Citi plans to price autocallable contingent coupon notes on indexes

By Sarah Lizee

Olympia, Wash., March 14 – Citigroup Global Markets Holdings Inc. plans to price autocallable contingent coupon equity linked securities due April 2, 2024 linked to the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The notes will pay a contingent quarterly coupon at an annualized rate of 6.7% to 7% if each index closes at or above its coupon barrier, 75% of its initial level, on the valuation date for that quarter.

Beginning in September, the notes will be automatically called at par plus the contingent coupon if both indexes close at or above their initial levels on any quarterly valuation date.

If the notes are not called and the final level of each index is greater than or equal to its 75% final barrier level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the worse performing index.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on March 28.

The Cusip number is 17326YPY6.

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