Citigroup plans buffered digital notes due 2020 linked to S&P, Russell

By Toni Weeks

San Luis Obispo, Calif., July 8 – Citigroup Inc. plans to price 0% buffered digital securities due July 15, 2020 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the worst-performing index finishes at or above its initial level, the payout at maturity will be par plus the greater of the return of that index and a digital return of at least 63%. The exact digital return will be set at pricing.

If the worst-performing index falls by up to 10%, the payout will be par. If it falls by more than 10%, investors will lose 1% for each 1% loss beyond the 10% buffer.

The notes will price July 10.

The Cusip number is 17298CCW6.

Citigroup Global Markets Inc. is the underwriter.

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