Citigroup to price 15-year callable leveraged CMS spread notes

By Marisa Wong

Madison, Wis., Jan. 31 - Citigroup Inc. plans to price callable leveraged CMS spread notes due Feb. 27, 2028 linked to the 30-year Constant Maturity Swap Rate and the five-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be 8% for the first year. After that, it will be four times the spread of the 30-year CMS rate over the five-year CMS rate, minus 50 bps, up to a maximum interest rate of 8% per year. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes are callable at par plus accrued interest on any interest payment date after five years.

The notes (Cusip: 1730T0RN1) will price and settle in February.

Citigroup Global Markets Inc. is the underwriter.

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