Citigroup plans annual observation coupon notes linked to S&P 500

By Toni Weeks

San Diego, May 15 - Citigroup Funding Inc. plans to price annual observation coupon notes due May 31, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable annually. If the annual index return is greater than or equal to zero, the coupon will be 7% to 8%. The exact percentage will be set at pricing. If the annual index return is negative, the coupon will be 2%. The annual index return will be measured from the prior annual observation date, which occurs in May of each year.

If the final index level is at least 80% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the index declines beyond 20%.

The notes (Cusip: 1730T0XM6) are expected to price on May 29.

Citigroup Global Markets Inc. is the underwriter.

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