I've been researching an Equity Linked Security (ELKS) ticker EHP. It's tied to Intel's stock, pays a .525 dividend at maturity, and converts to .44326 shares of INTC at the maturity date of 5/7/09. From what I can tell, if I buy shares of this security, and then short Intel for the same dollar amount, I can have a virtually riskless investment in that I will collect the dividend at maturity and the shares that convert at maturity will have a gain or loss equal to the gain or loss in the corresponding short. Question is, what am I missing? Other than the risk that Citigroup can't pay at maturity... I'd appreciate any help. Thanks.