Citigroup plans mandatory callable participation notes linked to iShares MSCI Emerging Markets

By Angela McDaniels

Tacoma, Wash., Feb. 2 - Citigroup Funding Inc. plans to price mandatory callable participation notes due Feb. 27, 2012 linked to the iShares MSCI Emerging Markets index fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus 5% to 6.5% if the exchange-traded fund's shares close at or above the initial share price on Aug. 22, 2011. The exact call amount will be set at pricing.

If the notes are not called and the final share price is greater than the initial share price, the payout at maturity will be par plus 110% of the fund gain. Investors will receive par if the share price declines by 10% or less and will receive par plus the fund return if the share price declines by more than 10%.

The notes (Cusip: 17316G438) are expected to price Feb. 22 and settle Feb. 25.

Citigroup Global Markets Inc. is the underwriter.

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