Published on 7/29/2014 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $10 million leveraged CMS spread, S&P-linked notes
By Marisa Wong
Madison, Wis., July 29 – Citigroup Inc. priced $10 million of callable fixed-to-floating-rate leveraged CMS spread range accrual notes due July 30, 2029 contingent on the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission on Tuesday.
The coupon is 8% for the first year. After that, 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 75% of the initial index level. The interest rate is subject to a floor of zero and a cap of 8% per year. Interest is payable quarterly.
The payout at maturity will be par.
Beginning July 30, 2015, the notes will be callable on any coupon payment date.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Inc.
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| Issue: | Callable fixed-to-floating-rate leveraged CMS spread range accrual notes
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| Underlying: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $10 million
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| Maturity: | July 30, 2029
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| Coupon: | 8% for first year; after that, (a) 4 times 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 accrual barrier, subject to floor of zero and cap of 8% 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 coupon payment date from July 30, 2015 onward
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| Initial index level: | 1,978.34
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| Accrual barrier: | 1,483.755, 75% of initial level
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| Pricing date: | July 25
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| Settlement date: | July 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 1730T0U56
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