Citigroup plans callable leveraged CMS spread, S&P 500-linked notes

By Marisa Wong

Madison, Wis., June 16 – Citigroup Inc. plans to price callable fixed-to-floating-rate leveraged CMS spread range accrual notes contingent on the S&P 500 index due June 27, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 13% for the first year. After that, it will be (a) 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 25 basis points multiplied by (b) the proportion of days on which the index’s closing level is greater than or equal to 70% of the initial index level. The interest rate will be subject to a floor of 0% and a cap of 13% per year. Interest is payable quarterly.

The payout at maturity will be par.

The notes will be callable on any coupon payment date beginning June 27, 2015.

Citigroup Global Markets Inc. is the agent.

The notes are expected to price on June 24.

The Cusip number is 17303T0T58.

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