Citigroup plans contingent coupon autocallables linked to two indexes

By Sarah Lizee

Olympia, Wash., Aug. 23 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due March 2, 2023 linked to the least performing of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each six months, the notes pay a contingent coupon at the rate of 6% to 7% per year if the least-performing index closes at or above its coupon barrier value, 77% of its initial level, on the valuation date for that period.

Beginning in August 2020, the notes will be automatically called at par if the least-performing index closes at or above its initial level on any semiannual potential autocall date.

The payout at maturity will be par unless the least-performing index finishes below its final barrier value, 77% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Aug. 27.

The Cusip number is 17327TGU4.

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