Citigroup Inc.
|
Pricing Sheet No. 2015-CMTNG0498 dated April 27, 2015 relating to
Preliminary Pricing Supplement No. 2015-CMTNG0498 dated April 9, 2015
Registration Statement No. 333-192302
Filed Pursuant to Rule 433
|
Callable Fixed to Floating Rate Notes Due April 30, 2035
|
Leveraged CMS Curve Range Accrual Notes Contingent on the Worst Performing of the S&P 500® Index and the Russell 2000® Index
|
PRICING TERMS—APRIL 27, 2015
|
||||||
Aggregate stated principal amount:
|
$10,000,000
|
|||||
Stated principal amount:
|
$1,000 per note
|
|||||
CMS spread:
|
On any CMS spread determination date, CMS30 minus CMS2, each as determined on that CMS spread determination date
|
|||||
Modified CMS spread:
|
The CMS spread minus 0.875%
|
|||||
Underlying indices:
|
S&P 500® Index and Russell 2000® Index
|
|||||
Pricing date:
|
April 27, 2015
|
|||||
Issue date:
|
April 30, 2015
|
|||||
Maturity date:
|
Unless earlier redeemed, April 30, 2035
|
|||||
Payment at maturity:
|
Unless earlier redeemed, $1,000 per note plus the coupon payment due at maturity, if any
|
|||||
Coupon payments:
|
On each coupon payment date during the first year following issuance of the notes (ending in April 2016), the notes will pay a fixed coupon at a rate of 10.00% per annum, regardless of the CMS spread or the levels of the underlying indices.
On each coupon payment date after the first year (beginning in May 2016), you will receive a coupon payment at an annual rate equal to the variable coupon rate for that coupon payment date. The variable coupon rate for any coupon payment date after the first year will be determined as follows:
|
|||||
relevant contingent rate per annum ×
|
number of accrual days during the related accrual period
|
|||||
number of elapsed days during the related accrual period
|
||||||
If the number of accrual days in a given accrual period is less than the number of elapsed days in that accrual period, the variable coupon rate for the related coupon payment date will be less than the full relevant contingent rate, and if there are no accrual days in a given accrual period, the variable coupon rate for the related coupon payment date will be 0.00%.
|
||||||
Relevant contingent rate:
|
The relevant contingent rate for any coupon payment date after the first year following issuance of the notes means:
· In Years 2 through 5 (beginning with the coupon payment date in May 2016 and ending on the coupon payment date in April 2020):
10.00 × the modified CMS spread as of the CMS spread determination date for the related accrual period, subject to a minimum contingent rate of 0.00% per annum and a maximum contingent rate of 10.00% per annum
· In Year 6 through maturity (beginning with the coupon payment date in May 2020):
20.00 × the modified CMS spread as of the CMS spread determination date for the related accrual period, subject to a minimum contingent rate of 0.00% per annum and a maximum contingent rate of 10.00% per annum
If the CMS spread for any accrual period is less than or equal to 0.875%, the relevant contingent rate for that accrual period will be 0.00% and you will not receive any coupon payment on the related coupon payment date. The relevant contingent rate will in no event exceed 10.00% per annum.
|
|||||
Accrual day:
|
An elapsed day on which the accrual condition is satisfied
|
|||||
Elapsed day:
|
Calendar day
|
|||||
Accrual condition:
|
The accrual condition will be satisfied on an elapsed day only if the closing levels of both underlying indices are greater than or equal to their respective accrual barrier levels on that elapsed day. See “Additional Information” in the related preliminary pricing supplement.
|
|||||
Determination of coupon payment amounts:
|
On each coupon payment date, the coupon payment amount per note will equal (i) $1,000 multiplied by the applicable fixed or variable coupon rate per annum divided by (ii) 12.
|
|||||
Coupon payment dates:
|
The 30th day of each month, or the last day of the month in the case of February, and beginning on May 30, 2015
|
|||||
Accrual period:
|
For each coupon payment date after the first year following issuance of the notes, the related accrual period is the period from and including the immediately preceding coupon payment date to but excluding such coupon payment date
|
|||||
CMS spread determination date:
|
For any accrual period commencing on or after April 30, 2016, the second U.S. government securities business day prior to the first day of that accrual period
|
|||||
Initial index levels:
|
For the S&P 500® Index: 2,108.92, the closing level of the S&P 500® Index on the pricing date
For the Russell 2000® Index: 1,252.70, the closing level of the Russell 2000® Index on the pricing date
|
|||||
Accrual barrier levels:
|
For the S&P 500® Index: 1,054.46, 50.00% of the initial index level of the S&P 500® Index
For the Russell 2000® Index: 626.35, 50.00% of the initial index level of the Russell 2000® Index
|
|||||
Early redemption:
|
Beginning April 30, 2016, we have the right to redeem the notes, in whole and not in part, on any redemption date upon not less than five business days’ notice for an amount in cash equal to 100% of the stated principal amount of your notes plus the coupon payment due on the date of redemption, if any
|
|||||
Redemption dates:
|
The 30th day of each January, April, July and October, beginning April 30, 2016
|
|||||
CUSIP / ISIN:
|
1730T07K9 / US1730T07K94
|
|||||
Listing:
|
The notes will not be listed on any securities exchange
|
|||||
Underwriter:
|
Citigroup Global Markets Inc. (“CGMI”), an affiliate of the issuer, acting as principal
|
|||||
Underwriting fee and issue price:
|
Issue price(1)
|
Underwriting fee(2)
|
Proceeds to issuer
|
|||
Per note:
|
$1,000
|
$35
|
$965
|
|||
Total:
|
$10,000,000
|
$350,000
|
$9,650,000
|