Citigroup intends to price contingent coupon autocallables on indexes

By Devika Patel

Knoxville, Tenn., Dec. 19 – Citigroup Global Markets Holdings Inc. plans to sell autocallable contingent coupon equity-linked securities due Dec. 23, 2021 linked to the worst performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 7% if the worst-performing index closes at or above its expected coupon barrier level, 70% of its initial level, on the valuation date for that quarter. The exact coupon barrier level will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the worst-performing index closes at or above its initial level on any quarterly auto-call date beginning on June 20, 2019 and ending on Sept. 20, 2021.

If the final level of the worst-performing index is greater than or equal to its expected final barrier level, 60% of its initial share price, the payout at maturity will be par plus the contingent coupon, if any. Otherwise, investors will lose 1% for each 1% decline of the worst-performing index from its initial level. The exact final barrier level will be set at pricing.

Citigroup Global Markets Inc. is the agent.

The notes (Cusip: 17326YSE7) will price Dec. 20 and settle Dec. 26.

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