Citigroup plans CMS curve, S&P 500-linked range accrual notes

By Jennifer Chiou

New York, Oct. 20 – Citigroup Inc. plans to price fixed-to-floating CMS curve and S&P 500 index-linked range accrual notes due Oct. 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 9% per year until Oct. 31, 2015. After that, interest will accrue at four times the 30-year Constant Maturity Swap rate is greater than the two-year CMS rate for each day the index closes at or above the 70% index barrier level. Interest is payable quarterly and cannot be less than zero nor greater than 10%.

The payout at maturity will be par.

The notes (Cusip: 1730T02P3) will price on Oct. 28 and settle on Oct. 31.

Citigroup Global Markets Inc. is the agent.

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