short period of time. Investors should actively and frequently monitor their investments in the ETNs, even intraday.

As explained in “Risk Factors Relating to the ETNs” in the pricing supplement for the ETNs, because of the nature of daily compounding leveraged instruments such as the ETNs, the amount payable at maturity or upon earlier redemption or acceleration of the ETNs is likely to be significantly less than the stated principal amount of the ETNs. In almost any potential scenario, the long-term performance of each series of ETNs is likely to be negative, regardless of the performance of the underlying currency pair. Investors are not expected to hold the ETNs from inception to maturity. It is possible that the ETNs will incur significant losses even if the long-term performance of the applicable long currency relative to the applicable reference currency is positive.

The ETNs are senior unsecured debt securities issued by Citigroup Global Markets Holdings Inc., guaranteed by Citigroup Inc. The ETNs are riskier than ordinary unsecured debt securities and provide no stated return of principal upon maturity. Any payment on the ETNs is subject to the ability of Citigroup Global Markets Holdings Inc. and Citigroup Inc. to satisfy their respective obligations as they become due.

The return on each series of ETNs is linked to the performance of an index. Investing in the ETNs is not equivalent to investing directly in index components or the applicable index itself. Because the ETNs are linked to the daily performance of the applicable underlying index and each underlying index includes leveraged exposure to an underlying exchange rate, changes in the underlying spot exchange rate for the applicable index will have a greater likelihood of causing such ETNs to be worth zero than if such ETNs were not linked to a leveraged index. An investor will have 4x leverage only if the ETNs are purchased at the most recent fixing indicative value; ETNs purchased for more or less than the most recent fixing indicative value will have effective leverage on that day that is less or more, respectively, than 4x.

The performance of the ETNs will depend not only on changes in the underlying exchange rate, but also on the difference in the overnight interest rates of the underlying currencies and on bid-ask spreads. If the overnight interest rate of the long currency is lower than the overnight interest rate of the reference currency, the forward points adjustment will place a drag on the level of the applicable index. In addition, bid-ask spreads in the market for the underlying currencies will in all cases negatively affect index performance.
  
The ETNs include restrictions on the minimum number of ETNs that can be redeemed, and the dates they can be redeemed, are subject to an early redemption charge, do not guarantee any return of principal at maturity and do not pay any interest during their term.

The daily resetting of each index’s leveraged exposure to the applicable exchange rate is likely to cause each ETN to experience a “decay” effect, which is likely to worsen over time and will be greater the more volatile the applicable exchange rate. The “decay” effect refers to a likely tendency of the ETNs to lose value over time independent of the performance of the applicable long currency relative to the applicable reference currency. Accordingly, the ETNs are not suitable for intermediate- or long-term investment, as any intermediate- or long-term investment is very likely to sustain significant losses, even if the applicable long currency appreciates over the relevant time period. Although the decay effect is more likely to manifest itself the longer the ETNs are held, the decay effect can have a significant impact on ETN performance even over a period as short as two days.

The ETNs do not provide any stated return of principal at maturity and will not pay any distributions or periodic interest during their term. The ETNs are not suitable for investors seeking these product features.

The term of the ETNs is 15 years. The ETN issuer has the right to accelerate all outstanding ETNs at any time as described in the pricing supplement for the ETNs. In addition, the ETNs will be subject to automatic acceleration, as described in the pricing supplement. If the ETNs are automatically accelerated, investors are likely to suffer a significant loss.

The ETNs are subject to a daily investor fee accruing at a rate of 1.50% per annum. In addition, ETNs purchased from Citigroup Global Markets Inc., the agent for the offering of the ETNs, will be subject to a creation fee and any ETNs redeemed at the option of the holder will be subject to an early redemption fee. Such fees, charges and transaction costs may materially increase the costs of investing in the ETNs. Please see the pricing supplement for the ETNs for additional detail regarding fees and charges relating to the ETNs.

