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Citi launches new UK Autocall Fund Structure

Innovative Autocall product in a UCITS fund format

Building on the success of the first share class of its Autocall Fund launched in April 2010, which has produced a return of 36.4% since inception (8.9% annualised)1, Citi has launched a new share class of the UK Autocall Fund (the “Fund”).

An autocall product is a market-linked investment which can automatically mature (‘autocall’) and generate returns prior to the scheduled maturity date if certain predefined market conditions are achieved (an “autocall trigger”). The product allows investors to benefit from attractive returns in rising or flat UK equities markets while maintaining some conditional capital protection.

Citi’s UK Autocall Fund combines popular autocall features with a highly regulated, liquid, open-ended UCITS fund structure collateralized with government bonds.

The new share class offers an annual return of 7 % (per share unit based on GBP100 initial issue price), over a maximum of 6 years. Capital is protected at maturity as long as the FTSE 100 is above a barrier level (60% of its start level) at the end of the first investment cycle on December 5, 2019.

The Fund’s first autocall trigger would occur two years after the launch date if the FTSE is at or above 100% of its start level. Thanks to the open-ended structure of the Fund, any returns generated would be automatically reinvested into a new autocall strategy, potentially optimizing accumulated investment returns over time. For example, if the FTSE is at or above its start level of 6498.33 on 5 December 2015, the initial strategy will return 14% and the Fund will automatically reinvest those proceeds into a new autocall strategy, which starts a new investment cycle with new return, autocall trigger and barrier level terms. If an autocall is not triggered and the FTSE has fallen below the barrier level at the end of the investment cycle, the value of the shares will be reduced by a percentage equal to the FTSE decrease from its start level.

“As investors increasingly look for consistent returns while maintaining a degree of protection, the UK Autocall fund offers a unique and flexible structure with an attractive risk/return profile,” Rohan Tawadey, Vice President, UK Equity and Multi-Asset Solutions Sales, said. “Unlike most other autocall products, this new share class observes the barrier level once only at maturity, rather than over the whole investment cycle. The ability to take proceeds at any time or remain invested in new investment cycles could offer investors a useful flexibility in managing their investment portfolio.”

¹Past performance data from 07-Apr-10 to 29-Nov-13. Data sourced from Citigroup Global Markets Limited and Bloomberg. These figures refer to past performance information for the first share class of the UK Autocall Fund launched in April 2010. Past performance information is not a reliable indicator of future results. Future performance of the Fund and specific share classes may be positive or negative. Fund performance is net of fees and expenses.