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Citi plans callable fixed-to-float CMS spread range accrual notes on Dow, Stoxx Banks
By Sarah Lizee
Olympia, Wash., Jan. 24 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-float CMS spread range accrual securities due Jan. 31, 2035 linked to the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filed with the Securities and Exchange Commission.
The interest rate will be 8% for the first three years, then will accrue at 50 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, 60% of the initial index level, subject to a maximum of 8% and a floor of zero. Interest will be payable quarterly.
The payout at maturity will be par unless either index falls by more than 40%, in which case investors will be exposed to the worse-performing index’s decline from its initial level.
Beginning Jan. 31, 2021, the notes will be callable at par on any interest payment date.
Citigroup Global Markets Inc. is the agent.
The notes will be guaranteed by Citigroup Inc.
The notes will price Jan. 28.
The Cusip number is 17327TY83.
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