By Angela McDaniels
Tacoma, Wash., Oct. 29 – Citigroup Inc. priced $22.21 million of leveraged callable CMS curve-linked notes due Oct. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is the leverage factor multiplied by 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 leverage factor is 15 times for the first 10 years and 20 times for the last 10 years.
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 Oct. 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: | $22,205,000
|
| Maturity: | Oct. 30, 2035
|
| Coupon: | Leverage factor multiplied by modified CMS reference spread, subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly; leverage factor is 15 times for first 10 years and 20 times for last 10 years; 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 Oct. 30, 2016 onward
|
| Pricing date: | Oct. 27
|
| Settlement date: | Oct. 30
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 1730T3AY9
|
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