Issuer Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement Nos. 333-135867,
333-135867-10 and 333-135867-11
[CITIGROUP LOGO]
corporate and
investment banking
EQUITY FIRST
Protection First
OFFERING SUMMARY
(Related to the Prospectus and Pricing Supplement, Subject to Completion, Dated
October 25, 2006)
SAFETY FIRST TRUST
SERIES 2006-1
SAFETY FIRST(SM) INVESTMENTS
Principal-Protected Trust Certificates
Linked to the Dow Jones Industrial Average(SM)
and the Nikkei 225 Stock Average(SM)
Due: , 2010
Safety First Trust Series 2006-1, the issuer, and Citigroup Funding Inc. and
Citigroup Inc., the guarantors, have filed registration statements (including
prospectuses) with the Securities and Exchange Commission ("SEC") for the
offering to which this communication relates. Before you invest, you should read
the prospectuses in those registration statements (File Nos. 333-135867 and
333-132370) and the other documents Safety First Trust Series 2006-1, Citigroup
Funding and Citigroup have filed with the SEC for more complete information
about Safety First Trust Series 2006-1, Citigroup Funding, Citigroup and this
offering. You may get these documents for free by visiting EDGAR on the SEC
website at www.sec.gov. Alternatively, you can request the prospectus by calling
toll-free 1-877-858-5407.
Investment Products Not FDIC Insured May Lose Value No Bank Guarantee
October 25, 2006
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PRINCIPAL-PROTECTED
TRUST CERTIFICATES
LINKED TO THE DOW JONES INDUSTRIAL AVERAGE(SM) AND THE NIKKEI 225 STOCK
AVERAGE(SM)
DUE , 2010
This offering summary represents a summary of the terms and conditions of the
certificates. We encourage you to read the preliminary prospectus and pricing
supplement related to this offering. Capitalized terms used in this summary are
defined in "Preliminary Terms" on page 4 of this offering summary.
Overview of the Trust Certificates
The Principal-Protected Trust Certificates Linked to the Dow Jones Industrial
Average(SM) and the Nikkei 225 Stock Average(SM) due , 2010 are
equity-linked preferred securities issued by Safety First Trust Series 2006-1
that have a maturity of approximately 3.50 to 3.65 years. Some key
characteristics of the Certificates include:
- - Principal Protection like a Fixed-Income Investment. Similar to a fixed
income investment, an investor's initial investment is 100% principal
protected if the investor holds the Certificates to maturity.
- - No Periodic Payments. The Certificates do not offer current income, which
means that investors do not receive any periodic interest or other payments
on the Certificates prior to maturity. Instead of a periodic fixed or
floating rate of interest, return on the Certificates is paid at maturity
and is based upon the appreciation, if any, of the values of the Dow Jones
Industrial Average and the Nikkei 225 Stock Average. In addition, you will
not receive any dividend payments or other distributions, if any, on the
stocks included in the indices.
- - Equity Market Participation. If you hold the Certificates to maturity, you
will be entitled to receive (i) $10 (your initial investment), plus (ii) a
supplemental distribution amount, which may be positive or zero, based on
the appreciation, if any, of the value of the Underlying Basket.
- - Citigroup Guarantee of Trust Assets. The payments under the Certificates
will be made to the extent that Citigroup Funding makes payments under the
Securities and Warrants, the assets of the Trust. Payment obligations of
Citigroup Funding under the Securities and Warrants are guaranteed by its
parent company Citigroup Inc.
- - No Interim Income Recognition; Short-Term Capital Gain or Loss. U.S.
investors who make a "mixed straddle" election should not be required to
recognize income or gain until maturity or sale of the Certificates. Upon
maturity or sale of the Certificates, investors should recognize short-term
capital gain or loss, regardless of how long they have held the
Certificates. U.S. investors can make the mixed straddle election by
complying with the identification requirements described in the preliminary
prospectus and pricing supplement related to this offering and by filing IRS
form 6781 attached to it.
