Citi USD Total Curve Carry Index. Index Conditions. 22 July Part 1 General

Transcription

1 Citi USD Total Curve Carry Index Index Conditions 22 July 2014 Part 1 General This document constitutes the Index Conditions of the Citi USD Total Curve Carry Index (the Index ). These Index Conditions are made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. As at the date of these Index Conditions, Citigroup Global Markets Limited also acts as the Index Calculation Agent, calculating and publishing (in accordance with these Index Conditions) the Index and the Index Level. The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index Calculation Agent at any time, which may be the Index Sponsor or one of its Affiliates. The Index Level is calculated by the Index Calculation Agent on each Index Business Day. The Index Level for each Index Business Day is published on the Index Ticker, generally on the next following Index Business Day. This should be considered the official source for the Index Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial. The Index Level is the closing level of the Index for the relevant Index Business Day. The Index Calculation Agent may also, but is not obliged to, calculate the level of the Index in respect of any other valuation time on any Index Business Day or any other day with the consent of the Index Sponsor. The Index Sponsor s determinations in respect of any index, the methodology of which is described in these Index Conditions, shall be final. Please refer to Part 3 (Miscellaneous Provisions) for further information. Page 1 of 24 Citi USD Total Curve Carry Index-Index Conditions

2 Key Information Index: Index Ticker: Index Calculation Agent: Index Sponsor: Citi USD Total Curve Carry Index. CRBCC36U. Citigroup Global Markets Limited. Citigroup Global Markets Limited. Index Launch Date: 30 August Index Launch Level: Index Start Date: 7 May Index Start Level: 100. Index Base Currency: Index Business Day: Frequency of calculation of the Index Level: Index Rebalancing Day: Frequency of rebalancing: USD. Each day which is an Underlying Index Scheduled Publication Day for every Underlying Index. Daily, on each Index Business Day. The Index Business Day immediately following each Observation Day, commencing on the Index Start Date, subject to adjustment under paragraph 2 of Section B of Part 1. Every 5 weeks, on each Index Rebalancing Day. The Index was launched by the Index Sponsor on the Index Launch Date. The Index has been calculated by the Index Calculation Agent for the period from the Index Start Date. Any back-testing or similar performance analysis (for the period prior to the Index Start Date) undertaken by any person in respect of the Index for any reason must be considered illustrative only and may be based on assumptions or estimates not used by the Index Calculation Agent when determining the Index Level. Page 2 of 24 Citi USD Total Curve Carry Index-Index Conditions

3 Overview of the Index The Index is a rules-based proprietary index developed by the Index Sponsor which reflects the weighted performance of four Underlying Indices. The Underlying Index Table set out below specifies the Underlying Indices, and the Initial Weight of each Underlying Index. Underlying Index Table Underlying Index IW Ticker 1. Citi EUR Curve Carry Index (USD Currency Index) 24.27% CGCBCEUU 2. Citi GBP Curve Carry Index (USD Currency Index) 37.71% CGCBCGBU 3. Citi USD Curve Carry Index 38.02% CGCBCUSU The index conditions of the Underlying Indices are available from the Index Sponsor. Page 3 of 24 Citi USD Total Curve Carry Index-Index Conditions

4 Section A Determination of the Index Level and supplementary calculations 1. Index Level 1.1 Index Start Date The Index Level on the Index Start Date shall be the Index Start Level. 1.2 Each Index Business Day following the Index Start Date The Index Level on each Index Business Day d (following the Index Start Date) shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: I =I TNTC +I WAP where: I d shall mean the Index Level on d. I ird shall mean the Index Level on the Index Rebalancing Day immediately preceding d. TNTC ird shall mean the Total Notional Transaction Cost on the Index Rebalancing Day immediately preceding d. The Total Notional Transaction Cost is calculated in accordance with paragraph 3. WAP d shall mean the Weighted Average Performance on d. The Weighted Average Performance is calculated in accordance with paragraph 2. Page 4 of 24 Citi USD Total Curve Carry Index-Index Conditions

