New Issue: Citigroup prices $3.31 million contingent coupon autocallables linked to ETF, indexes

By Angela McDaniels

Tacoma, Wash., May 22 – Citigroup Inc. priced $3.31 million of autocallable contingent coupon equity-linked securities due June 3, 2020 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 9.5% if the worst-performing underlying component closes at or above its barrier level, 75% of its initial level, on the valuation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if the worst-performing underlying component closes at or above its initial level on any quarterly valuation date.

If the final level of the worst-performing underlying component is greater than or equal to its barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the worst-performing underlying component.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Inc.
Issue:	Autocallable contingent coupon equity-linked securities
Underlying components:	S&P 500 index, Russell 2000 index and iShares MSCI EAFE exchange-traded fund
Amount:	$3,305,000
Maturity:	June 3, 2020
Coupon:	Each quarter, notes pay contingent coupon at an annualized rate of 9.5% if worst-performing underlying component closes at or above barrier level on valuation date for that quarter
Price:	Par
Payout at maturity:	If final level of worst-performing underlying component is greater than or equal to barrier level, par plus contingent coupon; otherwise, full exposure to decline of worst-performing underlying component
Call:	Automatically at par plus contingent coupon if worst-performing underlying component closes at or above initial level on any quarterly valuation date
Initial levels:	2,123.48 for S&P 500, 1,254.357 for Russell 2000 and $67.41 for ETF
Barrier levels:	1,592.610 for S&P 500, 940.768 for Russell 2000 and $50.558 for ETF; 75% of initial levels
Pricing date:	May 27
Settlement date:	May 29
Underwriter:	Citigroup Global Markets Inc.
Fees:	2.35%
Cusip:	17298CBD9

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