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. 2007-MTNDD186,

Subject to Completion, Dated October 26, 2007)

    

 

Citigroup Funding Inc.

 

ANY PAYMENTS DUE FROM CITIGROUP FUNDING INC.

FULLY AND UNCONDITIONALLY GUARANTEED BY CITIGROUP INC.

 

LOGO

 

Notes Based Upon Two Baskets of Currencies

 

Due November 2008

 

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   No Bank Guarantee

 

October 26, 2007   LOGO

Notes Based Upon Two Baskets of Currencies

Due November 2008

 

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

 

Notes Based upon Two Baskets of Currencies Due November 2008 (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 97% principal protection if held at maturity. However, instead of paying periodic interest, the return on these Notes, if any, is paid at maturity and is based upon on the difference between the return of Currency Basket A and the return of Currency Basket B. Currency Basket A is comprised of the Brazilian real, Argentine peso, Indian rupee, South African rand, and Turkish lira. Currency Basket B is comprised of the Swiss franc, Japanese yen, Singapore dollar, Taiwan dollar, and Czech koruna. At maturity the Notes will pay a return, if any to investors when the average percentage change in the value of the Basket A Currencies relative to the U.S. dollar is equal to or greater than the average percentage change in the value of the Basket B Currencies relative to the U.S. dollar. The Notes do not offer current income, which means that you will not receive any periodic interest or other payments on the Notes prior to maturity. The Notes are 97% principal-protected if held to the Maturity Date. As described below, the amount you receive at maturity could be less than your initial investment in the Notes and could be as little as US$970 per Note.

 

The Notes are currency-linked securities issued by Citigroup Funding Inc. that have a maturity of approximately one year. 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.$970 plus a Supplemental Return Amount, which may be positive or zero. The Supplemental Return Amount will depend on the difference between (i) the Currency Basket A Return, which is the average percentage change in the value of the Basket A Currencies relative to the U.S. dollar from the date on which the Notes are priced for initial sale to the public, which we refer to as

the Pricing Date, to the fifth business day before maturity, which we refer to as the Valuation Date, and (ii) the Currency Basket B Return, which is the average percentage change in the value of the Basket B Currencies relative to the U.S. dollar during the same period. The return on your investment in the Notes will be higher if the values of the Basket A Currencies relative to the U.S. dollar outperform the values of the Basket B Currencies relative to the U.S. dollar. Conversely, you will receive only 97% of your initial investment in the Notes if the values of the Basket B Currencies relative to the U.S. dollar outperform the values of the Basket A Currencies relative to the U.S. dollar.

 

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 USDTRY Exchange Rate has increased from 1.00 to 2.00, it means the value of one Turkish lira (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 currency has increased.

 

If the difference between the Currency Basket A Return and the Currency Basket B Return (expressed as a percentage), each of the Currency Basket A Return and the Currency Basket B Return as measured by each relevant exchange rate, from the Pricing Date to the Valuation Date, is greater than approximately 20% to 22% (to be determined on the Pricing Date), the payment you will receive at maturity will equal 97% of your initial investment in the Notes plus the difference between the Currency Basket A Return and the Currency Basket B Return (expressed as a percentage) multiplied by the principal amount of each Note you then hold. If the difference between the Currency Basket A Return and the


 

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Currency Basket B Return (expressed as a percentage), each of the Currency Basket A Return and the Currency Basket B Return as measured by each relevant exchange rate, from the Pricing Date to the Valuation Date, is greater than or equal to zero but less than or equal to approximately 20% to 22% (to be determined on the Pricing Date), the payment you will receive at maturity will be approximately 117% to 119% (to be determined on the Pricing Date) of the principal amount of each Note you then hold. If the difference between the Currency Basket A Return and the Currency Basket B Return (expressed as a percentage), each of the Currency Basket A Return and the Currency Basket B Return as measured by the relevant exchange rate, from the Pricing Date to the Valuation Date, is less than zero, the payment you will receive at maturity will equal only 97% of the principal amount of each Note you then hold. Because the amount you receive at maturity is determined by adding the Supplemental Return Amount (expressed as a percentage) to 97%, not 100%, of the principal amount of the notes, the Supplemental Return Amount, if any, will be offset by an amount equal to 3% of the principal amount of the Notes, or US$30 per note.

