Citigroup plans to price geared buffer notes linked to S&P 500

By Marisa Wong

Madison, Wis., Feb. 1 - Citigroup Funding Inc. plans to price geared buffer securities due March 2, 2017 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 110% to 115% of the index return, with the exact participation rate set at pricing.

Investors will receive par for losses up to 20% and will share in losses at a rate of 1.25% per 1% drop beyond 20%.

The notes (Cusip: 1730T0RQ4) are expected to price Feb. 25 and settle three days later.

Citigroup Global Markets Inc. is the underwriter.

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