Citigroup plans autocallable contingent coupon notes tied to JPMorgan

By Susanna Moon

Chicago, March 14 – Citigroup Inc. plans to price autocallable contingent coupon equity linked securities due April 4, 2018 linked to JPMorgan Chase & Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7% to 8% if JPMorgan stock closes at or above the coupon barrier level, 80% of the initial level, on the valuation date for that quarter. The exact contingent coupon rate will be set at pricing.

The notes will be called at par plus the contingent coupon if JPMorgan shares close at or above the initial share price on any quarterly valuation date beginning in February 2017.

The payout at maturity will be par plus the contingent coupon unless the stock finishes below the 80% trigger level, in which case investors receive a number of JPMorgan shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash equivalent.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on March 29.

The Cusip number is 17298CD54.

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