Citi plans barrier autocallables linked to Energy Select Sector fund

By Angela McDaniels

Tacoma, Wash., April 8 – Citigroup Global Markets Holdings Inc. plans to price 0% autocallable barrier securities due April 23, 2018 linked to the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will be automatically called at par plus 15% if the fund closes at or above the autocall threshold price, 110% of the initial share price, on April 18, 2017.

If the notes are not called and the final share price is greater than the initial share price, the payout at maturity will be par plus 300% of the fund return, subject to a maximum return that is expected to be 42% to 46% and will be set at pricing.

If the final share price is less than or equal to the initial share price but greater than or equal to the barrier price, 80% of the initial share price, the payout will be par.

If the final share price is less than the barrier price, the payout will be a number of fund 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 will price April 18.

The Cusip number is 17324C2S4.

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