Citigroup plans fixed-to-floating callable CMS curve-linked notes

By Toni Weeks

San Luis Obispo, Calif., May 30 - Citigroup Inc. plans to price fixed-to-floating callable CMS curve-linked notes due June 18, 2034 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.

The interest rate is 10% for the first year. After that, the interest rate will be 9 times the modified CMS reference index, subject to a maximum rate of 10%. The modified CMS reference index will be equal to the 30-year CMS rate minus the five-year MS rate minus 25 basis points. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

Beginning June 18, 2015, the notes will be callable at par on any interest payment date.

The notes (Cusip: 1730T0R50) are expected to price June 13 and settle three business days later.

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

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