Citigroup to price market-linked securities on best of two baskets

By Emma Trincal

New York, May 14 – Citigroup Global Markets Holdings Inc. plans to price 0% market-linked securities due May 22, 2024 linked to the best performing of two baskets, one focusing on Japanese equities and one focusing on bonds, according to a 424B2 filing with the Securities and Exchange Commission.

The baskets share the same components but differ in weighting. The Japanese equities-focused basket consists of the Nikkei 225 index with a 65% weight, the iShares 20+ Year Treasury Bond ETF with an 8.75% weight, the iShares Core U.S. Aggregate Bond ETF with an 8.75% weight and the price of gold with a 17.5% weight. The bond-focused basket assigns the Nikkei 225 index with a 17.5% weight, the two bond funds with a 32.5% weight each and gold with a 17.5% weight.

The payout at maturity will be par plus at least 127.75% of any gain of the best-performing basket. The exact upside participation rate will be set at pricing.

Investors will be exposed to any decline in the best-performing basket.

The notes are guaranteed by Citigroup, Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on May 17 and settle on May 22.

The Cusip is 17326YR81.

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