Citigroup plans contingent income callable notes linked to indexes

By Sarah Lizee

Olympia, Wash., May 21 – Citigroup Global Markets Holdings Inc. plans to price contingent income callable securities due May 27, 2022 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 9.4% per year if each index closes at or above its coupon barrier level, 75% of its initial index level, on every trading day during that quarter.

The notes will be callable at par quarterly.

If each index finishes at or above its downside threshold level, 65% of its initial level, the payout at maturity will be par. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.

Citigroup Global Markets Holdings Inc. is the underwriter. Morgan Stanley Wealth Management is a dealer.

The notes will price May 24.

The Cusip number is 17326Y6X9.

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