Citigroup plans leveraged CMS curve and S&P 500-linked notes

By Marisa Wong

Madison, Wis., July 31 – Citigroup Inc. plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Aug. 29, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first year. Beginning Aug. 29, 2015, it will be (a) 4.5 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 10% per year. Interest is payable quarterly.

The payout at maturity will be par.

Beginning Aug. 29, 2015, the notes will be callable at par on any interest payment date.

Citigroup Global Markets Inc. is the underwriter. Morgan Stanley & Co. LLC is a dealer.

The notes are expected to price Aug. 26 and settle three business days later.

The Cusip number is 1730T0V89.

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