Citigroup prices $30 million offering of notes linked to BRIC basket

By Sheri Kasprzak

New York, July 25 - Citigroup Funding, Inc. on Wednesday priced $30 million in 95% principal-protected notes linked to a basket that includes equal weights of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi.

"I wouldn't say there has been any decrease in demand for BRIC-linked securities," said one market source. "Things come and go but I haven't really seen a decrease in the number of these."

The one-year notes pay the product of $1,000, the basket return percentage and the 440% participation rate, assuming the basket return is not less than zero.

If the basket return is zero or negative, the notes pay $950 per note at maturity.

Exchange rates

On Wednesday, the U.S. dollar/Brazilian real exchange rate was 1.8625. A month before, the exchange rate was 1.9370.

The U.S. dollar/Russian ruble rate on Wednesday was 25.4980 and a month before, it was 25.8940.

The Indian rupee exchange rate was 40.2000 on Wednesday compared with 40.7298 a month before and the renminbi exchange rate was 7.5565 on Wednesday. The rate was 7.6200 a month prior.

Lehman plans rupiah-, rupee-linked notes

In other currency-related offerings, Lehman Brothers Holdings, Inc. is in the process of negotiating zero-coupon principal-protected notes linked to equal weights of the Indian rupee and the Indonesian rupiah.

The six-month notes allow the investor to take a long position in the rupee and the rupiah relative to the U.S. dollar.

If the basket return is greater than zero, the investor will receive par plus an additional amount equal to 4.25% multiplied by the principal amount. If the basket return is less than zero, the investor will receive par at maturity.

On Wednesday, the exchange rate of the rupiah was 9,093.87. A month before, the rate was 9,003.3157.

RBC prices 20% reverse convertibles

In other news, Royal Bank of Canada priced $2 million in 20% reverse convertible notes linked to Alcoa Inc.

The payout on three-month notes at maturity will be par unless the stock falls by more than 20% during the life of the notes and ends below the $42.45 initial share price.

Should that happen, the investors will receive a number of shares equal to $1,000 divided by the initial share price.

Alcoa's stock performance

On Wednesday, Alcoa's stock fell by 34 cents to end at $40.91 (NYSE: AA).

The company's stock traded between $41.09 on July 2 and $47.35 on July 13.

In June, the stock ranged between $38.70 on June 26 and $41.88 on June 18.

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