Citigroup plans leveraged callable CMS curve-linked notes due 2034

By Angela McDaniels

Tacoma, Wash., April 28 - Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 10% for the first two years. Beginning May 30, 2016, the interest rate will be four times the modified reference spread, subject to a minimum interest rate of zero and a maximum interest rate of 10% per year. The modified reference spread is the 30-year CMS rate minus the two-year CMS rate minus 25 basis points. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning May 30, 2015, the notes will be callable at par on any interest payment date.

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

The notes are expected to price May 27 and settle three business days later.

The Cusip number is 1730T0P86.

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