Citigroup plans leveraged CMS curve range accrual notes tied to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 3 – Citigroup Inc. plans to price leveraged CMS curve range accrual notes due Nov. 26, 2029 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 8% for the first year. Beginning Nov. 26, 2015, it will be a rate per year equal to (a) four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 8% per year, multiplied by (b) the proportion of days on which the index’s closing level is greater than or equal to 75% of the initial index level. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning Nov. 26, 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 Nov. 21.

The Cusip number is 1730T02X6.

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