Citigroup plans buffered participation securities linked to S&P 500

By Marisa Wong

Madison, Wis., Nov. 19 - Citigroup Inc. plans to price 0% buffered participation securities due Dec. 3, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus the index return, capped at 10%.

If the index falls by up to the buffer amount, which will be at least 16% and will be set at pricing, the payout will be par.

If the index falls by more than the buffer amount, investors will lose 1% for every 1% decline beyond the buffer.

The notes (Cusip: 17321F532) are expected to price Nov. 29.

Citigroup Global Markets Inc. is the agent.

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