Citigroup plans notes linked to Citi ETF Market Pilot 5 Excess Return

By Angela McDaniels

Tacoma, Wash., Aug. 2 – Citigroup Global Markets Holdings Inc. plans to price 0% market-linked notes due Aug. 29, 2024 linked to the Citi ETF Market Pilot 5 Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

If the index return is positive, the payout at maturity will be par plus 300% of the index return. If the index return is less than or equal to zero, the payout will be par.

The index tracks the hypothetical performance of a rules-based investment methodology that, once each month, selects a hypothetical investment portfolio to track for the next month. The selected portfolio for each month is selected from a universe of eligible constituents consisting of 12 exchange-traded funds representing global equities, fixed income, commodities, real estate equities and preferred stock. In certain circumstances, the selected portfolio may also include a hypothetical money market instrument with a return equal to Libor. The index selects the selected portfolio for each month using concepts drawn from the modern portfolio theory approach to asset allocation.

Citigroup Global Markets Inc. is the agent.

The notes will price Aug. 26.

The Cusip number is 17324C7L4.

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