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Citi plans callable fixed-to-float CMS spread range accrual notes on indexes
By Sarah Lizee
Olympia, Wash., May 15 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-float CMS spread range accrual securities due May 29, 2035 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 10% for the first two years. After that, it will accrue at a rate of 10% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 70% coupon barrier, payable quarterly.
After one year, the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus any coupon due if each index closes above 60% of its initial level.
Otherwise, investors will be fully exposed to the losses of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
The notes will price on May 22.
The Cusip number is 17328VRF9.
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