Citigroup to price principal-protected trust certificates linked to index basket

By Angela McDaniels

Seattle, May 25 - Citigroup Funding Inc. plans to price an offering of zero-coupon principal-protected trust certificates due 2012 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

Citigroup is issuing the trust certificates through Safety First Trust Series 2007-3.

The basket will initially include the Dow Jones Industrial Average with a 30% weight, the Dow Jones Euro Stoxx 50 index with a 30% weight, the Nikkei 225 Stock Average with a 20% weight and the S&P BRIC 40 index with a 20% weight. The weighting of each index will vary over the life of the certificates.

The payout at maturity will be par plus any positive return on the basket. Investors will receive at least par.

Prior to maturity, investors may exchange each $10 principal amount of trust certificates held for one equity index participation security with a $10 face amount and one equity index warrant with a $10 notional amount.

At maturity, each equity index participation security will pay a redemption amount equal to $10 plus any basket gain or minus any basket loss, as applicable.

The equity index warrants will be automatically exercised at maturity. If basket level increases or does not change, the warrants will pay zero. If basket level decreases, the warrants will pay $10 plus the absolute value of the basket decline.

Citigroup will apply to list the certificates on the America Stock Exchange under the symbol "AKE." The index participation securities and warrants will not be listed.

Citi will be the underwriter.

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