Citi plans CMS spread range accrual callables tied to three indexes

By Susanna Moon

Chicago, May 1 – Citigroup Global Markets Holdings Inc. plans to price callable barrier leveraged CMS spread range accrual securities due May 30, 2038 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be fixed at 10% for the first two years. Beginning May 30, 2020, the rate will accrue at 12 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above the 50% coupon barrier, up to a maximum rate of 10%. Interest will be payable monthly and cannot be less than zero.

The notes are callable at par on any quarterly review date after two years.

The payout at maturity will be par unless any index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on May 24.

The Cusip number is 17324CUT1.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.