 

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-linked investments without substantial risk to their initial investment but who are willing to forego current income.

 

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Investors expecting that the Basket A Currencies will outperform the Basket B Currencies over the term of the Notes.

 

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Investors who seek to add a currency-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.


 

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

 

Preliminary Terms

 

Issuer:

    Citigroup Funding Inc.

Security:

    Notes Based Upon Two Baskets of Currencies Due November 2008

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:

    Aa1/AA (Moody’s/S&P) based upon the Citigroup Inc. guarantee

Principal Protection:

    97% if held to the Maturity Date

Pricing Date:

    November         , 2007

Issue Date:

    November         , 2007

Valuation Date:

    Five business days before the Maturity Date

Maturity Date:

    Approximately one year after the Issue Date

Interest:

    None

Issue Price:

    100% of the principal amount

Payment at Maturity:

    For each US$1,000 note, US$970 plus a Supplemental Return Amount, which may be positive or zero

Supplemental Return Amount:

   

If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is greater than approximately 20% to 22% (to be determined on the Pricing Date), the product of (i) US$1,000 and (ii) the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage).

If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is greater than or equal to zero but less than or equal to approximately 20% to 22% (to be determined on the Pricing Date), the product of (i) US$1,000 and (ii) approximately 20% to 22% (to be determined on the Pricing Date)

If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is less than zero, 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

Basket A Currencies:

    Brazilian real, Argentine peso, Indian rupee, South African rand and Turkish lira

Basket B Currencies:

    Swiss franc, Japanese yen, Singapore dollar, Taiwan dollar, and Czech koruna

Currency Return:

    Starting Exchange Rate – Ending Exchange Rate  x  Allocation Percentage Starting Exchange Rate                                                     

Allocation Percentage:

    20% for each of the Basket Currencies in each of Basket A and Basket B respectively

Starting Exchange Rate:

    Each of the USDBRL, USDARS, USDINR, USDZAR, USDTRY, USDCHF, USDJPY, USDSGD, USDTWD, and USDCZK Exchange Rates on the Pricing Date

Ending Exchange Rate:

    Each of the USDBRL, USDARS, USDINR, USDZAR, USDTRY, USDCHF, USDJPY, USDSGD, USDTWD, and USDCZK Exchange Rates on the Valuation Date

USDBRL Exchange Rate

    The U.S. dollar/Brazilian real exchange rate in the global spot foreign exchange market, expressed as the amount of Brazilian real per one U.S. dollar, as reported by Bloomberg on page “NDFL” in the Brazil row for a relevant date.

 

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USDARS Exchange Rate

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

USDINR Exchange Rate

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

USDZAR Exchange Rate

    The U.S. dollar/South African rand exchange rate in the global spot foreign exchange market, expressed as the amount of South African rand per one U.S. dollar. The USDZAR exchange rate will be calculated by the Calculation Agent by dividing the EURZAR exchange rate by the EURUSD rate, each as reported by Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

EURZAR Exchange Rate

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

USDTRY 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. The USDTRY exchange rate will be calculated by the Calculation Agent by dividing the EURTRY exchange rate by the EURUSD exchange rate, each as reported by Bloomberg on page”ECB3,” or any substitute page, for a relevant date.

