Citigroup to price autocallable securities due 2024 on S&P, Russell

By Sarah Lizee

Olympia, Wash., Feb. 27 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable securities due April 1, 2024 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will be automatically redeemed for par plus an annual premium of 6.25% to 7.25% if on an annual valuation date the worst performing index closes at or above its initial value. The exact premium will be set at pricing.

The payout at maturity will be par plus the applicable premium, 31.25% to 36.25%, if both indexes close at or above their initial values.

If the worst performing index finishes at less than its initial value but above the 60% trigger value, the payout will be par. Otherwise, investors will be exposed to the losses of the worst performing index.

Citigroup Global Markets Inc. is the underwriter.

The notes will price March 26.

The Cusip number is 17326YMS2.

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