Currency FAQs

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What are the VelocityShares® 4x Currency ETNs?

The VelocityShares® Daily 4x Currency Exchange Traded Notes (the “ETNs”) comprise ten separate series of ETNs issued by Citigroup Global Markets Holdings Inc. (the “Issuer”) and guaranteed by Citigroup Inc. The value of each series of ETNs is based on the daily performance of one of the VelocityShares Daily 4x Currency Indices (each, an “Index”), plus a daily accrual at the three month U.S. Treasury rate and minus a daily investor fee. Each Index is designed to provide 4 times leveraged exposure, reset daily, to changes in the exchange rate between an underlying pair of currencies consisting of the U.S. dollar and a foreign currency. Each Index provides long exposure to one currency (the “long currency”) in the underlying currency pair relative to the other currency (the “reference currency”), such that an Index will generally appreciate over a one-day period if the applicable long currency appreciates relative to the applicable reference currency and vice versa. In addition to changes in the exchange rate, the daily performance of each Index will be affected by differences in overnight interest rates between the two underlying currencies (referred to as the “forward points adjustment”) and will be reduced by bid-ask spreads in the market for the underlying currencies, as described in more detail in the pricing supplement for the ETNs.


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 Index 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.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Do the ETNs match/replicate a direct position in the relevant currencies?

No. The ETNs are unsecured debt obligations of Citigroup Global Markets Holdings Inc. guaranteed by Citigroup Inc. and do not represent an investment in the relevant underlying currencies. Investors in the ETNs do not have the right to obtain any underlying currency. Moreover, the ETNs are subject to Citigroup Global Markets Holdings Inc.’s and Citigroup Inc.’s ability to satisfy their respective obligations on the ETNs when due; if Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their respective obligations, investors may not receive anything owed to them under the ETNs. In addition, the value of the ETNs will be reduced by a daily investor fee, and the price at which investors may buy or sell the ETNs (other than in the limited circumstances in which we may be required to redeem the ETNs) will depend on the price at which buyers or sellers are willing to transact on the exchange, which will be determined by supply and demand for the ETNs.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What do the fixing indicative value and intraday indicative value of the ETNs represent?

The fixing indicative value and intraday indicative value of a given series of ETNs are intended to approximate the intrinsic economic value of one ETN of that series as of a particular point in time. Changes in the fixing indicative value of the ETNs are based on changes in the fixing index level of the applicable Index, and changes in the intraday indicative value of the ETNs are based on changes in the intraday index level of the applicable Index, in each case subject to the daily accrual and daily investor fee. The fixing indicative value, intraday indicative value, fixing index level and intraday index level are explained in more detail below.


ETN Valuation
  • Fixing indicative value The fixing indicative value for each series of ETNs is determined once on each trading day and approximates the intrinsic economic value of those ETNs based on the fixing index level of the applicable Index on that trading day. Changes in the fixing indicative value from one trading day to the next are based on changes in the fixing index level of the relevant Index over that same period, plus the daily accrual and minus the daily investor fee. For example, if the fixing index level of the applicable Index increases or decreases by 1% from one trading day to the next, the fixing indicative value of the ETNs will increase or decrease by that same percentage over that same one-day period (subject to the effects of the daily accrual and daily investor fee).
  • Intraday indicative value. The intraday indicative value for each series of ETNs is similar to the fixing indicative value, except that it is calculated every 15 seconds during a trading day and is based on the then-current intraday index level of the applicable Index rather than the fixing index level. Within a trading day, the intraday indicative value will reflect changes in the intraday index level relative to the most recent fixing index level of the applicable Index (plus the daily accrual and minus the daily investor fee).