EURTRY 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 Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

USDCHF Exchange Rate:

    The U.S. dollar/Swiss franc exchange rate in the global spot foreign exchange market, expressed as the amount of Swiss franc per one U.S. dollar. The USDCHF exchange rate will be calculated by the Calculation Agent by dividing the EURCHF exchange rate by the EURUSD exchange rate, each as reported by Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

EURCHF Exchange Rate

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

USDJPY Exchange Rate:

    The U.S. dollar/Japanese yen exchange rate in the global spot foreign exchange market, expressed as the amount of Japanese yen per one U.S. dollar. The USDJPY exchange rate will be calculated by the Calculation Agent by dividing the EURJPY exchange rate by the EURUSD exchange rate, each as reported by Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

EURJYP Exchange Rate

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

USDSGD Exchange Rate:

    The U.S. dollar/Singapore dollar exchange rate in the global spot foreign exchange market, expressed as the amount of Singapore dollar per one U.S. dollar. The USDSGD exchange rate will be calculated by the Calculation Agent by dividing the EURSGD exchange rate by the EURUSD exchange rate, each as reported by Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

EURSGD Exchange Rate

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

 

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USDTWD Exchange Rate:

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

USDCZK Exchange Rate

    The U.S. dollar/Czech koruna exchange rate in the global spot foreign exchange market, expressed as the amount of Czech koruna per one U.S. dollar. The USDCZK exchange rate will be calculated by the Calculation Agent by dividing the EURCZK exchange rate by the EURUSD exchange rate, each as reported by Bloomberg on Page “ECB3,” or any substitute page, for a relevant date.

EURCZK Exchange Rate

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

Denominations:

    Minimum denominations and increments of US$1,000

Listing:

    None

Agent’s Discount:

    0.00%

Sales Commission Earned:

    $         per Note for each Note sold by a Smith Barney Financial Advisor

Calculation Agent:

    Citigroup Financial Products Inc.

Business Day:

    Any day that (1) 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 or in London, England are authorized or obligated by law or executive order to close and (2) is a day on which the Trans-European Automated Real-Time Gross Settlement Express Transfer System is open.

 

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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 difference between the Currency Basket A Return and the Currency Basket B Return. If the Currency Basket A Return is greater than or equal to the Currency Basket B Return, the Supplemental Return Amount on the Notes will be approximately 20% to 22% (to be determined on the Pricing Date). If the difference between the Currency Basket A Return and the Currency Basket B Return exceeds approximately 20% to 22%, the Supplemental Return Amount on the Notes will be directly linked to that greater amount. However, because the amount you receive at maturity is determined by adding the Supplemental Return Amount to 97%, not 100%, of the principal amount of the notes, the Supplemental Return Amount, if any, will be offset by an amount equal to 3% of the principal amount of the notes, or US$30 per note.

 

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Preservation of a Portion of Your Investment

On the Maturity Date, you will receive at least 97% of the principal amount of the Notes you then hold regardless of the performance of the Basket A Currencies and the Basket B Currencies.

 

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Diversification

The Notes are based on the performance of the Basket A Currencies relative to the Basket B 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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Only Partial Protection of Your Investment

Unless the Currency Basket A Return is greater than or equal to the Currency Basket B Return, the payment you receive at maturity will be limited to 97% of the principal amount of your initial investment in the Notes, or US$970 for each Note you then hold, in which case your investment in the Notes will result in a loss. This will be true even if the return on the Basket A Currencies is greater than the return on the Basket B Currencies at one or more times during the term of the Notes, but the Currency Basket A Return is less than the

Currency Basket B Return on the Valuation Date. There is no partial principal protection unless you hold the Notes to maturity.

 

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The Supplemental Return Amount Will be Offset

The amount you receive at maturity will be determined by adding the Supplemental Return Amount, if any, to 97%, not 100%, of the principal amount of the Notes. Thus, the Supplemental Return Amount, if any, will be offset by an amount equal to 3% of the principal amount of the Notes, or US$30 per Note.

