Citigroup to price variable-coupon notes linked to 10 stocks

By Toni Weeks

San Luis Obispo, Calif., June 2 – Citigroup Inc. plans to price variable-coupon notes due June 9, 2022 linked to a basket of 10 common stocks, according a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of Adobe Systems Inc., Alibaba Group Holding Ltd., Anadarko Petroleum Corp., Concho Resources Inc., ConocoPhillips, Delphi Automotive plc, Noble Energy, Inc., Qualcomm Inc., Stratasys Ltd. and Yelp Inc.

The notes will pay a coupon each year equal to the greater of (a) the average of the stock performances on the applicable coupon observation date and (b) zero.

If a stock's return is greater than or equal to zero, its performance will be equal to the return cap, which is expected to be 9% to 9.5% and will be set at pricing. Otherwise, its performance will be the greater of the stock return and negative 30%.

The payout at maturity will be par plus the final coupon payment, if any.

The notes (Cusip: 17298CBR8) are expected to price June 3 and settle June 9.

Citigroup Global Markets Inc. is the agent.

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