Citigroup plans callable leveraged CMS spread notes tied to S&P 500

By Susanna Moon

Chicago, March 6 – Citigroup Global Markets Holdings Inc. plans to price callable fixed-to-floating leveraged CMS spread range accrual notes contingent on the S&P 500 index due March 10, 2037, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Citigroup Inc.

The coupon will be 10% for the first year. After that, it will be 7.5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above its 75% reference level, up to a maximum rate of 10% per year. 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 coupon payment date after one year.

Citigroup Global Markets Inc. is the underwriter.

The notes will price on March 7.

The Cusip number is 17324CFX9.

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