Non-Collateralised Structured Products

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18 Νοε 2013 (πριν από 3 χρόνια και 10 μήνες)

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This announcement appears for information purposes only and does not constitute an invitation or offer to
acquire, purchase or subscribe for the CBBCs described below.
Hong Kong Exchanges and Clearing Limited and The Stock Exchange of Hong Kong Limited (the stock
exchange) take no responsibility for the contents of this announcement, make no representation as to its accuracy
or completeness and expressly disclaim any liability whatsoever for any loss howsoever arising from or in
reliance upon the whole or any part of the contents of this announcement.
Prospective investors are warned that the price of the CBBCs may fall in value as rapidly as it may rise and they
may sustain a total loss of their investment. Prospective investors should fully understand their potential risks and
rewards and independently determine that they are appropriate for them. Prospective investors should consult
with advisers if necessary.
The CBBCs involve derivatives. Do not invest in the CBBCs unless you fully understand and are willing to
assume the risks associated with the CBBCs.

Non-Collateralised Structured Products
CBBCs
to be issued by
CITIGROUP GLOBAL MARKETS HOLDINGS INC.
(a corporation duly incorporated and existing under the laws of the State of New York, the United States of America)
(the Issuer)
unconditionally and irrevocably guaranteed by
CITIBANK, N.A.
(a national banking association organised and existing under the laws of the United States of America)
(the Guarantor)
Announcement
The Issuer intends to issue the callable bull/bear contracts detailed below (the CBBCs).
Stock code
68104
68114
68116
68117
Fund
CSOP FTSE
China A50 ETF
CSOP FTSE
China A50 ETF
CSOP FTSE
China A50 ETF
CSOP FTSE
China A50 ETF
Units
Existing issued
HKD traded units
of the Fund (Stock
Code:2822)
Existing issued
HKD traded units
of the Fund (Stock
Code:2822)
Existing issued
HKD traded units
of the Fund (Stock
Code:2822)
Existing issued
HKD traded units
of the Fund (Stock
Code:2822)
Style
European
European
European
European
Type
Bear
Bear
Bull
Bull
Category
R
R
R
R
Settlement
method
Cash settled
Cash settled
Cash settled
Cash settled
Issue size
100,000,000
CBBCs
100,000,000
CBBCs
100,000,000
CBBCs
100,000,000
CBBCs
Issue price
HK$0.25
HK$0.25
HK$0.25
HK$0.25
Expiry date^
28 April 2014
26 May 2014
28 April 2014
26 May 2014
Valuation date
The trading day (being a day on which the stock exchange is scheduled to be open for trading for its
regular trading sessions) immediately preceding the expiry date.
Entitlement
One Unit
One Unit
One Unit
One Unit
Number of
CBBCs per
entitlement
Ten CBBCs
Ten CBBCs
Ten CBBCs
Ten CBBCs
Stock code
68104
68114
68116
68117
Board lot
2,000
2,000
2,000
2,000
Strike price
HK$10.50
HK$10.80
HK$8.70
HK$9.00
Call price
HK$10.20
HK$10.50
HK$9.00
HK$9.30
Observation
commencement
date
25 November
2013
25 November
2013
25 November
2013
25 November
2013
Settlement
currency
Hong Kong
dollars
Hong Kong
dollars
Hong Kong
dollars
Hong Kong
dollars
Funding cost as of
launch date

HK$0.1960
HK$0.1660
HK$0.1240
HK$0.1540
Gearing*
3.98x
3.98x
3.98x
3.98x
Effective gearing*
3.98x
3.98x
3.98x
3.98x
Premium*
19.68%
16.67%
12.45%
15.46%
Liquidity provider
Citigroup Global
Markets Asia
Limited
(Broker ID: 9651)
50th Floor,
Citibank Plaza,
3 Garden Road,
Central,
Hong Kong
Tel: (852) 2868
8886
Citigroup Global
Markets Asia
Limited
(Broker ID: 9651)
50th Floor,
Citibank Plaza,
3 Garden Road,
Central,
Hong Kong
Tel: (852) 2868
8886
Citigroup Global
Markets Asia
Limited
(Broker ID: 9651)
50th Floor,
Citibank Plaza,
3 Garden Road,
Central,
Hong Kong
Tel: (852) 2868
8886
Citigroup Global
Markets Asia
Limited
(Broker ID: 9651)
50th Floor,
Citibank Plaza,
3 Garden Road,
Central,
Hong Kong
Tel: (852) 2868
8886
^ If such day is a Saturday, Sunday or public holiday in Hong Kong, the immediately succeeding day which is not a Saturday,
Sunday or public holiday in Hong Kong.
