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Citibank Canada Index Optimizer - Principal Protected Notes

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Citibank Canada Index Optimizer - Principal Protected Notes Powered By Docstoc
					                                       INFORMATION DOCUMENT FOR CLIENTS
                  The complete information related to this issue of Notes will be included in an
                   Information Statement which will be sent to investors prior to closing date


                                                                                                       Available until
                                                                                                       June 15, 2004


                                             CITIBANK CANADA

                                              Index Optimizer
                                     Principal Protected Notes, Series 3
                                               due June 2012


100% Principal-Protected Notes                                                                        Price:
                                                                                                      Price: 100%

HIGHLIGHTS

   n   Index Optimizer Notes allow investors to look back and lock in the return of the best performing
       index each year among the following indices remaining eligible:
       •   S&P 500® Index                                     •   Citigroup World Government Bond Index®
       •   Nasdaq-100 Index®                                  •   Dow Jones Tiger Titans 50 Index®
       •   Russell 2000® Index                                •   Crude Oil Price Index
       •   DJ EURO STOXX 50 Index®                            •   S&P 500 Real Estate Index®

   n   Up to 10.4% compounded annual rate of return over 8 years (maximum of $220.68 per Note at
       Maturity)
   n   Excellent RRSP diversification tool
            •   Diversified portfolio of indices by asset class and geographic exposure
            • No currency exposure
            • Notes are RRSP eligible and do not constitute foreign property
   n   100% principal protection if held to maturity (guaranteed by Citibank, N.A., rated Aa1 by Moody’s
       and AA by Standard and Poor’s)
   n   No management fees
   n   An over-the-counter market will be maintained by National Bank Financial Inc. to ensure liquidity,
       starting in January 2005




                                            The Notes are available
                                       through your Investment Advisor
                                                        THE NOTES - TERMS OF THE OFFERING

Issuer:                 Citibank Canada (“Citibank Canada”).

Securities Offered:     Index Optimizer Principal Protected Notes, Series 3 (the “Notes”).

Indices:
                                                                           Bloomberg Code
                             S&P 500® Index                                        (SPX)
                             Nasdaq 100 Index®                                     (NDX)
                             Russell 2000 Index®                                   (RUY)
                             DJ EURO STOXX 50 Index®                               (SX5E)
                             Citigroup World Government Bond Index®            (SBWGU)
                             Dow Jones Tiger Titans 50 Index®                  (DJTGR)
                             Crude Oil Price Index                                 (CL1)
                             S&P 500 Real Estate Index®                        (S5REAL)


Settlement Date:        On or about June 17, 2004.

Maturity Date:          On or about June 18, 2012.

Issue Price:            100% of the Principal Amount.

Principal Amount:       $100 per Note.

Maturity Redemption     On the Maturity Date, a Holder will receive in respect of each Note held by
Amount:                 such Holder a payment equal to the greater of:

                        a) the Principal Amount ($100) ; and
                        b) the Principal Amount ($100) x Total Locked-In Performance
                        The maximum Maturity Redemption Amount is $220.68, which is equivalent to
                        an annual compounded rate of return of 10.4% per annum over 8 years.

Total Locked-In         The Total Locked-In Performance will be calculated by multiplying each of the
Performance:            eight Locked-In Performances. The Total Locked-In Performance is described
                        by the following formula:

                                         PP1 x PP2 x PP3 x PP4 x PP5 x PP6 x PP7 x PP8

                        Where PPi is the Locked-In Performance for each Performance Period,
                        corresponding to the best performing Index, determined as the highest ratio
                        of Closing Index Level to Starting Index Level for each remaining eligible
                        Index, capped at 110.4%. When a given Index is locked-in, it is discarded for
                        purposes of computing future Locked-In Performances.

Starting Index Level:   The closing level of the Indices on the Settlement Date.

Closing Index Level:    The closing level of the Indices at the regular official close of trading on the
                        anniversary date of the Settlement Date for each of the calendar years from
                        2005 to 2012.



                                                                                                           2
                                              THE NOTES - TERMS OF THE OFFERING (cont’d)

Guarantee:                    The payments of all amounts under the Notes when and as they shall
                              become due and payable will be irrevocably and unconditionally guaranteed
                              by Citibank, N.A. (the “Guarantor”), the Guarantor being currently rated AA
                              by Standard and Poor’s and Aa1 by Moody’s.

