Citi plans barrier range accrual floaters tied to S&P, Russell, Stoxx

By Susanna Moon

Chicago, Aug. 13 – Citigroup Global Markets Holdings Inc. plans to price callable barrier floating-rate range accrual securities due Aug. 31, 2028 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 accrue at an annual rate equal to the 30-year Constant Maturity Swap rate plus 400 basis points for each day that each index closes at or above the 60% coupon barrier. Interest will be payable quarterly and cannot be less than zero.

The notes will be callable on any interest payment 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 any losses.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on Aug. 28.

The Cusip number is 17324CZA7.

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