Citigroup to price leveraged callable CMS curve-linked notes due 2028

By Angela McDaniels

Tacoma, Wash., Oct. 24 - Citigroup Inc. plans to price leveraged callable CMS curve-linked notes due Nov. 15, 2028 linked to the 30-year Constant Maturity Swap rate and the five-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 10% for the first year. Beginning Nov. 15, 2014, the interest rate will be four times the spread of the 30-year CMS swap rate over the five-year CMS rate, 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 Nov. 15, 2015, the notes will be callable at par on any interest payment date.

Citigroup Global Markets Inc. is the underwriter. Morgan Stanley Smith Barney LLC is a dealer.

The notes are expected to price Nov. 12.

The Cusip number is 1730T0A82.

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