FWP 1 dfwp.htm OFFERING SUMMARY Offering Summary

Filed Pursuant to Rule 433
Registration Statement Nos. 333-132370 and 333-132370-01

LOGO

Equity First

Opportunity First

OFFERING SUMMARY

No. 2007-MTNDD100

(Related to the Product Supplement Dated April 23, 2007, Prospectus Supplement Dated April 13, 2006 and Prospectus Dated March 10, 2006)

CITIGROUP FUNDING INC.

Any Payments Due from Citigroup Funding Inc.

Fully and Unconditionally Guaranteed by Citigroup Inc.

Medium-Term Notes, Series D

Stock Market Upturn NotesSM

Based upon the

S&P 500® Index

Due 2008

$10.00 per Note

Citigroup Funding Inc., the issuer, and Citigroup Inc., the guarantor, have filed a registration statement (including a Stock Market Upturn NotesSM product supplement, prospectus supplement and prospectus) with the Securities and Exchange Commission (SEC) for the offering to which this communication relates. Before you invest, you should read the product supplement, prospectus supplement and prospectus in that registration statement (File No. 333-132370) and the other documents Citigroup Funding and Citigroup have filed with the SEC for more complete information about 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 product supplement, prospectus supplement and prospectus by calling toll-free 1-877-858-5407.

 

       
Investment Products   Not FDIC Insured   May Lose Value   No Bank Guarantee

April 23, 2007

2    Stock Market Upturn Notessm

 

Stock Market

Upturn Notessm

Based Upon the S&P 500® Index

Due 2008

This offering summary represents a summary of the terms and conditions of the Stock Market Upturn Notessm. It is important for you to consider the information contained in this offering summary, the Stock Market Upturn Notessm product supplement, as well as the related prospectus supplement and prospectus, before making your decision to invest in the Stock Market Upturn Notessm. The description of the Stock Market Upturn Notessm below supplements, and to the extent inconsistent with, replaces, the description of the general terms of the Stock Market Upturn Notessm set forth in the Stock Market Upturn Notessm product supplement. Capitalized terms used in this offering summary and not defined under “Preliminary Terms” below have the meanings given them in the Stock Market Upturn Notessm product supplement.

Overview of the Stock Market Upturn Notes

General

The Stock Market Upturn Notessm Based Upon the S&P 500® Index Due 2008 (the “Notes”) are equity-linked securities issued by Citigroup Funding Inc. that have a maturity approximately 1.5 years. Some key characteristics of the Notes include:

 

O  

Leveraged upside participation. The Notes offer investors a participation rate of three times the upside growth potential of the S&P 500® Index up to a maximum return on the Notes of approximately 15% to 16% (approximately 10% to 10.67% per annum on a simple interest basis) (to be determined on the Pricing Date). Thus,

 

  O  

If the performance of the S&P 500® Index is positive — if the closing value of the S&P 500® Index on the Valuation Date is greater than the closing value of the S&P 500® Index on the Pricing Date (regardless of the value of the S&P 500® Index at any other time during the term of the Notes) — then you will participate in three times such positive return subject to the maximum return on the Notes.

 

  O  

If the performance of the S&P 500® Index is negative — if the closing value of the S&P 500® Index on the Valuation Date is less than the closing value of the S&P 500® Index on the Pricing Date (regardless of the value of the S&P 500® Index at any other time during the term of the Notes) — you will participate fully in such decline but not on a leveraged basis.

 

  O  

If the closing value of the S&P 500® Index on the Valuation Date is equal to the closing value of the S&P 500® Index on the Pricing Date (regardless of the value of the S&P 500® Index at any other time during the term of the Notes), you will receive, at maturity, only your initial investment in the Notes.

 

O  

No principal protection. The Notes are not principal protected. If the performance of the S&P 500® Index is negative, you will participate fully in such decline and the value of the Notes at maturity will be less than the amount of your initial investment and could be zero.

Stock Market Upturn Notessm       3

 

O  

No periodic income payments. The Notes do not offer current income, which means that you will not receive any periodic interest or other payments on the Notes prior to maturity. You will also not receive any dividend payments or other distributions, if any, on the stocks included in the S&P 500® Index. Instead, the return on the Notes, which is based on the performance of the S&P 500® Index and could be positive, negative or zero, is paid at maturity.

