Citigroup to price contingent coupon autocallables linked to Facebook

By Toni Weeks

San Luis Obispo, Calif., Aug. 29 – Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due Oct. 1, 2015 linked to Facebook, Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of 2% to 2.5% if Facebook stock closes at or above the barrier level, 77.5% of the initial share price, on the valuation date for that quarter. The exact contingent coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if the stock closes at or above the initial price on any of the first three quarterly valuation dates.

If the notes are not called and the stock finishes at or above the 77.5% barrier level, the payout at maturity will be par plus the last coupon.

Otherwise, investors will receive a number of Facebook shares equal to $1,000 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

The notes (Cusip: 1730T0X61) are expected to price Sept. 26 and settle three business days later.

Citigroup Global Markets Inc. is the underwriter.

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