Citigroup plans to price lookback trigger PLUS linked to S&P 500

By Angela McDaniels

Tacoma, Wash., June 29 - Citigroup Funding Inc. plans to price 0% lookback trigger Performance Leveraged Upside Securities due July 30, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The initial index level will be equal to the lowest closing level of the index on any scheduled trading day during the period from and including the pricing date to and including Oct. 1.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par of $10 plus 300% of the index return, subject to a maximum return of 21% to 24% that will be set at pricing.

If the final index level is less than the initial index level but greater than or equal to the trigger level, the payout will be par. The trigger level will be 90% of the initial index level.

If the final index level is less than the trigger level, investors will be fully exposed to the decline of the index from its initial level.

The notes are expected to price July 30 and settle Aug. 2.

Citigroup Global Markets Inc. is the underwriter.

The Cusip number is 17318Q699.

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