New Issue: Citigroup prices $5.47 million buffer securities linked to basket of indexes, ETFs

By Toni Weeks

San Luis Obispo, Calif., Aug. 5 – Citigroup Inc. priced $5.47 million of 0% buffer securities due Jan. 19, 2017 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the S&P 500 index with a 60% weight, the iShares MSCI EAFE ETF with a 25% weight, the Russell 2000 index with a 10% weight and the iShares MSCI Emerging Markets ETF with a 5% weight.

If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum return of 11.1%. Investors will receive par if the basket falls by 10% or less and will lose 1% for every 1% that it declines beyond 10%.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Inc.
Issue:	Buffer securities
Underlying basket:	S&P 500 index (60% weight), iShares MSCI EAFE ETF (25% weight), Russell 2000 index (10% weight) and iShares MSCI Emerging Markets ETF (5% weight)
Amount:	$5,466,000
Maturity:	Jan. 19, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times the basket return, capped at 11.1%; par if basket falls by 10% or less; exposure to losses beyond 10% buffer
Initial levels:	2,098.04 for S&P 500, $64.61 for iShares MSCI EAFE, 1,231.79 for Russell, $36.50 for iShares MSCI EM
Pricing date:	Aug. 3
Settlement date:	Aug. 6
Underwriter:	Citigroup Global Markets Inc.
Fees:	0.6%
Cusip:	17298CDF2

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