New Issue: Citigroup prices $1.54 million trigger jump securities tied to Brent blend crude oil

By Toni Weeks

San Diego, Nov. 28 - Citigroup Funding Inc. priced $1.54 million of 0% trigger jump securities due Nov. 26, 2014 linked to the price of the Brent blend crude oil futures contract, according to a 424B2 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 commodity return and the upside payment of $410. 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.

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

Issuer:	Citigroup Funding Inc.
Issue:	Trigger jump securities
Underlying commodity:	Brent blend crude oil futures contract
Amount:	$1,537,000
Maturity:	Nov. 26, 2014
Coupon:	0%
Price:	Par
Payout at maturity:	If return is positive, par plus greater of commodity return and $410 upside payment per $1,000 security; par if price declines by up to 35%; full exposure to losses if price declines by more than 35%
Initial price:	$107.02
Downside threshold:	65% of initial price
Pricing date:	Nov. 23
Settlement date:	Nov. 29
Agent:	Morgan Stanley & Co. LLC with Morgan Stanley Smith Barney LLC as distributor
Fees:	3%, used for selling concessions
Cusip:	1730T0QJ1

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