Citigroup to price contingent absolute return notes on S&P 500 index

By Sarah Lizee

Olympia, Wash., Nov. 6 – Citigroup Global Markets Holdings Inc. plans to price 0% contingent absolute return market-linked notes due Nov. 12, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the upside knock-out level or less than the downside knock-out level, the payout will be par.

If the final index level is less than or equal to the upside knock-out level but greater than or equal to the initial index level, the payout will be par plus the index return.

If the final index level is less than the initial index level but greater than or equal to the downside knock-out level, the payout will be par plus the absolute value of the index return.

The upside knock-out level is expected to be 129% of the initial index level and the downside knock-out level is expected to be 71%.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on Nov. 9.

The Cusip number is 17326YS49.

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