Citigroup plans to price 95% protected notes linked to four currencies

By Angela McDaniels

Tacoma, Wash., Nov. 9 - Citigroup Funding Inc. plans to price 95% principal-protected notes due 2011 linked to a basket of four currencies, according to an FWP with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee and South African rand.

The payout at maturity will be par plus 120% to 160% of any basket appreciation relative to the dollar, with the exact participation rate to be set at pricing.

Investors will be exposed to any depreciation in the basket relative to the dollar, subject to a maximum loss of 5%.

The notes will price in November.

Citigroup Global Markets Inc. is the underwriter.

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