Index level calculation
  • Fixing index level.On each trading day, the fixing index level of each Index reflects the cumulative performance of the hypothetical foreign exchange trading methodology underlying the Index since the base date for the Index. The change in the fixing index level of each Index from each trading day to the next reflects the hypothetical profit or loss realized over that one-day period by the hypothetical foreign exchange trading methodology underlying that Index. As described in more detail in the pricing supplement for the ETNs, that hypothetical methodology consists of a hypothetical spot foreign currency transaction entered into on Day 1 for the purchase of an amount of the long currency with an amount of the reference currency based on the applicable spot rate prevailing on Day 1 and a hypothetical offsetting foreign currency transaction entered into on Day 2, where the amount of the foreign currency specified in the transaction entered into on Day 1 is either bought (if it was sold in the hypothetical transaction entered into on Day 1) or sold (if it was bought in the hypothetical transaction entered into on Day 1) for an amount of U.S. dollars based on the spot rate on Day 2 plus or minus a forward points adjustment on Day 2. Each hypothetical foreign currency transaction is entered into based on the spot rate (and forward points, in the case of the offsetting foreign currency transaction) for the relevant currency pair determined as of 9:00 a.m. New York City time on the applicable trading day. The fixing index level is determined based on those same values. In general, from each trading day to the next, the fixing index level of each Index will change by a percentage equal to 4 times the percentage change in the underlying spot rate from 9:00 a.m. New York City time on the prior day to the same time on the current day, but subject to the forward points adjustment, bid-ask spreads and other factors described in “Description of the Indices” in the pricing supplement for the ETNs.
  • Intraday index level.The intraday index level of each Index is calculated every 15 seconds during the trading day and is calculated in the same manner as the fixing index level, except that the intraday index level is determined as if the hypothetical offsetting foreign currency transaction were entered into, and the hypothetical profit or loss from closing out the then-current hypothetical spot foreign currency transaction were determined, based on the then-current real-time intraday exchange rate and forward points for the relevant currency pair.

  • The fixing indicative value is used to determine the amount to be paid to investors upon any redemption of the ETNs at an investor’s option or an acceleration of the ETNs at Citigroup Global Markets Holdings Inc.’s option. The fixing indicative value will also be used to determine the payment at maturity of the ETNs if they are not earlier redeemed or accelerated. However, it is important to understand that the fixing indicative value and intraday indicative value are not the same as the price at which an investor may buy or sell the ETNs on the exchange. The price at which an investor may buy or sell the ETNs will depend on market forces and the availability of willing buyers and sellers and may, therefore, differ from the fixing indicative value or intraday indicative value.


    Because the fixing indicative value for each series of ETNs is calculated based on the fixing index level for the relevant Index, and the fixing index level for each Index for each trading day is the published level of that Index as of 9:00 a.m. New York City time on that trading day, the fixing indicative value for each series of ETNs for each trading day will be determined prior to the open of trading on the NYSE Arca, and therefore at a time when holders will not be able to trade the ETNs on the NYSE Arca.


    Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Where can I find additional information about the Indices?

Each ETN is linked to one Index. The Indices are published by Janus Index & Calculation Services, LLC. For additional information, please refer to the section “Description of the Indices” in the pricing supplement for the ETNs.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What is the “decay” effect?

The daily resetting of the leveraged exposure reflected in each Index is likely to cause each Index (and, therefore, each ETN) to experience a “decay” effect, which is likely to worsen over time and will be greater the more volatile the underlying exchange rate. The “decay” effect refers to a likely tendency of each Index to lose value over time. 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 underlying long currency appreciates relative to the reference currency 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. If you invest in the ETNs, you should continuously monitor your holding of the ETNs and make investment decisions at least on each trading day if not more frequently.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What is the forward points adjustment?

