Citigroup plans trigger contingent yield notes linked to three indexes

By Angela McDaniels

Tacoma, Wash., March 14 – Citigroup Global Markets Holdings Inc. plans to price trigger callable contingent yield notes with daily coupon observation due Sept. 20, 2022 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Proceeds will be used to finance or refinance loans and/or investments made by Citigroup for assets or projects that meet its green bond eligibility criteria.

Eligible project categories include renewable energy, energy efficiency, water quality and conservation, sustainable transportation and green building.

Excluded are large-scale hydropower plants, nuclear power plants and fossil fuel projects.

The notes will be guaranteed by Citigroup Inc.

Each quarter, the notes will pay a contingent coupon if each index’s closing level remains at or above its coupon barrier, 70% of its initial level, on each day during that quarter. The contingent coupon rate is expected to be at least 9% per year and will be set at pricing.

The notes will be redeemable at par of $10 on any quarterly observation date prior to maturity.

If the notes are not called and each index finishes at or above its downside threshold, 55% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.

Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.

The notes will price March 18.

The Cusip number is 17326W605.

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