Citibank N.A. is pleased to provide U.S. investors with access to Market-Linked Certificates of Deposit linked to the Citi Market Pilot 5 Excess Return Index (the “Index”).

The CDs, which have a term of seven years, do not pay interest, but enable U.S. investors to participate in the potential appreciation of the Index of at least 175% if held to maturity. If the Index remains the same or depreciates, investors receive their full deposit amount on the maturity date.

Citi Market Pilot 5 Excess Return Index employs a rules-based methodology. It tracks the performance of a hypothetical investment portfolio that may invest in global equities, U.S. Treasuries, commodities, and money market Instruments.

“We are pleased to offer one of Citi’s rules-based investment strategies in CD format,” said Barbara Mullaney, Global Head of Citi Private Client Solutions. “We remain committed to delivering innovative solutions to investors.”

Expected returns and risks of the selected portfolio in the Index are based on historical performance and volatility, with greater weight on recent returns. Each month, the Index identifies a unique portfolio that, based on a 12-month look-back period, is expected to achieve the highest return without exceeding a pre-defined level of expected risk.

“The Index uses concepts drawn from Modern Portfolio Theory and aims to capture price momentum in trending markets within a volatility budget,” according to Emanuele di Stefano, Head of Citi Investment Strategies Equities and Multi-Asset.

The CDs’ deposit date is May 29, 2015. The Index went live on March 2, 2015.

Before investing in any financial instrument linked to the Index, investors should carefully review the disclosure materials, including risk disclosures, provided in connection with that investment. There can be no assurance that historical measures used by the Index will be accurate predictors of future returns and volatility, or that the Index will be successful. For more detailed information about the Index and its related risks, see the Index disclosure document at http://www.citibank.com/icg/docs/Citi_Market_Pilot_5_Excess_Return_Index_Rules.pdf

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management.

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