5 2. Weighted Average Performance 2.1 Weighted Average Performance The Weighted Average Performance on an Index Business Day d shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below:!"# WAP = Weight, Performance, $% where: WAP d shall mean the Weighted Average Performance on d. Number Weight i,ird shall mean the number of Underlying Indices. shall mean the Weight of each Underlying Index i on the Index Rebalancing Day immediately preceding d. The Weight of each Underlying Index is determined in accordance with paragraph 4. Performance i,d shall mean the Performance on d of Underlying Index i on d. 2.2 Performance of an Underlying Index The Performance of each Underlying Index is determined in accordance with paragraph 2.2. The Performance of an Underlying Index i on an Index Business Day d shall be amount determined by the Index Calculation Agent in accordance with the formula set out below: Performance, =& UIL, UIL, ) 1 where: Performance i,d shall mean the Performance of i on d. UIL i,d shall mean the Underlying Index Level of i on d. UIL i,ird shall mean the Underlying Index Level on the Index Rebalancing Day immediately preceding d. Page 5 of 24 Citi USD Total Curve Carry Index-Index Conditions

6 3. Total Notional Transaction Cost 3.1 The Total Notional Transaction Cost on an Index Rebalancing Day ird shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: TNTC = NTC, where:!"# $% Total Notional Transaction Cost ird Number NTC i,ird shall mean the Total Notional Transaction Cost on ird. shall mean the number of Underlying Indices. shall mean the Notional Trading Cost of Underlying Index i on ird. 3.2 The Notional Transaction Cost on an Index Rebalancing Day ird of an Underlying Index i shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: NTC, =+,W, I -.W,/% I /% & UIL, UIL,/% )0+ CP, where: NTC i,ird shall means the Notional Transaction Cost of i on ird. W i,ird shall mean the Weight of i on ird. I ird shall mean the Index Level on ird. W i,ird-1 shall mean the Weight of i on the Index Rebalancing Day immediately preceding ird. I ird-1 shall mean the Index Level on the Index Rebalancing Day immediately preceding ird. UIL i,ird UIL i,ird-1 CP i,ird shall mean the Underlying Index Level of i on ird. shall mean the Underlying Index Level of i on the Index Rebalancing Day immediately preceding ird. shall mean the Cost Percentage in respect of i on ird. The Cost Percentage of each Underlying Index on ird is specified in the table set out below. Page 6 of 24 Citi USD Total Curve Carry Index-Index Conditions

7 Table specifying the Cost Percentage of each Underlying Index: Underlying Index Cost Percentage 1. Citi EUR Curve Carry Index (USD Version) 0.10% 2. Citi GBP Curve Carry Index (USD Version) 0.10% 3. Citi USD Curve Carry Index 0.10% Page 7 of 24 Citi USD Total Curve Carry Index-Index Conditions

8 4. Weight 4.1 Weight (1) The Weight of each Underlying Index on the Index Start Date shall be the Initial Weight of such Underlying Index. (2) The Weight of each Underlying Index i on each Index Rebalancing Day ird (following the Index Start Date) shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: 1 Weight, = Number 1 &1 where: σ,!"# 5$% σ 5, ) Volatility Cap Factor, Weight i,ird Number shall mean the Weight of i on ird. shall mean the number of Underlying Indices. σ i,ird shall mean the Annualised Standard Deviation of i on ird. σ k,ird shall mean the Annualised Standard Deviation of each Underlying Index k on ird. The Annualised Standard Deviation of an Underlying Index is determined in accordance with paragraph 4.2. Volatility Cap Factor ird shall mean the Volatility Cap Factor on ird. 4.2 Annualised Standard Deviation of an Underlying Index The Volatility Cap Factor is determined in accordance with paragraph 4.3. The Annualised Standard Deviation of an Underlying Index on an Index Rebalancing Day shall be an amount determined by the Index Calculation Agent in accordance with paragraph 4.5 as the annualised standard deviation of the Daily Returns of such Underlying Index. For the purposes of such determination, the Sampling Day shall be the Index Business Day immediately preceding such Index Rebalancing Day and the Number of Samples shall be Volatility Cap Factor For the purposes of the determination of the Volatility Cap Factor, the Volatility Threshold shall be 6%. (1) The Volatility Cap Factor on the Index Start Date shall be 1. (2) The Volatility Cap Factor on each Index Rebalancing Day ird (following the Index Start Page 8 of 24 Citi USD Total Curve Carry Index-Index Conditions

