Citigroup to price contingent coupon autocallables on Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Feb. 25 – Citigroup Inc. plans to price autocallable contingent coupon equity-linked securities due March 19, 2020 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent semiannual coupon at an annualized rate of 5% to 5.25% if the index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that interest period. The exact contingent coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if the index closes at or above the initial level on any semiannual valuation date after two years.

If the notes are not called and the index finishes at or above the 70% barrier level, the payout at maturity will be par plus the last coupon. Otherwise, investors will be fully exposed to the index decline from its initial level.

The notes (Cusip: 1730T05N5) are expected to price March 16 and settle three business days later.

Citigroup Global Markets Inc. is the underwriter.

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