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

By Angela McDaniels

Tacoma, Wash., July 27 – Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Aug. 19, 2035, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first year. After that, it will be the leverage factor multiplied by the modified CMS reference spread subject to a minimum rate of zero and a maximum rate of 10% per year. Interest will be payable quarterly.

The leverage factor will be 15 times from Aug. 19, 2016 to but excluding Aug. 19, 2026 and 20 times from and including Aug. 19, 2026 to the maturity date. The modified CMS reference spread is the 30-year Constant Maturity Swap rate minus the two-year CMS rate minus 87.5 basis points.

The payout at maturity will be par.

Beginning Aug. 19, 2016, the notes will be callable at par on any coupon payment date.

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

The notes are expected to price Aug. 14.

The Cusip number is 1730T3AU7.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.