By Marisa Wong
Madison, Wis., Oct. 30 – Citigroup Inc. priced $6.1 million of callable fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Oct. 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 9% for the first year. Beginning Oct. 31, 2015, it will be (a) 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate 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 10% per year. Interest is payable quarterly.
The payout at maturity will be par.
Beginning Oct. 31, 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.
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| Issue: | Callable fixed-to-floating leveraged CMS curve range accrual notes
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| Underlying index: | S&P 500
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| Amount: | $6.1 million
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| Maturity: | Oct. 31, 2034
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| Coupon: | 9% initially; beginning Oct. 31, 2015, (a) 4 times the spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index’s closing level is greater than or equal to barrier level, subject to a floor of 0% and a cap of 10% per year; 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 beginning Oct. 31, 2015
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| Initial index level: | 1,985.05
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| Barrier level: | 1,389.535, 70% of initial level
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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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| Dealer: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 1730T02P3
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