Citigroup plans contingent participation principal-protected notes linked to Nasdaq 100

By Angela McDaniels

Tacoma, Wash., Feb. 26 - Citigroup Funding Inc. plans to price 0% contingent participation principal-protected notes due 2010 linked to the Nasdaq 100 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus the absolute value of the index return if the index remains within the index range throughout the life of the notes. Otherwise, the payout will be par.

The lower barrier of the index range will be 68% to 72% of the initial index level, and the upper barrier will be 128% to 132% of the initial index level. The exact barriers will be set at pricing.

The notes will price and settle in March.

Citigroup Global Markets Inc. will be the underwriter.

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