Citigroup plans to price Pacers linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Sept. 29 - Citigroup Funding Inc. plans to price 0% Premium Mandatorily Callable Equity-Linked Securities due October 2012 linked to the worst performing of the S&P 500 index ad the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 12.85% to 15.85% per year if the worst-performing index closes at or above its initial level on any of three call dates, which will fall in March, June 2012 and September 2012. The last call date is also the final valuation date.

If the notes are not called, the payout at maturity will be par if the closing level of each index is greater than 60% of its initial level throughout the life of the notes. Otherwise, the payout will be par plus the return of the worst-performing index. This return will be negative because if the return on the final valuation date had been positive or flat, the notes would have been called.

The notes (Cusip: 1730T0PF0) are expected to price in September and settle in October.

Citigroup Global Markets Inc. is the underwriter.

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