FWP 1 dfwp.htm OFFERING SUMMARY Offering Summary

Issuer Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Nos. 333-132370 and 333-132370-01

 

 

Offering Summary

(Related to the Pricing Supplement No. 2008-MTNDD234,

Subject to Completion, Dated March 26, 2008)

     

 

Citigroup Funding Inc.

 

ANY PAYMENTS DUE FROM CITIGROUP FUNDING INC.

FULLY AND UNCONDITIONALLY GUARANTEED BY CITIGROUP INC.

 

LOGO

 

Principal-Protected Notes Based Upon Three Baskets of Currencies

 

Due                         , 2010

 

Citigroup Funding Inc., the issuer, and Citigroup Inc., the guarantor, have filed a registration statement (including a prospectus and related prospectus supplement) with the Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. Before you invest, you should read the prospectus and related prospectus supplement in that registration statement (File No. 333-132370) and the other documents Citigroup Funding and Citigroup Inc. have filed with the SEC for more complete information about Citigroup Funding, Citigroup Inc. and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, you can request the prospectus and related prospectus supplement by calling toll-free 1-877-858-5407.

 

Investment Products   Not FDIC Insured   May Lose Value   No Bank Guarantee

 

March 26, 2008    LOGO

Principal-Protected Notes

Based Upon Three Baskets of Currencies

Due                     , 2010

 

This offering summary represents a summary of the terms and conditions of the notes. We encourage you to read the preliminary pricing supplement and accompanying prospectus supplement and prospectus related to this offering.

 

How The Notes Work

 

Principal-Protected Notes Based upon Three Baskets of Currencies Due April 2010 (the “Notes”) are hybrid investments that combine characteristics of currency and fixed-income instruments. Similar to a fixed-income investment, these Notes offer investors the safety of 100% principal protection if held at maturity. However, the Notes do not offer current income, which means that you will not receive any periodic interest or other payments on the Notes during the term of the Notes.

 

At maturity, the Notes will pay an amount that will depend on the arithmetic average of the two greatest amounts among (i) the Currency Basket A Return, which measures the average percentage change in the value of the Chinese yuan, Indian rupee, Philippine peso and Singapore dollar (the “Basket A Currencies”) relative to the U.S. dollar from the Pricing Date to the Valuation Date; (ii) the Currency Basket B Return, which measures the average percentage change in the value of the Brazilian real, Canadian dollar, Mexican peso, Norwegian krone and Russian ruble (the “Basket B Currencies”) relative to the U.S. dollar from the Pricing Date to the Valuation Date; and (iii) the Currency Basket C Return, which measures the average percentage change in the value of the Czech koruna, Polish zŁoty and Turkish lira (the “Basket C Currencies”) relative to the U.S. dollar from the Pricing Date to the Valuation Date.

 

The Notes are currency basket-linked securities issued by Citigroup Funding Inc. that have a maturity of approximately two years. You will receive at maturity, for each U.S.$1,000 principal amount of Notes you hold, an amount in cash equal to U.S.$1,000 plus a Supplemental Return Amount, which may be zero or positive. The Supplemental Return Amount will depend on arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage). If

the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage), each of the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return as measured by each relevant exchange rate, from the Pricing Date to the Valuation Date, is positive, then the amount you receive at maturity will equal (i) US$1,000 plus (ii) the product of (a) US$1,000 and (b) the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage). If the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage), each of the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return as measured by each relevant exchange rate, from the Pricing Date to the Valuation Date, is negative or zero, then the amount you receive at maturity will equal US$1,000 per Note. This will be true even if the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage) is positive at one or more times during the term of the Notes.

 

The performance of each of the Basket Currencies is measured by its exchange rate. Each exchange rate reflects the amount of the relevant Basket Currency that can be exchanged for one U.S. dollar. Thus, an increase in a Basket Currency’s exchange rate means that the value of that currency has decreased. For example, if the USD/BRL Exchange Rate has increased from 1.00 to 2.00, it means the value of one Brazilian real (as measured against the U.S. dollar) has decreased from US$1.00 to US$0.50. Conversely, a decrease in a Basket Currency’s exchange rate means that the value of that


 

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currency has increased. Increases in the values of the Basket Currencies relative to the U.S. dollar may lead to a higher return on your Notes, while decreases in the values of the Basket Currencies may lead to a lower return on your Notes. Because each Basket Return Percentage will be based on the sum of the Weighted Currency Returns for each of the Basket Currencies, a significant increase in the value of one Basket Currency may be substantially or entirely offset by a decrease in the value of one or more of the other Basket Currencies.

 

Because the Notes are principal protected, the payment you receive at maturity will not be less than the amount of your initial investment in the Notes, even though the amount payable to you at maturity is dependent upon the performance of the Basket Currencies relative to the U.S. dollar, as measured by each relevant exchange rate.

 

Type of Investor

 

These Notes are not a suitable investment for investors who require regular fixed-income payments since no payments will be made prior to maturity. These Notes may be an appropriate investment for the following types of investors:

 

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Investors looking for exposure to currency basket-linked investments on a principal-protected basis but who are willing to forego current income.

 

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Investors expecting appreciation of the Basket Currencies relative to the U.S. dollar over the term of the Notes.

 

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Investors who seek to add a currency basket-linked investment to their portfolio for diversification purposes.

 

The Notes are a series of unsecured senior debt securities issued by Citigroup Funding. Any payments due on the Notes are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company. The Notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Funding, and, as a result of the guarantee, any payments due under the Notes will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc.

 

Capitalized terms used in this offering summary are defined in “Preliminary Terms” below.


 

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Preliminary Terms

 

Issuer:

    Citigroup Funding Inc.

