Citi plans contingent return optimization securities linked to S&P 500

By Angela McDaniels

Tacoma, Wash., March 1 - Citigroup Funding Inc. plans to price 0% contingent return optimization securities due March 31 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the trigger level, 70% of the initial index level, the payout at maturity will be par of $10 plus the greater of 6% and the index return. The payout will be subject to a maximum return of 21% to 29% that will be set at pricing.

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

The notes (Cusip: 17318Q202) are expected to price March 27 and settle March 30.

Citigroup Global Markets Inc. is the underwriter. Distribution will be through UBS Financial Services Inc.

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