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Beginning on the date the Certificates are issued and ending on the date that is
one business day prior to the Valuation Date, you will have the right to
exchange each Certificate you hold for a pro rata portion of the assets of the
Trust, which consist of the Securities and Warrants issued by Citigroup Funding
Inc., upon proper notice to the trustee. You cannot recognize long-term capital
gain from your investment in the Certificates unless you exercise your Exchange
Right, then dispose of either the Securities or the Warrants, and then hold the
remaining instrument for more than one year after that disposition.
Neither the Securities nor the Warrants are principal protected. You should be
aware that if you choose to exercise your Exchange Right and hold only the
Securities or only the Warrants, you will lose the benefit of principal
protection at maturity and may receive substantially less than the amount of
your initial investment in the Certificates.
In order to exercise your Exchange Right, your account must be approved for
options trading. You should consult with your financial advisor to determine
whether your account would meet the options trading requirements.
Types of Investors
The Certificates are hybrid investments that combine characteristics of equity
and fixed income instruments. They may be an attractive investment for an
investor seeking growth potential on a principal protected basis and willing to
forego current income. This type of investor may include, but is not limited to:
- - Fixed-income investors currently invested in zero coupon bonds who are
seeking an opportunity to earn potentially higher equity-linked returns.
- - Conservative equity investors who wish to participate in the upside
potential of broad-based equity market indices, while limiting their
exposure to the downside.
- - Investors who can hold the Certificates for approximately 3.50 to 3.65
years.
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Preliminary Terms
<Table>
<Caption>
Issuer: Safety First Trust Series 2006-1 (the "Trust")
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Certificates: Principal-Protected Trust Certificates Linked to the Dow
Jones Industrial Average and the Nikkei 225 Stock Average
-----------------------------------------------------------------------------------------
Assets of the Trust: Equity Index Participation Securities Linked to the Dow
Jones Industrial Average and the Nikkei 225 Stock Average
(the "Securities") and Equity Index Warrants Linked to the
Dow Jones Industrial Average and the Nikkei 225 Stock
Average (the "Warrants"), both issued by Citigroup Funding
-----------------------------------------------------------------------------------------
Guarantee: Any payments due on the Securities and Warrants are fully
and unconditionally guaranteed by Citigroup. Citigroup and
Citigroup Funding will also guarantee any payments due on
the Certificates to the extent of funds available at the
Trust.
-----------------------------------------------------------------------------------------
Rating of the Issuer's Aa1/AA- (Moody's/S&P) based upon the Citigroup guarantee
Obligations:
-----------------------------------------------------------------------------------------
Principal Protection: 100% if you hold the Certificates, or both the Securities
and the Warrants received upon exercise of your Exchange
Right, on the Maturity Date
-----------------------------------------------------------------------------------------
Pricing Date: , 2006
-----------------------------------------------------------------------------------------
Issue Date: Three business days after the Pricing Date
-----------------------------------------------------------------------------------------
Valuation Date: Three business days before the Maturity Date
-----------------------------------------------------------------------------------------
Maturity Date: Approximately 3.50 to 3.65 years after the Issue Date
-----------------------------------------------------------------------------------------
Underlying Basket: A basket based upon the values of the Dow Jones Industrial
Average and the Nikkei 225 Stock Average, each initially
equally weighted
-----------------------------------------------------------------------------------------
Issue Price: $10.00 per Certificate
-----------------------------------------------------------------------------------------
Coupon: None
-----------------------------------------------------------------------------------------
Payment at Maturity on the For each $10.00 Certificate, $10.00 plus a Supplemental
Certificates: Distribution Amount, which may be positive or zero
-----------------------------------------------------------------------------------------
Supplemental Distribution $10.00 X Basket Return, provided that the Supplemental
Amount: Distribution Amount will not be less than zero
-----------------------------------------------------------------------------------------
Basket Return: Will equal following fraction, expressed as a percentage:
Ending Value - Starting Value
Starting Value
-----------------------------------------------------------------------------------------
Starting Value: Set to 100 on the Pricing Date
-----------------------------------------------------------------------------------------
Ending Value: The closing value of the Underlying Basket on the Valuation
Date
-----------------------------------------------------------------------------------------
Exchange Right: Holders of the Certificates will have the right to
exchange, beginning on the Issue Date and ending on the
date that is one business day prior to the Valuation Date,
each Certificate for a pro rata portion of the assets of
the Trust (each Certificate is exchangeable into one
Security and one Warrant). On the maturity date of the
Securities or exercise date of the Warrants, which will be
the same date as the maturity date of the Certificates,
- each Security will pay $10 plus a security return
amount ($10 x Basket Return)
- each Warrant will pay zero if the basket return is
positive or zero, and pay a positive amount equal to $10 X
the percentage decrease represented by the basket
return if the basket return is negative.
