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

By Marisa Wong

Morgantown, W.Va., Sept. 8 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Sept. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first year. After that, it will be the leverage factor times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate minus 87.5 basis points, up to a maximum rate of 10% per year.

From Sept. 30, 2016 to Sept. 30, 2025 the leverage factor will be 10, from Sept. 30, 2025 to Sept. 30, 2030 the leverage factor will be 15, and from Sept. 30, 2030 to maturity the leverage factor will be 20. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes will be callable at par on any coupon payment date beginning Sept. 30, 2016.

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

The notes will price on Sept. 25.

The Cusip number is 1730T3AX1.

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