9 Date) shall be an amount determined by the Index Calculation Agent as either: (a) (b) if the Annualised Standard Deviation of the Index (as determined in accordance with paragraph 4.4) on ird is higher than the Volatility Threshold, an amount equal to the Volatility Cap Factor on the Index Rebalancing Day immediately preceding ird multiplied by 0.90, subject to a maximum of 1; or if the Annualised Standard Deviation of the Index (as determined in accordance with paragraph 4.4) on ird is equal to or lower than the Volatility Threshold, an amount equal to the Volatility Cap Factor on the Index Rebalancing Day immediately preceding ird multiplied by 1.1, subject to a maximum of Annualised Standard Deviation of the Index The Annualised Standard Deviation of the Index on an Index Rebalancing Day shall be an amount determined by the Index Calculation Agent in accordance with paragraph 4.5 as the annualised standard deviation of the Daily Returns of the Index. For the purposes of such determination, the Sampling Day shall be the Index Business Day immediately preceding such Index Rebalancing Day and the Number of Samples shall be Calculating the Annualised Standard Deviation The Annualised Standard Deviation on a Sampling Day sd of the Daily Returns of an index i (whether i is the Index or an Underlying Index) shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: σ < = = where: <?@A$<<,Return?@A Return!#@B - C Number of Samples σ sd shall mean the Annualised Standard Deviation of i on d. Day Return Day Return mean ssd shall mean each Index Business Day from (and including) ssd to (and including) sd. shall mean the Daily Return of i on Day. shall mean the arithmetic mean of the Return of i on each Index Business Day from (and including) ssd to (and including) sd. shall mean the sampling start day, which shall be the Number of Samples minus 1 number of Index Business Days immediately preceding (but excluding) sd. Page 9 of 24 Citi USD Total Curve Carry Index-Index Conditions

10 4.6 Daily Return Daily Return shall mean, in respect of an index i (whether i is the Index or an Underlying Index) and an Index Business Day d, an amount determined by the Index Calculation Agent in accordance with the formula set out below: DR, = Level Level /% 1 where: DR i,d shall mean the Daily Return of i on od. Level d shall mean the level of i on d. Level d-1 shall mean the level of i on the Index Business Day immediately preceding d. If i is the Index, then the level of i on a day shall be the Index Level on such day. If i is an Underlying Index, then the level of i on a day shall be the Underlying Index Level on such day. The Index Calculation Agent shall determine the Underlying Index Level of an Underlying with reference to the Underlying Index Ticker of such Underlying Index. Page 10 of 24 Citi USD Total Curve Carry Index-Index Conditions

11 Section B Disruptions 1. Disrupted Day Disrupted Day shall mean any Index Business Day on which a Disruption Event occurs. Disruption Event shall mean, in respect of any Underlying Index: (1) the Underlying Index Level of such Underlying Index is not published; or (2) the Underlying Index Sponsor of such Underlying Index announces that it will make a material change in the formula for or method of calculating such Underlying Index or in any other way materially modifies such Underlying Index (other than a modification prescribed in such formula or method to maintain such Underlying Index upon the occurrence of routine events); or (3) the Underlying Index Sponsor of such Underlying Index permanently cancels such Underlying Index. 2. Following the occurrence of a Disrupted Day 2.1 An Index Rebalancing Day is a Disrupted Day If an Index Rebalancing Day is a Disrupted Day in respect of any Underlying Index (the Affected Underlying Index ), then such Index Rebalancing Day shall be the first succeeding Index Business Day which is not a Disrupted Day, unless each of the five Index Business Days immediately following the Scheduled Index Rebalancing Day is a Disrupted Day. In that case: (1) the Index Calculation Agent may deem the fifth Index Business Day immediately following the Scheduled Index Rebalancing Day to be the relevant Index Rebalancing Day, notwithstanding the fact that such day is a Disrupted Day, and determine any information relating to the Index, any Underlying Index or any reference source that it determines that it requires in order to determine the Index Level as of the relevant time(s), taking into consideration the latest available quotations, market practice and any other information that it determines to be relevant; (2) the Index Calculation Agent may remove the Affected Underlying Index from the Index, in which case (a) the Index Calculation Agent will determine the effective date for such removal; and (b) the Index Sponsor will make such adjustment or adjustments to these Index Conditions as it determines appropriate to account for the effect on the Index of such removal; (3) the Index Calculation Agent may suspend the calculation, publication and dissemination of the Index and the Index Level until the first succeeding Index Business Day which is not a Disrupted Day or such later date as the Index Calculation Agent determines is practicable to recommence the determination of the Index and the Index Level, taking into consideration any related transactions and other commercial considerations as it deems relevant; or Page 11 of 24 Citi USD Total Curve Carry Index-Index Conditions

