Citigroup plans autocallable notes linked to Euro Stoxx, Russell 2000

By Susanna Moon

Chicago, Feb. 20 - Citigroup Inc. plans to price autocallable securities due March 6, 2017 linked to the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized premium of 12.5% if each underlying index closes at or above its premium threshold level on any review date. The premium threshold level will be 100% of the initial level in 2015, 95% of the initial level in 2016 and 90% of the initial level in 2017.

If the worse performing index finishes at or above premium threshold level, the payout at maturity will be par plus the premium.

If the worse performing index finishes below the premium threshold level but at or above the 75% trigger level, the payout will be par.

Otherwise, investors will be exposed to any losses.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Feb. 26.

The Cusip number is 1730T0K65.

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