Citigroup plans contingent upside participation notes linked to S&P

By Sarah Lizee

Olympia, Wash., April 8 – Citigroup Global Markets Holdings Inc. plans to price 0% contingent upside participation market-linked notes due Oct. 29, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

A knock-out event will occur if the closing level of the index is greater than the knock-out level on any trading day during the life of the notes. The knock-out level is 110% of the initial level.

If a knock-out event occurs, the payout at maturity will be par plus the knock-out return amount, which is expected to be between 2.6% and 3% and will be set at pricing.

If a knock-out event does not occur and the index finishes above its initial level, the payout will be par plus the return of the index.

If a knock-out event does not occur and the index finishes at or below its initial level, the payout will be par.

Citigroup Global Markets Inc. is the underwriter.

The notes will price April 25.

The Cusip number is 17326YCE4.

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