Citigroup plans autocallable securities on Russell, iShares MSCI EM fund

By Tali Rackner

Norfolk, Va., March 15 – Citigroup Global Markets Holdings Inc. plans to price autocallable securities due March 31, 2021 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The notes will be called at par plus an annual upside premium of 10.25% to 11.25% if each underlying component closes at or above its initial level on any of the first three valuation dates. The exact premium will be set at pricing.

If each underlying component finishes above its initial level, the payout at maturity will be par plus the upside premium.

If either component falls but finishes at or above its 60% trigger level, the payout will be par plus the contingent downside premium of 10%.

Otherwise, investors will be fully exposed to any losses of the lesser performing component.

Citigroup Global Markets Inc. is the agent.

The notes will price on March 24.

The Cusip number is 17324CFV3.

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