Citigroup to price principal-protected trust certificates linked to three indexes

By Angela McDaniels

Tacoma, Wash., July 31 - Citigroup Funding Inc. plans to price zero-coupon principal-protected trust certificates due 2013 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

Citigroup is issuing the trust certificates through Safety First Trust Series 2008-3.

The basket includes the Dow Jones Euro Stoxx 50, S&P 500 and S&P BRIC 40 indexes. Initially, the basket is equally weighted, and the weighting of each index will vary over the life of the trust certificates.

The payout at maturity will be par of $10 plus 80% to 90% of any basket gain, with the exact participation rate to be set at pricing. Investors will receive at least par.

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

At maturity, each security will pay $10 plus the basket return.

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

Citigroup will apply to list the trust certificates on the American Stock Exchange under the symbol "AHB." The securities and warrants will not be listed.

The trust certificates will price in August.

Citigroup Global Markets Inc. will be the underwriter.

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