Citigroup to price CMS spread range accrual notes linked to indexes

By Angela McDaniels

Tacoma, Wash., March 7 – Citigroup Global Markets Holdings Inc. plans to price callable fixed to float CMS spread range accrual securities due March 29, 2034 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The interest rate will be 8% for the first year. After that, the interest rate will be the contingent rate multiplied by the proportion of days on which each index closes at or above its accrual barrier level, 70% of its initial level. The contingent rate will be 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, subject to a minimum of zero and a maximum of 10% per year. Interest will be payable quarterly.

If the least-performing index finishes at or above its final barrier level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.

Beginning March 30, 2020, the notes will be callable at par on any interest payment date.

Citigroup Global Markets Inc. is the underwriter.

The notes will price March 27.

The Cusip number is 17326YVR4.

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