Citigroup to price barrier leveraged CMS spread range accrual notes

By Angela McDaniels

Tacoma, Wash., Nov. 6 – Citigroup Global Markets Holdings Inc. plans to price callable barrier leveraged CMS spread range accrual securities due Nov. 22, 2032 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 17.5% for the first year. Beginning in November 2018, the interest rate will be the contingent rate multiplied by the proportion of days on which each index closes at or above its accrual barrier level, 75% of its initial level. The contingent rate will be 9.5 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, subject to a minimum of zero and a maximum of 10% per year. Interest will be payable quarterly.

If the worst-performing index finishes at or above its barrier level, 75% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the worst-performing index declines from its initial level.

Beginning Nov. 23, 2018, the notes will be callable at par on any interest payment date.

Citigroup Global Markets Inc. is the underwriter.

The notes will price Nov. 20.

The Cusip number is 17324CP34.

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