Security:

    Principal-Protected Notes Based Upon Three Baskets of Currencies Due April 2010.

Guarantee:

    Any payments due on the Notes are fully and unconditionally guaranteed by Citigroup Inc., Citigroup Funding’s parent company.

Rating of the Issuer’s Obligations:

    Aa3/AA- (Moody’s/S&P) based upon the Citigroup Inc. guarantee and subject to change during the term of the Notes.

Principal Protection:

    100% if held to the Maturity Date.

Pricing Date:

    April     , 2008.

Issue Date:

    April     , 2008.

Valuation Date:

    Five business days before the Maturity Date.

Maturity Date:

    Approximately two years after the Issue Date.

Interest:

    None.

Issue Price:

    100% of the principal amount.

Payment at Maturity:

    For each US$1,000 note, US$1,000 plus a Supplemental Return Amount, which may be zero or positive.

Supplemental Return Amount:

   

If the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage) is positive, then the Supplemental Return Amount per Note will equal the product of (i) US$1,000 and (ii) the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage).

 

If the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage) is negative or zero, then the Supplemental Return Amount per Note will equal zero.

Currency Basket A Return:

    The sum of the Weighted Currency Return for each of the Basket A Currencies, expressed as a percentage.

Currency Basket B Return:

    The sum of the Weighted Currency Return for each of the Basket B Currencies, expressed as a percentage.

Currency Basket C Return:

    The sum of the Weighted Currency Return for each of the Basket C Currencies, expressed as a percentage.

Basket A Currencies:

    The Chinese yuan, Indian rupee, Philippine peso and Singapore dollar.

Basket B Currencies:

    The Brazilian real, Canadian dollar, Mexican peso, Norwegian krone and Russian ruble.

Basket C Currencies:

    The Czech koruna, Polish zŁoty and Turkish lira.

Weighted Currency Return:

   

Starting Exchange Rate – Ending Exchange Rate  x  Allocation Percentage

Starting Exchange Rate                                                     

Allocation Percentage:

    25% for each of the Basket Currencies in Currency Basket A, 20% for each of the Basket Currencies in Currency Basket B and approximately 33.33% of each of the Basket Currencies in Currency Basket C.

Starting Exchange Rate:

    Each of the USD/BRL, USD/CAD, USD/CNY, USD/CZK, USD/INR, USD/MXN, USD/NOK, USD/PHP, USD/PLN, USD/RUB, USD/SGD and USD/TRY Exchange Rates on the Pricing Date.

Ending Exchange Rate:

    Each of the USD/BRL, USD/CAD, USD/CNY, USD/CZK, USD/INR, USD/MXN, USD/NOK, USD/PHP, USD/PLN, USD/RUB, USD/SGD and USD/TRY Exchange Rates on the Valuation Date.

USD/BRL Exchange Rate:

    The U.S. dollar/Brazilian real exchange rate in the global spot foreign exchange market, expressed as the amount of Brazilian reais per one U.S. dollar, as reported by Reuters on Page “BRFR,” or any substitute page, for a relevant date.

 

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USD/CAD Exchange Rate:

    The U.S. dollar/Canadian dollar exchange rate in the global spot foreign exchange market, expressed as the amount of Canadian dollars per one U.S. dollar, calculated by dividing the EUR/CAD Exchange Rate by the EUR/USD Exchange Rate.

EUR/CAD Exchange Rate:

    The European Union euro/Canadian dollar exchange rate in the global spot foreign exchange market, expressed as the amount of Canadian dollars per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

EUR/USD Exchange Rate:

    The European Union euro/U.S. dollar exchange rate in the global spot foreign exchange market, expressed as the amount of U.S. dollars per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

USD/CNY Exchange Rate:

    The U.S. dollar/Chinese yuan exchange rate in the global spot foreign exchange market, expressed as the amount of Chinese yuan per one U.S. dollar, as reported by Reuters on Page “SAEC,” or any substitute page, for a relevant date.

USD/CZK Exchange Rate:

    The U.S. dollar/Czech koruna exchange rate in the global spot foreign exchange market, expressed as the amount of Czech korun per one U.S. dollar, calculated by dividing the EUR/CZK Exchange Rate by the EUR/USD Exchange Rate.

EUR/CZK Exchange Rate:

    The European Union euro/Czech koruna exchange rate in the global spot foreign exchange market, expressed as the amount of Czech korun per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

USD/INR Exchange Rate:

    The U.S. dollar/Indian rupee exchange rate in the global spot foreign exchange market, expressed as the amount of Indian rupees per one U.S. dollar, as reported by Reuters on Page “RBIB,” or any substitute page, for a relevant date.

USD/MXN Exchange Rate:

    The U.S. dollar/Mexican peso exchange rate in the global spot foreign exchange market, expressed as the amount of Mexican pesos per one U.S. dollar, as reported by Bloomberg on Page “MXFT,” or any substitute page, for a relevant date.

USD/NOK Exchange Rate:

    The U.S. dollar/Norwegian krone exchange rate in the global spot foreign exchange market, expressed as the amount of Norwegian kroner per one U.S. dollar, calculated as dividing the EUR/NOK Exchange Rate by the EUR/USD Exchange Rate.

EUR/NOK Exchange Rate:

    The European Union euro/Norwegian krone exchange rate in the global spot foreign exchange market, expressed as the amount of Norwegian kroner per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

USD/PHP Exchange Rate:

    The U.S. dollar/Philippine peso exchange rate in the global spot foreign exchange market, expressed as the amount of Philippine pesos per one U.S. dollar, as reported by Reuters on Page “PDSPESO,” or any substitute page, on a relevant date.

