Citigroup to price leveraged market-linked notes tied to ETF basket

By Sarah Lizee

Olympia, Wash., April 9 – Citigroup Global Markets Holdings Inc. plans to price 0% market-linked securities – leveraged upside participation to a cap and fixed percentage buffered downside due May 3, 2024 linked to an ETF basket, according to an FWP filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The basket consists of the SPDR S&P 500 ETF Trust (50% weight), the iShares Russell 2000 ETF (15% weight), the iShares MSCI EAFE ETF (15% weight), the iShares MSCI Emerging Markets ETF (10% weight), the Invesco DB Commodity Index Tracking Fund (5% weight) and the Vanguard Real Estate ETF (5% weight).

If the basket closes at or above its initial level, the payout at maturity will be par plus 125% of the gain, up to a maximum payout of 152% to 157% of par.

If the basket falls by up to 15%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the basket beyond 15%.

Wells Fargo Securities LLC and Citigroup Global Markets Inc. are the agents.

The notes will price on April 30.

The Cusip number is 17326YQU3.

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