Citigroup plans five-year buffer securities linked to index basket

By Susanna Moon

Chicago, Feb. 10 – Citigroup Inc. plans to price 0% buffer securities due March 2, 2020 linked to a basket of four equally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying components are the Hang Seng China Enterprises index, Hang Seng index, MSCI Taiwan index and Korea Stock Price Index 200.

The payout at maturity will be par plus 100% to 110% of any basket gain, with the exact participation rate to be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on Feb. 26.

The Cusip number is 1730T04R7.

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