Citigroup to price trigger autocallable optimization notes on S&P 500

By Marisa Wong

Madison, Wis., March 21 - Citigroup Inc. plans to price 0% trigger autocallable optimization securities due March 31, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call return of 6% per year if the index closes at or above the initial index level on any quarterly observation date.

If the notes are not called and the index finishes at or above the trigger level, 84% to 85% of the initial level, the payout at maturity will be par. Otherwise, investors will be exposed to the index's decline from its initial level.

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

The notes will price on March 27 and settle on March 31.

The Cusip number is 17321F144.

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