I understood this security as maturing at $100 worth of Citi stock, plus the last payment of $1.88/shr, subject to a reverse-floor and ceiling of $31.50/shr and $39.40/shr for Citi (whereby holders receive a fixed # of Citi shrs either below the floor or above the ceiling, thereby participating in Citi price moves outside of that range). One could short the CpH and buy some $39 calls on Citi and pocket a fair amount for the week that has yet to run on these 12/15/12 maturities. Where am I wrong?
OK, reread the prospectus, and based on the 20 day VWAP price of C preceeding the expiration, I get a value of 2.799 shrs of C for each CpH plus $1.875 of interest/principal, which at current C prices gives me a value of $106+, presently trading at below $104. You could short C against the preferred position to lock in that gain. NOW what am I missing?