12 (4) the Index Sponsor may discontinue and cancel the Index. 2.2 An Index Business Day (other than an Index Rebalancing Day) is a Disrupted Day If an Index Business Day which is not an Index Rebalancing Day is a Disrupted Day in respect of any Underlying Index, then the Index Calculation Agent may suspend the calculation, publication and dissemination of the Index and the Index Level until the first succeeding Index Business Day which is not a Disrupted Day or such later date as the Index Calculation Agent determines is practicable to recommence the determination of the Index and the Index Level, taking into consideration any related transactions and other commercial considerations as it deems relevant. Page 12 of 24 Citi USD Total Curve Carry Index-Index Conditions

13 Part 2 General Definitions Affiliate shall mean, in respect of any person, any entity controlled (directly or indirectly) by such person, any entity which controls (directly or indirectly) such person or any entity (directly or indirectly) under common control with such person. For this purpose, control of any person or entity shall mean the ownership or a majority of the voting power of such person or entity. Citi shall mean Citigroup Inc. and its Affiliates. Data Table shall mean the table set out under the heading Key Information. Disrupted Day shall have the meaning given to it in paragraph 1 of Section B. Disruption Event shall have the meaning given to it in paragraph 1 of Section B. Electronic Page shall mean, in respect of an index, instrument or rate (as relevant) (1) the electronic page or source specified in respect of such index, instrument or rate (as relevant); or (2) any successor electronic page or source that has been designated by either (a) the sponsor of the original electronic page or source; or (b) the relevant information vendor or provider of the original electronic page or source; or (3) any alternative electronic page or source designated by the Index Calculation Agent. Index Base Currency shall mean the currency specified as such in the Data Table. Index Business Day shall mean each day specified as such in the Data Table. Index Calculation Agent shall mean the person specified as such in the Data Table and appointed by the Index Sponsor, any successor to such person, or any alternative calculation agent appointed by the Index Sponsor. Index Launch Date shall mean the date specified as such in the Data Table. Index Launch Level shall Index Level on the Index Launch Date, as specified in the Data Table. Index Level shall mean, in respect of an Index Business Day, the closing level of the Index on such Index Business Day. The Index Level shall be an amount expressed in the Index Base Currency. Index Linked Product shall mean any security, contract or other financial product the return on which is linked to the performance of the Index. Index Rebalancing Day shall mean each day specified as such in the Data Table. Index Sponsor shall mean the person specified as such in the Data Table or any successor to or assignee of such person. Index Start Date shall mean the date specified as such in the Data Table. Page 13 of 24 Citi USD Total Curve Carry Index-Index Conditions