 

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Reference to Two Baskets of Currencies May Lower Your Return

Any increase in the values of the Basket A Currencies may be offset by an increase in the values of the Basket B Currencies, thereby resulting in a lower return or no return on your investment. This may be true even if all the currencies in both baskets increase in value relative to the U.S. dollar. In addition, a significant change in the value of one currency but not 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, unless the Currency Basket A Return is greater than or equal to the Currency Basket B Return, the Payment at Maturity will be equal to only 97% of your initial investment in the Notes and 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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The Values of the Basket Currencies and the U.S. Dollar are Affected by Many Complex Factors

The value of any currency, including the Basket Currencies and the U.S. dollar, may be affected by complex political and


 

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economic factors. The value of each of the Basket Currencies relative to the U.S. dollar, as measured by the relevant exchange rate, is at any moment a result of the supply and demand for the relevant currencies and changes in the exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in the Federative Republic of Brazil, Argentina, the Republic of India, South Africa, the Republic of Turkey, Switzerland, Japan, Singapore, Taiwan, the Czech Republic, and the United States, as well as economic and political developments in other countries. Of particular importance are the relative rates of inflation, interest rate levels, the balance of payments and the extent of governmental surpluses or deficits in the Federative Republic of Brazil, Argentina, the Republic of India, South Africa, the Republic of Turkey, Switzerland, Japan, Singapore, Taiwan, the Czech Republic, and the United States, all of which are in turn sensitive to the monetary, fiscal and trade policies pursued by those and other countries important to international trade and finance.

 

Foreign exchange rates can either be fixed by sovereign governments or floating. Exchange rates of many nations are permitted to fluctuate in value relative to other currencies. However, governments sometimes do not allow their currencies to float freely in response to economic forces. Governments, including those of the Federative Republic of Brazil, Argentina, the Republic of India, South Africa, the Republic of Turkey, Switzerland, Japan, Singapore, Taiwan, the Czech Republic, and the United States, use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes, to affect the exchange rates of their respective currencies. They may also issue a new currency to replace an existing currency or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special risk in purchasing the Notes is that their liquidity, trading value and amounts payable could be affected by the actions of sovereign governments that could change or interfere theretofore freely determined currency valuations, fluctuations in response to other market

forces and the movement of currencies across borders. There will be no adjustment or change in the terms of the Notes in the event that exchange rates should become fixed, or in the event of any devaluation or revaluation or imposition of exchange or other regulatory controls or taxes, or in the event of the issuance of a replacement currency or in the event of other developments affecting the Basket Currencies or the U.S. dollar specifically, or any other currency.

 

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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’ role as the Calculation Agent for the Notes may result in a conflict of interest.


 

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The Basket Currencies and Exchange Rates

 

General

 

The Basket A Currencies are the Brazilian real, Argentine peso, Indian rupee, South African rand, and Turkish lira and the Basket B Currencies are the Swiss franc, Japanese yen, Singapore dollar, Taiwan dollar, and Czech koruna (together, 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 USDBRL Exchange Rate, the U.S. dollar and the Argentine peso in the case of the USDARS Exchange Rate, the U.S. dollar and Indian rupee in the case of the USDINR Exchange Rate, the U.S. dollar and the South African rand in the case of the USDZAR Exchange Rate, the U.S. dollar and the Turkish lira in the case of the USDTRY Exchange Rate, the U.S. dollar and the Swiss franc in the case of the USDCHF Exchange Rate, the U.S. dollar and the Japanese yen in the case of the USDJPY Exchange Rate, the U.S. dollar and the Singapore dollar in the case of the USDSGD Exchange Rate, the U.S. dollar and the Taiwan dollar in the case of the USDTWD Exchange Rate, and the U.S. dollar and the Czech koruna in the case of the USDCZK 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 Argentine peso is the official currency of Argentina.

 

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

 

The South African rand is the official currency of South Africa.

 

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

 

The Swiss franc is the official currency of Switzerland.

 

The Japanese yen is the official currency of Japan.

 

The Singapore dollar is the official currency of Singapore.

 

The Taiwan dollar is the official currency of the Republic of China within the areas of Taiwan, Penghu, Kinmen, and Matsu.1

 

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

 

We have obtained all information in this offering summary relating to the Brazilian real, Argentine peso, Indian rupee, South African rand, Turkish lira, Swiss franc, Japanese yen, Singapore dollar, Taiwan dollar, Czech koruna 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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Originally issued by the Bank of Taiwan, it has been issued by the Central Bank of China since 2000.