USD/PLN Exchange Rate:

    The U.S. dollar/Polish zŁoty exchange rate in the global spot foreign exchange market, expressed as the amount of Polish zŁoty per one U.S. dollar, calculated by dividing the EUR/PLN Exchange Rate by the EUR/USD Exchange Rate.

EUR/PLN Exchange Rate:

    The European Union euro/Polish zŁoty exchange rate in the global spot foreign exchange market, expressed as the amount of Polish zŁoty per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

USD/RUB Exchange Rate:

    The U.S. dollar/Russian ruble exchange rate in the global spot foreign exchange market, expressed as the amount of Russian rubles per one U.S. dollar, as reported by Reuters on Page “EMTA,” or any substitute page, for a relevant date.

 

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USD/SGD Exchange Rate:

    The U.S. dollar/Singapore dollar exchange rate in the global spot foreign exchange market, expressed as the amount of Singapore dollars per one U.S. dollar, as reported by Reuters on Page “ABSIRFIX01,” or any substitute page, for a relevant date.

USD/TRY Exchange Rate:

    The U.S. dollar/Turkish lira exchange rate in the global spot foreign exchange market, expressed as the amount of Turkish lira per one U.S. dollar, calculated by dividing the EUR/TRY Exchange Rate by the EUR/USD Exchange Rate.

EUR/TRY Exchange Rate:

    The European Union euro/Turkish lira exchange rate in the global spot foreign exchange market, expressed as the amount of Turkish lira per one European Union euro, as reported by Reuters on Page “ECB3,” or any substitute page, for a relevant date.

Denominations:

    Minimum denominations and increments of US$1,000.

Listing:

    None.

Underwriting Discount:

    0.00%.

Sales Commission Earned:

    Approximately US$12.50 to US$15 (to be determined on the Pricing Date) per Note for each Note sold by a Smith Barney Financial Advisor.

Calculation Agent:

    Citigroup Financial Products Inc.

Business Day:

    Any day that is not a Saturday, a Sunday or a day on which the securities exchanges or banking institutions or trust companies in The City of New York are authorized or obligated by law or executive order to close.

CUSIP:

     

 

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Benefits of the Notes

 

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Return Potential

The Supplemental Return Amount, if any, payable at maturity is based on the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return, enabling you to participate in the potential increase in the value of the Basket Currencies during the term of the Notes without directly investing in the Basket Currencies.

 

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Principal Protection

On the Maturity Date, we will pay you the principal amount of the Notes you then hold regardless of the performance of the Basket A Currencies, the Basket B Currencies and the Basket C Currencies.

 

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Diversification

The Notes are based on the performance of the Basket Currencies and may allow you to diversify an existing portfolio mix of stocks, bonds, mutual funds and cash.

 

Key Risk Factors for the Notes

 

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The Supplemental Return Amount May Be Zero

If the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return (expressed as a percentage) is negative or zero, the payment you receive at maturity will be limited to the amount of your initial investment in the Notes. This will be true even if the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return is greater than zero at one or more times during the term of the Notes, but is negative or zero on the Valuation Date.

 

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Reference to Three Baskets of Currencies May Lower Your Return

Because the amount of the maturity payment will depend on the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return, any increase in the value of one basket return may be offset by a decrease in the value of another basket return, thereby resulting in a lower return or no return on your investment. In

addition, because each of the Currency Basket A Return, Currency Basket B Return and Currency Basket C Return will be based on the sum of the Weighted Currency Return for each Basket Currency included in the basket, a significant change in the value of one or more of the other currencies in the same basket relative to the U.S. dollar may be substantially or entirely offset by an opposite change in the value of one or more of the other currencies in the same basket relative to the U.S. dollar during the term of the Notes.

 

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No Periodic Payments

You will not receive any periodic payments of interest or any other periodic payments on the Notes.

 

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Potential for a Lower Comparable Yield

The Notes do not pay any interest. As a result, if the arithmetic average of the two greatest amounts among the Currency Basket A Return, the Currency Basket B Return and the Currency Basket C Return is less than        %, the effective yield on your Notes will be less than that which would be payable on a conventional fixed-rate, non-callable debt security of Citigroup Funding of comparable maturity.

 

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Secondary Market May Not Be Liquid

The Notes will not be listed on any exchange. There is currently no secondary market for the Notes. Citigroup Global Markets Inc. and/or other of Citigroup Funding’s affiliated dealers currently intend, but are not obligated, to make a market in the Notes. Even if a secondary market does develop, it may not be liquid and may not continue for the term of the Notes.

 

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Resale Value of the Notes May Be Lower Than Your Initial Investment

Due to, among other things, changes in the value of the Basket Currencies, interest rates and Citigroup Funding and Citigroup Inc.’s perceived creditworthiness, the Notes may trade at prices below their initial issue price. You could receive substantially less than the amount of your investment if you sell your Notes prior to maturity.

 

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Citigroup Inc. Credit Risk

The Notes are subject to the credit risk of Citigroup Inc., Citigroup Funding’s parent company and the guarantor of any payments due on the Notes.


 

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Fees and Conflicts

Citigroup Financial Products and its affiliates involved in this offering are expected to receive compensation for activities and services provided in connection with the Notes. Further, Citigroup Funding expects to hedge its obligations under the Notes through the trading of the relevant currencies or other instruments, such as options, swaps or futures, based upon the Basket Currencies by one or more of its affiliates. Each of Citigroup Funding’s or its affiliates’ hedging activities and Citigroup Financial Products’s role as the Calculation Agent for the Notes may result in a conflict of interest.

 

The Basket Currencies and Exchange Rates

 

General

 

The Basket A Currencies are the Chinese yuan, Indian rupee, Philippine peso and Singapore dollar; the Basket B Currencies are the Brazilian real, Canadian dollar, Mexican peso, Norwegian krone and Russian ruble; and the Basket C Currencies are the Czech koruna, Polish zŁoty and Turkish lira (collectively, the “Basket Currencies”). Exchange rates are used to measure the performance of each of the Basket Currencies.

