By Marisa Wong
Morgantown, W.Va., Aug. 18 – Citigroup Inc. priced $10 million of leveraged callable CMS curve-linked notes due Aug. 19, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 10% for the first year. After that, it will be the leverage factor multiplied by the modified CMS reference spread subject to a minimum rate of zero and a maximum rate of 10% per year. Interest is payable quarterly. Interest is payable quarterly.
The leverage factor is 15 times from Aug. 19, 2016 to but excluding Aug. 19, 2026 and 20 times from and including Aug. 19, 2026 to the maturity date. The modified CMS reference spread is the 30-year Constant Maturity Swap rate minus the two-year CMS rate minus 87.5 basis points.
The payout at maturity will be par.
Beginning Aug. 19, 2016, the notes will be callable at par on any coupon payment date.
Citigroup Global Markets Inc. is the underwriter.
| 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: | $10 million
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| Maturity: | Aug. 19, 2035
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| Coupon: | 10% for first year; after that, leverage factor multiplied by modified CMS reference spread subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly
|
| Leverage factor: | 15 times from Aug. 19, 2016 to but excluding Aug. 19, 2026 and 20 times from and including Aug. 19, 2026 to maturity date
|
| Reference spread: | 30-year CMS rate minus two-year CMS rate minus 87.5 bps
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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 Aug. 19, 2016 onward
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| Pricing date: | Aug. 14
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| Settlement date: | Aug. 19
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| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 1730T3AU7
|
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