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Citigroup plans callable leveraged CMS spread, S&P 500-linked notes
By Marisa Wong
Madison, Wis., July 15 – Citigroup Inc. plans to price callable fixed-to-floating-rate leveraged CMS spread range accrual notes contingent on the S&P 500 index due July 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 9% for the first year. After that, it will be (a) 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index’s closing level is greater than or equal to 75% of the initial index level. The interest rate will be subject to a floor of 0% and a cap of 9% per year. Interest is payable quarterly.
The payout at maturity will be par.
The notes will be callable on any coupon payment date beginning July 30, 2015.
Citigroup Global Markets Inc. is the agent.
The notes are expected to price on July 25.
The Cusip number is 1730T0U98.
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