The Notes are a series of unsecured senior debt securities issued by Citigroup Funding. Any payments due on the Notes are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company. The Notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Funding, and, as a result of the guarantee, any payments due under the Notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc. The return of the principal amount of your investment in the Notes is not guaranteed.

Types of Investors

The Notes may be an appropriate investment for the following types of investors:

 

O  

Investors possessing a moderate growth view on the S&P 500® Index who are looking for leveraged upside exposure to such underlying, subject to a maximum return, and who can withstand the risk of losing the principal amount of their investment.

 

O  

Investors who seek to add an equity-index-linked investment to further diversify their portfolio.

 

O  

Current or prospective holders of exchange-traded funds benchmarked to the S&P 500® Index or similar underlying.

4    Stock Market Upturn Notessm

 

Preliminary Terms

 

Issuer:

   Citigroup Funding Inc.

Security:

   Stock Market Upturn Notessm Based Upon the S&P 500® Index

Underlying Equity:

   S&P 500® Index

Guarantee:

   Any payments due on the Notes are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company; however, because the Notes are not principal protected, you may receive a payment at maturity with a value less than the amount you initially invest

Rating of the Issuer’s Obligations:

   Aa1/AA (Moody’s/S&P) based upon the Citigroup guarantee; however, because the Notes are not principal protected, you may receive a payment at maturity with a value less than the amount you initially invest

Principal Protection:

   None

Pricing Date:

   May     , 2007

Issue Date:

   Three business days after the Pricing Date

Valuation Date:

   Three business days before the Maturity Date

Maturity Date:

   Approximately 1.5 years after the Issue Date

Issue Price:

   $10.00 per Note

Coupon:

   None

Payment at

Maturity:

   For each $10 Note, $10 plus the Note Return Amount

Note Return Amount:

  

For each $10 Note:

 

(1) if the Equity Return Percentage is positive, $10 * Equity Return Percentage * 300%, provided, however, that the total amount payable at maturity cannot exceed between approximately $11.50 to $11.60 (to be determined on the Pricing Date) per Note

 

(2) if the Equity Return Percentage is zero, $0

 

(3) if the Equity Return Percentage is negative, $10 * Equity Return Percentage, which will be negative

Equity Return Percentage:

  

The return on the S&P 500® Index, expressed as a percentage, shall equal:

 

Ending Value - Starting Value

 

               Starting Value

Starting Value:

   The closing value of the Underlying Equity on the Pricing Date

Ending Value:

   The closing value of the Underlying Equity on the Valuation Date

Listing:

   Application will be made to list the Notes on the American Stock Exchange under the symbol “SKL”

CUSIP Number:

    

Calculation Agent:

   Citigroup Global Markets Inc.

Commissions and Issue Price:

         Per Note            Total       
  Public Offering Price:   $10.00     $                       
  Agent’s Discount:   $0.225    $                       
  Proceeds to Citigroup Funding Inc:   $9.775    $                       

Stock Market Upturn Notessm       5

 

Benefits of the Notes

 

O  

Leveraged Growth Potential.    If the Ending Value of the S&P 500® Index is higher than the Starting Value, you will participate in three times such appreciation, subject to a maximum return on the Notes of approximately 15% to 16% (approximately 10% to 10.67% per annum on a simple interest basis) (to be determined on the Pricing Date) over the term of the Notes.

 

O  

Diversification.    The Notes may provide a degree of diversification within the equity portion of an investor’s portfolio through exposure to the Underlying Equity.

Key Risk Factors for the Notes

An investment in the Notes involves significant risks. While some of these risks are summarized below, please review the “Risk Factors Relating to the Notes” section of the Stock Market Upturn Notessm product supplement and the “Risk Factors” section of the prospectus supplement related to this offering for a full description of risks.

 

O  

Potential for Loss.     The amount you receive at maturity on the Notes will depend on the value of the Underlying Equity on the Valuation Date. If the value of the Underlying Equity on the Valuation Date is below the Starting Value, the amount you receive at maturity will be less than the amount of your initial investment in the Notes and could be zero, even if the value of the Underlying Equity exceeded the Starting Value at one or more times during the term of the Notes.

