Citigroup plans 15-year CMS spread range accrual notes on S&P, Russell

New York, July 13 – Citigroup Global Markets Holdings Inc. plans to price callable barrier leveragd CMS spread range accrual notes due July 29, 2032 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Citigroup Inc. will guarantee the notes.

The coupon for the first three months will be fixed at 10% to 10.25%. The exact level will be set at pricing.

After three months, the coupon will be a quarterly amount equal to 10 times the spread between the 30-year CMS rate and the two-year CMS rate, capped at 11% to 12% and with a floor of 0%, multiplied by the proportion of days on which both indexes stay at or above their accrual barrier, 60% of their initial level. The cap will be set at pricing.

The payout at maturity will be par unless either index closes below its 60% final barrier level, in which case investors will be exposed to the loss of the worse performing index.

The notes will be callable at par on any interest payment date starting on July 30, 2018.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on July 25 and settle three business days later.

The Cusip is 17324CL61.

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