Citi to price autocallable contingent coupon notes linked to two ETFs

By Sarah Lizee

Olympia, Wash., May 8 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Nov. 16, 2021 linked to the worst performing of the iShares Russell 2000 exchange-traded fund and the SPDR Dow Jones industrial average ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes pay a monthly contingent coupon at an annual rate of 14% if both ETFs close at or above their coupon barriers, 70% of their initial levels, on the valuation date for that period.

The notes will automatically be called at par plus the coupon if both ETFs close at or above their call levels on any quarterly valuation date after one year other than the final valuation date. The call level will be 100% of the initial levels.

If the notes are not called and both ETFs finish at or above their 60% final barriers, investors will receive par plus the final coupon. Otherwise, the payout will be a number of shares of the lesser-performing ETF equal to $1,000 divided by its initial share price or, at the issuer’s option, the cash value.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on May 11.

The Cusip number is 17324XD23.

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