Citigroup plans contingent coupon autocallables tied to Russell, ETFs

By Angela McDaniels

Tacoma, Wash., Feb. 7 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Feb. 24, 2023 linked to the worst performing of the Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the iShares MSCI EAFE exchange-traded fund, 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 the rate of 7.6% per year if the worst-performing underlier closes at or above its barrier value, 60% of its initial level, on the valuation date for that quarter.

Beginning in February 2020, the notes will be automatically called at par if the worst-performing underlier closes at or above its initial level on any quarterly potential redemption date.

If the final level of the worst-performing underlier is greater than or equal to its barrier value, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the worst-performing underlier declines from its initial level.

Citigroup Global Markets Inc. is the underwriter.

The notes will price Feb. 19.

The Cusip number is 17326Y3G9.

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