Citigroup plans barrier leveraged CMS range accrual notes on indexes

By Tali Rackner

Minneapolis, July 14 – Citigroup Global Markets Holdings Inc. plans to price callable barrier leveraged CMS spread range accrual securities due July 30, 2037 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The interest rate will be fixed at 12% to 12.25% per year for the first year and will be set at pricing. After that, interest will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above its 67.5% accrual barrier level, up to a maximum rate of 12% to 13% per year. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below the 50% final barrier level, in which case investors will share fully in losses of the lesser-performing index.

The notes will be callable at par on any interest payment date after one year.

Citigroup Global Markets Inc. is the agent.

The notes will price on July 26.

The Cusip number is 17324CKW5.

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