Citigroup to price autocallable securities due 2022 on S&P, Russell

By Sarah Lizee

Olympia, Wash., April 9 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable securities due May 5, 2022 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 after one year for par plus an annual premium if on a quarterly valuation date the worst performing index closes at or above its initial value. The annual premium will be between 10% and 12%.

The payout at maturity will be par plus the applicable final premium, between 30% to 36%, if both indexes finish at or above their initial values.

If the worst performing index finishes at less than its initial value but above the 70% 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 April 30.

The Cusip number is 17326Y4H6.

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