 

The relevant exchange rates are foreign exchange spot rates that measure the relative values of two currencies, the U.S. dollar and the Brazilian real in the case of the USD/BRL Exchange Rate, the U.S. dollar and the Canadian dollar in the case of the USD/CAD Exchange Rate, the U.S. dollar and the Chinese yuan in the case of the USD/CNY Exchange Rate, the U.S. dollar and the Czech koruna in the case of the USD/CZK Exchange Rate, the U.S. dollar and the Indian rupee in the case of the USD/INR Exchange Rate, the U.S. dollar and the Mexican peso in the case of the USD/MXN Exchange Rate, the U.S. dollar and the Norwegian krone in the case of the USD/NOK Exchange Rate, the U.S. dollar and the Philippine peso in the case of the USD/PHP Exchange Rate, the U.S. dollar and the Polish zŁoty in the case of the USD/PLN Exchange Rate, the U.S. dollar and the Russian ruble in the case of the USD/RUB Exchange Rate, the U.S. dollar and the Singapore dollar in the case of the USD/SGD Exchange Rate

and the U.S. dollar and the Turkish lira in the case of the USD/TRY Exchange Rate. Each exchange rate is expressed as an amount of the relevant Basket Currency that can be exchanged for one U.S. dollar. Thus, an increase in the value of any Basket Currency will cause a decrease in its exchange rate, while a decrease in the value of any Basket Currency will cause an increase in its exchange rate.

 

The Brazilian real is the official currency of the Federative Republic of Brazil.

 

The Canadian dollar is the official currency of Canada.

 

The Chinese yuan is the official currency of the People’s Republic of China.

 

The Czech koruna is the official currency of the Czech Republic.

 

The Indian rupee is the official currency of the Republic of India.

 

The Mexican peso is the official currency of the United Mexican States.

 

The Norwegian krone is the official currency of the Kingdom of Norway.

 

The Philippine peso is the official currency of the Republic of the Philippines.

 

The Polish zŁoty is the official currency of the Republic of Poland.

 

The Russian ruble is the official currency of the Russian Federation.

 

The Singapore dollar is the official currency of the Republic of Singapore.

 

The Turkish lira is the official currency of the Republic of Turkey.

 

We have obtained all information in this offering summary relating to the Brazilian real, Canadian dollar, Chinese yuan, Czech koruna, Indian rupee, Mexican peso, Norwegian krone, Philippine peso, Polish zŁoty, Russian ruble, Singapore dollar and Turkish lira and the relevant exchange rates from public sources, without independent verification. Currently the relevant exchange rates are published in The Wall Street Journal and other financial publications of general circulation. However, for purposes of calculating amounts due to holders of the Notes, the value of each Basket Currency will be determined as described in “Preliminary Terms” above.


 

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Historical Data on the Exchange Rates

 

The following table sets forth, for each of the quarterly periods indicated, the high and low values of each relevant exchange rate, as reported by Bloomberg. The historical data on the relevant exchange rate are not indicative of the future performance of the Basket Currencies or what the value of the Notes may be. Any historical upward or downward trend in any of the relevant exchange rate during any period set forth below is not an indication that the value of the Basket Currencies is more or less likely to increase or decrease at any time over the term of the Notes.

 

     Basket A Currencies
     USD/CNY
Exchange Rate
    USD/INR
Exchange Rate
    USD/PHP
Exchange Rate
    USD/SGD
Exchange Rate
     High
    Low
    High
    Low
    High
    Low
    High
    Low

2003

                                        

Quarter

                                        

First

    8.2778    8.2766    48.02    47.50    55.134    53.355    1.7720    1.7246

Second

    8.2775    8.2768    47.46    46.47    53.715    51.981    1.7836    1.7175

Third

    8.2776    8.2766    46.48    45.72    55.559    53.375    1.7644    1.7271

Fourth

    8.2772    8.2765    45.94    45.27    55.793    54.587    1.7466    1.6995

2004

                                        

Quarter

                                        

First

    8.2775    8.2766    45.63    43.39    56.443    55.126    1.7161    1.6716

Second

    8.2773    8.2765    46.20    43.56    56.388    55.494    1.7272    1.6664

Third

    8.2771    8.2765    46.46    45.64    56.426    55.629    1.7277    1.6840

Fourth

    8.2768    8.2763    45.92    43.58    56.444    56.024    1.6914    1.6314

2005

                                        

Quarter

                                        

First

    8.2766    8.2763    44.02    43.36    56.249    53.890    1.6525    1.6191

Second

    8.2767    8.2763    43.83    43.30    56.194    53.979    1.6859    1.6346

Third

    8.2765    8.0871    44.12    43.39    56.395    55.484    1.7005    1.6464

Fourth

    8.0920    8.0702    46.33    44.09    56.073    53.059    1.7060    1.6620

2006

                                        

Quarter

                                        

First

    8.0710    8.0170    45.05    44.07    52.944    50.955    1.6605    1.6140

Second

    8.0284    7.9956    46.43    44.61    53.602    50.994    1.6157    1.5608

Third

    8.0024    7.8998    46.95    45.86    53.063    50.102    1.5943    1.5672

Fourth

    7.9174    7.8087    45.84    44.23    50.176    49.058    1.5908    1.5343

2007

                                        

Quarter

                                        

First

    7.8135    7.7303    44.61    43.14    49.149    48.064    1.5450    1.5159

Second

    7.7349    7.6155    43.15    40.45    48.369    45.692    1.5429    1.5102

Third

    7.6135    7.5050    41.57    39.70    46.932    44.776    1.5343    1.4852

Fourth

    7.5232    7.3046    39.85    39.27    45.064    41.127    1.4822    1.4395

2008

                                        

Quarter

                                        

First (through March 25)

    7.2996    7.0436    40.77    39.27    41.685    40.319    1.4478    1.3765

 

The USD/CNY Exchange Rate appearing on Reuters Page “SAEC” on March 25, 2008 was 7.0436.