* The gearing, effective gearing and premium may not be comparable to similar information provided by other issuers of CBBCs as
each issuer may use different pricing models.
† The funding cost is calculated in accordance with the following formula:
Funding cost
=
Strike price x funding rate x n/365
Number of CBBCs per entitlement
Where:
(i) “n” is the number of days remaining to expiration; initially, “n” is the number of days from (and including) the launch date to
(and including) the trading day immediately preceding the expiry date;
and
(ii) the funding rate will fluctuate throughout the term of the CBBCs. As of the launch date, the funding rate in respect of each
stock code was as follows:
Stock code
Funding rate
68104
44.2424%
68114
30.8252%
68116
33.7812%
68117
34.3162%
The CBBCs are in global registered form and exercisable only in the relevant board lots.
What is a mandatory call event? What happens if a mandatory call event occurs?
For bear CBBCs:
A mandatory call event occurs if the spot price is at or above the call price at any time during a trading day
in the observation period.
For bull CBBCs:
A mandatory call event occurs if the spot price is at or below the call price at any time during a trading day
in the observation period.
The spot price means:
(a) in respect of a continuous trading session of the stock exchange, the price per unit concluded by means
of automatic order matching on the stock exchange as reported in the official real-time dissemination
mechanism for the stock exchange during such continuous trading session in accordance with the rules
and regulations of the stock exchange (the Trading Rules), excluding direct business (as defined in the
Trading Rules); and
(b) in respect of a pre-opening session or a closing auction session (if applicable) of the stock exchange (as
the case may be), the final Indicative Equilibrium Price (IEP) (as defined in the Trading Rules) of the
unit (if any) calculated at the end of the pre-order matching period of such pre-opening session or
closing auction session (if applicable) (as the case may be) in accordance with the Trading Rules,
excluding direct business (as defined in the Trading Rules),
subject to such modification and amendment prescribed by the stock exchange from time to time.
The observation period means the period from the observation commencement date to the trading day
immediately preceding the expiry date (both dates inclusive).
The CBBCs will automatically terminate upon the occurrence of a mandatory call event and you will receive
the residual value (if any) on the settlement date, less any exercise expenses.
Residual value per board lot means the greater of (a) zero; and (b) an amount payable in the settlement
currency calculated by the Issuer in accordance with the following formula:
For bear CBBCs:
Entitlement x (strike price – maximum trade price) x one board lot
Number of CBBCs per entitlement
For bull CBBCs:
Entitlement x (minimum trade price – strike price) x one board lot
Number of CBBCs per entitlement
Maximum trade price means the highest spot price during the MCE valuation period.
Minimum trade price means the lowest spot price during the MCE valuation period.
MCE valuation period means the period commencing from and including the moment upon which the
mandatory call event occurs up to the end of the trading session on the stock exchange immediately following
the first session, subject to any potential extension in accordance with the terms and conditions of the CBBCs.
If the residual value is less than or equal to zero, you will lose all your investment in the CBBCs.
How does the Issuer calculate the cash settlement amount at expiry?
If no mandatory call event occurs during the observation period and on the expiry date, the value of the cash
settlement amount is greater than zero, the CBBCs will be deemed to be automatically exercised and you will not
be required to deliver any exercise notice.