14 Index Start Level shall mean the Index Level on the Index Start Date, as specified in the Data Table. Index Ticker shall mean the Electronic Page in respect of the Index, specified as such in the Data Table. Initial Weight shall mean, in respect of each Underlying Index, the percentage specified in respect of such Underlying Index in the column headed IW of the Underlying Index Table. Notional Transaction Cost shall mean the amount determined in accordance with paragraph 3.2 of Section A. Observation Day shall mean each fifth Friday, or if such day is not an Index Business Day, the immediately succeeding Index Business Day, commencing on the Friday immediately preceding the Index Start Date. Total Notional Transaction Cost shall mean the amount determined in accordance with paragraph 3.1 of Section A. Underlying Index shall mean each index specified in the Underlying Index Table. Underlying Index Level shall mean, in respect of an Underlying Index and an Index Business Day, the official closing level of such Underlying Index on such Index Business Day. Underlying Index Scheduled Publication Day shall mean, in respect of an Underlying Index, each day on which the Underlying Index Level of such Underlying Index is scheduled to be published. Underlying Index Sponsor shall mean, in respect of each Underlying Index, the corporation or other entity which (1) is responsible for setting and reviewing the rules and procedures and methods of calculations and adjustments, if any, relating to such Underlying Index; and (2) announces (directly or through an agent) the level of such Underlying Index on a regular basis. Underlying Index Table shall mean the table set out under the headings Overview of the Index and Underlying Index Table. Underlying Index Ticker shall mean, in respect of each Underlying Index, the Electronic Page specified in respect of such Index in the column headed Ticker of the Underlying Index Table. Volatility Cap Factor shall mean the amount determined in accordance with paragraph 4.3 of Section A. Weight shall mean the amount determined in accordance with paragraph 4.1 of Section A. Weighted Average Performance shall mean the amount determined in accordance with paragraph 2 of Section A. Page 14 of 24 Citi USD Total Curve Carry Index-Index Conditions

15 Part 3 Miscellaneous Provisions 1. Calculations and determinations 1.1 General The Index Calculation Agent will perform all calculations, determinations, rebalancings and adjustments (together, Calculations ) in respect of the Index. Neither the Index Calculation Agent nor the Index Sponsor will have any responsibility for errors made in good faith or omissions in Calculations or other actions as provided in these Index Conditions. The Calculations of the Index Calculation Agent shall be performed by it in accordance with these Index Conditions, acting in its sole, absolute and unfettered discretion, but in good faith and in a commercially reasonable manner (having regard in each case to the criteria stipulated in these Index Conditions and, where relevant, on the basis of information provided to or obtained by employees or officers of the Index Calculation Agent responsible for making relevant Calculations). All Calculations shall, in the absence of manifest error, be final, conclusive and binding on any user of the Index, including any holder of, or counterparty to, an Index Linked Product. Although these Index Conditions are intended to be comprehensive, it is possible that ambiguities, errors and omissions may arise in certain circumstances. The Index Sponsor will resolve, acting in good faith and in a commercially reasonable manner, any such ambiguity, error or omission, and may amend these Index Conditions to reflect the resolution of such ambiguity, error or omission in a manner which is consistent with the commercial objective of the Index. 1.2 Rounding Subject as provided in these Index Conditions, any amount, currency amount, level, percentage, price, rate or value ( Amount ) calculated by the Index Calculation Agent shall be rounded to such number of decimal points and in such manner as the Index Calculation Agent determines is appropriate, acting in a commercially reasonable manner. 1.3 Use of estimates The Index Calculation Agent will perform the Calculations described in these Index Conditions using the information, data sources or factors specified in these Index Conditions and any Amount (together, Information ) and may perform any Calculation and any action required in respect of these Index Conditions in any sequence. However, in the event that the Index Calculation Agent is not able to obtain or use any necessary Information, then (after using reasonable endeavours and after applying any fallback provision specified in these Index Conditions in respect of the relevant Calculation) the Index Calculation Agent may, but shall not be obliged to, use its estimate (made in good faith and in a commercially reasonable manner) of the relevant Information in performing such Calculation, should the Index Calculation Agent determine that such estimate is reasonably necessary in order to give effect to any provision or to perform any Calculation necessary under these Index Conditions. Page 15 of 24 Citi USD Total Curve Carry Index-Index Conditions

