Citigroup intends to price capped buffer gears linked to index basket

By Devika Patel

Knoxville, Tenn., June 8 – Citigroup Global Markets Holdings Inc. plans to price 0% capped buffer gears due Dec. 30, 2019 linked to an unequally weighted basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The basket consists of the Euro Stoxx 50 index with a 40% weight, the Nikkei 225 index with a 20% weight, the FTSE 100 index with a 20% weight, the S&P/ASX 200 index with a 7.5% weight, the Swiss Market index with a 7.5% weight and the Hang Seng index with a 5% weight.

If the basket return is greater than zero, the payout at maturity will be par of $10 plus double the basket return, subject to a maximum payout of between 25.8% and 27.8%. The exact cap will be set at pricing.

Investors will receive par if the basket declines by 10% or less and will receive will lose 1% for every 1% decline beyond the 10% buffer if the basket falls by more than 10%.

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

The notes (Cusip: 17326K791) will price on June 27 and settle on June 29.

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