Citigroup to price autocallable securities linked to three indexes

By Toni Weeks

San Luis Obispo, Calif., June 16 – Citigroup Inc. plans to price 0% autocallable securities due July 12, 2018 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized redemption premium of 8% to 10% if each underlying index closes at or above its premium threshold level, 90% of its initial level, on either of two annual observation dates occurring in July of 2016 and 2017. The exact redemption premium will be set at pricing.

If the notes have not been called and each index finishes at or above its 90% premium threshold level, the payout at maturity will be par plus the premium.

If the worst-performing index finishes below the premium threshold level but greater than or equal to its trigger level, 70% of the initial level, the payout will be par.

If the worst-performing index finishes below the 70% trigger level, investors will receive par plus the return of the worst-performing index, with full exposure to losses.

The notes (Cusip: 17298CCK2) will price July 1.

Citigroup Global Markets Inc. is the underwriter.

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