Citigroup plans bearish buffer notes linked to small-, mid-cap indexes

By Angela McDaniels

Tacoma, Wash., Oct. 24 - Citigroup Funding Inc. plans to price 0% bearish buffer notes due November 2013 linked inversely to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P MidCap 400 index with a 60% weight and the Russell 2000 index with a 40% weight.

If the final basket level is less than the initial basket level, the payout at maturity will be par plus 2% for every 1% that the basket declines, subject to a maximum payout of $1,280 to $1,330 per $1,000 principal amount of notes. Investors will receive par if the basket advances by 15% or less and will lose 1% for every 1% that it advances beyond 15%.

The notes (Cusip: 1730T0PR4) are expected to price Nov. 4.

Citigroup Global Markets Inc. is the underwriter.

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