Citigroup plans autocallable securities tied to FTSE 100, Russell 2000

By Marisa Wong

Madison, Wis., Jan. 2 – Citigroup Inc. plans to price 0% autocallable securities due Feb. 1, 2018 linked to the FTSE 100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a redemption premium of 11.9% per year if each underlying index closes at or above its premium threshold level on any of three annual review dates beginning on Jan. 27, 2016. The premium threshold level is 100% of the initial level in 2016, 95% of the initial level in 2017 and 90% of the initial level in 2018.

If the notes are not called, the payout at maturity will be par plus the underlying return of the lower-performing index. If that index finishes at or above its premium threshold level, the return will be par plus the premium. If that index finishes below its initial level but at or above the 80% trigger level, the underlying return will equal zero. Otherwise, the underlying return will equal the index return.

Citigroup Global Markets Inc. is the agent.

The notes are expected to price on Jan. 27.

The Cusip number is 1730T03X5.

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