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Citigroup plans leveraged callable CMS curve-linked notes due 2029
By Marisa Wong
Madison, Wis., Oct. 6 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Oct. 31, 2029 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 will be 9% for the first year. Beginning Oct. 31, 2015, the interest rate will be four times the modified reference spread, subject to a minimum interest rate of 0% and a maximum interest rate of 9% per year. The modified reference spread is the 30-year CMS rate minus the two-year CMS rate minus 25 basis points. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning Oct. 31, 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 on Oct. 28.
The Cusip number is 1730T02D0.
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