Citigroup plans trust certificates linked to three indexes

By Laura Lutz

Des Moines, Feb. 1 - Citigroup Funding Inc. plans to price principal-protected trust certificates linked to a global index basket via Safety First Trust Series 2008-1, according to an FWP filing with the Securities and Exchange Commission.

The trust certificates will mature in about six years. The exact maturity date will be set at pricing.

The basket consists of equal weights of the S&P 500 index, the Dow Jones Euro Stoxx 50 index and the Nikkei 225 index.

Assets of the trust include equity index participation securities and equity index warrants linked to the index basket, both issued by Citigroup Funding.

Prior to maturity, investors may exchange each $10.00 principal amount of trust certificates held for one security with a $10.00 face amount and one warrant with a $10.00 notional amount.

At maturity, each security will pay $10.00 plus a supplemental amount. If the final basket level is at least the initial level, the supplemental amount will be par times any basket gain times a participation rate that will be about 80% to 90%. Otherwise, the supplemental amount will be negative and will be equal to par times the decline in the basket.

The exact participation rate will be set at pricing.

If they are held to maturity, each trust certificate will be redeemed for par plus any positive return on the basket times the same participation rate. In that case, the payout will be at least par.

The equity index warrants will be automatically exercised at maturity. If the value of the underlying basket increases or does not change, the warrants will pay zero. If the value of the basket decreases, the warrants will pay $10.00 multiplied by the absolute value of the percentage decrease in the basket.

Citigroup will apply to list the certificates on the American Stock Exchange under the symbol "ATA."

The securities are expected to price in February and settle three days later.

Citigroup Inc. is the underwriter.

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