Citigroup plans buffered return optimization notes on SPDR ETF basket

By Toni Weeks

San Luis Obispo, Calif., July 22 - Citigroup Inc. plans to price 0% buffered return optimization securities due Jan. 30, 2015 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the Industrial Select Sector SPDR fund, the Financial Select Sector SPDR fund and the SPDR S&P Homebuilders ETF.

The payout at maturity will be par plus double any gain in the basket, subject to a maximum return of 14.5% to 17%. The exact maximum return will be set at pricing. Investors will receive par if the basket declines by up to 5% and will lose 1% for every 1% that it declines beyond 5%.

The notes (Cusip: 173095191) are expected to price July 24 and settle three business days later.

Citigroup Global Markets Inc. will be the underwriter, and UBS Financial Services Inc. is the dealer.

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