 

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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
    USDBRL
Exchange Rate
   USDARS
Exchange Rate
  

USDINR

Exchange Rate

  

USDZAR

Exchange Rate

  

USDTRY2

Exchange Rate

    High
   Low
   High
   Low
   High
   Low
   High
   Low
   High
   Low

2002

                                        

Quarter

                                        

First

   2.4691   2.2932   3.2050   1.9917   48.85   48.24   12.3010   10.9600   1.4505   1.3095

Second

   2.8593   2.2709   3.8675   2.6733   49.06   48.80   11.2750   9.6925   1.6386   1.2941

Third

   3.8949   2.8147   3.7912   3.4967   48.84   48.38   10.9300   9.9300   1.6974   1.6031

Fourth

   3.9552   3.4278   3.7608   3.3630   48.45   47.96   10.4950   8.5910   1.6874   1.5247

2003

                                        

Quarter

                                        

First

   3.6623   3.2758   3.3625   2.8710   48.02   47.50   9.0236   7.8832   1.7632   1.5962

Second

   3.3359   2.8491   2.9792   2.7485   47.46   46.47   8.2650   7.1212   1.6977   1.4143

Third

   3.0740   2.8219   2.9773   2.7582   46.48   45.72   7.8010   6.9853   1.4406   1.3532

Fourth

   2.9546   2.8268   2.9898   2.8330   45.94   45.27   7.2134   6.1731   1.5232   1.3654

2004

                                        

Quarter

                                        

First

   2.9878   2.8022   2.9613   2.8550   45.63   43.39   7.3509   6.2448   1.3977   1.3152

Second

   3.2051   2.8743   2.9743   2.8037   46.20   43.56   7.0933   6.2298   1.5558   1.3069

Third

   3.0747   2.8586   3.0718   2.9382   46.46   45.64   6.7047   5.8948   1.5323   1.4292

Fourth

   2.8847   2.6544   2.9913   2.9343   45.92   43.58   6.6263   5.6236   1.5109   1.3445

2005

                                        

Quarter

                                        

First

   2.7621   2.5621   2.9718   2.8893   44.02   43.36   6.3623   5.6188   1.3995   1.2610

Second

   2.6598   2.3504   2.9188   2.8650   43.83   43.30   6.9264   5.9723   1.3916   1.3392

Third

   2.4656   2.2222   2.9195   2.8592   44.12   43.39   6.9253   6.2458   1.3717   1.3160

Fourth

   2.3735   2.1633   3.0523   2.9082   46.33   44.09   6.7945   6.3002   1.3750   1.3436

2006

                                        

Quarter

                                        

First

   2.3460   2.1067   3.0845   3.0305   45.05   44.07   6.3682   5.9673   1.3624   1.3028

Second

   2.3711   2.0586   3.0898   3.0367   46.43   44.61   7.5092   5.9634   1.7065   1.3164

Third

   2.2188   2.1282   3.1068   3.0658   46.95   45.86   7.7628   6.7480   1.5900   1.4400

Fourth

   2.1870   2.1331   3.1072   3.0492   45.84   44.23   7.9445   6.9830   1.5152   1.4153

2007

                                        

Quarter

                                        

First

   2.1556   2.0504   3.1068   3.0553   44.61   43.14   7.5010   6.9307   1.4566   1.3815

Second

   2.0478   1.9047   3.1008   3.0722   43.15   40.45   7.3043   6.9160   1.3879   1.2985

Third

   2.1124   1.8389   3.1730   3.0915   41.57   39.70   7.4735   6.8177   1.3991   1.2102

Fourth (through October 25, 2007)

   1.8284   1.7896   3.1797   3.1470   39.79   39.31   6.9303   6.6000   1.2444   1.1861

 

The USDBRL Exchange Rate appearing on Bloomberg page “NDFL” on October 25, 2007 was 1.7896.

