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

By Marisa Wong

Madison, Wis., July 15 – Citigroup Inc. plans to price callable leveraged CMS spread notes due July 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.

Interest will be fixed at 10% for the first year. After that, it will be (i) 4 times (ii) the 30-year CMS rate minus the two-year CMS rate minus 25 bps, up to a maximum interest rate of 10%. 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 interest payment date beginning on July 31, 2015.

The exact terms will be set at pricing.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price on July 28 and settle on July 31.

The Cusip number is 1730T0U49.

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