Citi to price autocallable contingent coupon notes on index, ETFs

By Sarah Lizee

Olympia, Wash., Oct. 28 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Nov. 3, 2026 linked to the worst performing of the Dow Jones industrial average, the SPDR S&P MidCap 400 ETF trust and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes pay a contingent coupon at an annual rate of 8% if all underlyings close at or above their coupon barriers, 70% of their initial levels, on the valuation date for that quarter.

Beginning in October 2020 and ending in July 2026, the notes will automatically be called at par plus the coupon if all underlyings close at or above their initial levels on any quarterly observation date.

If the notes are not called and all three underlyings finish at or above their 70% barrier levels, investors will receive par plus the final coupon.

Otherwise, investors will be exposed to the losses of the worst performing underlying.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Oct. 29.

The Cusip number is 17327TLS3.

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