Citi to price callable range accrual notes on indexes, CMS rates

By Sarah Lizee

Olympia, Wash., June 7 – Citigroup Global Markets Holdings Inc. plans to price callable range accrual notes due June 26, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be 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 62.5% coupon barrier, payable quarterly.

The notes will be callable at par on any quarterly redemption date after one year.

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

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on June 21.

The Cusip number is 17326Y6M3.

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