In order to exercise your Exchange Right, your account must
be approved for options trading. You should consult with
your financial advisor to determine whether your account
would meet the options trading requirements. If you choose
to exercise your Exchange Right and hold only the
Securities or only the Warrants, you will lose the benefit
of principal protection at maturity.
-----------------------------------------------------------------------------------------
Listing: Application will be made to list the Certificates on the
American Stock Exchange under the symbol "AGB." The
Securities and the Warrants will not be listed on any
exchange.
-----------------------------------------------------------------------------------------
Underwriting Discount: 2.50%
-----------------------------------------------------------------------------------------
Calculation Agent: Citigroup Global Markets Inc.
-----------------------------------------------------------------------------------------
Trustee: U.S. Bank National Association
-----------------------------------------------------------------------------------------
</Table>
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Key Benefits
- - Growth Potential. The Supplemental Distribution Amount payable at maturity
is based on the Ending Value of the Underlying Basket on the Valuation Date,
enabling you to participate in the potential increase in the value of the
Underlying Basket during the term of the Certificates without directly
investing in the indices comprising the Underlying Basket or having to
acquire each of the component stocks of the indices.
- - Capital Preservation. At maturity, unless you have exercised your Exchange
Right, we will pay you at least the principal amount of the Certificates
regardless of the performance of the Underlying Basket.
- - Diversification. The Certificates are linked to the Dow Jones Industrial
Average and the Nikkei 225 Stock Average and may allow you to diversify an
existing portfolio mix of stocks, bonds, mutual funds and cash.
- - No Interim Income Recognition. If you make the tax elections as described
in detail in the preliminary prospectus and pricing supplement related to
this offering, you should not be required to accrue income or to take into
account any gain or loss with respect to the Certificates until maturity or
disposition of the Certificates.
Key Risks
An investment in the Certificates, Securities and Warrants involves significant
risks. While some of the risk considerations are summarized below, please review
the "Risk Factors" section of the preliminary prospectus and pricing supplement
related to this offering for a full description of risks.
- - Possibility of No Appreciation. If the Ending Value, which will be the
closing value of the Underlying Basket on the Valuation Date, is equal to or
less than the Starting Value, the payment you receive at maturity will be
limited to the amount of your initial investment in the Certificates, even
if the closing value of the Underlying Basket is greater than the Starting
Value at one or more times during the term of the Certificates or if the
closing value of the Underlying Basket at maturity exceeds the Starting
Value. In addition, neither the Securities nor the Warrants are principal
protected. Thus, if you choose to exercise your Exchange Right and do not
hold both the Securities and the Warrants to maturity, you could receive
substantially less than the amount of your initial investment in the
Certificates.
- - No Periodic Payments. You will not receive any periodic payments of
interest or any other periodic payments on the Certificates. In addition,
you will not be entitled to receive dividend payments or other
distributions, if any, made on the stocks included in the indices comprising
the Underlying Basket.
- - Potential for a Lower Comparable Yield. The Certificates do not pay any
periodic interest. As a result, even if the Ending Value is greater than the
Starting Value, the effective yield on the Certificates may be less than
that which would be payable on a conventional fixed-rate debt security of
Citigroup Funding of comparable maturity.
- - Secondary Market May Not Be Liquid. Citigroup Funding will apply to list
the Certificates on the American Stock Exchange, but the secondary market
may not be liquid and may not continue for the term of the Certificates. In
addition, neither the Securities nor the Warrants will be listed on any
exchange. Although Citigroup Global Markets intends to make a market in the
Certificates, Securities and Warrants, it is not obligated to do so.
