Citi to price contingent coupon autocallables on S&P, Gold Miners ETF

By Emma Trincal

New York, Oct. 29 – Citigroup Global Markets Holdings Inc. plans autocallable contingent coupon equity-linked securities due Nov. 30, 2022 linked to the worst performing of the S&P 500 index and the VanEck Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will pay a contingent monthly coupon at an annualized rate of 8% to 9% per annum if the worst performing underlying closes at or above the coupon barrier, 80% of the initial value, on the valuation date for that period. The exact coupon rate will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each underlying closes at or above its autocall barrier value, 95% of the initial value, on any quarterly autocall date after six months.

If the notes are not called, the payout at maturity will be par unless the worst performing underlying finishes below the 85% buffer value, in which case investors will lose 1% for every 1% that the least performing underlying declines beyond the 15% buffer.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Nov. 24 and settle on Nov. 30.

The Cusip number is 17328WYD4.

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