Each board lot of CBBCs will entitle you to receive from the Issuer the cash settlement amount (less any
exercise expenses) in Hong Kong dollars calculated by the Issuer as equal to:
In respect of bear CBBCs:
Cash settlement
amount per board lot
=
Entitlement x (strike price – closing price*) x one board lot
Number of CBBCs per entitlement
In respect of bull CBBCs:
Cash settlement
amount per board lot
=
Entitlement x (closing price* – strike price) x one board lot
Number of CBBCs per entitlement
* Closing price means the official closing price of one unit (as derived from the daily quotation sheet of the stock
exchange) on the valuation date subject to any adjustments in accordance with the terms and conditions of the
CBBCs.
Where can you obtain further information?
The base listing document dated 12 April 2013, the addenda to the base listing document dated 9 May 2013,
19 August 2013, 4 September 2013 and 25 September 2013 respectively together with any additional addenda or
successor document, the supplemental listing document to be dated 22 November 2013 and the latest publicly
available annual financial statements and interim financial statements (if any) of each of the Issuer and the
Guarantor will be available for inspection, together with their Chinese translations, at the office of Citigroup
Global Markets Asia Limited which is presently at 50th Floor, Citibank Tower, Citibank Plaza, 3 Garden Road,
Central, Hong Kong.
How will the liquidity provider provide quotes?
The liquidity provider will provide liquidity by responding to requests for bid and ask quotes. A quote may be
obtained by calling the LP hotline which is 2868 8886.
Additional information
The CBBCs will constitute general unsecured contractual obligations of the Issuer and of no other person. The
obligations of the Guarantor under the deed of guarantee dated 12 April 2013 made by the Guarantor (the
guarantee) will constitute general unsecured contractual obligations of the Guarantor and of no other person. If
the Issuer becomes insolvent or defaults on its obligations under the CBBCs or the Guarantor becomes insolvent
or defaults on its obligations under the guarantee, investors may not be able to recover all or even part of the
amount due.
An application will be made to the stock exchange for the listing of and permission to deal in, the CBBCs on
the stock exchange. The date of commencement of dealings in the CBBCs is expected to be 25 November 2013.
The Issuer is not regulated by any of the bodies referred to in rule 15A.13(2) or (3) of the stock exchange
rules.
The Guarantor is subject to regulation and examination primarily by the Office of the Comptroller of the
Currency (OCC) and also by the Federal Deposit Insurance Corporation (FDIC) and the Federal Reserve Board
(FRB). The foreign branch representative offices and subsidiaries of the Guarantor are subject to regulation and
examination by their respective foreign financial regulators as well as by the OCC and the FRB.
The Guarantor is a licensed bank regulated by the Hong Kong Monetary Authority and a registered institution
under the Securities and Futures Ordinance (Cap. 571) of Hong Kong to carry on type 1 (Dealing in Securities),
type 4 (Advising on Securities), type 6 (Advising on Corporate Finance) and type 9 (Asset Management)
regulated activities.
The senior long term debt credit ratings of the Issuer are A- (negative outlook) by Standard and Poor’s Ratings
Services, a division of The McGraw-Hill Companies, Inc., Baa2 (stable) by Moody’s Investors Service, Inc., New
York, and A (stable) by Fitch Ratings Ltd. The senior long term debt credit ratings of the Guarantor are A (stable)
by Standard and Poor’s Ratings Services, a division of The McGraw-Hill Companies, Inc., A2 (stable) by
Moody’s Investors Services, Inc., New York, and A (stable) by Fitch Ratings Ltd.
Fund disclaimer
“FTSE®” is a trade mark of London Stock Exchange Group (LSEG) and is used by FTSE International Limited
(FTSE) under licence. The CBBCs are not sponsored, endorsed, sold, or promoted by FTSE, LSEG or CSOP
Asset Management Limited (CSOP). FTSE, LSEG and CSOP make no representations or warranties with respect
to this document or to the holders of the CBBCs or any member of the public regarding the advisability of
investing in the CBBCs.
Hong Kong, 18 November 2013