 

O  

Appreciation Is Capped.     The maximum return on the Notes will be capped at approximately 15% to 16% (approximately 10% to 10.67% per annum on a simple interest basis) (to be determined on the Pricing Date) even though you will be subject to the full risk of a decline in the value of the Underlying Equity. If the Ending Value of the Underlying Equity exceeds the Starting Value by an amount greater than approximately 15% to 16% (to be determined on the Pricing Date), the Notes will provide less opportunity for appreciation than an investment in a similar security that is directly linked to the appreciation of the Underlying Equity and is not subject to a maximum return or an investment directly in the stocks included in the Underlying Equity. (See the examples under “Hypothetical Amounts Payable at Maturity” below).

 

O  

No Periodic Payments.    You will not receive any periodic payments of interest or any other periodic payments on the Notes. In addition, you will not be entitled to receive dividend payments or other distributions, if any, made on the stocks included in the Underlying Equity.

 

O  

Potential for a Lower Comparable Yield.    The Notes do not pay any periodic interest. As a result, if the Ending Value of the Underlying Equity does not increase sufficiently from its Starting Value, the effective yield on the Notes will be less than that which would be payable on a conventional fixed-rate debt security of Citigroup Funding of comparable maturity.

 

O  

Secondary Market May Not Be Liquid.    Citigroup Funding will apply to list the Notes on the American Stock Exchange under the symbol “SKL.” There is currently no secondary market for the Notes. Even if a secondary market does develop, it may not be liquid and may not continue for the term of the Notes. Although Citigroup Global Markets intends to make a market in the Notes, it is not obligated to do so.

6    Stock Market Upturn Notessm

 

O  

Resale Value of the Notes May be Lower Than Your Initial Investment.    Due to, among other things, changes in the prices of and dividend yields on the stocks included in the Underlying Equity, interest rates, the earnings performance of the issuers of the stocks included in the Underlying Equity, other economic conditions and Citigroup Funding and Citigroup’s perceived creditworthiness, the Notes may trade at prices below their initial issue price of $10 per Note. You could receive substantially less than the amount of your initial investment if you sell your Notes prior to maturity.

 

O  

Fees and Conflicts.    Citigroup Global Markets and its affiliates involved in this offering are expected to receive compensation for activities and services provided in connection with the Notes. Further, Citigroup Funding expects to hedge its obligations under the Notes through the trading of the stocks included in the Underlying Equity or other instruments, such as options, swaps or futures, based upon the stocks included in the Underlying Equity by one or more of its affiliates. Each of Citigroup Funding’s or its affiliates’ hedging activities and Citigroup Global Markets’ role as the Calculation Agent for the Notes may result in a conflict of interest.

 

O  

Citigroup Credit Risk.    The Notes are subject to the credit risk of Citigroup, Citigroup Funding’s parent company and the guarantor of any payments due on the Notes.

Certain U.S. Federal Income Tax Considerations

The following is a summary of certain U.S. federal income tax considerations of the purchase, ownership and disposition of the Notes by U.S. investors (“U.S. Holders”) and certain non-U.S. investors described below. This discussion supplements, and should be read in conjunction with, the discussion contained in the Stock Market Upturn Notessm product supplement under “Certain United States Federal Income Tax Considerations.”

All prospective investors should refer to the Stock Market Upturn Notessm product supplement related to this offering for additional information relating to U.S. federal income tax and should consult their own tax advisors to determine the tax consequences to them of investing in the Notes.

U.S. Holders

For U.S. federal income tax purposes, you and Citigroup Funding agree to treat a Note as a cash-settled capped variable forward contract on the value of the Underlying Equity at maturity under which an amount equal to the purchase price of the Notes is treated as a non-interest-bearing cash deposit to be applied at maturity in full satisfaction of the holder’s payment obligation under the forward contract.

Under such treatment, at maturity or upon the sale of a Note, you generally will recognize gain or loss equal to the difference between the cash received and your purchase price in the Note. Such gain or loss generally will be long-term capital gain or loss if you have held the Notes for more than one year at the time of the disposition.

Due to the absence of authority as to the proper characterization of the Notes, no assurance can be given that the Internal Revenue Service (“IRS”) will accept, or that a court will uphold, the agreed-to characterization and tax treatment described above, and under alternative treatments of the Notes, the timing and character of income from the Notes could differ substantially, resulting in less favorable U.S. federal income tax consequences to you.

Stock Market Upturn Notessm       7

 

Non-U.S. Holders

In the case of a holder of Notes that is not a U.S. person (a “Non-U.S. Holder”), any payments made with respect to the Notes should not be subject to U.S. withholding tax, provided that such holder complies with applicable certification requirements.