Agent:                        National Bank Financial Inc. (“NBF”).

Taxation Summary :            On repayment of a Note by Citibank Canada at the Maturity Date, the
                              variable interest (if any), being the Maturity Redemption Amount less the
                              Principal Amount, will be included in the Holder’s income, as interest, in the
                              taxation year in which the Maturity Date occurs.

                              On disposition of a Note prior to the Maturity Date, the Holder should realize
                              a capital gain (loss) to the extent that the net proceeds exceed (or are less
                              than) its adjusted cost base. However, Holders who dispose of a Note
                              shortly before the Maturity Date should consult their own tax advisors
                              with respect to their particular circumstances.

Secondary Market:             NBF will maintain, on a weekly basis, a secondary market starting from
                              January 2005 until the Maturity Date with a maximum bid/offer spread of 1%
                              of the Principal Amount.

Eligibility for Investment:   RRSPs, RRIFs, RESPs and DPSPs.

Form of Notes:                CDS book-entry system. No physical certificates will be available.




                                                                                             CITIGROUP

Citibank Canada is an indirect wholly-owned subsidiary of Citibank, N.A. Citibank, N.A. is an
indirect wholly-owned subsidiary of Citigroup Inc. Citigroup is a diversified financial holding
company whose businesses provide a broad range of financial services to consumer and
corporate customers in over 100 countries and territories.

On December 31, 2003, Citigroup had total consolidated assets of US$1.3 trillion and
stockholders’ equity of US$98.0 billion. As at December 31, 2003, Citibank Canada had total
consolidated assets of $12.5 billion and shareholders’ equity of $546.0 million.




                                                                                                               3
                                                                                                                              INDEX OPTIMIZER

Index Optimizer
                               The structure of the Notes allows investors
               to look back and lock in the return of the best performing index each year
                        among the indices remaining in the portfolio of indices.


n    On the Settlement Date, a Starting Index Level will be determined for each Index.

n    Every year, on the anniversary date of the Notes, the ratio of the Closing Index Level over
     the Starting Index Level for each remaining eligible Index will be computed.

n    The highest ratio will be selected as the Locked-In Performance for that year, capped at
     110.4%, and this Index will then be discarded for computing future locked-in performances.

n    At Maturity, the Holder will receive for each Note held, the highest value between:
          u    $100 per Note; and
          u    $100 x Total Locked-In Performance

n    The maximum Maturity Redemption Amount is $220.68, equivalent to an annual compounded
     rate of return of 10.4% per annum over 8 years.

n    The following tables illustrate the indexing mechanism. It is shown for illustration purposes
     only and should not be construed as actual returns:


                                  Starting                                              Closing Index Level
                Indices            Level       Year 1         Year 2       Year 3       Year 4       Year 5        Year 6       Year 7          Year 8
    Index 1                         100.00        92.00         106.00       109.18        87.34        100.45       105.47        94.92           99.67
    Index 2                         100.00        95.00          90.25        85.74        90.88         96.33        96.33       105.97
    Index 3                         100.00       106.00         116.60       122.43       104.07        101.98       112.18
    Index 4                         100.00        94.00          89.05        95.98       107.85        118.64
    Index 5                         100.00       120.00         124.80       126.88       141.44
    Index 6                         100.00       106.00         117.00       128.70
    Index 7                         100.00       101.00         125.00
    Index 8                         100.00       122.00

                                                        Ratio of Closing Index Level over Starting Index Level for Remaining Eligible Indices
                Indices                       Year 1          Year 2        Year 3      Year 4        Year 5        Year 6      Year 7          Year 8
    Index 1                                    92.0%          106.0%       109.2%       87.3%         100.4%       105.5%       94.9%           99.7%
    Index 2                                    95.0%          90.3%         85.7%       90.9%         96.3%         96.3%       106.0%           0.0%
    Index 3                                   106.0%          116.6%       122.4%       104.1%        102.0%       112.2%        0.0%            0.0%
    Index 4                                    94.0%          89.1%         96.0%       107.9%        118.6%         0.0%        0.0%            0.0%
    Index 5                                   120.0%          124.8%       126.9%       141.4%         0.0%          0.0%        0.0%            0.0%
    Index 6                                   106.0%          117.0%       128.7%        0.0%          0.0%          0.0%        0.0%            0.0%
    Index 7                                   101.0%          125.0%         0.0%        0.0%          0.0%          0.0%        0.0%            0.0%
    Index 8                                   122.0%           0.0%          0.0%        0.0%          0.0%          0.0%        0.0%            0.0%