 

The USD/INR Exchange Rate appearing on Reuters Page “RBIB” on March 25, 2008 was 40.12.

 

The USD/PHP Exchange Rate appearing on Reuters Page “PDSPESO” on March 25, 2008 was 41.612.

 

The USD/SGD Exchange Rate appearing on Reuters Page “ABSIRFIX01” on March 25, 2008 was 1.3827.

 

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    Basket B Currencies
    USD/BRL
Exchange Rate
   USD/CAD
Exchange Rate
   USD/MXN
Exchange Rate
   USD/NOK
Exchange Rate
   USD/RUB
Exchange Rate
    High
   Low
   High
   Low
   High
   Low
   High
   Low
   High
   Low

2003

                                    

Quarter

                                        

First

   3.6623   3.2758   1.5721   1.4629   11.2250   10.3280   7.4773   6.8288   31.8850   31.3770

Second

   3.3359   2.8491   1.4891   1.3350   10.7651   10.1068   7.3591   6.6045   31.2920   30.3230

Third

   3.0740   2.8219   1.4143   1.3380   11.0475   10.3490   7.6951   6.9995   30.6930   30.2320

Fourth

   2.9546   2.8268   1.3508   1.2854   11.3985   10.9582   7.2076   6.6128   30.5410   29.2460

2004

                                    

Quarter

                                        

First

   2.9878   2.8022   1.3541   1.2725   11.2103   10.8172   7.1634   6.6414   29.2570   28.4650

Second

   3.2051   2.8743   1.3964   1.3061   11.6328   11.1598   6.9956   6.6450   29.0870   28.5130

Third

   3.0747   2.8586   1.3359   1.2684   11.6005   11.3453   7.0314   6.7079   29.2680   29.0310

Fourth

   2.8847   2.6544   1.2684   1.1785   11.5390   11.1213   6.7412   6.0460   29.2250   27.7470

2005

                                    

Quarter

                                        

First

   2.7621   2.5621   1.2544   1.2016   11.4018   10.9790   6.5982   6.0809   28.1920   27.4670

Second

   2.6598   2.3504   1.2701   1.2143   11.2307   10.7610   6.5987   6.2419   28.6836   27.7100

Third

   2.4656   2.2222   1.2430   1.1652   10.8936   10.5809   6.6995   6.2056   28.8450   28.1913

Fourth

   2.3735   2.1633   1.1966   1.1461   10.9408   10.4097   6.7945   6.4335   28.9871   28.4142

2006

                                    

Quarter

                                        

First

   2.3460   2.1067   1.1781   1.1337   10.9633   10.4303   6.8381   6.5325   28.4833   27.6558

Second

   2.3711   2.0586   1.1748   1.0963   11.4809   10.8381   6.5626   5.9888   27.7750   26.7025

Third

   2.2188   2.1282   1.1403   1.1049   11.1901   10.7480   6.6124   6.1311   27.0723   26.6476

Fourth

   2.1870   2.1331   1.1625   1.1185   11.0842   10.7093   6.7638   6.0875   26.9623   26.1884

2007

                                    

Quarter

                                        

First

   2.1556   2.0504   1.1864   1.1538   11.1917   10.7708   6.4727   6.0680   26.5825   25.9738

Second

   2.0478   1.9047   1.1579   1.0548   11.0336   10.7131   6.1171   5.9034   26.0575   25.6939

Third

   2.1124   1.8389   1.0794   0.9960   11.2676   10.7207   5.9940   5.4436   25.8800   24.9515

Fourth

   1.8501   1.7325   1.0235   0.9071   11.0037   10.6639   5.5962   5.2751   25.0515   24.3022

2008

                                    

Quarter

                                        

First (through March 25)

   1.8301   1.6700   1.0317   0.9774   10.9813   10.6748   5.5499   5.0719   24.8025   23.4888

 

The USD/BRL Exchange Rate appearing on Reuters Page “BRFR” on March 25, 2008 was 1.7341.

 

The USD/CAD Exchange Rate, as calculated by dividing the EUR/CAD Exchange Rate by the EUR/USD Exchange Rate, each as reported on Reuters Page “ECB37” on March 25, 2008 was 1.0193.

 

The USD/MXN Exchange Rate appearing on Bloomberg Page “MXFT” on March 25, 2008 was 10.6793.

 

The USD/NOK Exchange Rate, as calculated by dividing the EUR/NOK Exchange Rate by the EUR/USD Exchange Rate, each as reported on Reuters Page “ECB37” on March 25, 2008 was 5.1940.

 

The USD/RUB Exchange Rate as appearing on Reuters Page “EMTA” on March 25, 2008 was 23.7105.

