Citi plans 7.05% contingent coupon autocallables tied to index, funds

By Susanna Moon

Chicago, Feb. 14 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity-linked securities due Feb. 22, 2022 linked to the worse performing of the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund 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 annualized rate of 7.05% if each underlying component closes at or above its 60% coupon barrier on the valuation date for that quarter.

The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly valuation date after one year.

The payout at maturity will be par plus the contingent coupon unless any underlying component finishes below its 60% barrier level, in which case investors will be fully exposed to any losses of the worst performing component.

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Feb. 16.

The Cusip number is 17324CRM0.

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