The performance of each Index is based on the change from the spot rate of exchange between the underlying currencies on Day 1 to the adjusted spot rate on Day 2, as described more fully under “Description of the Indices” in the pricing supplement for the ETNs. The adjusted spot rate on Day 2 is equal to the spot rate on Day 2 plus or minus a forward points adjustment on Day 2. The forward points adjustment reflects the difference in overnight interest rates between the two underlying currencies. Because of the forward points adjustment, the performance of each Index will be determined not only by changes in the spot rate from Day 1 to Day 2, but also by the interest rate differential between the long currency and the reference currency as reflected in the forward points adjustment. 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 result in the adjusted spot rate on Day 2 being lower than the spot rate on Day 2. If the forward points adjustment results in the adjusted spot rate on Day 2 being lower than the spot rate on Day 2, that will have an adverse effect on the applicable Index. As a consequence, for any Index where the overnight interest rate of the long currency is lower than the overnight interest rate of the reference currency, the interest rate differential will place a drag on the level of that Index, reducing any positive performance, exacerbating any negative performance and causing the level of that Index to steadily decline if the spot rate remains constant.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What are bid-ask spreads?

The performance of each Index will be reduced by bid-ask spreads associated with each currency pair. In particular, the hypothetical spot foreign currency transaction is entered into at the “mid” spot rate on Day 1 (subject to the next sentence), but the hypothetical offsetting foreign currency transaction is entered into at a “bid” adjusted spot rate on Day 2. The use of the “bid” adjusted spot rate, as opposed to the “mid” adjusted spot rate, on Day 2 represents a cost to the hypothetical foreign currency trading methodology underlying each Index. In addition, the change in the amount of foreign currency exposure on each day as compared to the prior day is determined based either on the “bid” or “ask” spot rate, and not the “mid” spot rate, which effectively means that only a portion of the hypothetical spot foreign currency transaction entered into on Day 1 is entered into at the “mid” spot rate and the remainder is entered into either at a “bid” or “ask” spot rate. These bid-ask spreads will place a drag on the performance of each Index, reducing any positive performance, exacerbating any negative performance and causing the level of each Index to decline steadily if the spot rate remains relatively constant. The 4 times leverage reflected in each Index will magnify the drag caused by these bid-ask spreads.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Are the ETNs subject to intraday purchase risk?

Yes. If you purchase any series of ETNs at a price other than the most recent fixing indicative value at the time of purchase, the effective amount of leverage provided by those ETNs from the time of purchase until the next determination of the fixing indicative value will differ from the 4 times leverage ratio targeted by the applicable Index. In general, if you buy the ETNs at a price that is higher than the most recent fixing indicative value at the time of purchase, the effective leverage will be less than 4 times, and if you buy the ETNs at a price that is lower than the most recent fixing indicative value at the time of purchase, the effective leverage will be greater than 4 times. The greater the deviation of your purchase price from the most recent fixing indicative value, the greater the deviation from 4 times leverage. For more information, you should review “Risk Factors Relating to the ETNs—The effective one-day leverage provided by the ETNs may be more or less than 4 times, depending on whether the price you pay for them is greater than or less than the most recent fixing indicative value at the time of purchase” in the pricing supplement for the ETNs.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Do the ETNs seek to achieve their stated investment objective over any period longer than one day?

No. The Index for each series of ETNs is designed to provide 4 times leveraged exposure to the change in an underlying exchange rate from one trading day to the next, and the 4 times leveraged exposure reflected in each Index will be reset daily in U.S. dollar terms, so that each day’s leveraged return will be compounded by the next day’s leveraged return. Consequently, the performance of each Index over any period longer than one day is nearly certain to differ from, and may be significantly worse than, 4 times the change in the underlying exchange rate from the beginning to the end of that period. Therefore, the ETNs are designed to be short-term trading tools and are not designed to meet any investment objectives over any period longer than one day.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Can I require the issuer to redeem my ETNs?

So long as you submit for redemption at least 25,000 ETNs of the same series in increments of 25,000 ETNs at one time, you (through your broker) may submit your ETNs for redemption on any redemption date during the term of the ETNs for an amount equal to the fixing indicative value of the applicable ETNs on the applicable early redemption valuation date minus the applicable early redemption charge. If you submit your redemption notice to the redemption agent before 4:00 p.m. New York City time on any business day, the immediately following trading day will be the applicable early redemption valuation date for such request. Otherwise, the second following trading day will be the applicable early redemption valuation date. If you hold fewer than 25,000 ETNs, you will not be able to require us to redeem your ETNs.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Does the issuer have the right to accelerate the ETNs?

