Citigroup plans autocallable contingent coupon notes on Euro Stoxx 50

By Marisa Wong

Madison, Wis., Sept. 6 - Citigroup Inc. plans to price autocallable contingent coupon notes due Sept. 27, 2018 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes at or above the 70% barrier level on a quarterly valuation date, the notes will pay a coupon at an annualized rate of 5% to 7% for that quarter. Otherwise, no coupon will be paid that quarter. The exact rate will be set at pricing.

If the index closes at or above the initial level on any valuation date beginning Sept. 24, 2015, other than the final valuation date, the notes will be called at par plus the coupon.

If the notes have not been called and the index finishes at or above the barrier level, the payout at maturity will be par plus the coupon. Otherwise, investors will be fully exposed to losses.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price on Sept. 24 and settle three business days later.

The Cusip number is 1730T0UZ0.

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