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

By Sarah Lizee

Olympia, Wash., Oct. 16 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-floating range accrual securities due Oct. 31, 2033 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% for the first two years. After that, it will accrue at eight times the spread of the 30-year U.S. dollar ICE swap rate minus the two-year U.S. dollar ICE 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 quarterly and cannot be less than zero.

The notes are redeemable at par on any payment 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 Oct. 26 and settle on Oct. 31.

The Cusip number is 17326YT30.

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