Citigroup plans contingent income autocallables linked to SPDR funds

By Angela McDaniels

Tacoma, Wash., Dec. 16 – Citigroup Global Markets Holdings Inc. plans to price contingent income autocallable securities due Dec. 26, 2024 linked to the worst performing of the Financial Select Sector SPDR fund, the Industrial Select Sector SPDR fund and the Technology Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

If each fund closes at or above its downside threshold level, 67% of its initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 7.5%.

Beginning in December 2020 and ending in September 2024, the notes will be called at par of $10 plus the contingent coupon if each fund closes at or above its initial share price on any quarterly determination date.

If each fund’s final share price is greater than or equal to its downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the worst-performing fund’s final share price is less than its initial share price.

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent. Morgan Stanley Smith Wealth Management is a dealer.

The notes are expected to price Dec. 20.

The Cusip number is 17327U202.

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