Citigroup plans autocallable contingent coupon notes tied to Celgene

By Angela McDaniels

Tacoma, Wash., June 5 - Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due December 2014 linked to the common stock of Celgene Corp., according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a quarterly contingent coupon at an annualized rate of 10.8% to 11.8% if Celgene stock closes at or above the downside threshold price, 75% of the initial price, on the valuation date for that quarter. Otherwise, no coupon will be paid that quarter. The exact interest rate will be set at pricing.

If the closing share price is greater than or equal to the initial price on any of the first five quarterly valuation dates, the notes will be automatically called at par plus the contingent coupon.

If the final share price is greater than or equal to the downside threshold price, the payout at maturity will be par plus the last coupon. Otherwise, investors will receive a number of Celgene shares equal to $1,000 divided by the initial share price or, at the issuer's option, an amount in cash equal to the value of those shares.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price June 24 and settle three business days later.

The Cusip number is 1730T0TR0.

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