Citi plans autocallable contingent coupon notes on ETFs

By Emma Trincal

New York, May 13 – Citigroup Global Markets Holdings Inc. plans to price market linked securities autocallable with contingent coupon and contingent downside due May 30, 2024 linked to the worst performing of the VanEck Vectors Gold Miners exchange-traded fund, the iShares Silver Trust and the SPDR S&P Metals & Mining ETF, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes pay a contingent quarterly coupon at an annualized rate of 12.5% to 14.5% if each ETF closes at or above its coupon barrier level, 70% of its initial level, on the valuation date for that period. The exact coupon rate will be set at pricing.

The notes will be autocallable at par plus the contingent coupon if each ETF closes at or above its initial price on a quarterly observation date.

If the notes are not called, the payout will be par unless any ETF finishes below 70% of its initial level, in which case investors will lose 1% for every 1% that the least performing ETF declines.

Citigroup Global Markets Inc. is the underwriter. Wells Fargo is the agent.

The notes are expected to price on May 27 and settle on June 2.

The Cusip is 17329FNZ3.

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