Citigroup plans market-linked notes with averaging linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 5 – Citigroup Inc. plans to price 0% market-linked notes due May 29, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The average index return will be the average of the index’s returns on the 24th day of each February, May, August and November during the term of the notes. Each return will be measured in comparison to the index’s closing level on the pricing date.

If the average index return is greater than zero, the payout at maturity will be par plus 85% to 95% of the average index return. If the average index return is less than or equal to zero, the payout will be par. The exact upside participation rate will be set at pricing.

Citigroup Global Markets Inc. is the agent.

The notes are expected to price Nov. 24.

The Cusip number is 1730T03C1.

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