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Citi eyes callable range accrual fixed-to-floaters on indexes, CMS rates
By Sarah Lizee
Olympia, Wash., Dec. 4 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-floating range accrual securities due Dec. 26, 2033 linked to the worst 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 are guaranteed by Citigroup Inc.
Interest will be fixed at 8% for the first year. After that, interest will accrue at a rate of 8% 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 60% coupon barrier, payable quarterly.
The notes are redeemable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.
Citigroup Global Markets Inc. is the agent.
The notes will price on Dec. 20.
The Cusip number is 17326Y4K9.
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