Any capital gain realized upon the sale or other disposition of the Notes by a Non-U.S. Holder will generally not be subject to U.S. federal income tax if:

 

  — Such gain is not effectively connected with a U.S. trade or business of such holder, and

 

  — 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.

Description of the S&P 500® Index

General

The S&P 500® Index is published by Standard & Poor’s (“S&P”) and is intended to provide a performance benchmark for the U.S. equity markets. S&P chooses companies for inclusion with an aim of achieving a distribution by broad industry groupings. The calculation of the value is based on the relative aggregate market value of the common stocks of 500 companies at a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. The weighting and composition of the index components are updated periodically so that the S&P 500® Index reflects the performance of the U.S. equity markets.

As of March 30, 2007, the common stocks of 423 of the 500 companies included in the S&P 500® Index were listed on the New York Stock Exchange (the “NYSE”). As of March 30, 2007, the aggregate market value of the 500 companies included in the S&P 500® Index represented approximately 73% of the market value of S&P’s internal database of over 6,567 equities. S&P chooses companies for inclusion in the S&P 500® Index with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock composition of the NYSE, which S&P uses as an assumed model for the composition of the total market. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the market price of that company’s common stock is generally responsive to changes in the affairs of the respective industry and the market value and trading activity of the common stock of that company.

As of March 30, 2007, the 500 companies included in the S&P 500® Index were divided into 10 Global Industry Classification Sectors. The Global Industry Classification Sectors included (with the number of companies currently included in such sectors indicated in parentheses): Consumer Discretionary (89), Consumer Staples (38), Energy (33), Financials (90), Health Care (54), Industrials (52), Information Technology (75), Materials (28), Telecommunication

8    Stock Market Upturn Notessm

 

Services (9) and Utilities (32). S&P may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500® Index to achieve the objectives stated above.

THE S&P 500® INDEX DOES NOT REFLECT THE PAYMENT OF DIVIDENDS ON THE STOCKS UNDERLYING IT AND THEREFORE THE RETURN ON THE STOCK MARKET UPTURN NOTESsm WILL NOT PRODUCE THE SAME RETURN YOU WOULD RECEIVE IF YOU WERE TO PURCHASE SUCH UNDERLYING STOCKS AND HOLD THEM UNTIL THE MATURITY DATE.

Computation of the S&P 500® Index

On March 21, 2005, S&P began to calculate the S&P 500® Index based on a half float-adjusted formula, and on September 16, 2005, S&P completed the full float adjustment of the S&P 500® Index. S&P’s criteria for selecting stocks for the Index were not changed by the shift to float adjustment. However, the adjustment affects each company’s weight in the S&P 500® Index (i.e., its market value).

Under float adjustment, the share counts used in calculating the S&P 500® Index reflect only those shares that are available to investors and not all of a company’s outstanding shares. S&P defines three groups of shareholders whose holdings are subject to float adjustment:

 

  •  

holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups;

 

  •  

holdings by governmental entities, including all levels of government in the United States or foreign countries; and

 

  •  

holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment vehicles associated with and controlled by the company.

However, treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. In cases where holdings in a group exceed 10% of the outstanding shares of a company, the holdings of that group will be excluded from the float-adjusted count of shares to be used in the S&P 500® Index calculation. Mutual funds, investment advisory firms, pension funds, or foundations not associated with the company and investment funds in insurance companies, shares of a United States company traded in Canada as “exchangeable shares,” shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are also part of the float.

For each stock, an investable weight factor (“IWF”) is calculated by dividing the available float shares, defined as the total shares outstanding less shares held in one or more of the three groups listed above where the group holdings exceed 10% of the outstanding shares, by the total shares outstanding. The float-adjusted index will then be calculated by dividing the sum of the IWF multiplied by both the price and the total shares outstanding for each stock by the index divisor. For companies with multiple classes of stock, S&P will calculate the weighted average IWF for each stock using the proportion of the total company market capitalization of each share class as weights.

Stock Market Upturn Notessm       9

 

The S&P 500® Index is calculated using a base-weighted aggregate methodology: the level of the S&P 500® Index reflects the total Market Value of all S&P 500 component stocks relative to the S&P 500® Index’s base period of 1941-43 (the “base period”).

An indexed number is used to represent the results of this calculation in order to make the value easier to work with and track over time.

