Citigroup plans CMS spread range accrual notes linked to three indexes

By Angela McDaniels

Tacoma, Wash., Feb. 28 – Citigroup Global Markets Holdings Inc. plans to price callable fixed to float range accrual securities due March 15, 2029 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 7.25% for the first year. After that, the interest rate will be 7.25% per year multiplied by the proportion of days on which each index closes at or above its barrier level, 60% of its initial level, and the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is greater than zero. Interest will be payable quarterly.

If the least-performing index finishes at or above its barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.

Beginning in March 2020, the notes will be callable at par on any interest payment date.

Citigroup Global Markets Inc. is the underwriter.

The notes will price March 12.

The Cusip number is 17326YGJ9.

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