 

The USDARS Exchange Rate appearing on Bloomberg page “NDFL” on October 25, 2007 was 3.1797.

 

2

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

 

10

The USDINR Exchange Rate appearing on Bloomberg page “NDFF” on October 25, 2007 was 39.54.

 

The USDZAR Exchange Rate, as calculated by dividing the EURZAR exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007 was 6.6000.

 

The USDTRY Exchange Rate, as calculated by dividing the EURTRY exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007, was 1.1965.

 

    Basket B Currencies
   

USDCHF

Exchange Rate

  

USDJPY

Exchange Rate

  

USDSGD

Exchange Rate

  

USDTWD

Exchange Rate

  

USDCZK

Exchange Rate

    High
   Low
   High
   Low
   High
   Low
   High
   Low
   High
   Low

2002

                                        

Quarter

                                        

First

   1.7179   1.6412   134.81   127.88   1.8518   1.8203   35.123   34.900   37.0751   35.0819

Second

   1.6735   1.4758   133.39   118.50   1.8469   1.7612   35.002   33.559   35.0171   29.3404

Third

   1.5252   1.4424   123.25   115.71   1.7840   1.7317   34.991   32.975   32.0211   29.1350

Fourth

   1.5082   1.3850   125.29   118.61   1.8073   1.7354   35.194   34.384   31.7270   30.1106

2003

                                        

Quarter

                                        

First

   1.4056   1.3235   121.46   116.56   1.7718   1.7260   34.833   34.461   30.2774   28.6661

Second

   1.4055   1.2838   120.96   115.95   1.7872   1.7180   35.012   34.505   29.8441   26.3944

Third

   1.4236   1.3220   120.54   110.54   1.7649   1.7260   34.583   33.741   30.0610   27.3292

Fourth

   1.3745   1.2335   111.11   106.93   1.7460   1.6983   34.235   33.686   27.9517   25.6611

2004

                                        

Quarter

                                        

First

   1.3017   1.2200   112.17   103.87   1.7160   1.6730   33.980   33.081   27.1960   25.3841

Second

   1.3139   1.2373   114.83   103.75   1.7279   1.6658   33.791   32.770   27.6552   25.3836

Third

   1.2847   1.2247   112.26   108.17   1.7274   1.6872   34.225   33.708   26.5117   25.1217

Fourth

   1.2655   1.1326   111.24   102.32   1.6913   1.6337   33.923   31.756   25.6542   22.3427

2005

                                        

Quarter

                                        

First

   1.2215   1.1434   107.49   102.04   1.6570   1.6199   32.202   30.728   23.4794   21.9700

Second

   1.2835   1.1803   110.78   104.39   1.6852   1.6352   31.750   31.126   24.9129   23.0212

Third

   1.3066   1.2306   113.29   109.02   1.7044   1.6491   33.303   31.650   25.4099   23.1759

Fourth

   1.3247   1.2736   121.06   113.49   1.7049   1.6633   33.780   32.865   25.1280   24.1148

2006

                                        

Quarter

                                        

First

   1.3194   1.2591   119.06   113.51   1.6618   1.6138   32.850   31.860   24.5476   23.1072

Second

   1.3100   1.1999   118.74   109.36   1.6164   1.5629   32.749   31.419   23.6853   21.8691

Third

   1.2581   1.2218   118.02   113.84   1.5960   1.5677   33.045   32.179   22.8016   21.7595

Fourth

   1.2719   1.1916   119.61   114.58   1.5907   1.5339   33.306   32.287   22.6417   20.7665

2007

                                        

Quarter

                                        

First

   1.2550   1.2052   122.05   115.36   1.5449   1.5166   33.147   32.345   21.8509   20.7423

Second

   1.2450   1.2016   124.06   117.72   1.5436   1.5110   33.415   32.738   21.4995   20.5920

Third

   1.2201   1.1689   123.43   113.53   1.5426   1.4857   33.123   32.749   21.1580   19.4174

Fourth (through October 25, 2007)

   1.1875   1.1666   117.76   113.93   1.4822   1.4559   32.600   32.501   19.5790   18.9489

 

The USDCHF Exchange Rate, as calculated by dividing the EURCHF exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007, was 1.1672.

