Citigroup plans 18.35% contingent coupon autocalls on index, fund

By Susanna Moon

Chicago, July 30 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity linked securities due Aug. 4, 2023 linked to the worse performing of the Euro Stoxx Banks index and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 18.35% if each underlying asset closes at or above its 80% coupon barrier on each trading day for that quarter.

The notes are called at par if each asset closes at or above its initial level on any determination date after six months.

The payout at maturity will be par unless either underlying asset closes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index or fund.

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Aug. 1.

The Cusip number is 17324CYS9.

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