Citigroup alters coupon on callable fixed-to-floating CMS spread notes

By Toni Weeks

San Luis Obispo, Calif., Dec. 9 – Citigroup Inc. adjusted the coupon for its upcoming issue of callable fixed-to-floating leveraged CMS spread notes due Dec. 29, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet.

The interest rate is still expected to be 9.5% for the first year, but beginning Dec 29, 2015, it will be equal to 10 times the modified CMS reference index, which is now the 30-year CMS rate minus the two-year CMS rate less 25 basis points.

When the offering was initially announced, the coupon for the floating-rate portion was expected to be (i) 4 times (ii) the spread of the 30-year CMS rate minus the two-year CMS rate less 55 bps.

The coupon is still subject to a minimum interest rate of zero and a maximum interest rate of 9.5% per year. Interest will be payable quarterly.

The payout at maturity will be par.

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

The notes (Cusip: 1730T03J6) are expected to price on Dec. 23.

Citigroup Global Markets Inc. is the underwriter.

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