Citigroup plans contingent coupon autocallables on oil & gas ETF

By Toni Weeks

San Luis Obispo, Calif., April 2 – Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due April 20, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of 1.75% to 2.25%, equivalent to 7% to 9% per year, if the fund closes at or above the coupon barrier level, 75% of the initial fund level, on the valuation date for that quarter. The exact contingent coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if the fund closes at or above the initial level on any of the first 11 quarterly valuation dates.

If the notes are not called and the fund finishes at or above the 75% barrier level, the payout at maturity will be par plus the last coupon.

If the fund finishes below the barrier price, investors will receive a number of fund shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash value of those shares.

The notes (Cusip: 1730T06Z7) are expected to price April 17 and settle three business days later.

Citigroup Global Markets Inc. is the underwriter.

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