By Angela McDaniels
Tacoma, Wash., Dec. 3 – Citigroup Inc. priced $10 million of leveraged callable CMS curve-linked notes due Nov. 30, 2035, according to an FWP filing with the Securities and Exchange Commission.
The interest rate is 15 times the modified CMS reference spread, subject to a minimum rate of zero and a maximum rate of 10% per year. Interest is payable quarterly.
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 Nov. 30, 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
|
| Underlying rates: 30-year and two-year Constant Maturity Swap rates
|
| Amount: | $10 million
|
| Maturity: | Nov. 30, 2035
|
| Coupon: | 15 times modified CMS reference spread, subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly; modified CMS reference spread is 30-year CMS rate minus two-year CMS rate minus 87.5 bps
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any coupon payment date from Nov. 30, 2016 onward
|
| Pricing date: | Nov. 24
|
| Settlement date: | Nov. 30
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 1730T3AZ6
|
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