Citi to price callable range accrual notes on indexes, CMS rates

By Wendy Van Sickle

Columbus, Ohio, July 12 – Citigroup Global Markets Holdings Inc. plans to price callable range accrual notes due July 31, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at an initial rate of 7.5% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 70% coupon barrier, payable quarterly. The rate will step up to 8.5% on July 31, 2024 and to 10% on July 31, 2029.

The notes will be callable at par on any quarterly redemption 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 the decline of the worse performing index.

The notes will be guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the agent.

The notes will price on July 29.

The Cusip number is 17327TKL9.

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