- - Resale Value of the Certificates May Be Lower Than Your Initial
Investment. Due to, among other things, changes in the price of and
dividend yields on the stocks included in the indices comprising the
Underlying Basket, interest rates, the earnings performance of the issuers
of the stocks included in the indices, other economic conditions and
Citigroup Funding
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and Citigroup's perceived creditworthiness, the Certificates may trade at
prices below their initial issue price of $10 per certificate. You could
receive substantially less than the amount of your initial investment if you
sell your Certificates prior to maturity.
- - Fees and Conflicts. Citigroup Global Markets Inc. and its affiliates
involved in this offering are expected to receive compensation for
activities and services provided in connection with the Certificates.
Further, Citigroup Funding expects to hedge its obligations under the
Certificates through the trading of the stocks included in the indices
comprising the Underlying Basket or other instruments, such as options,
swaps or futures, based upon the Underlying Basket, the indices comprising
the Underlying Basket or the stocks included in the indices by one or more
of its affiliates. Each of Citigroup Funding's or its affiliates' hedging
activities and Citigroup Global Market's role as the Calculation Agent for
the Certificates may result in a conflict of interest.
- - Citigroup Credit Risk. The Certificates are subject to the credit risk of
Citigroup, Citigroup Funding's parent company and the guarantor of the
payments due on the Certificates.
- - Neither the Securities nor the Warrants are Principal-Protected
Individually. If you exercise your Exchange Right, you will receive a pro
rata portion of the assets of the Trust, which consist of the Securities and
the Warrants. In order to exercise your Exchange Right, your account must be
approved for options trading. You should consult with your financial advisor
to determine whether your account would meet the options trading
requirements. Neither the Securities nor the Warrants are principal
protected. Thus, if you choose to exercise your Exchange Right and hold only
the Securities or only the Warrants, you will lose the benefit of principal
protection at maturity and could receive substantially less than the amount
of your initial investment. If you hold only the Securities, your investment
may result in a loss if the Ending Value is less than the Starting Value. If
you hold only the Warrants, the payment on the Warrants will be zero unless
the Ending Value is less than the Starting Value. These additional risks
also include that the Securities and the Warrants may trade at prices
substantially below their initial purchase prices.
- - Additional Risks Upon Exchange If You Hold Only the Securities or Only the
Warrants. If you exercise your Exchange Right and hold only the Securities
or only the Warrants, you will be subject to other risks in addition to the
loss of principal protection at maturity. These additional risks include, in
the case of the Securities, that the Securities will participate fully in
the depreciation of the Underlying Basket and, in the case of the Warrants,
that the Warrants may lose substantially all their value due to relatively
small increases in the value of the Underlying Basket, particularly
increases above the Starting Value.
Certain U.S. Federal Income Tax Considerations
The following summarizes certain federal income tax considerations for U.S.
investors that purchase the Certificates at the initial offering and hold the
Certificates as capital assets. In general, a U.S. investor will be treated as
owning a pro rata share of the assets of the Trust. Under the treatment that
each holder will agree to with the Trust and Citigroup Funding, the Securities
and the Warrants will be treated as two separate financial instruments.
A U.S. holder's tax treatment may depend on the applicability of certain
elections. The Trust will make a "mixed straddle" election on behalf of all
holders of the Certificates by identifying on its records the Securities and the
Warrants as a mixed straddle and by filing IRS form 6781. The Trust also will
make an "identified straddle" election on behalf of all holders of the
Certificates by identifying on its records each Security and each Warrant as a
separate identified straddle. It is unclear, however, whether such elections
made by the Trust on behalf of a holder will be effective. Therefore, it is
generally advisable that U.S. investors
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also make a mixed straddle election and an identified straddle election by
complying with the identification requirements described in the preliminary
prospectus and pricing supplement and by filing IRS form 6781 (applicable to the
mixed straddle election) attached thereto. Assuming that the "mixed straddle"
election and the identified straddle election will apply, the Certificates will
be taxed as follows:
- - A U.S. holder will not be required to accrue income or take into account
gain with respect to Certificates until maturity or disposition.
