By Toni Weeks
San Luis Obispo, Calif., Nov. 26 – Citigroup Inc. priced $5 million of callable fixed-to-floating leveraged CMS curve range accrual notes due Nov. 26, 2029 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 8% for the first year. Beginning Nov. 26, 2015, it will be a rate per year equal to (a) four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 8% per year, 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. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning Nov. 26, 2015, the notes will be callable at par on any interest payment date.
Citigroup Global Markets Inc. is the underwriter. Morgan Stanley & Co. LLC is a dealer.
| Issuer: | Citigroup Inc.
|
| Issue: | Callable fixed-to-floating leveraged CMS curve range accrual notes
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| Underlying index: | S&P 500
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| Amount: | $5 million
|
| Maturity: | Nov. 26, 2029
|
| Coupon: | 8% initially; beginning Nov. 26, 2015, (a) 4 times the 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 barrier level, subject to a floor of 0% and a cap of 8% per year; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
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| Call option: | At par on any interest payment date beginning Nov. 26, 2015
|
| Initial index level: | 2,063.5
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| Barrier level: | 1,547.625, 75% of initial level
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| Pricing date: | Nov. 21
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| Settlement date: | Nov. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Dealer: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
|
| Cusip: | 1730T02X6
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