Citigroup plans autocallable securities on Russell 2000, Euro Stoxx 50

By Marisa Wong

Morgantown, W.Va., Aug. 21 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable securities due Aug. 25, 2023 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The notes will be automatically called at par plus a premium of 10% per year if each index closes at or above the applicable redemption threshold on any annual valuation date prior to the final valuation date. The redemption threshold will be 100% of the initial level for the first valuation date on Aug. 22, 2019, 100.5% to 101.1% of the initial level for the Aug. 24, 2020 valuation date, 101% to 102.2% of the initial level for the Aug. 23, 2021 valuation date and 101.5% to 103.3% of the initial level for the Aug. 22, 2022 valuation date. The exact redemption thresholds will be set at pricing.

If the notes are not called and the worse performing index finishes at or above 102% to 104.4% of the initial level – the exact threshold will be set at pricing – the payout at maturity will be par plus 50%.

If the worse performing index finishes below the threshold level but at or above the 50% trigger level, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.

Citigroup Global Markets Inc. is the agent.

The notes will price on Aug. 22.

The Cusip number is 17326YZS8.

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