The ETNs are subject to currency exchange risk. These risks can be expected to heighten in periods of financial turmoil and can be affected by actions of sovereign governments, among myriad other factors. Although the underlying currencies are traded 24 hours a day, the ETNs will trade only during regular trading hours on the NYSE Arca. Significant exchange rate movements may take place in the underlying foreign exchange market at times when the NYSE Arca is closed, and therefore investors may incur significant losses before you have the opportunity to sell the ETNs. In addition, currency exchange rates are determined in a manner that is less transparent and more susceptible to distortion and manipulation than the market prices of other assets, such as stocks.

There may not be an active trading market in ETNs; sales in the secondary market may result in significant losses. The issuer is not obligated to maintain the listing of the ETNs on any exchange and may delist the ETNs from any exchange for any reason at any time. Any such delisting may adversely affect the liquidity and trading price of the ETNs.

The issuer is not obligated to issue any particular amount of the ETNs and may suspend further issuances at any time. If the issuer suspends further issuances of the ETNs, it is possible that the ETNs could begin to trade at a premium to the indicative value. Any premium that develops may be reduced or eliminated at any time, including as a result of an announcement that the issuer will restart issuances or an announcement that the issuer will exercise its right to accelerate the ETNs for an amount based on the indicative value. Paying a premium purchase price over the indicative value of the ETNs could lead to significant losses in the event the investor sells the ETNs at a time when such premium is no longer present in the marketplace or the ETNs are accelerated at the issuer’s option.

Brokerage commissions will apply to purchases and sales of the ETNs in the secondary market. The sale, redemption or maturity of the ETNs will generate tax consequences.  The trading prices of the ETNs will reflect changes in their intrinsic value as well as market supply and demand, among other factors. The trading prices of the ETNs may also be influenced by changes in the creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc.

All payments on the ETNs are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. You may not receive any payment due under the ETNs if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations.

The ETNs are not deposits or savings accounts, but are unsecured debt obligations of Citigroup Global Markets Holdings Inc. guaranteed by Citigroup Inc. The ETNs are not insured or guaranteed by the Federal Deposit Insurance Corporation or by any other governmental agency or instrumentality.

INVESTMENT PRODUCTS:  NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Securities are offered through Citigroup Global Markets Inc. (“CGMI”), member SIPC. CGMI and Citibank, N.A. are affiliated companies under the common control of Citigroup Inc.  CITI, CITI and Arc Design, and CITIGROUP are trademarks and service marks of Citigroup and are used and registered throughout the world.

Janus Index & Calculation Services LLC (“Janus Index”)  is the licensor of certain trademarks, service marks and trade names of Janus Henderson Investors and of certain Indices, which are determined, composed and calculated by Janus Index without regard to the issuer of any securities which may be linked to such indices. Neither Janus Henderson, Janus Index nor any other party guarantees the accuracy and/or the completeness of the indices or any data included therein.

Janus Henderson Distributors provides certain services relating to the placement and marketing of the ETNs. Janus Henderson and the Issuer are not affiliated.

Janus Henderson, Janus and VelocityShares are trademarks or registered trademarks of Janus Henderson Investors. © Janus Henderson Investors. The name Janus Henderson Investors includes HGI Group Limited, Henderson Global Investors (Brand Management) Sarl and Janus International Holding LLC.

Citigroup Global Markets Holdings Inc. and Citigroup Inc. have filed a registration statement (including a pricing supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission, or SEC, for the offerings of ETNs. Before you invest, you should read the pricing supplement, accompanying prospectus supplement and prospectus and the documents incorporated by reference into the registration statement to understand fully the terms of the ETNs and other considerations that are important in making a decision about investing in the ETNs. The pricing supplement for the ETNs may be obtained by clicking here: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm. These documents are also available without cost by visiting EDGAR on the SEC website at www.sec.gov or by calling toll-free 877.5.VELOCITY (877.583.5624).

C-1117-13754 11-30-18

Source: Janus Henderson Group plc; VelocityShares