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Published on 9/26/2011 in the Prospect News Structured Products Daily.

New Issue: Citigroup prices $10.21 million buffered digital plus notes on S&P 500

By Jennifer Chiou

New York, Sept. 26 - Citigroup Funding Inc. priced $10.21 million of 0% buffered digital plus notes due March 27, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus the greater of the index return and 40%. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that it declines beyond 10%.

Citigroup Global Markets Inc. is the agent.

Issuer:Citigroup Funding Inc.
Issue:Buffered digital plus notes
Underlying index:S&P 500
Amount:$10,208,000
Maturity:March 27, 2015
Coupon:0%
Price:Par
Payout at maturity:If final index level is greater than initial level, par plus greater of the index return and 40%; par if index declines by 10% or less; 1% loss for every 1% that index declines beyond 10%
Initial index level:1,136.43
Pricing date:Sept. 23
Settlement date:Sept. 28
Agent:Citigroup Global Markets Inc.
Fees:3%
Cusip:1730T0NR6

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