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

By Angela McDaniels

Tacoma, Wash., Nov. 6 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Nov. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 15 times the modified CMS reference spread subject to a minimum rate of zero and a maximum rate of 10% per year. Interest will be payable quarterly.

The modified CMS reference spread is the 30-year Constant Maturity Swap rate minus the two-year CMS rate minus 87.5 basis points.

The payout at maturity will be par.

Beginning Nov. 30, 2016, the notes will be callable at par on any coupon payment date.

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

The notes are expected to price Nov. 24.

The Cusip number is 1730T3AZ6.

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