- - At maturity or upon a sale of all of U.S. holder's Certificates, such holder
will recognize net capital gain or loss equal to the difference between the
amount of cash received and the amount that U.S. holder paid for the
Certificates. Such capital gain or loss will be short-term gain or loss
regardless of how long the U.S. holder has held the Certificates.
- - If a U.S. holder exchanges its Certificates for Securities and Warrants and
disposes of one but not the other, such holder will have long-term capital
gain or loss at maturity or on disposition of the Securities or the Warrants
only if the U.S. holder has held the Securities or the Warrants for more
than one year after the disposition of the other instrument, respectively.
In order to exercise your Exchange Right, your account must be approved for
options trading. You should consult with your financial advisor to determine
whether your account would meet the options trading requirements. You should
be aware, however, that if you hold only the Securities or only the
Warrants, you will lose the benefit of principal protection at maturity.
Losses realized on the disposition of the Securities or the Warrants may be
required to be capitalized into the tax basis of the Warrants or the
Securities (as the case may be) retained by the U.S. Holder.
No statutory, judicial or administrative authority addresses the
characterization of the Securities and the Warrants or similar instruments for
U.S. federal income tax purposes. As a result, significant aspects of the U.S.
federal income tax consequences of an investment in the Certificates are not
certain. ACCORDINGLY, A PROSPECTIVE INVESTOR (INCLUDING A TAX EXEMPT INVESTOR)
IN THE CERTIFICATES SHOULD CONSULT ITS OWN TAX ADVISOR IN DETERMINING THE TAX
CONSEQUENCES OF AN INVESTMENT IN THE CERTIFICATES.
In the case of a holder of the Certificates that is not a U.S. person, any gain
realized upon the sale, maturity, exchange or other taxable disposition of the
Certificates, the Securities or the Warrants generally will not be subject to
U.S. income or withholding tax provided that: (i) the holder complies with
applicable certification requirements (including in general the furnishing of an
IRS form W-8 or substitute form), (ii) in the case of an individual, such
individual is not present in the United States for 183 days or more in the
taxable year of the sale or other disposition or the gain is not attributable to
a fixed place of business maintained by such individual in the United States,
and (iii) the holder does not own, actually or constructively, 10% or more of
the total combined voting power of all classes of the Citigroup Funding's stock
entitled to vote, and are not a controlled foreign corporation related, directly
or indirectly, to Citigroup Funding through stock ownership.
You should refer to the preliminary prospectus and pricing supplement related to
this offering for additional information relating to U.S. federal income tax and
consult your own tax advisors to determine tax consequences particular to your
situation.
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The Underlying Basket
General. The Underlying Basket will be established on the Pricing Date and will
be calculated by the Calculation Agent. The Underlying Basket will represent the
values of two equity indices: the Dow Jones Industrial Average and the Nikkei
225 Stock Average. The Starting Value of the Underlying Basket will be set to
100 on the Pricing Date and each of the two indices comprising the Underlying
Basket will initially represent 50% of the value of the Underlying Basket. The
closing value of the Underlying Basket on any index business day will equal the
sum of the products of (i) the closing value on that day of each index
comprising the basket and (ii) a fixed factor (the "Multiplier") applicable to
each index. The Multiplier for each index will be determined on the Pricing Date
and will equal 50 divided by the closing value of the applicable index on the
Pricing Date.
The following graph sets forth the hypothetical historical closing values of the
Underlying Basket on each index business day from January 1, 1996 through
October 16, 2006, each calculated as if the Underlying Basket had been created
on January 1, 1996 with an initial value of 100. The Underlying Basket actually
will be established on the Pricing Date with a value of 100.
Actual historical closing values of each of the two component indices were used
to calculate the hypothetical historical closing values of the Underlying
Basket. However, these hypothetical historical closing values should not be
taken as an indication of the actual composition of the Underlying Basket on the
Pricing Date or the future performance of the Underlying Basket. Any
hypothetical historical upward or downward trend in the value of the Underlying
Basket during any period set forth below is not an indication that the
Underlying Basket is more or less likely to increase or decrease at any time
during the term of the Certificates.
