Citigroup offers contingent coupon autocallables tied to two indexes

By Devika Patel

Knoxville, Tenn., Dec. 24 – Citigroup Global Markets Holdings Inc. plans to sell autocallable contingent coupon equity-linked securities due Aug. 2, 2021 linked to the worst performing of the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 5% to 8% if the worst-performing index closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that quarter. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the worst-performing index closes at or above its initial level on any quarterly valuation date beginning in July 2020 and ending in April 2021.

A knock-in event will occur if either underlying index closes at or below its 70% knock-in level on any trading day during life of the notes.

The payout at maturity will be par plus any coupon unless the final level of the worst-performing index is less than its initial level and a knock-in event occurred, in which case, investors will lose 1% for each 1% decline of the worst-performing index from its initial level.

Citigroup Global Markets Inc. is the agent.

The notes (Cusip: 17327T7E0) will price on Jan. 28 and settle on Jan. 31.

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