By Toni Weeks
San Luis Obispo, Calif., Nov. 25 – Citigroup Inc. priced $42 million of leveraged callable CMS curve-linked notes due Nov. 26, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be 10% for the first year. After that, it will accrue at 10 times the spread of the 30-year CMS rate over the two-year CMS rate minus 87.5 basis points, up to a maximum interest rate of 10% per year. Interest will be 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. Morgan Stanley & Co. LLC is a dealer.
| Issuer: | Citigroup Inc.
|
| Issue: | Callable leveraged CMS spread notes
|
| Underlying rates: | 30-year and two-year Constant Maturity Swap rates
|
| Amount: | $42 million
|
| Maturity: | Nov. 26, 2034
|
| Coupon: | 10% initially; after one year 10 times spread of the 30-year CMS rate over the two-year CMS rate minus 87.5 bps, up to 10% per year, floor of zero; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any coupon payment date from Nov. 26, 2015 onward
|
| Pricing date: | Nov. 21
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| Settlement date: | Nov. 26
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| Underwriter: | Citigroup Global Markets Inc.
|
| Dealer: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 1730T02V0
|
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