Citigroup plans to price buffered PLUS linked to basket of ETFs, index

By Marisa Wong

Madison, Wis., Feb. 11 - Citigroup Funding Inc. plans to price 0% buffered Performance Leveraged Upside Securities due Feb. 26, 2013 linked to a basket of exchange-traded funds and an index, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the iShares iBoxx $ High Yield Corporate bond fund with a 30% weight; the S&P 500 index with a 25% weight; and the iShares MSCI Emerging Markets index fund, the iShares MSCI Pacific ex-Japan index fund and the iShares Dow Jones U.S. Real Estate index fund, each with a 15% weight.

The payout at maturity will be par of $10 plus 1.5 times any basket gain, up to a payment of $11.80 to $12.20 per note.

Investors will receive par if the basket falls by up to 10% and will be exposed to losses beyond the buffer.

The securities (Cusip: 17316G347) will price on Feb. 22 and settle three business days after that.

Citigroup Global Markets Inc. is the underwriter.

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