Citigroup plans trust certificates linked to three indexes

By Laura Lutz

Des Moines, Oct. 22 - Citigroup Funding Inc. plans to price principal-protected trust certificates linked to a global index basket, according to an FWP filing with the Securities and Exchange Commission.

The trust certificates will mature in about five to five-and-a-half years. The exact maturity date will be set at pricing.

The basket consists of equal weights of the S&P 500 index, the Dow Jones Euro Stoxx 50 index and the Nikkei 225 index.

Citigroup will price the trust certificates through Safety First Trust Series 2007-4. Assets of the trust include equity index participation securities and equity index warrants linked to the index basket.

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 security with a $10 face amount and one warrant with a $10 notional amount.

At maturity, each security will pay a redemption amount equal to par of $10 plus the basket return.

The equity index warrants will be automatically exercised at maturity. If the value of the underlying basket increases or does not change, the warrants will pay zero. If the value of the basket decreases, the warrants will pay $10 multiplied by the absolute value of the percentage decrease in the basket.

Citigroup will apply to list the certificates on the American Stock Exchange under the symbol "AKN."

Citigroup Inc. is the underwriter.

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