Citigroup plans contingent coupon autocallables linked to three ETFs

By Marisa Wong

Morgantown, W.Va., July 14 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Aug. 1, 2019 linked to the worst performing of the SPDR S&P 500 ETF trust, the SPDR Euro Stoxx 50 ETF and the WisdomTree Japan Hedged Equity Fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Each quarter, the notes pay a contingent coupon at an annualized rate of 7% to 9% if the worst performing fund closes at or above the coupon barrier price, 70% of the initial price, on the valuation date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each fund closes at or above the initial share price on any quarterly valuation date other than the final one.

If the final share price of the worst performing fund is greater than or equal to the 55% barrier price, the payout at maturity will be par plus the contingent coupon, if any. Otherwise, investors will be fully exposed to the decline of the worst performing fund.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on July 29.

The Cusip number is 17324C6V3.

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