 

9

     Basket C Currencies
     USD/CZK
Exchange Rate
    USD/PLN
Exchange Rate
    USD/TRY
Exchange Rate(1)
     High
    Low
    High
    Low
    High
    Low

2003

                              

Quarter

                              

First

    30.277    28.666    4.0834    3.7919    1.7632    1.5962

Second

    29.844    26.394    4.0895    3.6762    1.6977    1.4143

Third

    30.061    27.329    4.0655    3.8211    1.4406    1.3532

Fourth

    27.952    25.661    4.0442    3.7228    1.5232    1.3654

2004

                              

Quarter

                              

First

    27.196    25.384    3.9892    3.6613    1.3977    1.3152

Second

    27.655    25.384    4.0476    3.7216    1.5558    1.3069

Third

    26.512    25.122    3.7141    3.5160    1.5323    1.4292

Fourth

    25.654    22.343    3.5323    2.9727    1.5109    1.3445

2005

                              

Quarter

                              

First

    23.479    21.970    3.2161    2.9252    1.3995    1.2610

Second

    24.913    23.021    3.4038    3.1415    1.3916    1.3392

Third

    25.410    23.176    3.4435    3.1399    1.3717    1.3160

Fourth

    25.128    24.115    3.4434    3.1954    1.3750    1.3436

2006

                              

Quarter

                              

First

    24.548    23.107    3.2969    3.0974    1.3624    1.3028

Second

    23.685    21.869    3.2873    3.0020    1.7065    1.3164

Third

    22.802    21.759    3.2219    3.0033    1.5900    1.4400

Fourth

    22.642    20.766    3.1224    2.8610    1.5152    1.4153

2007

                              

Quarter

                              

First

    21.851    20.742    3.0419    2.8852    1.4566    1.3815

Second

    21.500    20.592    2.8870    2.7479    1.3879    1.2985

Third

    21.158    19.417    2.8631    2.6610    1.3991    1.2102

Fourth

    19.579    17.664    2.6728    2.4289    1.2444    1.1664

2008

                              

Quarter

                              

First (through March 25)

    18.174    15.864    2.5199    2.2381    1.2699    1.1509

 

The USD/CZK Exchange Rate, as calculated by dividing the EUR/CZK Exchange Rate by the EUR/USD Exchange Rate, each as reported on Reuters Page “ECB3” on March 25, 2008 was 16.3498.

 

The USD/PLN Exchange Rate, as calculated by dividing the EUR/PLN Exchange Rate by the EUR/USD Exchange Rate, each as reported on Reuters Page “ECB3” on March 25, 2008 was 2.2680.

 

The USD/TRY Exchange Rate, as calculated by dividing the EUR/TRY Exchange Rate by the EUR/USD Exchange Rate, each as reported on Reuters Page “ECB3” on March 25, 2008 was 1.2466.

(1)

In December 2003, the Grand National Assembly of the Republic of Turkey passed a law to remove six zeros from the denomination of the Turkish lira (replacing previous lira at a rate of 1 new Turkish lira = 1,000,000 old Turkish lira. This change became effective on January 1, 2005. The data in this table and in the relevant graph below have been adjusted to reflect this revaluation.

 

10

Historical Graphs

 

The following graphs show the daily values of the USD/BRL in the period from January 2, 2003 through March 25, 2008 and each of the USD/CAD, USD/CNY, USD/CZK, USD/INR, USD/MXN, USD/NOK, USD/PHP, USD/PLN, USD/RUB, USD/SGD and USD/TRY Exchange Rates in the

period from January 8, 2003 through March 25, 2008, using historical data obtained from Bloomberg. Past movements of the relevant exchange rates are not indicative of future values of the Basket Currencies.


 

BASKET A CURRENCIES

 

LOGO

 

LOGO

 

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LOGO

 

LOGO

 

12

BASKET B CURRENCIES

 

LOGO

 

LOGO

 

13

LOGO

 

LOGO

 

14

LOGO

 

BASKET C CURRENCIES

 

LOGO

 

15

LOGO

 

LOGO

 

16

Hypothetical Maturity Payment Examples

 

The examples below show the hypothetical maturity payments to be made on an investment of US$1,000 principal amount of Notes based on various Ending Exchange Rates of the Basket Currencies. The following examples of hypothetical maturity payment calculations are based on the following assumptions:

 

n Pricing Date: April 24, 2008

 

n Issue Date: April 29, 2008

 

n Principal amount: US$1,000 per Note

 

n Starting Exchange Rate of the USD/BRL Exchange Rate: 1.6700

 

n Starting Exchange Rate of the USD/CAD Exchange Rate: 0.9700

 

n Starting Exchange Rate of the USD/CNY Exchange Rate: 7.1000

 

n Starting Exchange Rate of the USD/CZK Exchange Rate: 16.3000

 

n Starting Exchange Rate of the USD/INR Exchange Rate: 39.25

 

n Starting Exchange Rate of the USD/MXN Exchange Rate: 10.6000

 

 

n Starting Exchange Rate of the USD/NOK Exchange Rate: 5.100

 

n Starting Exchange Rate of the USD/PHP Exchange Rate: 40.500

 

n Starting Exchange Rate of the USD/PLN Exchange Rate: 2.30

 

n Starting Exchange Rate of the USD/RUB Exchange Rate: 23.9000

 

n Starting Exchange Rate of the USD/SGD Exchange Rate: 1.3800

 

n Starting Exchange Rate of the USD/TRY Exchange Rate: 1.150

 

n Principal Protection at Maturity: 100% (US$1,000 per Note)

 

n Maturity Date: April 29, 2010

 

n The Notes are purchased on the Issue Date and are held through the Maturity Date.


 

The following examples are for purposes of illustration only and would provide different results if different assumptions were applied. The actual maturity payment will depend on the actual Supplemental Return Amount, which, in turn, will depend on the actual Starting Exchange Rate and Ending Exchange Rate of each Basket Currency.

