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

New York, Oct. 2 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Oct. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 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 and with a floor of zero.

From issuance up to but excluding Oct. 30, 2025, the leverage factor will be 15 and after that it will be 20.

The payout at maturity will be par.

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

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

The notes will price on Oct. 27.

The Cusip number is 1730T3AY9.

The estimated initial value is between $870.00 and $925.00 per $1,000 principal amount.

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