 

The USDJPY Exchange Rate, as calculated by dividing the EURJPY exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007, was 114.36.

 

The USDSGD Exchange Rate, as calculated by dividing the EURSGD exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007, was 1.4559.

 

The USDTWD exchange rate appearing on Bloomberg page “NDFF” on October 25, 2007 was 32.513.

 

The USDCZK Exchange Rate, as calculated by dividing the EURCZK exchange rate by the EURUSD exchange rate, each as reported on Bloomberg page “ECB3” on October 25, 2007, was 18.9489.

 

11

Historical Graphs

 

The following graphs show the daily values of each of the USDBRL, USDARS, USDINR, USDZAR, USDTRY, USDCHF, USDJPY, USDSGD, USDTWD, and USDCZK exchange rates in the period from January 2, 2002 through

October 24, 2007 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

 

12

LOGO

LOGO

 

13

LOGO

 

BASKET B CURRENCIES

LOGO

 

14

LOGO

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: November 20, 2007

 

n Issue Date: November 26, 2007

 

n Principal amount: US$1,000 per Note

 

n Starting Exchange Rate of the USDBRL Exchange Rate: 1.7900

 

n Starting Exchange Rate of the USDARS Exchange Rate: 3.1600

 

n Starting Exchange Rate of the USDINR Exchange Rate: 39.30

 

n Starting Exchange Rate of the USDZAR Exchange Rate: 6.7500

 

n Starting Exchange Rate of the USDTRY Exchange Rate: 1.2100

 

n Starting Exchange Rate of the USDCHF Exchange Rate: 1.1800

 

n Starting Exchange Rate of the USDJPY Exchange Rate: 117.00

 

n Starting Exchange Rate of the USDSGD Exchange Rate: 1.4600

 

n Starting Exchange Rate of the USDTWD Exchange Rate: 32.500

 

n Starting Exchange Rate of the USDCZK Exchange Rate: 19.3000

 

n If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is greater than 21%, the Supplemental Return Amount will equal the product of (i) US$1,000 and (ii) the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage).

 

n If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is greater than or equal to zero but less than or equal to 21%, the Supplemental Return Amount will equal the product of (i) US$1,000 and (ii) 21%.

 

n If the Currency Basket A Return minus the Currency Basket B Return (expressed as a percentage) is less than zero, the Supplemental Return Amount will equal zero.

 

n Principal Protection at Maturity: 97% (US$970 per Note)

 

n Maturity Date: November 26, 2008

 

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


 

17

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 Basket Return Amount which, in turn, will depend on the actual Starting Exchange Rate and Ending Exchange Rate of each Basket Currency and the calculation formula of the Supplemental Return Amount.

 

    — Hypothetical Ending Levels (Basket A Currencies) —
   — Hypothetical Ending Levels (Basket B Currencies) —

Example

   USDBRL
   USDARS
   USDINR
   USDZAR
   USDTRY
   USDCHF
   USDJPY
   USDSGD
   USDTWD
   USDCZK

1

   1.7521   3.6210   38.08   6.7358   1.4287   1.2918   96.68   1.4358   24.263   10.1873

2

   1.9145   3.5424   38.18   7.1615   1.0770   0.9957   117.28   1.3236   22.884   18.0698

3

   1.7586   2.9523   32.85   5.6048   1.4798   0.9676   91.90   0.7555   27.385   27.3455

4

   1.6903   2.9614   41.83   6.2557   1.0622   1.3882   90.68   1.0097   36.708   17.1818

5

   1.7023   2.5861   42.08   8.0218   1.1397   1.2273   89.66   1.7094   20.271   26.2435

6

   1.7854   3.0937   47.89   5.6317   1.4669   1.2531   145.84   1.1257   43.313   20.7530

