C-Tracks Linked to the CVOLT Index

The C-Tracks Exchange-Traded Notes (the “C-Tracks”) linked to the Citi Volatility Index Total Return (the “Index”) provide investors with an investable means to gain directional exposure to the implied volatility of large-cap U.S. stocks.

The Index methodology combines a daily rolling long exposure to the third- and fourth-month futures contracts on the CBOE Volatility Index (the “VIX Index”) with a short exposure to the S&P 500 Total Return Index. The VIX futures contracts exposure is constantly maintained, but the weighting of the S&P 500 Total Return Index is variable and determined monthly via a backward-looking linear regression.

As a total return index, the value of the Index on any day also includes daily accrued interest on the hypothetical notional value of the Index based on the 3-month U.S. treasury rate and reinvestment into the Index.

The Index methodology is designed to produce daily returns more correlated to the VIX Index than a portfolio of VIX futures contracts and with a similar magnitude to the daily returns of the VIX Index.

There can be no assurance, however, that the Index will produce the best correlation to the VIX Index or a similar magnitude to the returns of the VIX Index.
Downloads
Overview (FWP)
Final Terms (FWP)
Prospectus with Pricing Supplement. Before you invest in the C-Tracks, you should click on this link to read the related prospectus.
CVOLT, CVOLN, VMAX and VMBX Daily Closing Levels History
CVOL Daily Inputs
CVOL NYSE Arca Bell Ringing
On December 1, executives from Citi's Cross Asset Group and Equities celebrated the recent listing of C-Tracks ETNs linked to the Citi Volatility Index Total Return on NYSE Arca. In honor of this occasion, Richard Burns, Global Head of Citi's Cross Asset Group, rang the opening bell.
Daily Market Data for CVOLN (as of 17-May-12)
Closing indicative value14.59
Net change$0.98
% change7.20%
High$14.64
Low$13.37
Source: Bloomberg
Base Data
Stock ExchangeNYSE Arca
ETN TickerCVOL
ETN Intraday Indicative Value TickerCVOLN
Index TickerCVOLT
Cusip17316G727
Issue DateNov. 17, 2010
Maturity DateNov. 12, 2020
CVOLT Daily Index Closing Levels
Key Risks
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 and “Risk Factors” in the prospectus supplement, both of which are accessible via the above link, for a more detailed list of risk factors.

  • No guaranteed return of principal.
  • No interest payments
  • There may be significant daily fluctuations in the level of the Index, which will affect the value of the C-Tracks.
  • Negative “roll yields” of the futures contracts included in the Index may cause the Index value to decline significantly over time, which will affect the value of the C-Tracks.
  • The level of the VIX Index has historically reverted to a long-term mean level; any increase in the spot level of the VIX Index likely will not continue over time.
  • Because of the investor fee, even if the level of the Index on the final valuation period end date, mandatory redemption valuation period end date or applicable valuation date is greater than it was at the time of your investment, you may receive less than the purchase price of your C-Tracks.
  • Any decline in VIX futures contracts and/or increase in the S&P 500® Total Return Index may result in a loss on an accelerated basis.
  • The Index may not be the most accurate measure of S&P 500® volatility.
  • To submit your C-Tracks for redemption at your option, you must make the request with respect to at least 50,000 C-Tracks.
  • The C-Tracks are subject to the credit risk of Citigroup Inc., and any actual or anticipated changes to its credit ratings and credit spreads may adversely affect the market value of the C-Tracks.
  • There may not be an active trading market in the C-Tracks; sales in the secondary market may result in significant losses.
Key Terms
We have highlighted below some key terms of the C-Tracks and the Index. They are not all the key terms. In particular, we do not describe how the C-Tracks will be valued during the final valuation period start date (_________, 2020) or during a mandatory redemption valuation period start date (relevant if we decide to redeem the C-Tracks). 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 of an ETN = $100 on the inception date. The closing indicative value will be calculated on a daily basis following the inception date as (a) the product of (i) the closing indicative value on the immediately preceding day and (ii) the daily index factor for such days minus (b) the investor fee for such day.

Daily Index Factor on any index business day will be equal to the closing level of the Index on that day, divided by the closing level of the Index on the immediately preceding index business day. The daily index factor on any day that is not an index business day will be one.

Investor Feeon the inception date is zero. On each subsequent calendar day (each such day, a "calculation day"), the investor fee will be equal to (a)(i)(x)%_per annum, multiplied by (y) the closing indicative value on the previous calendar day, multiplied by (ii) the daily index factor on the calculation day, divided by (b) 365. Because the investor fee reduces the amount of your return, the level of the Index will need to increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the investor fee, or if the level of the Index decreases, you will receive less than the principal amount of your investment.

Redemption at the Option of the Holder Subject to certain notification requirements, 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 applicable closing indicative value of the C-Tracks on the applicable valuation date, minus the applicable redemption charge. You must submit for redemption at least 50,000 C-Tracks at one time in order to exercise your redemption right on any redemption date.

Early Redemption at Our Option We may redeem the C-Tracks, in whole and not in part, on any business day if (a) we determine in our sole discretion, reasonably exercised, that (i) there has been a change or amendment in any law or regulation that would negatively impact the C-Tracks or (ii) an event has occurred that materially interferes with our ability or the ability of any of our affiliates to hedge our obligations under the applicable C-Tracks, including an event which materially increases the costs of maintaining or adjusting our (or our affiliates) hedges, or (b) on or after November , 2012, (i) there are fewer than 500,000 C-Tracks outstanding (not including any C-Tracks held by us or our affiliates) or (ii) the aggregate closing indicative value on any index business day of the outstanding C-Tracks (not including any C-Tracks held by us or our affiliates) is less than $10,000,000.

Redemption Charge is 0.05%, multiplied by the closing indicative value on the applicable valuation date.

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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