Citigroup to price market-linked notes due 2015 linked to S&P 500

By Marisa Wong

Madison, Wis., Dec. 27 - Citigroup Funding Inc. plans to price 0% market-linked notes due Jan. 29, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A fixing event will occur if the index closes above the upside threshold value on any day during the life of the notes. The upside threshold value is expected to be 140% of the initial level and will be set at pricing.

If a fixing event occurs, the payout at maturity will be par of $10 plus a fixed amount of $0.40 to $0.60. The exact fixed amount will be set at pricing.

If a fixing event does not occur, the payout will be par plus the greater of the index return and 0%.

The notes (Cusip: 17317U360) are expected to price on Jan. 25 and settle three days after that.

Citigroup Global Markets Inc. is the underwriter.

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