Citigroup plans trigger performance notes on Vanguard FTSE EM fund

By Tali Rackner

Norfolk, Va., Jan. 8 – Citigroup Inc. plans to price 0% trigger performance securities due Jan. 29, 2021 linked to the Vanguard FTSE Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the ETF return is positive, the payout at maturity will be par of $10 plus 130% to 140% of the ETF return. The exact upside participation rate will be set at pricing.

If the ETF return is zero or negative and the final share price is greater than or equal to the trigger price, 75% of the initial share price, the payout will be par.

If the final share price is less than the trigger price, investors will be fully exposed to the decline in the ETF from its initial share price.

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

The notes will price on Jan. 26 and settle on Jan. 29.

The Cusip is 17323P447.

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