Citigroup plans geared buffer securities linked to MidCap ETF, S&P 500

By Angela McDaniels

Tacoma, Wash., Jan. 31 - Citigroup Inc. plans to price 0% geared buffer securities due Feb. 17, 2017 linked to a basket that includes the S&P 500 index with an 80% weight and the SPDR S&P MidCap 400 ETF trust with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return, subject to a maximum return that is expected to be 30% to 35% and will be set at pricing.

If the basket level declines by 15% or less, the payout will be par.

If the basket level declines by more than 15%, the payout will be (a) $1,000 multiplied by (b) 1.1765 multiplied by (c) the quotient of the final basket level divided by the initial basket level.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price Feb. 14.

The Cusip number is 1730T0H44.

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