Citigroup plans contingent coupon autocallables linked to ETF, indexes

By Angela McDaniels

Tacoma, Wash., May 22 – Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due June 3, 2020 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 9.5% if the worst-performing underlying component closes at or above its barrier level, 75% of its initial level, on the valuation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if the worst-performing underlying component closes at or above its initial level on any quarterly valuation date.

If the final level of the worst-performing underlying component is greater than or equal to its barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the worst-performing underlying component.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price May 27.

The Cusip number is 17298CBD9.

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