16 1.4 No verification of Information Although the Index Calculation Agent will obtain Information for inclusion in the Index or for use in performing any Calculation under these Index Conditions from sources that the Index Calculation Agent considers reliable (including databases maintained by the Index Calculation Agent or its Affiliates, and public sources such as Bloomberg and Reuters), the Index Calculation Agent will not publish or independently verify such Information. 1.5 Corrections Subject as provided in these Index Conditions, if the Index Calculation Agent becomes aware that any Information used by it in connection with any Calculation under these Index Conditions has subsequently been corrected or adjusted, then the Index Calculation Agent may, but shall not be obliged to, use such corrected or adjusted Information and as a consequence make any further Calculation that it determines necessary or desirable in order to give effect to or to reflect such corrected or adjusted Information, including without limitation any redenomination, exchange or conversion of any currency into a successor currency. 1.6 Reliance In performing any Calculation under these Index Conditions, the Index Calculation Agent may rely upon the opinion of any person who appears to it as being competent to value any asset or instrument of any class, or to perform any other calculation or determination, by reason of any appropriate relevant professional qualification or experience. 1.7 Not acting as fiduciary or agent In performing any Calculation or other action in connection with these Index Conditions, each of the Index Calculation Agent and the Index Sponsor will act as principal and not as agent of any other person. Neither the Index Calculation Agent nor the Index Sponsor owes any duty of care or any fiduciary duty to any person. Each Calculation and other action performed in connection with these Index Conditions by the Index Calculation Agent or the Index Sponsor is performed in reliance on this provision and is subject to this provision. If through performing any such Calculation or other action the Index Calculation Agent or the Index Sponsor is rendered an agent or fiduciary of another person under applicable law, then (at the option of the Index Calculation Agent or the Index Sponsor, as relevant) the rights and obligations of the Index Calculation Agent or the Index Sponsor to perform such Calculation or other action may be suspended (or, if already performed, the application of such Calculation or other action may be suspended) until such time when such Calculation or other action can be performed either by the Index Calculation Agent or the Index Sponsor as principal and not as an agent or fiduciary or by an appropriate third party who is both willing and able to perform such Calculation or other action. 1.8 Dates and times of calculations Notwithstanding that certain Calculations under these Index Conditions may be expressed to be on or as at a certain date or time, the Index Calculation Agent may in its discretion perform such Calculation in respect of such date or time after such date or time. Page 16 of 24 Citi USD Total Curve Carry Index-Index Conditions

17 2. Notional exposure The Index reflects a particular method by which the performance of the indices, instruments and rates (each, a Reference Factor ) used to determine the Index and the Index Level is analyzed, and any exposure to a Reference Factor will be purely notional and will only exist in the books and records of the Index Sponsor and the Index Calculation Agent. 3. Conflicts of interest Citi entities perform various roles in connection with the Index and Index Linked Products, and conflicts of interest may arise for any such entity as a consequence of any role it performs in connection with the Index or any Index Linked Product or as a consequence of its activities more generally. During the normal course of their business, the Index Sponsor, the Index Calculation Agent and any of their respective Affiliates, directors, officers, employees, representatives, delegates and agents (each, for these purposes, a Relevant Person ) may enter into, promote, offer or sell securities or contracts (whether or not structured) linked to the Index and/or any Reference Factor. Any Relevant Person may at any time (1) have long or short principal positions or actively trade (whether or not through making markets to its clients) positions in or relating to the Index or any Reference Factor; (2) invest in or engage in transactions with or on behalf of other persons relating to the Index and/or any Reference Factor; (3) undertake hedging transactions (for the purposes of any security or contract) which may adversely affect the level, price or rate or other factor underlying the Index and/or any Reference Factor; (4) have an investment banking or commercial relationship with the issuer of any Reference Factor and have access to information from such issuer; or (5) publish research in respect of any Reference Factor. Such activity may or may not affect the Index Level, but potential investors and counterparties should be aware that a conflict of interest may arise when a person acts in more than one capacity, and such conflict of interest may affect (whether in a positive manner or a negative manner) the Index Level. 4. Disclaimer No Relevant Person makes any express or implied representation or warranty as to (1) the advisability of purchasing or entering into any Index Linked Product; (2) the levels of the Index at any particular date or time; (3) the results to be obtained from the use of the Index or any datum included in these Index Conditions for any purpose; or (4) any other matter. Each Relevant Person hereby expressly disclaims, to the fullest extent permitted by applicable law, all warranties of accuracy, completeness, merchantability or fitness for a particular purpose with respect to the Index and any information contained in these Index Conditions. No Relevant Person will have any liability (direct or indirect, special, punitive, consequential or otherwise) to any person even if notified of the possibility of damages. These Index Conditions have been prepared solely for the purposes of information and nothing in these Index Conditions constitutes (1) an offer to buy or to sell any security or contract, to participate in any transaction or to adopt any investment strategy; or (2) legal, tax, regulatory, financial or accounting advice. Any decision to purchase any Index Linked Product should be based on the information contained in the associated prospectus or offering document (however described). In the case of a prospectus or offering document which contains provisions under the heading Risk Page 17 of 24 Citi USD Total Curve Carry Index-Index Conditions

