By Susanna Moon
Chicago, May 28 – Citigroup Inc. priced $3.75 million of leveraged callable CMS curve-linked notes due May 28, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 10% for the first year. After that, interest will be 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 87.5 basis points, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes will be callable at par on any interest payment date after one year.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| 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: | $3.75 million
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| Maturity: | May 28, 2035
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| Coupon: | 10% initially; beginning May 28, 2016, 10 times the spread of the 30-year CMS rate over the two-year CMS rate less 87.5 bps, capped at 10%; 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 beginning May 28, 2016
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| Pricing date: | May 22
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| Settlement date: | May 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17298CAR9
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