By Marisa Wong
Madison, Wis., June 26 – Citigroup Inc. priced $11 million leveraged callable CMS curve-linked notes due June 27, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first year. Beginning June 27, 2015, the interest rate will be 4 times the spread of the 30-year CMS rate over the two-year CMS rate minus 25 basis points, subject to a maximum interest rate of 10% per year. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
Beginning June 27, 2015, the notes will be callable at par on any interest payment date.
Citigroup Global Markets Inc. is the underwriter. Morgan Stanley & Co. LLC is a dealer.
| Issuer: | Citigroup Inc.
|
| Issue: | Leveraged callable CMS curve-linked notes
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| Underlying rates: | 30-year and two-year Constant Maturity Swap rates
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| Amount: | $11 million
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| Maturity: | June 27, 2034
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| Coupon: | 10% for first year; beginning June 27, 2015, 4 times spread of 30-year CMS rate over two-year CMS rate minus 25 bps, subject to minimum interest rate of zero and maximum interest rate of 10% per year; payable quarterly
|
| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date from June 27, 2015 onward
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| Pricing date: | June 24
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| Settlement date: | June 27
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| Underwriter: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
|
| Cusip: | 1730T0R76
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