18 Factors, Investment Considerations or the equivalent, please refer to these provisions for a discussion of the factors that must be considered in connection with an investment in the security or contract described therein. Neither the Index Calculation Agent nor the Index Sponsor is under any obligation to continue to calculate, publish or disseminate the Index or the Index Level. 5. Intellectual property The Index and these Index Conditions are the Index Sponsor s proprietary and confidential material. No person may reproduce or disseminate the information contained in these Index Conditions, the Index or the Index Level without the prior written consent of the Index Sponsor. These Index Conditions are not intended for distribution to or use by any person in a jurisdiction where such distribution is prohibited by applicable law and regulation. The Index is not in any way sponsored or promoted by any sponsor or issuer, as relevant, of any Reference Factor Citigroup Global Markets Limited. All rights reserved. Citi and the Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its Affiliates and are used and registered throughout the world. Citigroup Global Markets Limited is authorized by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Page 18 of 24 Citi USD Total Curve Carry Index-Index Conditions

19 Part 4 Disclosures General Risks The following are certain general risks which exist in respect of an exposure to the Index. 1. The Index is exposed to interest rate risks. Investors in any security, contract or other financial product the return of which is linked to the performance of the Index should be familiar with investments generally in financial products based on interest rates. Interest rates are affected by a complex range of macro-economic factors, including, for example, the decisions and public statements of central banks and monetary authorities; government policies; expectations as to future levels of inflation; the prices of assets, goods and services; levels of economic activity; and confidence in the relevant economies generally. Neither the Index, nor any strategy that is followed by the Index or which contributes to the returns of the Index, is designed to be representative of any market in relation to interest rates or any segment of any such market. 2. The Index is not a substitute for interest rate contracts. The Index is not a substitute for interest rate contracts, whether exchange-traded or over-the-counter, and the returns of the Index may not reflect the returns that could be obtained by owning constituents that are included in the Index, including any notional position in any such interest rate contract (each, an Index Constituent ). The Index reflects the performance of notional positions in its Index Constituents. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index merely identifies certain hypothetical investment positions, the performance of which will be used as a reference factor for the purposes of calculating the level of the Index. 3. The performance of the Index may be significantly lower than the performance of certain Index Constituents. The performance of the Index could be significantly less than the performance of alternative indices with similar risk characteristics, even if some of the Index Constituents have generated significant returns. The levels, prices, rates or values of such Index Constituents may move in different directions at different times compared to each other, and underperformance by one or more of the Index Constituents may reduce the performance of the Index as a whole. 4. The correlation among the Index Constituents may change unpredictably. Correlation is the extent to which the values of the Index Constituents increase or decrease to the same degree at the same time. If the correlations among the Index Constituents change, the level of the Index may be adversely affected. Page 19 of 24 Citi USD Total Curve Carry Index-Index Conditions

