Citigroup plans to price 20-year leveraged callable CMS curve notes

By Toni Weeks

San Luis Obispo, Calif., June 23 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due July 22, 2035, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first year. After that, interest will be 15 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 87.5 basis points, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes will be callable at par on any interest payment date after one year.

The notes (Cusip: 17298CCL0) are expected to price July 17.

Citigroup Global Markets Inc. is the underwriter.

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