Citigroup plans trigger return optimization notes linked to two funds

By Susanna Moon

Chicago, May 8 - Citigroup Inc. plans to price 0% trigger return optimization securities due May 31, 2016 linked to a basket of two funds, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the iShares MSCI EAFE index fund with a 70% weight and the iShares MSCI Emerging Markets index fund with a 30% weight.

The payout at maturity will be par of $10 plus 1.5 times any gain in the basket, up to a maximum return of 30% to 36%. The exact cap will be set at pricing.

If the basket finishes at or above the trigger level - 75% of the initial level - the payout will be par.

Otherwise, investors will be fully exposed to any losses.

Citigroup Global Markets Inc. is the agent, and UBS Financial Services Inc. is the dealer.

The notes will price on May 28.

The Cusip number is 173095555.

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