Citigroup plans strategic market access notes on basket of 10 MLPs

By Toni Weeks

San Diego, Nov. 5 - Citigroup Funding Inc. plans to price strategic market access notes linked to a basket of 10 energy-related Master Limited Partnerships, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature either in either May 2014 or November 2014.

The basket includes equal weights of Atlas Pipeline Partners LP, Entbridge Energy Partners, LP, Energy Transfer Equity, LP, Enterprise Products Partners LP, Genesis Energy, LP, Magellan Midstream Partners, LP, MarkWest Energy Partners, LP, Targa Resources Partners, LP, Western Gas Partners, LP and Williams Partners LP. The basket will be rebalanced to equal weighting in either August 2013 or November 2013.

The coupon has two components: a 0.1% fixed-interest amount and a variable-interest amount, which will equal the total amount of ordinary cash dividends with respect to the basket components for which an ex-date has occurred during each quarterly interest period, if any, for each $1,000 principal amount. Interest will be payable quarterly.

The payout at maturity will equal the net investment value of the note on the valuation date, plus accrued interest.

On the pricing date, the net investment value will be $990 per $1,000 note. After that, it will equal (A)(i) $900 multiplied by (ii) the basket return percentage on that day plus (B) accrued dividends up to and including that trading day minus (C) the accumulated basket adjustment fee. Because the net investment value will be determined by multiplying the basket return percentage by $990 instead of $1,000, only 99% of the initial investment will participate in the appreciation, if any, of the basket.

The net investment value per note will be calculated after subtracting a 1% per year basket adjustment factor, which will accrue daily based upon the net investment value on the immediately preceding trading day.

Investors will receive an amount at maturity that is less than the initial investment unless the net investment value on the valuation date has increased from the net investment value at pricing by an amount greater than the sum of (i) the accumulated basket adjustment fee and (ii) a sales charge of $10 per note.

The exact terms will be set at pricing.

The Cusip is 1730T0ZF9.

Citigroup Global Markets Inc. will serve as the underwriter.

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