Citi plans contingent absolute return market-linked notes on S&P 500

By Susanna Moon

Chicago, Sept. 19 – Citigroup Global Markets Holdings Inc. plans to price 0% contingent absolute return market-linked notes due April 1, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index never closes outside its knock-out levels during the life of the notes, the payout at maturity will be par plus the absolute value of the return.

If the index ever rises above the upside knock-out level or falls below its downside knock-out level, the payout will be par.

The upside knock-out level is expected to be 116% to 118% of the initial index level and the downside knock-out level is expected to be between 82% and 84%, with the exact thresholds to be set at pricing.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on Sept. 27.

The Cusip number is 17326Y6P6.

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