Citigroup plans CMS curve range accrual notes linked to two indexes

By Susanna Moon

Chicago, April 9 – Citigroup Inc. plans to price fixed-to-floating CMS curve range accrual notes due April 30, 2035 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year. After that, interest will accrue a contingent rate times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 0.875% for each day that each index closes at or above the 70% index barrier level.

For years two through five, the contingent rate will be 10 times the modified CMS spread and, after that, it will be 20 times the modified CMS spread. The maximum rate will be 10%. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

Citigroup Global Markets Inc. is the agent.

The notes will price on April 27.

The Cusip number is 1730T07K9.

© 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.