Citigroup plans principal-protected notes linked to two currency baskets

By Jennifer Chiou

New York, Oct. 13 - Citigroup Funding Inc. plans to price an issue of 0% principal-protected notes due 2007 linked to two currency baskets, according to an FWP filing with the Securities and Exchange Commission.

Currency basket A is comprised of the Brazilian real, Indonesian rupiah, South African rand and Turkish lira. Currency basket B includes the Swiss franc and Japanese yen.

At maturity, investors will receive a gain if the average percentage change in the value of the basket A currencies relative to the dollar is equal to or greater than the average percentage change in the value of the basket B currencies relative to the dollar. If basket A's return is greater than basket B's by a to-be-determined percentage between 15% and 17%, investors will share in the gains based on the percentage difference.

If the difference between basket A's return and basket B's return is between 0% and 15% to 17%, investors will receive a 15% to 17% return. Investors will receive at least par.

Citigroup Financial Products, Inc. will be the agent for the offering.

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