Citigroup to price autocallable securities due 2024 on S&P, Dow

By Sarah Lizee

Olympia, Wash., May 20 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable securities due May 28, 2024 linked to the worst performing of the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will be automatically redeemed after one year for par plus an annual premium if on an annual valuation date the worst performing index closes at or above its initial value. The annual premium is expected to be 8.9%.

The payout at maturity will be par plus the applicable final premium, 44.5%, if both indexes finish at or above their initial values.

If the worst performing index finishes at less than its initial value but above the 50% trigger value, the payout will be par. Otherwise, investors will be fully exposed to the losses of the worst performing index.

Citigroup Global Markets Inc. is the underwriter.

The notes will price May 22.

The Cusip number is 17326YJ64.

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