By Marisa Wong
Madison, Wis., Oct. 30 – Citigroup Inc. priced $5 million of leveraged callable CMS curve-linked notes due Oct. 31, 2029, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 9% for the first year. After that, it will be four times the modified spread, subject to a minimum rate of zero and a maximum rate of 9% per year. The modified spread is the 30-year Constant Maturity Swap rate minus the two-year CMS rate minus 25 basis points. Interest is payable quarterly.
The payout at maturity will be par.
Beginning Oct. 31, 2015, the notes will be callable at par on any coupon payment date.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| 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: | $5 million
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| Maturity: | Oct. 31, 2029
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| Coupon: | 9% for first year; after that, four times modified spread, subject to minimum rate of zero and maximum rate of 9% per year; modified spread is 30-year CMS rate minus two-year CMS rate minus 25 bps; 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 coupon payment date from Oct. 31, 2015 onward
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| Pricing date: | Oct. 28
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| Settlement date: | Oct. 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 1730T02D0
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