Citigroup Global Markets Holdings Inc. has the right to accelerate any series of ETNs at any time during their term for an amount based on the fixing indicative value of the ETNs on a designated optional acceleration valuation date following notice of exercise of the redemption right.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What happens if the ETNs are automatically accelerated?

If the intraday exchange rate for the currency pair underlying any of the ETNs differs by 18.75% or more from the spot rate used in the determination of the fixing index level used to calculate the then most recent fixing indicative value and such difference represents depreciation of the applicable long currency against the applicable reference currency, the ETNs will be automatically accelerated and redeemed for an amount that is likely to be at least 75% less than the prior fixing indicative value and may be $0. In addition, if the ETN calculation agents determine that, at any time on any day, the relevant intraday exchange rate differs by 25% or more from the spot rate used in the determination of the fixing index level used to calculate the then most recent fixing indicative value and such difference represents depreciation of the applicable long currency against the applicable reference currency, the acceleration amount will be $0. Each series of ETNs is subject to automatic acceleration at any time, including outside of regular trading session hours on the NYSE Arca. If an automatic acceleration event occurs, you are likely to lose most, and may lose up to all, of your investment in the ETNs.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What type of investor is an appropriate candidate for the ETNs?

The ETNs are intended to be daily trading tools for sophisticated investors. 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 longer than one day. Accordingly, the ETNs may be suitable only for sophisticated investors who understand the hypothetical foreign exchange trading methodology underlying each Index, including the consequences of daily reset leverage, the forward points adjustment and bid-ask spreads, and who can bear the risk of losing a significant amount on an investment in the ETNs in a short period of time, even less than one day, up to the entire amount invested.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What are the daily investor fee, the creation fee and the early redemption charge?

The daily investor fee for any series of ETNs represents a daily deduction from the fixing indicative value of that series of ETNs and is calculated on each trading day as the product of (i) the fixing indicative value for that series of ETNs on the immediately preceding trading day times (ii)(a) 1.50% times (b) 1/365 times (c) the number of calendar days from and including the immediately preceding trading day to but excluding that trading day. The redemption charge is payable upon redemption at the option of the investor and is equal to the 0.09% multiplied by the fixing indicative value on the applicable early redemption valuation date. In addition, for any ETNs it sells, Citigroup Global Markets Inc. is expected to charge to purchasers a creation fee of up to approximately 0.05% times the indicative value at which Citigroup Global Markets Inc. prices the sale of such ETNs, provided however that Citigroup Global Markets Inc. may from time to time increase or decrease the creation fee.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

Will the daily performances of the two series of ETNs tracking the same underlying currency pair but having opposite exposures have complete negative correlation with each other?

No. While their returns will be highly negatively correlated, the positive return of one series of ETNs will not be exactly the mirror image of the negative return of the other series of ETNs. This is principally due to the fact that the two Indices tracking the same underlying currency pair but having opposite exposures will calculate returns using different conventions for quoting the exchange rate for the underlying currencies. As discussed in more detail in the pricing supplement for the ETNs, the 4-to-1 leverage relationship will hold from the perspective of only one of those conventions; from the other perspective, the leverage relationship may be more or less than 4-to-1. As a result, the performance of one Index will not be exactly the opposite of the performance of the Index with the opposite exposure.


Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

What risks are associated with an investment in the ETNs?

An investment in the ETNs is highly risky. Set forth below is a brief summary of some of the risks associated with an investment in the ETNs. For a more complete description of risks associated with an investment in the ETNs, you should carefully review the section “Risk Factors Relating to the ETNs” in the pricing supplement for the ETNs. You should proceed with extreme caution in considering an investment in the ETNs.


