Citigroup plans 20-year callable fixed-to-floating CMS spread notes

By Marisa Wong

Madison, Wis., Jan. 2 – Citigroup Inc. plans to price fixed-to-floating leveraged callable CMS curve-linked notes due Jan. 30, 2035 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet.

The interest rate is expected to be 10% for the first year. Beginning on Jan. 30, 2016, it will be 15 times the spread of the 30-year CMS rate minus the two-year CMS rate less 87.5 bps, subject to a minimum interest rate of zero and a maximum interest rate of 10% per year. Interest will be payable quarterly.

The payout at maturity will be par.

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

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price on Jan. 27.

The Cusip number is 1730T03W7.

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