By Marisa Wong
Madison, Wis., April 29 – Citigroup Inc. priced $10 million fixed-to-floating leveraged CMS curve range accrual notes due April 30, 2035 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. Beginning in May 2016, it will accrue at the relevant contingent rate for each day that both indexes close at or above the 50% barrier level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
The contingent rate is 10 times the modified CMS spread in years two through five and 20 times the modified CMS spread in year six through maturity. The modified CMS 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 plus accrued interest, if any.
The notes are callable at par on any quarterly redemption date beginning after one year.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Inc.
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| Issue: | Fixed-to-floating leveraged CMS curve range accrual notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $10 million
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| Maturity: | April 30, 2035
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| Coupon: | Fixed at 10% for first year; beginning May 2016, relevant contingent rate for each day that both indexes close at or above barrier level, up to a maximum coupon of 10% per year, floor of zero; payable monthly; contingent rate is 10 times modified CMS spread in years two through five and 20 times the modified CMS spread in year six through maturity; modified CMS spread is 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 plus accrued interest
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| Call option: | At par on any quarterly redemption date beginning after one year
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| Initial levels: | 2,108.92 for S&P, 1,252.70 for Russell
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| Barrier levels: | 1,054.46 for S&P, 626.35 for Russell
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| Pricing date: | April 27
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| Settlement date: | April 30
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 1730T07K9
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