Citigroup to price buffer notes linked to iShares MSCI Emerging Markets index fund

By Jennifer Chiou

New York, Aug. 14 - Citigroup Funding Inc. plans to price 0% buffer notes due 2009 linked to shares of the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the final fund return is positive, the payout at maturity will be par plus the return multiplied by a participation rate of at least 300%, up to a maximum return of 19% to 21%. The exact participation rate and maximum return will be set at pricing.

If the final fund return is between 0% and negative 10%, the payout will be par if the fund's shares ever fell below 90% of the initial price during the life of the notes. If the shares did not fall below that trigger level, the payout will be par plus the absolute value of the final fund return.

Investors will lose 1% for every 1% that the final fund return declines by more than 10%.

Pricing and settlement dates were not disclosed in the filing.

Citigroup Global Markets Inc. will be the underwriter.

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