  • The ETNs offer highly leveraged exposure, reset daily, to changes in the exchange rate between the underlying currencies. Any adverse daily movement in the underlying exchange rate will have a 4-times magnified adverse effect on the level of the applicable Index and, therefore, on the value of the ETNs for that day. The ETNs are, therefore, highly speculative and highly risky and are not suitable for many investors.
  • The ETNs are designed to be short-term trading tools and are not designed to meet any investment objectives over any period longer than one day. Over any longer time period, the performance of the applicable Index is nearly certain to differ from, and may be significantly worse than, 4 times the change in the underlying exchange rate from the beginning to the end of that period.
  • Even if held for only one day, the ETNs are highly vulnerable to sudden large changes in the exchange rate between the underlying currencies. Because the ETNs reflect 4 times leveraged exposure to the change in the underlying exchange rate from one day to the next, the ETNs will experience 4 times magnified losses if the long currency depreciates sharply relative to the reference currency over that one-day period.
  • The ETNs are likely to experience significant “decay” over time. The daily resetting of the leveraged exposure reflected in each Index is likely to cause each series of ETNs to experience a “decay” effect, which is likely to worsen over time and will be greater the more volatile the underlying exchange rate. The “decay” effect refers to a likely tendency of the ETNs to lose value over time. 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 long currency appreciates relative to the reference currency over the relevant time period.
  • 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 daily return of the ETNs will be reduced by the daily investor fee.
  • The ETNs offer 4-to-1 leveraged exposure to the underlying exchange rate only from the perspective of one method of quoting the underlying exchange rate. From the other perspective, the 4-to-1 leveraged exposure to the underlying exchange rate will not hold.
  • 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 you may incur significant losses before you have the opportunity to sell the ETNs.
  • The effective one-day leverage provided by the ETNs may be more or less than 4 times. If you purchase the ETNs at a price other than the most recent fixing indicative value at the time of purchase, the effective amount of leverage provided by the ETNs from the time of purchase until the next determination of the fixing indicative value will be more or less than the 4 times leverage ratio targeted by the applicable Index, as explained in greater detail in the pricing supplement for 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.
  • The ETNs are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
  • You must submit at least 25,000 ETNs in increments of 25,000 ETNs to redeem the ETNs at your option. In addition, you will be charged an early redemption charge to exercise that option.
  • Citigroup Global Markets Holdings Inc. may accelerate the ETNs at any time.
  • The ETNs are subject to automatic acceleration. If the intraday exchange rate for the currency pair underlying any of the ETNs differs by 18.75% or more from the spot rate used in the determination of the fixing index level used to calculate the then most recent fixing indicative value and such difference represents depreciation of the applicable long currency against the applicable reference currency, the ETNs will be automatically accelerated and redeemed for an amount that is likely to be at least 75% less than the prior fixing indicative value and may be $0. In addition, if the ETN calculation agents determine that, at any time on any day, the relevant intraday exchange rate differs by 25% or more from the spot rate used in the determination of the fixing index level used to calculate the then most recent fixing indicative value and such difference represents depreciation of the applicable long currency against the applicable reference currency, the acceleration amount will be $0.
  • The intraday indicative value and the fixing indicative value are not the same as the closing price or any other trading price of the ETNs in the secondary market.
  • There may not be an active trading market in the ETNs. Sales in the secondary market may result in significant losses.
  • Citigroup Global Markets Holdings Inc. may stop issuing or selling the ETNs at any time, which could result in the ETNs trading in unexpected and unpredictable ways, potentially resulting in significant losses for investors. For example, if you purchase the ETNs at a premium to the intraday indicative value, you may incur significant losses if that premium subsequently disappears.
  • The exchange may halt trading in the ETNs or may limit the extent to which trading prices may change within specified time periods, which in either case would adversely impact investors’ ability to sell the ETNs.
  • 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.
  • The use of the WM/Reuters exchange rate at 9:00 a.m. New York City time to determine the fixing index level of the underlying index on each trading day may negatively affect holders of the ETNs.
  • There are potential conflicts of interest between you and Citigroup Global Markets Holdings Inc.’s affiliates. Foreign currency trading and other activities by Citigroup’s affiliates may adversely affect your return on the ETNs. In addition, an affiliate of Citigroup Global Markets Holdings Inc. is an ETN calculation agent, together with Janus Index & Calculation Services, LLC. The ETN calculation agents will make calculations and exercise judgments with respect to the ETNs, and the ETN calculation agents will have no obligation to consider your interests in doing so.
  • The U.S. federal tax consequences of an investment in the ETNs are uncertain.

