By Marisa Wong
Madison, Wis., July 31 – Citigroup Inc. priced $7.4 million of callable leveraged CMS spread notes due July 31, 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.
Interest will be fixed at 10% for the first year. After that, it will be (i) 4 times (ii) the 30-year CMS rate minus the two-year CMS rate, up to a maximum interest rate of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes will be callable at par on any interest payment date beginning on July 31, 2015.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | Callable leveraged CMS spread notes
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| Underlying rates: | 30-year Constant Maturity Swap and two-year CMS rate
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| Amount: | $7.4 million
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| Maturity: | July 31, 2034
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| Coupon: | 10% for first year; beginning July 31, 2015, (a) 4 times (b) 30-year CMS rate minus two-year CMS rate, subject to 10% cap and 0% floor; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date from July 31, 2015 onward
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| Pricing date: | July 28
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| Settlement date: | July 31
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| Agents: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 1730T0U49
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