The actual total market value of the S&P 500 component stocks during the base period has been set equal to an indexed value of 10. This is often indicated by the notation 1941-43=10. In practice, the daily calculation of the S&P 500® Index is computed by dividing the total market value of the S&P 500 Component Stocks by a number called the index divisor. By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the S&P 500® Index, it is the only link to the original base period level of the S&P 500® Index. The index divisor keeps the S&P 500® Index comparable over time and is the manipulation point for all adjustments to the S&P 500® Index (“index maintenance’).

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to company restructurings or spinoffs.

To prevent the level of the S&P 500® Index from changing due to corporate actions, all corporate actions which affect the total market value of the S&P 500® Index require an index divisor adjustment. By adjusting the index divisor for the change in total market value, the level of the S&P 500® Index remains constant. This helps maintain the level of the S&P 500® Index as an accurate barometer of stock market performance and ensures that the movement of the S&P 500® Index does not reflect the corporate actions of individual companies in the S&P 500® Index. All index divisor adjustments are made after the close of trading. Some corporate actions, such as stock splits and stock dividends, require simple changes in the common shares outstanding and the stock prices of the companies in the S&P 500® Index and do not require index divisor adjustments.

10    Stock Market Upturn Notessm

 

Historical Data on the S&P 500® Index

Year-End Closing Values

The following table sets forth the closing values of the S&P 500® Index on the last index business day of each December from 1947 through 2006, as published by S&P. The historical performance of the S&P 500® Index should not be taken as an indication of future performance, and no assurance can be given that the value of the S&P 500® Index will not decline (or increase insufficiently) and thereby reduce the maturity payment.

 

Year

  

Year End
Closing Value

   

Year

  

Year End
Closing Value

   

Year

  

Year End
Closing Value

   

Year

  

Year End
Closing Value

1947

   15.30    1962     63.10    1977     95.10    1992     435.71

1948

   15.20    1963     75.02    1978     96.11    1993     466.45

1949

   16.79    1964     84.75    1979   107.94    1994     459.27

1950

   20.43    1965     92.43    1980   135.76    1995     615.93

1951

   23.77    1966     80.33    1981   122.55    1996     740.74

1952

   26.57    1967     96.47    1982   140.64    1997     970.43

1953

   24.81    1968   103.86    1983   164.93    1998   1229.23

1954

   35.98    1969     92.06    1984   167.24    1999   1469.25

1955

   45.48    1970     92.15    1985   211.28    2000   1320.28

1956

   46.67    1971   102.09    1986   242.17    2001   1148.08

1957

   39.99    1972   118.05    1987   247.08    2002     879.82

1958

   55.21    1973     97.55    1988   277.72    2003   1111.92

1959

   59.89    1974     68.56    1989   353.40    2004   1211.92

1960

   58.11    1975     90.19    1990   330.22    2005   1248.29

1961

   71.55    1976   107.46    1991   417.09    2006   1418.30

Month-End Closing Values

The following table sets forth the closing value of the S&P 500® Index on the last index business day of each month in the period from January 2002 through March 2007. These historical data on the S&P 500® Index are not necessarily indicative of the future performance of the S&P 500® Index or what the market value of the Notes may be. Any historical upward or downward trend in the value of the S&P 500® Index during any period set forth below is not an indication that the S&P 500® Index is more or less likely to increase or decrease at any time during the term of the Notes.

 

   

2002

  

2003

  

2004

  

2005

  

2006

  

2007

January

   1,130.20   855.70   1,131.13   1,181.27   1,280.08   1,438.24

February

   1,106.73   841.15   1,144.94   1,203.60   1,280.66   1,406.82

March

   1,147.39   848.18   1,126.21   1,180.59   1,294.83   1,406.86

April

   1,076.92   916.92   1,107.30   1,156.85   1,310.61  

May

   1,067.14   963.59   1,120.68   1,191.50   1,270.09  

June

   989.82   974.50   1,140.84   1,191.33   1,270.20  

July

   911.62   990.31   1,101.72   1,234.18   1,276.66  

August

   916.07   1,008.01   1,104.24   1,220.33   1,303.82  

September

   815.28   995.97   1,114.58   1,228.81   1,335.85  

October

   885.76   1,050.71   1,130.20   1,207.01   1,377.94  

November

   936.31   1,058.20   1,173.82   1,249.48   1,400.63  

December

   879.82   1,111.92   1,211.92   1,248.29   1,418.30  

Stock Market Upturn Notessm       11

 

Historical Graph

The following graph illustrates the historical performance of the S&P 500® Index based on the month-end closing values from January 2002 through March 2007. Past values of the S&P 500® Index are not indicative of future S&P 500® Index values.

