Citigroup plans 0.3% seven-year market-linked notes on indexes, fund

By Toni Weeks

San Luis Obispo, Calif., Aug. 5 – Citigroup Inc. plans to price 0.3% market-linked notes due March 4, 2021 linked to a basket containing two indexes and one exchange-traded fund, equally weighted, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable semiannually.

The underlying components are the S&P 500 index, the Euro Stoxx 50 index and the iShares Core U.S. Aggregate Bond ETF.

The payout at maturity will be par plus 100% to 120% of the average basket return percentage, with the exact participation rate to be set at pricing.

If the index falls, the payout will be par.

The average basket return percentage will be the average of the basket returns measured on each quarterly valuation date during the life of the notes.

Citigroup Global Markets Inc. is the agent.

The notes will price Aug. 28.

The Cusip number is 17298CDH8.

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