Citi plans trigger performance notes linked to Vanguard FTSE EM fund

By Susanna Moon

Chicago, Feb. 5 – Citigroup Inc. plans to price 0% trigger performance securities due Feb. 26, 2021 linked to the Vanguard FTSE Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the fund finishes above its initial level, the payout at maturity will be par of $10 plus 165% to 175% of the gain. The exact upside participation rate will be set at pricing.

If the fund falls but finishes at or above its trigger level, 75% of the initial level, the payout will be par.

Otherwise, investors will be fully exposed to any losses.

Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.

The notes will price on Feb. 24 and settle on Feb. 29.

The Cusip is 17323P629.

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