Citigroup eyes callable contingent coupon linked to three indexes

By Sarah Lizee

Olympia, Wash., May 15 – Citigroup Global Markets Holdings Inc. plans to price callable contingent coupon equity-linked securities due May 24, 2021 linked to the worst performing of the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each month, the notes will pay a contingent coupon at an annualized rate of 16.5% if the notes close at or above the coupon barrier, 70% of the initial level, on the related observation date.

The notes will be callable in whole at par plus any coupon due on any monthly call date, starting Aug. 19.

If each asset finishes at or above its initial level, the payout will be par.

If either asset finishes below its initial level but during the life of the notes never closed below 60% of its initial level, the payout will be par.

If either asset finishes below its initial level and during the life of the notes ever closed below 60% of its initial level, investors will be fully exposed to the decline of the lesser performing index.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on May 19.

The Cusip number is 17328VMG2.

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