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Citi plans callable dual range accrual notes on S&P, CMS rates
By Sarah Lizee
Olympia, Wash., Feb. 20 – Citigroup Global Markets Holdings Inc. plans to price callable dual range accrual notes due Feb. 26, 2035 linked to the 30-year constant maturity swap rate, the two-year constant maturity swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
For each quarterly interest period, interest will accrue at a variable rate per year equal to the product of (a) 4.5% and (b) the number of days in the applicable interest period on which (i) the difference between the 30-year rate and the two-year rate is greater than or equal to the 0% accrual barrier and (ii) the closing level on any day of the of the index is greater than or equal to 75% of the starting value.
In no event will the interest rate be greater than 4.5% or less than 0%.
The payout at maturity will be par of $1,000 plus any coupon due.
The notes will be callable at par on any interest payment date after one year.
Citigroup Global Markets Inc. is the underwriter.
The notes will price on Feb. 21.
The Cusip number is 17327TG34.
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