LOGO

On April 20, 2007, the closing value of the S&P 500® Index was 1484.35.

License Agreement

S&P and Citigroup Global Markets, an affiliate of Citigroup Funding, have entered into a non exclusive license agreement providing for the license to Citigroup Global Markets and its affiliates, in exchange for a fee, of the right to use indices owned and published by S&P in connection with certain financial instruments, including the Stock Market Upturn Notessm.

The license agreement between S&P and Citigroup Global Markets provides that the following language must be stated in this Offering Summary:

The Stock Market Upturn Notessm are not sponsored, endorsed, sold or promoted by S&P. S&P makes no representation or warranty, express or implied, to the holders of the Stock Market Upturn Notessm or any member of the public regarding the advisability of investing in securities generally or in the Stock Market Upturn Notessm particularly. S&P’s only relationship to Citigroup Funding is the licensing of certain trademarks, trade names and service marks of S&P and of the S&P 500® Index, which is determined, composed and calculated by S&P without regard to Citigroup Funding or the Stock Market Upturn Notessm. S&P has no obligation to take the needs of Citigroup Funding or the holders of the Stock Market Upturn Notessm into consideration in determining, composing or calculating the S&P 500® Index. S&P

12    Stock Market Upturn Notessm

 

is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Stock Market Upturn Notessm to be issued. S&P has no obligation or liability in connection with the administration, marketing or trading of the Stock Market Upturn Notessm.

All disclosures contained in this Offering Summary regarding the S&P 500® Index, including its makeup, method of calculation and changes in its components, are derived from publicly available information prepared by S&P. Neither Citigroup Funding nor Citigroup Global Markets Inc. assumes any responsibility for the accuracy or completeness of such information.

Stock Market Upturn Notessm       13

 

Hypothetical Amounts Payable at Maturity

The examples below show hypothetical amounts you could receive at maturity on the Notes for a range of Ending Values of the S&P 500® Index. The examples of hypothetical amounts you could receive at maturity set forth below are intended to illustrate the effect of different Ending Values of the S&P 500® Index on the amount you could receive on the Notes at maturity. All of the hypothetical examples are based on the following assumptions:

 

O      Issue Price:  $10.00 per Note

O      Maximum Note Return:  15.50% (10.33% per annum on a simple interest basis)

O      Starting Value:  1450

  

O      Annualized dividend yield of the
S&P 500 ® Index: 2.06%

O      Maturity:  1.5 years

O      Upside Participation Rate:  300%

The following examples are for purposes of illustration only. The actual amount you receive at maturity will depend on the actual Return Amount, which, in turn, will depend on the actual Starting Value, Ending Value and maximum return.

 

Ending Value

  

Underlying

Equity Return

Percentage(1) 

  

Total Return on
Underlying

Equity(2) 

  

Total

Return
on Notes(3)

  

Per Annum

Return

on Notes(4) 

  

Total

Return Amount

on Notes(5) 

  

