Citigroup plans 18- to 21-month buffered notes tied to S&P 500 index

By Marisa Wong

Morgantown, W.Va., May 10 – Citigroup Inc. plans to price 0% 18- to 21-month buffered notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 300% of any index gain, up to a maximum settlement amount expected to be between $1,108 and $1,126 for each $1,000 of notes.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The exact deal terms, including the maturity and cap, will be set at pricing.

Citigroup Global Markets Inc. is the agent.

The notes (Cusip: 17298CEM6) are expected to price on May 13.

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