New Issue: Citigroup prices $800,000 buffer securities linked to S&P 500, two ETFs

By Angela McDaniels

Tacoma, Wash., June 10 – Citigroup Inc. priced $800,000 of 0% buffer securities due June 11, 2019 linked to a basket that includes the S&P 500 index with a 60% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight and the iShares MSCI Emerging Markets ETF with a 15% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return, subject to a maximum return of 42%. Investors will receive par if the basket declines by 25% or less and will lose 1% for every 1% that it declines beyond 25%.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Inc.
Issue:	Buffer securities
Underlying basket:	S&P 500 index (60% weight), iShares MSCI EAFE exchange-traded fund (25% weight) and iShares MSCI Emerging Markets ETF (15% weight)
Amount:	$800,000
Maturity:	June 11, 2019
Coupon:	0%
Price:	Par
Payout at maturity:	If final basket level is greater than initial basket level, par plus basket return, subject to 42% maximum return; par if basket declines by 25% or less; 1% loss for every 1% that basket declines beyond 25%
Initial levels:	1,949.44 for S&P 500; $70.22 for iShares MSCI EAFE; $43.56 for iShares MSCI Emerging Markets
Pricing date:	June 6
Settlement date:	June 11
Underwriter:	Citigroup Global Markets Inc.
Fees:	1.5%
Cusip:	1730T0M22

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