Prospective investors should carefully review the pricing supplement for the ETNs, which is available at the following hyperlink: https://www.sec.gov/Archives/edgar/data/200245/000095010317012312/dp84016_424b2-4xcurrencyetns.htm

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Risk Disclosures Regarding the ETNs

Important information about the VelocityShares® ETNs is contained within the current prospectuses or supplements. For more complete information regarding the VelocityShares® ETNs, download a prospectus from this site, call 1-877-5-VELOCITY or 1-203-992-4301, or write to Prospectus Inquiry, VelocityShares LLC, 17 Old Kings Highway S, Darien, CT, 06820 to request a prospectus. You should read the prospectus carefully before making an investment decision.

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.

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 index 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 applicable pricing supplement, 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 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 applicable pricing supplement. In addition, the ETNs will be subject to automatic acceleration, as described in the applicable pricing supplement. If the ETNs are automatically accelerated, investors are likely to suffer a significant loss.

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.

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.

The trading price of the ETNs may vary considerably over time due, among other factors, to fluctuations in the price or the volatility of the underlying index, and other events that are difficult to predict. At higher levels of volatility, and since the ETNs are not principal protected, there is a significant chance of a complete loss of ETN value even if the performance of the underlying index is flat.

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.

If the level of the underlying index decreases or does not increase sufficiently (or if it increases or does not decrease sufficiently in the case of the inverse ETNs), to offset the effect of the Daily Investor Fee over the term of the ETNs, the investor will receive less than the principal amount of his investment upon early redemption, acceleration or maturity of the ETNs.

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 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 applicable pricing supplement for additional detail regarding fees and charges relating to the ETNs.

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.

The risks listed above are not exhaustive. Investors should review the prospectus or offering document for any security, financial instrument or product and make their own investment decisions based on their specific investment objectives and financial position and after consulting independent tax, accounting, legal and financial advisors. The information contained herein (including historical prices or values) has been obtained from sources that Janus Index & Calculation Services LLC and Janus Distributors LLC (together, “VelocityShares®”) considers to be reliable; however, VelocityShares® does not make any representation as to, or accepts any responsibility or liability for, the accuracy or completeness of the information contained herein.

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.

VelocityShares® is a trade name used by Janus Distributors LLC, a registered U.S. broker-dealer, in connection with the services and products described herein.

Janus Henderson 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.

This site is for informational purposes only. Nothing herein constitutes a solicitation, offer or recommendation by VelocityShares® or its affiliates to buy or sell securities. VelocityShares® does not render investment, tax, accounting or legal advice. The securities discussed herein may not be suitable for all investors and should only be used by knowledgeable investors who understand the potential consequences of seeking inverse or leveraged investment results. Investors should actively monitor their investments in the securities. Investors should review the prospectus for each security and make their own investment decisions based on their specific investment objectives and financial position and after consulting independent tax, accounting, legal and financial advisors. VelocityShares® will receive a fee from the issuers of the products discussed on this site based on the quantity of products outstanding.

Past performance does not predict future performance. The value of the securities may decrease and investors may lose some or all of their investment.

Please see “VelocityShares Terms of Use” for additional information regarding use of this website.

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).