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

By Angela McDaniels

Tacoma, Wash., May 9 – 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 knock-in value, 70% of its initial level, on the valuation date for that quarter. The contingent coupon rate is expected to be 8% to 10% per year and will be set at pricing.

Beginning in December 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 autocall date other than the final one.

The payout at maturity will be par unless the lesser-performing index finishes below its initial level and either index closes below its knock-in value during the life of the notes, in which case investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

Citigroup Global Markets Inc. is the underwriter.

The notes will price May 31.

The Cusip number is 17326YKJ4.

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