New Issue: Citigroup prices $668,000 airbag return optimization notes tied to Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Feb. 27 - Citigroup Inc. priced $668,000 of 0% airbag return optimization securities due Feb. 28, 2017 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 150% of the return, subject to a maximum return of 36%.

Investors will receive par for losses up to 15% and will lose 1.1765% per 1% decline beyond 15%.

Citigroup Global Markets Inc. and UBS Financial Services Inc. are the agents.

Issuer:	Citigroup Inc.
Issue:	Airbag return optimization securities
Underlying index:	Russell 2000
Amount:	$668,000
Maturity:	Feb. 28, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 150% of any index gain, capped at 36%; par if index falls by up to 15% and 1.1765% loss per 1% decline beyond 15%
Initial level:	1,173.95
Trigger level:	85% of initial level
Pricing date:	Feb. 25
Settlement date:	Feb. 28
Agents:	Citigroup Global Markets Inc. (lead) and UBS Financial Services Inc.
Fees:	None
Cusip:	17321F268

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