Citigroup to price buffered range accrual notes linked to Russell 2000

By Marisa Wong

Madison, Wis., June 6 - Citigroup Inc. plans to price callable buffered range accrual notes due June 26, 2018 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 5.35% to 6% per year multiplied by the proportion of days on which the index closes at or above the accrual barrier level, which will be 75% of the initial index level. Interest will be payable quarterly.

If the final index level is greater than or equal to the 75% buffer level, the payout at maturity will be par. Otherwise, investors will lose 1.3333% for every 1% that the index declines beyond 25%.

The notes are callable on any interest payment date beginning June 29, 2015.

Citigroup Global Markets Inc. is the underwriter.

The notes are expected to price June 21 and settle three business days after that.

The Cusip number is 1730T0TS8.

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