By Marisa Wong
Morgantown, W.Va., April 3 – Citigroup Global Markets Holdings Inc. priced $2 million of 0% market-linked notes due April 28, 2021 linked to the Citi Dynamic Asset Selector 5 Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The payout at maturity will be par plus any index gain. If the index finishes flat or falls, the payout will be par.
The index tracks the hypothetical performance of a rules-based investment methodology that, on each index business day, seeks to identify current U.S. equity market conditions as falling within one of four possible market regimes based on trend and volatility signals. Depending on the identified market regime, index exposure is allocated to one of three possible hypothetical investment portfolios, each consisting of varying degrees of exposure to the following two constituents: the S&P 500 Futures Excess Return index and the S&P 10-Year U.S. Treasury Note Futures Excess Return index.
The futures index tracks the performance of a hypothetical investment, rolled quarterly, in the nearest-to-expiration E-mini S&P 500 futures contract, which provides exposure to U.S. large-cap equities. The Treasury futures index tracks the performance of a hypothetical investment, rolled quarterly, in the nearest-to-expiration 10-year U.S. Treasury note futures contract, which provides exposure to U.S. Treasury notes with a remaining maturity of at least 6.5 years and an original maturity not exceeding 10 years.
The index relies on backward-looking trend and volatility signals to determine which market regime is currently in effect and, in turn, which portfolio to track until there is a change in the market regime. On each index business day, the index calculates the trend of the performance of the futures index over a look-back period of 21 index business days, measured by a linear regression methodology, and the realized volatility of the futures index over a look-back period of 63 index business days.
The performance of the index will be reduced by an index fee of 0.85% per year.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Market-linked notes
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| Underlying index: | Citi Dynamic Asset Selector 5 Excess Return index
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| Amount: | $2 million
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| Maturity: | April 28, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any index gain; if index finishes flat or falls, par
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| Initial level: | 211.55
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| Pricing date: | March 23
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| Settlement date: | March 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.6%
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| Cusip: | 17324CTL0
|
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