Citigroup plans contingent coupon autocallables tied to S&P, Russell

By Sarah Lizee

Olympia, Wash., May 8 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Dec. 3, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 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 if the lesser-performing index closes at or above its barrier value, 70% of its initial level, on the valuation date for that quarter. The contingent coupon is expected to be between 6.05% and 8.05% per year and will be set at pricing.

Beginning in November 2019, the notes will be automatically called at par if the lesser-performing index closes at or above its initial level on any quarterly potential redemption date.

A knock-in event will occur if on any day during the life of the notes either index falls below its barrier value.

If both indexes finish above their initial levels, the payout at maturity will be par.

If either index finishes below its initial level and a knock-in event has not occurred, the payout will be par.

If either index finishes below its initial level and a knock-in event has occurred, investors will be fully exposed to the decline of the lesser performing index.

Citigroup Global Markets Inc. is the underwriter.

The notes will price May 28.

The Cusip number is 17326YS23.

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