Citigroup plans buffered notes with leveraged upside on MSCI EM fund

By Susanna Moon

Chicago, Feb. 10 – Citigroup Inc. plans to price 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Sept. 5, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $1,000 plus 150% of any fund gain, up to a maximum return of 18% to 23%. The exact cap will be set at pricing.

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

Citigroup Global Markets Inc. is the lead agent, with Wells Fargo Securities, LLC as agent.

The notes will price on Feb. 29.

The Cusip number is 17298C7K8.

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