Citi eyes autocallable contingent coupon notes linked to two stocks

By Sarah Lizee

Olympia, Wash., March 25 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due April 16, 2020 linked to the worst performing of the common stocks of JPMorgan Chase & Co. and Bank of America Corp., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

Each quarter, the notes will pay a contingent coupon at an annualized rate of between 8% and 9% if both stocks close at or above the coupon barrier price, 80% of the initial price, on the valuation date for that quarter. The exact rate will be set at pricing.

Beginning in July 2019 and ending in January 2020, the notes will be automatically called at par of $1,000 plus the contingent coupon if both stocks close at or above their initial prices on a quarterly valuation date.

If the final price of the worse performing stock is greater than or equal to the final barrier price, 80% of the initial price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will receive a fixed number of shares of the worst performing underlying equal to its equity ratio, which is the principal amount divided by its initial value, or the cash value of those shares.

Citigroup Global Markets Inc. is the underwriter.

The notes (Cusip: 17324XMP2) are expected to price on April 11.

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