Citigroup plans contingent coupon autocallables tied to Valero Energy

By Susanna Moon

Chicago, April 17 – Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due May 12, 2016 linked to Valero Energy Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 8% to 10% if Valero stock closes at or above the barrier level, 75% of the initial price, on the valuation date for that quarter.

The notes will be called at par plus the contingent coupon if Valero shares close at or above the initial level on any quarterly valuation date beginning in August.

If the final share price is greater than or equal to the barrier level, the payout at maturity will be par plus the contingent coupon.

Otherwise, investors will receive a number of Valero shares equal to $1,000 divided by the initial share price or, at the issuer's option, the cash equivalent.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on May 7.

The Cusip number is 1730T07M5.

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