Citigroup plans buffer securities due 2020 linked to index basket

By Sarah Lizee

Olympia, Wash., May 31 – Citigroup Global Markets Holdings Inc. plans to price 0% buffer securities due Dec. 10, 2020 linked to a basket of two unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The underlying components are the Euro Stoxx 50 index with an 81% weight and the Swiss Market index with a 19% weight.

The payout at maturity will be par plus at least 168% of any basket gain, with the exact participation rate to be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

Citigroup Global Markets Inc. is the agent.

The notes (Cusip: 17326YK21) will price June 7 and settle three business days after pricing.

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