Citigroup plans 20-year callable fixed-to-floating CMS spread notes

By Toni Weeks

San Luis Obispo, Calif., May 4 – Citigroup Inc. plans to price leveraged callable fixed-to-floating CMS spread notes due May 28, 2035 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is expected to be 10% for the first year. Beginning May 28, 2016, it will be 10 times the modified CMS reference index, subject to a maximum rate of 10% and a minimum rate of zero. The modified CMS reference index is equal to the spread of the 30-year CMS rate minus the two-year CMS rate less 87.5 basis points. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning May 28, 2016, the notes will be callable at par on any interest payment date.

The notes (Cusip: 17298CAR9) are expected to price May 22.

Citigroup Global Markets Inc. is the underwriter.

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