Citigroup plans trigger jump securities tied to Brent blend crude oil

By Marisa Wong

Madison, Wis., Nov. 10 - Citigroup Funding Inc. plans to price 0% trigger jump securities due Nov. 26, 2014 linked to the price of the Brent blend crude oil futures contract, according to an FWP filing with the Securities and Exchange Commission.

If the final commodity price is greater than the initial price, the payout at maturity will be par of $1,000 plus the greater of the upside payment, which is expected to be 38% to 42% and will be set at pricing, and the commodity return. If the final price is 65% to 100% of the initial price, the payout will be par. If the final price is less than 65% of the initial price, investors will be fully exposed to the decline from the initial price.

The notes (Cusip: 1730T0QJ1) are expected to price on Nov. 23 and settle three business days after that.

Citigroup Global Markets Inc. is the underwriter. Distribution will be through Morgan Stanley Smith Barney LLC.

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