    Best Performing Index                      122.0%        125.0%        128.7%       141.4%       118.6%       112.2%        106.0%          99.7%
    Locked-In Performance (PPi)                110.4%        110.4%        110.4%       110.4%       110.4%       110.4%        106.0%          99.7%
    Total Locked-In Performance                     1.91
    Maturity Redemption Amount               $   191.22




                                        FOR ILLUSTRATIVE PURPOSES ONLY


                                                                                                                                                           4
                                                                                         HISTORICAL SIMULATIONS

Distribution of Annual Rate of Return

n   The following chart illustrates the distribution of historical annual returns over 8-year periods
    starting each month from December 31st, 1991 to February 27, 1996. For each of these
    periods, the Maturity Redemption Amount has been determined and the equivalent internal
    rate of return over 8-years has been calculated.

                                      Distribution of Annual Rate of Return
                               Index Optimizer Principal Protected Notes, Series 3

          100%

          90%

          80%

          70%

          60%

          50%

          40%

          30%

          20%

          10%

           0%
                     6%<IRR<7.5%            7.5%<IRR<9%            9%<IRR<10.4%              IRR=10.4%

    Because the S&P 500 Real Estate Index has a short track record, the performance of the current largest components of such
    index was used prior to its inception.



n   Over the historical simulation period:


      u   The annual return has never been below 7.9%.
      u   The annual return has been above 9.0%, 94% of the times.
      u   The annual rate of return would have been 10.4%, 88% of the times.


               PLEASE NOTE THAT THE HISTORICAL RETURNS ON THE INDICES
                 ARE NOT A GUARANTEE OF FUTURE RETURNS AND SHOULD
                  NOT BE CONSIDERED AS AN INDICATION OF THE FUTURE
                             PERFORMANCE OF THE NOTES



                                                                                                                                5
                                                                           BRIEF DESCRIPTIONS OF INDICES

S&P 500® Index

The S&P 500 Index is an index composed of 500 leading companies in leading industries of the US economy.


NASDAQ-100 Index®

The Nasdaq-100 Index is one of America’s major stock market indices. The constituent stocks of the Nasdaq-100
Index are the 100 largest and most actively traded non-financial U.S. and international issues listed on the Nasdaq
Stock Market based on market capitalization.


Russell 2000® Index

The Russell 2000 Index is comprised of the smallest 2000 companies in the Russell 3000 Index, representing
approximately 11% of the Russell 3000 total market capitalization. The Russell 3000 Index Measures the
performance of the 3,000 largest U.S. companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.


DJ EURO STOXX 50 Index®

The Dow Jones EURO STOXX 50 Index is a capitalization-weighted index of 50 European blue-chip stocks from
those countries participating in the EMU.


Citigroup World Government Bond Index®

The World Government Bond Index includes the 21 government bond markets of Australia, Austria, Belgium,
Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Poland,
Portugal, Spain, Sweden, Switzerland, the United Kingdom and the United States. Market eligibility is determined by
market capitalization and investability criteria. A market eligible issue must total at least US$20 billion, €15 billion,
and ¥2.5 trillion for three consecutive months for the market to be considered eligible for inclusion.


Dow Jones Tiger Titans 50 Index®

The index universe comprises component stocks of the Dow Jones World Index that trade in the most-developed
markets of Asia, excluding Japan. As of June 2003, the countries represented are Hong Kong, Singapore, South
Korea and Taiwan. Components of the Dow Jones Tiger Titans 50 Index are among the largest stocks in the
represented countries and therefore tend also to be the most actively traded.


Crude Oil Price Index
The generic first future price in US dollars of one barrel of crude oil.


S&P 500 Real Estate Index®

The S&P 500 Real Estate Index is a capitalization-weighted index. The index is at the moment composed of 6
companies.




                                                                                                                            6

				
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