 

     Hypothetical Ending Levels
(Basket A Currencies)
    Hypothetical Currency Basket A
Return (expressed as a
percentage)(1)
  

Example

    USD/CNY
    USD/INR
    USD/PHP
    USD/SGD
   

1

    6.4509    34.04    35.101    1.9203    -0.849 %

2

    9.3658    53.45    43.795    1.7582    -25.908 %

3

    8.6418    37.05    43.493    0.8505    3.715 %

4

    9.3690    46.65    29.162    1.9033    -15.184 %

5

    5.0291    28.03    39.713    1.9452    4.683 %

6

    5.3377    36.00    33.235    1.2950    14.303 %

7

    6.8945    41.37    23.281    2.0221    -1.633 %

8

    6.2454    42.56    28.624    1.2855    9.945 %

9

    8.2341    37.01    41.194    1.6236    -7.409 %

10

    6.5901    38.44    39.835    1.4798    0.912 %

(1)    Hypothetical Currency Basket A Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x  

Allocation

Percentage (25%)

   )
      Hypothetical Starting Exchange Rate      

 

     for each of the USD/CNY, USD/INR, USD/PHP and USD/SGD Exchange Rates.

 

 

17

     Hypothetical Ending Levels
(Basket B Currencies)
    Hypothetical Currency Basket B
Return (expressed as a
percentage)(1)
  

Example

    USD/BRL
    USD/CAD
    USD/MXN
    USD/NOK
    USD/RUB
   

1

    1.8602    1.0402    10.3820    5.016    24.1837    -3.222 %

2

    2.0247    1.3498    9.1919    4.420    14.9825    0.707 %

3

    2.0509    1.6673    7.5708    3.986    19.9289    -5.532 %

4

    1.7118    1.1412    9.9956    5.187    27.7175    -6.426 %

5

    1.8537    1.2358    14.4348    5.861    31.5270    -24.283 %

6

    2.1320    1.4213    11.1736    2.932    23.2084    -6.840 %

7

    2.0068    1.3379    12.5984    3.672    31.5380    -16.181 %

8

    1.1359    0.8978    10.0070    5.477    29.0900    3.182 %

9

    1.3654    0.9102    7.0205    4.185    17.9678    20.187 %

10

    1.3554    0.8036    9.0934    3.605    18.0231    20.822 %

(1)    Hypothetical Currency Basket B Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x  

Allocation

Percentage (20%)

   )
      Hypothetical Starting Exchange Rate      

 

     for each of the USD/BRL, USD/CAD, USD/MXN, USD/NOK and USD/RUB Exchange Rates.

 

     Hypothetical Ending Levels
(Basket C Currencies)
    Hypothetical Currency Basket C
Return (expressed as a
percentage)(1)
  

Example

    USD/CZK
    USD/PLN
    USD/TRY
   

1

    15.8283    2.4245    1.2967    -5.092 %

2

    22.2542    2.5233    1.2436    -18.126 %

3

    21.5091    2.7336    1.2350    -19.400 %

4

    19.8396    2.1713    0.8281    3.957 %

5

    15.1294    2.2527    1.3673    -3.219 %

6

    21.5017    3.1321    0.9437    -16.717 %

7

    14.2182    1.9945    0.9611    14.160 %

8

    18.9036    2.1689    0.8128    6.350 %

9

    14.3379    2.1938    1.0697    7.879 %

10

    11.5456    1.6427    1.1311    19.797 %

(1)    Hypothetical Currency Basket C Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x   Allocation Percentage (approximately 33.33%)   )
    Hypothetical Starting Exchange Rate      

 

     for each of the USD/CZK, USD/PLN and USD/TRY Exchange Rates.

 

18

Example

   Hypothetical
Currency
Basket A
Return
(expressed as a
percentage)(1)
     Hypothetical
Currency
Basket B
Return
(expressed as a
percentage)(2)
     Hypothetical
Currency
Basket C
Return
(expressed as a
percentage)(3)
     Hypothetical
Arithmetic
Average of
the Two
Greatest
Amounts
among the
Hypothetical
Currency
Basket A
Return, the
Hypothetical
Currency
Basket B
Return and
the
Hypothetical
Currency
Basket C
Return
     Hypothetical
Supplemental
Return
Amount(4)
   Hypothetical
Maturity
Payment(5)
   Hypothetical
Note Return
     Hypothetical
Note Return
per Annum
  

1

   -0.849 %   -3.222 %   -5.092 %   -2.035 %   US$ 0.00   US$ 1,000   0.000 %   0.000 %

2

   -25.908 %   0.707 %   -18.126 %   -8.709 %        $ 0.00        $ 1,000   0.000 %   0.000 %

3

   3.715 %   -5.532 %   -19.400 %   -0.909 %        $ 0.00        $ 1,000   0.000 %   0.000 %

4

   -15.184 %   -6.426 %   3.957 %   -1.234 %        $ 0.00        $ 1,000   0.000 %   0.000 %

5

   4.683 %   -24.283 %   -3.219 %   0.732 %        $ 7.32        $ 1,007.32   0.732 %   0.366 %

6

   14.303 %   -6.840 %   -16.717 %   3.731 %        $ 37.31        $ 1,037.31   3.731 %   1.866 %

7

   -1.633 %   -16.181 %   14.160 %   6.264 %        $ 62.64        $ 1,062.64   6.264 %   3.132 %

8

   9.945 %   3.182 %   6.350 %   8.147 %        $ 81.47        $ 1,081.47   8.147 %   4.074 %

9

   -7.409 %   20.187 %   7.879 %   14.033 %        $ 140.33        $ 1,140.33   14.033 %   7.017 %

10

   0.912 %   20.822 %   19.797 %   20.309 %        $ 203.09     1,203.09   20.309 %   10.155 %

(1)    Hypothetical Currency Basket A Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x  

Allocation

Percentage (25%)

   )
      Hypothetical Starting Exchange Rate      

 

     for each of the USD/CNY, USD/INR, USD/PHP and USD/SGD Exchange Rates.

