Citigroup plans trigger absolute return step notes tied to basket

By Wendy Van Sickle

Columbus, Ohio, Dec. 14 – Citigroup Global Markets Holdings Inc. plans to price 0% trigger absolute return step securities due Dec. 21, 2021 linked to a basket containing the MSCI EAFE index with a 60% weight and the Euro Stoxx 50 index with a 40% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

If the final basket level is greater than or equal to the initial level, the payout at maturity will be par of $10 plus the greater of the step return and the basket return. The step return is expected to be 37% to 39% and will be set at pricing.

If the final basket level is less than the initial level and greater than or equal to the downside threshold level, 75% of the initial basket level, the payout will be par plus the absolute value of the basket return.

If the final basket level is less than the downside threshold level, investors will lose 1% for every 1% that the final basket level is less than the initial basket level.

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

The notes will price Dec. 16.

The Cusip number is 17325E143.

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