By Marisa Wong
Madison, Wis., Feb. 26 – Citigroup Inc. priced $15 million of callable dual range accrual notes due Feb. 27, 2030 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
Interest will accrue at a rate for each day that the index closes at or above the 75% barrier level and the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate is at least 0%. Interest will be payable quarterly.
The contingent rate will be 5% for the first five years, stepping up to 6% on Feb. 27, 2020 and to 7% on Feb. 27, 2025.
The payout at maturity will be par.
The notes are callable on any coupon payment date after one year.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Inc.
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| Issue: | Callable dual range accrual notes
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| Underlyings: | S&P 500 index, 30-year CMS rate, two-year CMS rate
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| Amount: | $15 million
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| Maturity: | Feb. 27, 2030
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| Coupon: | Interest will accrue for each day that index closes at or above barrier level and spread of 30-year CMS rate minus two-year CMS rate is at least zero; payable quarterly; contingent rate will be 5% for first five years, stepping up to 6% on Feb. 27, 2020 and to 7% on Feb. 27, 2025
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| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date beginning Feb. 27, 2016
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| Accrual barrier level: | 1,586.61, 75% of initial index level
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 27
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 1730T04T3
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