 

(2)   Hypothetical Currency Basket B Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x  

Allocation

Percentage (20%)

   )
      Hypothetical Starting Exchange Rate      

 

     for each of the USD/BRL, USD/CAD, USD/MXN, USD/NOK and USD/RUB Exchange Rates.

 

(3)   Hypothetical Currency Basket C Return = Sum of

   (  

Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate

   x   Allocation Percentage (approximately 33.33%)   )
    Hypothetical Starting Exchange Rate      

 

     for each of the USD/CZK, USD/PLN and USD/TRY Exchange Rates.

 

(4)

If the hypothetical arithmetic average of the two greatest amounts among the Hypothetical Currency Basket A Return, the Hypothetical Currency Basket B Return and the Hypothetical Currency Basket C Return (expressed as a percentage) is positive, then the Hypothetical Supplemental Return Amount per Note = US$1,000 x the hypothetical arithmetic average of the two greatest amounts among the Hypothetical Currency Basket A Return, the Hypothetical Currency Basket B Return and the Hypothetical Basket C Return (expressed as a percentage).

 

     If the hypothetical arithmetic average of the two greatest amounts among the Hypothetical Currency Basket A Return, the Hypothetical Currency Basket B Return and the Hypothetical Currency Basket C Return (expressed as a percentage) is negative or zero, then the Hypothetical Supplemental Return Amount = $1,000 per Note.

 

(5)

Hypothetical Maturity Payment per Note = US$1,000 + Hypothetical Supplemental Return Amount.

 

19

Certain U.S. Federal Income Tax Considerations

 

The following summarizes certain federal income tax considerations for initial U.S. investors that hold the Notes as capital assets.

 

All investors should refer to the preliminary pricing supplement related to this offering and the accompanying prospectus supplement and prospectus for additional information relating to U.S. federal income tax and should consult their tax advisors to determine the tax consequences particular to their situation.

 

Because the Notes are contingent payment debt obligations of Citigroup Funding, U.S. holders of the Notes will be required to include original issue discount (“OID”) for U.S. federal income tax purposes in gross income on a constant yield basis over the term of the Notes. This tax OID (computed at an assumed comparable yield of         % compounded semiannually) will be includible in a U.S. holder’s gross income (as ordinary income) over the term of the Notes (although holders will receive no payments on the Notes prior to maturity), and generally will be reported to U.S. non-corporate holders on an IRS Form 1099. The assumed comparable yield is based on a rate at which Citigroup Funding would issue a similar debt obligation with no contingent payments. The amount of tax OID is based on an assumed amount representing all amounts payable on the Notes. This assumed amount is neither a prediction nor guarantee of the actual yield of, or payments to be made in respect of, the Notes. If the amount we actually pay at maturity is, in fact, less than this assumed amount, then a U.S. holder will have recognized taxable income in periods prior to maturity that exceeds that holder’s economic income from holding the Notes during such periods (with an offsetting ordinary loss). If the amount we actually pay at maturity is, in fact, higher than this assumed amount, then a U.S. holder will be required to include such additional amount as ordinary income. If a U.S. holder disposes of the Notes, the U.S. holder will be required to treat any gain recognized upon the disposition of the Notes as ordinary income (rather than capital gain).

 

In the case of a holder of the Notes that is not a U.S. person all payments made with respect

to the Notes and any gain realized upon the sale or other disposition of the Notes should not be subject to U.S. income or withholding tax, provided that the holder complies with applicable certification requirements (including in general the furnishing of an IRS form W-8 or substitute form) and such payments and gain are not effectively connected with a U.S. trade or business of such holder.

 

A Note beneficially owned by a non-U.S. holder who at the time of death is neither a resident nor citizen of the U.S. should not be subject to U.S. federal estate taxes.

 

ERISA and IRA Purchase Considerations

 

Employee benefit plans subject to ERISA, entities the assets of which are deemed to constitute the assets of such plans, governmental or other plans subject to laws substantially similar to ERISA and retirement accounts (including Keogh, SEP and SIMPLE plans, individual retirement accounts and individual retirement annuities) are permitted to purchase the Notes as long as either (A)(1) no Citigroup Global Markets affiliate or employee is a fiduciary to such plan or retirement account that has or exercises any discretionary authority or control with respect to the assets of such plan or retirement account used to purchase the Notes or renders investment advice with respect to those assets and (2) such plan or retirement account is paying no more than adequate consideration for the Notes or (B) its acquisition and holding of the Notes is not prohibited by any such provisions or laws or is exempt from any such prohibition.

 

However, individual retirement accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to purchase or hold the Notes if the account, plan or annuity is for the benefit of an employee of Citigroup Global Markets or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of Notes by the account, plan or annuity.

 

You should refer to the section “ERISA Matters” in the preliminary pricing supplement related to this offering for more information.

 


 

20

Additional Considerations

 

If any of the relevant exchange rates are not available on Reuters Page “BRFR,” ECB3,” “SAEC,” “RBIB,” “PDSPESO,” “EMTA,” “ABSIRFIX01” or Bloomberg Page “MXFT,” as applicable, or any substitute pages thereto, the Calculation Agent may determine the relevant exchange rates in accordance with the procedures set forth in the pricing supplement related to this offering. You should refer to the section “Description of the Notes – Supplemental Return Amount” in the preliminary pricing supplement for more information.

 

Citigroup Global Markets is an affiliate of Citigroup Funding. Accordingly, the offering will conform to the requirements set forth in Rule 2720 of the NASD Conduct Rules adopted by the Financial Industry Regulatory Authority.

 

Client accounts over which Citigroup Inc. or its affiliates have investment discretion are NOT permitted to purchase the Notes, either directly or indirectly.

 

 


 

© 2008 Citigroup Global Markets Inc. All rights reserved. Citi and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.

 

21