Citi plans autocallable contingent coupon notes on Dow, Russell, Nasdaq-100

By Sarah Lizee

Olympia, Wash., Feb. 27 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due April 1, 2024 tied to the Dow Jones Industrial Average, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will pay a contingent monthly coupon at an annual rate of between 5.25% and 8.25% if all three underliers close at or above 70% of their initial level on the valuation date for that month.

Beginning in March 2020 and ending in December 2023, the notes will automatically be called at par plus the contingent coupon if all three underliers close at or above their initial level on a quarterly valuation date.

The payout at maturity will be par plus the final coupon unless any underlier finishes below the 70% barrier level. If the worst performing underlier finishes above 60% of its initial value, the payout will be par. Otherwise, investors will be exposed to the loss of the worst performing underlier.

Citigroup Global Markets Inc. is the agent.

The notes (Cusip: 17326YU20) will price on March 26.

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