(GRAPH)
You should refer to the preliminary prospectus and pricing supplement related to
this offering for additional information on the Underlying Basket and each
component index,
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including its respective makeup, method of calculation and changes in its
components. All such disclosures in the preliminary prospectus and pricing
supplement are derived from publicly available information. None of the Trust,
Citigroup Funding, Citigroup, Citigroup Global Markets or the Trustee assumes
any responsibility for the accuracy or completeness of such information. You
should also be aware that an investment in the Certificates does not entitle you
to any dividends, voting rights or any other ownership or other interest in
respect of the stocks of the companies included in the indices comprising the
Underlying Basket.
License Agreements. Citigroup or its subsidiary has entered into a
non-exclusive license agreement with the publisher of each index comprising the
Underlying Basket, providing for the license to Citigroup and its subsidiaries
(including Citigroup Funding), in exchange for a fee, of the right to use each
index in connection with certain securities, including the Certificates, the
Securities and the Warrants. Each license agreement provides that the following
language, as applicable, must be stated in this offering summary.
"Dow Jones," "Dow Jones Industrial Average(SM)" and "DJIA(SM)" are service marks
of Dow Jones & Company, Inc. and have been licensed for use for certain purposes
by Citigroup Funding Inc.'s affiliate, Citigroup Global Markets Limited. The
Certificates, the Securities and the Warrants are not sponsored, endorsed, sold
or promoted by Dow Jones, and Dow Jones makes no representation regarding the
advisability of investing in the Certificates, the Securities and the Warrants.
"Nikkei," "Nikkei Stock Average," "Nikkei Average" and "Nikkei 225" are the
service marks of Nihon Keizai Shimbun, Inc. The Nikkei 225 Stock Average is the
intellectual property of Nihon Keizai Shimbun, Inc. and Nihon Keizai Shimbun,
Inc. reserves all the rights, including copyright, to the Nikkei 225 Stock
Average. These service marks have been licensed for use for certain purposes by
Citigroup Funding Inc. The Certificates, the Securities and the Warrants are not
issued, sponsored, endorsed, sold or prompted by Nihon Keizai Shimbun, Inc.
Nihon Keizai Shimbun, Inc. makes no warranties and bears no liability with
respect to the Certificates, the Securities and the Warrants.
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Hypothetical Maturity Payment Examples
The examples of hypothetical maturity payments set forth below are intended to
illustrate the effect of different Ending Values on the amount payable on the
Certificates at maturity. All of the hypothetical examples are based on the
following assumptions:
<Table>
- - Issue Price: $10.00 - Term of the Certificates: 3.65 years
- - Starting Value: 100
- - The Certificates are held to maturity and are not exchanged for the Securities and
the Warrants.
</Table>
As shown by the examples below, if the Basket Return is 0% or less, you will
receive an amount at maturity equal to $10.00 per certificate, the amount of
your initial investment in the Certificates. If the Basket Return is greater
than 0%, you will receive an amount at maturity that is greater than your
initial investment in the Certificates.