Maturity
Payment
per Note

      0   -100.00%   -97.27%   -100.00%   -66.67%   -$10.00     $0.00
  725     -50.00%   -47.27%     -50.00%   -33.33%     -$5.00     $5.00
1088     -25.00%   -22.27%     -25.00%   -16.67%     -$2.50     $7.50
1124     -22.50%   -19.77%     -22.50%   -15.00%     -$2.25     $7.75
1160     -20.00%   -17.27%     -20.00%   -13.33%     -$2.00     $8.00
1196     -17.50%   -14.77%     -17.50%   -11.67%     -$1.75     $8.25
1233     -15.00%   -12.27%     -15.00%   -10.00%     -$1.50     $8.50
1269     -12.50%     -9.77%     -12.50%     -8.33%     -$1.25     $8.75
1305     -10.00%     -7.27%     -10.00%     -6.67%     -$1.00     $9.00
1341       -7.50%     -4.77%       -7.50%     -5.00%     -$0.75     $9.25
1378       -5.00%     -2.27%       -5.00%     -3.33%     -$0.50     $9.50
1414       -2.50%      0.23%       -2.50%     -1.67%     -$0.25     $9.75
1450        0.00%      2.73%        0.00%      0.00%      $0.00   $10.00
1486        2.50%      5.23%        7.50%      5.00%      $0.75   $10.75
1523        5.00%      7.73%      15.00%    10.00%      $1.50   $11.50
1559        7.50%    10.23%      15.50%    10.33%      $1.55   $11.55
1595      10.00%    12.73%      15.50%    10.33%      $1.55   $11.55
1631      12.50%    15.23%      15.50%    10.33%      $1.55   $11.55
1668      15.00%    17.73%      15.50%    10.33%      $1.55   $11.55
1704      17.50%    20.23%      15.50%    10.33%      $1.55   $11.55
1740      20.00%    22.73%      15.50%    10.33%      $1.55   $11.55
1776      22.50%    25.23%      15.50%    10.33%      $1.55   $11.55
1813      25.00%    27.73%      15.50%    10.33%      $1.55   $11.55
1849      27.50%    30.23%      15.50%    10.33%      $1.55   $11.55
1885      30.00%    32.73%      15.50%    10.33%      $1.55   $11.55
1921      32.50%    35.23%      15.50%    10.33%      $1.55   $11.55
1958      35.00%    37.73%      15.50%    10.33%      $1.55   $11.55

(1)

(Ending Value – Starting Value) / Starting Value

(2)

Assumes dividend yield on the Underlying Equity is compounded annually and not re-invested

(3)

The percentage return for the entire term of the Notes capped by the hypothetical 15.50% Maximum Return

(5)

Calculated on a simple interest basis

(4)

The dollar return for the entire term of the Notes capped by the hypothetical 15.50% Maximum Return

14    Stock Market Upturn Notessm

 

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 Notes 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 Notes 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 Notes or (B) its acquisition and holding of the Notes 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 Notes 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 Notes by the account, plan or annuity.

You should refer to the section “ERISA Matters” in the Stock Market Upturn NotesSM product supplement related to this offering for more information.

Supplemental Plan of Distribution

Citigroup Global Markets, acting as principal, has agreed to purchase from Citigroup Funding, and Citigroup Funding has agreed to sell to Citigroup Global Markets, $         principal amount of Notes (     Notes), any payments due on which are fully and unconditionally guaranteed by Citigroup. Citigroup Global Markets proposes to offer some of the Notes directly to the public at the public offering price set forth under “Preliminary Terms” above and some of the Notes to certain dealers at the public offering price less a concession not to exceed $0.20 per Note. Citigroup Global Markets may allow, and these dealers may reallow, a concession not to exceed $0.20 per Note on sales to certain other dealers. Sales may also be made through Citicorp Investment Services and Citicorp Financial Services Corp., broker-dealers affiliated with Citigroup Global Markets, acting as agents. Citicorp Investment Services and Citicorp Financial Services Corp. will receive as remuneration a portion of the agent’s discount set forth under “Preliminary Terms” above equal to $0.20 per Note for the Notes they sell. If all of the Notes are not sold at the initial offering price, Citigroup Global Markets may change the public offering price and other selling terms.

Additional Considerations

If no closing value of the S&P 500® Index is available on the Valuation Date, the Calculation Agent may determine the Ending Value in accordance with the procedures set forth in the Stock Market Upturn Notessm product supplement related to this offering. In addition, if the S&P 500® Index 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 S&P 500® Index prior to any such discontinuance. You should refer to the section “Description of the Notes—How Will the Amount Payable at

Stock Market Upturn Notessm       15

 

Maturity Be Calculated?” and the section “—Discontinuance of an Underlying Equity Index” in the product supplement related to this offering for more information.

In case of default in payment at maturity of the Notes, the Notes will bear interest, payable upon demand of the beneficial owners of the Notes in accordance with the terms of the Notes, from and after the maturity date through the date when payment of the unpaid amount has been made or duly provided for, at the rate of     % per annum on the unpaid amount due.

Citigroup Global Markets is an affiliate of Citigroup Funding. Accordingly, the offering will conform to the requirements set forth in Rule 2720 of the Conduct Rules of the National Association of Securities Dealers.

Client accounts over which Citigroup or its affiliates have investment discretion are NOT permitted to purchase the Notes, either directly or indirectly.

Stock Market Upturn NotesSM is a service mark of Citigroup Global Markets Inc.

© 2007 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.