Citi eyes callable range accrual fixed-to-floaters on indexes, CMS rates

By Sarah Lizee

Olympia, Wash., Nov. 2 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-floating range accrual securities due Nov. 21, 2038 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

Interest will be fixed at 8.5% for the first year. After that, it will accrue at 8.5 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that the 30-year CMS rate is higher than the two-year CMS rate and each index closes at or above its 60% barrier level. Interest will be payable monthly and cannot be less than zero.

The notes are redeemable at par on any quarterly redemption date after one year.

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

Citigroup Global Markets Inc. is the agent.

The notes will price on Nov. 19 and settle on Nov. 21.

The Cusip number is 17326YQT6.

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