<Table>
<Caption>
Annualized
Supplemental Total Return Return
Distribution Maturity on the on the
Ending Value Basket Return Amount(1) Payment(2) Certificates Certificates(3)
- ---------------------------------------------------------------------------------------------------------------------
30.0...... -70.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
40.0...... -60.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
50.0...... -50.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
60.0...... -40.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
70.0...... -30.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
75.0...... -25.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
80.0...... -20.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
85.0...... -15.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
90.0...... -10.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
95.0...... -5.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
97.5...... -2.50% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
100.0..... 0.00% $0.00 $10.00 0.00% 0.00%
- ---------------------------------------------------------------------------------------------------------------------
102.5..... 2.50% $0.25 $10.25 2.50% 0.68%
- ---------------------------------------------------------------------------------------------------------------------
105.0..... 5.00% $0.50 $10.50 5.00% 1.35%
- ---------------------------------------------------------------------------------------------------------------------
107.5..... 7.50% $0.75 $10.75 7.50% 2.00%
- ---------------------------------------------------------------------------------------------------------------------
110.0..... 10.00% $1.00 $11.00 10.00% 2.65%
- ---------------------------------------------------------------------------------------------------------------------
115.0..... 15.00% $1.50 $11.50 15.00% 3.90%
- ---------------------------------------------------------------------------------------------------------------------
120.0..... 20.00% $2.00 $12.00 20.00% 5.12%
- ---------------------------------------------------------------------------------------------------------------------
125.0..... 25.00% $2.50 $12.50 25.00% 6.30%
- ---------------------------------------------------------------------------------------------------------------------
130.0..... 30.00% $3.00 $13.00 30.00% 7.45%
- ---------------------------------------------------------------------------------------------------------------------
140.0..... 40.00% $4.00 $14.00 40.00% 9.66%
- ---------------------------------------------------------------------------------------------------------------------
150.0..... 50.00% $5.00 $15.00 50.00% 11.75%
- ---------------------------------------------------------------------------------------------------------------------
160.0..... 60.00% $6.00 $16.00 60.00% 13.74%
</Table>
(1) Supplemental Distribution Amount = $10.00 X Basket Return, provided that the
Supplemental Distribution Amount will not be less than zero
(2) Maturity Payment = $10.00 + Supplemental Distribution Amount
(3) Compounded Annually
The examples above are for purposes of illustration only. The actual maturity
payment will depend on the actual Supplemental Distribution Amount which, in
turn, will depend on the actual Ending Value.
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ERISA and IRA Purchase Considerations
Employee benefit plans subject to ERISA, entities the assets of which are deemed
to constitute the assets of such plans, governmental or other plans subject to
laws substantially similar to ERISA and retirement accounts (including Keogh,
SEP and SIMPLE plans, individual retirement accounts and individual retirement
annuities) are permitted to purchase the Certificates, the Securities and the
Warrants as long as either (A) (1) no Citigroup Global Market affiliate or
employee is a fiduciary to such plan or retirement account that has or exercises
any discretionary authority or control with respect to the assets of such plan
or retirement account used to purchase the Certificates, the Securities or the
Warrants or renders investment advice with respect to those assets, and (2) such
plan or retirement account is paying no more than adequate consideration for the
Certificates, the Securities or the Warrants or (B) its acquisition and holding
of the Certificates, the Securities or the Warrants is not prohibited by any
such provisions or laws or is exempt from any such prohibition.
However, individual retirement accounts, individual retirement annuities and
Keogh plans, as well as employee benefit plans that permit participants to
direct the investment of their accounts, will NOT be permitted to purchase or
hold the Certificates, the Securities or the Warrants if the account, plan or
annuity is for the benefit of an employee of Citigroup Global Markets or a
family member and the employee receives any compensation (such as, for example,
an addition to bonus) based on the purchase of the Certificates, the Securities
or the Warrants by the account, plan or annuity.
You should refer to the section "ERISA Matters" in the preliminary prospectus
and pricing supplement related to this offering for more information.
Additional Considerations
If the closing value of any of the indices comprising the Underlying Basket is
not available on the Valuation Date, the Calculation Agent may determine the
Ending Value in accordance with the procedures set forth in the preliminary
prospectus and pricing supplement related to this offering. In addition, if any
of the indices comprising the Underlying Basket is discontinued, the Calculation
Agent may determine the Ending Value by reference to a successor index or, if no
successor index is available, in accordance with the procedures last used to
calculate the relevant index prior to any such discontinuance. You should refer
to the sections "Description of the Certificates -- Supplemental Distribution
Amount" and "-- Discontinuance of an Index Comprising the Underlying Basket" in
the preliminary prospectus and pricing supplement for more information.
Citigroup Global Markets is an affiliate of the Trust and Citigroup Funding.
Accordingly, the offering will conform to the requirements set forth in Rule
2810 of the Conduct Rules of the National Association of Securities Dealers
regarding direct participation programs.
Client accounts over which Citigroup or its affiliates have investment
discretion are NOT permitted to purchase the Certificates, either directly or
indirectly.
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