Citi changes upside participation rate on buffer notes tied to EM ETF

By Sarah Lizee

Olympia, Wash., May 7 – Citigroup Global Markets Holdings Inc. changed the upside participation rate for its planned 0% buffer securities due July 6, 2020 linked to the iShares MSCI Emerging Markets ETF, according to a 424B3 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

If the final ETF level is greater than or equal to the initial level, the payout at maturity will be par plus 200% of the ETF return, capped at par plus 13% to 15%. The participation rate was previously 150%.

Investors will receive par if the ETF declines by up to 10% and will lose 1% for every 1% that it might decline beyond 10%.

Citigroup Global Markets Inc. is the underwriter.

The notes will price May 31.

The Cusip number is 17326YQM1.

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