Citigroup to price buffer securities linked to S&P 500, two ETFs

By Toni Weeks

San Luis Obispo, Calif., March 13 - Citigroup Inc. plans to price 0% buffer securities due March 28, 2019 linked to a basket that includes the S&P 500 index with a 60% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight and the iShares MSCI Emerging Markets ETF with a 15% 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 at least 46% and will be set at pricing. Investors will receive par if the basket declines by 30% or less and will lose 1% for every 1% that it declines beyond 30%.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price March 25.

The Cusip number is 1730T0M22.

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