Citigroup plans market-linked notes on Citi Dynamic Asset Selector 5

By Emma Trincal

New York, June 8 – Citigroup Global Markets Holdings Inc. plans to price 0% market-linked notes due June 20, 2025 linked to the Citi Dynamic Asset Selector 5 Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The index is a trend-following rules-based index that seeks to identify current U.S. equity market conditions as falling within four possible market “regimes” based on trend (upward or downward) and volatility signals (above or below 15%).

The index allocates between S&P 500 Futures and 10-Year U.S. Treasury Note Futures daily based on the observed market regime.

A market regime characterized by falling stock prices and higher volatility will trigger a greater exposure to Treasuries and a reduced allocation to S&P 500 futures for instance.

The index maintains an annualized volatility target of 5%.

The payout at maturity will be par plus any index gain. If the index finishes flat or falls, the payout will be par.

Citigroup Global Markets Inc. is the agent.

The notes will price on June 17.

The Cusip is 17328VL40.

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