By Toni Weeks
San Luis Obispo, Calif., Jan. 30 – Citigroup Inc. priced $9 million of fixed-to-floating leveraged callable CMS curve-linked notes due Jan. 30, 2035 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet.
The interest rate is 10% for the first year. Beginning on Jan. 30, 2016, it will be 15 times the spread of the 30-year CMS rate minus the two-year CMS rate less 87.5 basis points, subject to a minimum interest rate of zero and a maximum interest rate of 10% per year. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning on Jan. 30, 2016, the notes will be callable at par on any interest payment date.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
|
| Issue: | Leveraged callable CMS curve-linked notes
|
| Underlying rates: | 30-year and two-year Constant Maturity Swap rates
|
| Amount: | $9 million
|
| Maturity: | Jan. 30, 2035
|
| Coupon: | 10% for first year; after that, 15 times modified spread, subject to minimum rate of zero and maximum rate of 10% per year; modified spread is 30-year CMS rate minus two-year CMS rate minus 87.5 bps; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any coupon payment date from Jan. 30, 2016 onward
|
| Pricing date: | Jan. 27
|
| Settlement date: | Jan. 30
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 1730T03W7
|
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