warrants and structured products

These have just been released (Jan 29th 2014) by CITI.

http://www.asx.com.au/PDF/14-006CTW.pdf


Would be very interested in anyone's take on these products.

My reading of the pdf is that a trade on the SRXKOB is closed out if the price falls to $12.65. There is a carry cost of 9.5% (calculated daily which is 10% PA).

Does this mean that for $2.52 plus 10% PA, you could have a 2 year run for about $3, plus the strike price of $11.88. So the SP would need to be above $15.

Looks wrong to me - what am I missing here??



ASX web site:
SRXKOB
Description: CITIWARRANTS 11.8778 SRX MINI LONG
Type: Call
Issuer: CITIWARRANTS (CGMA)
Commenced trading: 29 Jan 2014
Expiry: 31 Dec 2029
Exercise level: 11.878 (expressed in $ or index points)
Warrants/Structured Products per underlying instrument: 1.0000
Exercise style: American
Warrants/Structured Products issued: 140,000
Product Disclosure Statement