Citigroup plans autocallable securities on Euro Stoxx, Russell 2000

By Jennifer Chiou

New York, Feb. 5 - 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 automatically called at par plus a redemption premium that is expected to be 13.25% per year if each underlying index closes at or above its premium threshold level on any of three review dates beginning on Feb. 25, 2015. The premium threshold level is expected to 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 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 75% trigger level, the underlying return will equal zero. Otherwise, the underlying return will equal the index return.

The exact terms will be set at pricing.

The notes (Cusip: 22547QF35) are expected to price on Feb. 25.

Citigroup Global Markets Inc. is the underwriter.

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