7

   1.5186   2.4429   42.23   8.3595   0.9137   1.3897   127.46   1.3053   25.678   24.6523

8

   1.6106   3.8971   46.26   3.6056   1.1533   0.9027   109.87   1.9485   36.920   28.8951

9

   2.1111   3.5229   37.15   5.8928   1.1006   1.4128   97.15   1.9860   48.112   22.8264

10

   1.4812   2.7866   30.46   8.8280   1.1297   0.9059   115.68   2.1886   46.904   23.1486

 

Hypothetical
Basket A
Return(1)
    Hypothetical
Basket B
Return(2)
     Hypothetical
Difference
of Basket A
Return and
Basket B
Return
     Hypothetical
Supplemental
Return
Amount(3)
    Hypothetical
Maturity
Payment(4)
    Hypothetical
Return on
the Notes
  
-5.446%    16.422 %   -21.868 %   $ 0.00    $ 970.00    -3.000 %
-2.262%    12.137 %   -14.399 %   $ 0.00    $ 970.00    -3.000 %
3.882%    12.352 %   -8.470 %   $ 0.00    $ 970.00    -3.000 %
4.991%    6.744 %   -1.753 %   $ 0.00    $ 970.00    -3.000 %
0.591%    0.786 %   -0.194 %   $ 0.00    $ 970.00    -3.000 %
-4.833%    -9.749 %   4.916 %   $ 210.00    $ 1,180.00    18.000 %
6.209%    -4.571 %   10.780 %   $ 210.00    $ 1,180.00    18.000 %
4.051%    -13.436 %   17.487 %   $ 210.00    $ 1,180.00    18.000 %
-0.442%    -21.020 %   20.577 %   $ 210.00    $ 1,180.00    18.000 %
5.483%    -17.962 %   23.444 %   $ 234.44    $ 1,204.44    20.444 %

 

(1)    Hypothetical Currency Basket A Return = Sum of

   (    Hypothetical Starting Exchange Rate – Hypothetical Ending Exchange Rate   x  

Allocation

Percentage (20%)

   )
     

Hypothetical Starting Exchange Rate

      

 

for USDBRL, USDARS, USDINR, USDZAR and USDTRY 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 USDCHF, USDJPY, USDSGD, USDTWD and USDCZK Exchange Rates.

 

(3) If Hypothetical Currency Basket A Return minus Hypothetical Currency Basket B Return is greater than 21%, Hypothetical Supplemental Return Amount = US$1,000 x (Hypothetical Currency Basket A Return – Hypothetical Currency Basket B Return)

 

If Hypothetical Currency Basket A Return minus Hypothetical Currency Basket B Return is greater than or equal to 0% but less than or equal to 21%, Hypothetical Supplemental Return Amount = US$1,000 x 21% = US$210

 

If Hypothetical Currency Basket A Return minus Hypothetical Currency Basket B Return is less than 0%, Hypothetical Supplemental Return Amount = US$0

 

(4) Hypothetical Maturity Payment per Note = US$970 + Hypothetical Supplemental Return Amount

 

18

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.

 

A cash method U.S. holder generally will not be required to recognize income with respect to the Notes until the maturity of the Notes. Although there are no specific rules that provides for treatment of accrual method U.S. holders, accrual method U.S. holders generally should not be required to recognize income with respect to the Notes prior to the date on which the amount of the contingent payment made with respect to the Notes becomes fixed. Any gain at maturity or upon the sale or other taxable disposition of a Note generally is expected to be treated as ordinary income.

 

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 will 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.

 

Additional Considerations

 

If any of the relevant exchange rates are not available on Bloomberg page “NDFL, “NDFF,” or “ECB3,” 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 pricing supplement for more information.


 

19

Citigroup Global Markets is an affiliate of Citigroup Funding. Accordingly, the offering will conform to the requirements set forth in Rule 2720 of the Conduct Rules of the National Association of Securities Dealers.

 

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


 

© 2007 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.

 

20