In the expectations game, Citigroup (NYSE: C) $2.5 billion loss is great news for Wall Street. Bloomberg News reports that the analysts it surveyed expected a $3.67 billion loss, or 54 cents a share -- so Citi's results were $1.2 billion better than expected. But there were wide variations on what analysts expected Citi to lose -- from 51 cents to 67 cents.

This reminds me of the story of the boy who comes home from school to tell his mother about a grade he got on a test. Rather than bow his head in shame, he walks into the kitchen with head held high and a big smile on his face. And he announces: "Great news mom! I got a 70!"

The key reason for Citi's loss is the $7 billion in credit-related write-downs it took. These included reductions in the stated value of its subprime mortgage exposure and its investments in monoline insurance companies including Ambac Financial Group Inc. (NYSE: ABK) after they lost their AAA credit ratings. Analysts expected write-downs as high as $12 billion.

Whenever Wall Street starts packaging a product for the masses that's used by sophisticated investors, you know that there is big trouble ahead. There is no way that an individual investor will be able to value and understand the drivers of that investment's value. And it's fairly certain that Wall Street is packaging the security to enrich itself with fees. Wall Street doesn't have to concern itself with whether its investors make money.

This is the first thing that came to mind when I read a Bloomberg News story Barclays Plc (NYSE: BCS) introduced a new product that put a scare into Vanguard Group Inc. and the rest of the $13 trillion U.S. mutual-fund industry. The product? An exchange-traded note (ETN). I really don't know what it is but the story says that it allows individual investors to buy a type of forward contract linked to commodities and assets ranging from oil to currencies to foreign stock indexes. It has lower fees than mutual funds, is less regulated and, for now, lets holders defer taxable income indefinitely.

It sure sounds great and that's probably why the mutual fund industry is so afraid of it. But before you go out and buy one of those ETNs, make sure you understand how its value is set and what makes that value go up and down everyday. Otherwise you could be in for a rude awakening. Can't figure out how to value an ETN? Then I suggest you hold onto your wallet with two tightly clasped fists. When Wall Street comes calling on Main Street for such complex securities.

Peter Cohan is President of Peter S. Cohan & Associates. He also teaches management at Babson College and edits The Cohan Letter.