Citigroup plans 20-year leveraged callable CMS curve-linked notes

By Marisa Wong

Madison, Wis., Feb. 12 – Citigroup Inc. plans to price fixed-to-floating leveraged callable CMS curve-linked notes due Feb. 27, 2035 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet.

The interest rate will be fixed at 10% for the first year. Beginning on Feb. 27, 2016, it will be 10 times the modified CMS spread of the 30-year CMS rate minus the two-year CMS rate less 87.5 basis points, subject to a minimum interest rate of zero and a maximum interest rate of 10% per year. Beginning on Feb. 27, 2021, it will be 15 times the modified CMS spread, subject to a minimum interest rate of zero and a maximum interest rate of 10% per year. Beginning on Feb. 27, 2026, it will be 20 times the modified CMS spread, 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 Feb. 27, 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 Feb. 24.

The Cusip number is 1730T04U0.

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