20 5. The Index may be subject to currency rate risk. The Index may be exposed to currency rate risk because the levels, prices, rates or values of the Index Constituents may be converted into the base currency of the Index for the purposes of calculating the level of the Index if those levels, prices, rates or values are expressed in a different currency. Currency rates may be volatile and move in an unexpected way. Historic currency rates should not be considered indicative of future currency rates. 6. Discretion of the Index Calculation Agent. Citigroup Global Markets Limited, acting in its capacity as the Index Calculation Agent, will determine prices and other data relevant to the calculation of the level of the Index, including whether a market disruption event, or other event permitting suspension of the Index, has occurred. Following a disruption to the Index, the Index Calculation Agent may postpone calculations, make good faith price determinations, and/or suspend the publication of the Index. 7. Discretion of the Index Sponsor. Citigroup Global Markets Limited, acting in its capacity as the Index Sponsor, may modify the Index Conditions to reflect the resolution of any error, ambiguity or omission in the Index Conditions. Any such modification may have an effect on the level of the Index. Following a disruption to the Index, the Index Sponsor may discontinue and cancel the Index. The Index Sponsor has no obligation to maintain the Index. 8. Additional general risks. Please see Part 3 (Miscellaneous Provisions) of the Index Conditions for further important disclosure of additional general risks (1) as to the manner in which the Index is determined, (2) that neither the Index Calculation Agent nor the Index Sponsor acts as fiduciary, and (3) as to certain conflicts of interest. 9. No assurance. There can be no assurance that the combination of Index Constituents from time to time, and when aggregated through time, will meet any investment objective or achieve any particular performance. Risks The following are certain specific risks which exist in respect of an exposure to the Index. 1. Underlying Indices. The performance of the Index is dependent on the performance of the Underlying Indices. There can be no assurance that an Underlying Index will generate positive returns. Knowledge of the methodology of the Underlying Indices is essential to evaluate the Index. Page 20 of 24 Citi USD Total Curve Carry Index-Index Conditions

21 The risks which exist in respect of an exposure to an Underlying Index also exist in respect of an exposure to the Index. Consequently investors should read and understand the index conditions of the Underlying Indices, including the disclosure and the discussion of the risks which arise in respect of an exposure to the Underlying Indices. These risks include (in summary only): (1) certain market risks; (2) the use of Citi Official Values, and potential conflicts of interest arising from such use; and (3) the application of leverage. 2. Weight and rebalancing. On a periodic rebalancing, the weight in the Index of each of the Underlying Indices is determined with reference to the realised volatility of the level of each Underlying Index. The level of an Underlying Index may increase or decrease during the period from one rebalancing of the Index to the next following rebalancing of the Index, and therefore the effective exposure in the Index to that Underlying Index during that period may not remain the same during that period. This means that the weight in the Index of an Underlying Index that is determined on a rebalancing of the Index may not be reflected by the effective exposure in the Index to that Underlying Index during the period from that rebalancing of the Index to the next following rebalancing of the Index. 3. De-leverage. De-leverage may be applied, through the application of a cap on the volatility of the level of the Index, in accordance with a rules-based methodology, to the exposure of the Index to the Underlying Indices (which are themselves leveraged). The application of any de-leverage will dampen gains and/or losses attributable to the Underlying Indices, which will have a direct impact on the performance of the Index. 4. Volatility. (1) There are different methods for calculating volatility, and using a different method from the method used for the purposes of the Index may give a different result. The volatility capping methodology of the Index measures volatility with reference to a specific number of days. Measuring volatility over a different number of days may give a different result. (2) The volatility capping methodology of the Index may result in it having a dampened exposure to the Underlying Indices. This means that the effect on the level of the Index of any increase or decrease in the levels of the Underlying Indices and their underlying reference factors (as relevant) will be lessened. (3) The volatility capping methodology of the Index may result in the exposure of the Index to the Underlying Indices being considerably less than 100%. This means that gains of any security, contract or other financial product the return on which is linked to the performance of the Index may be significantly less than the gains that would have been realised without any such volatility capping methodology. Page 21 of 24 Citi USD Total Curve Carry Index-Index Conditions

22 5. Concentration risk. The Index is equally dependent on the performance of the Underlying Indices. Each Underlying Index provides exposure to certain underlying reference factors, which means that the Index is less diversified than indices or securities, contracts or other financial products which track a wider range of assets. 6. Notional transaction costs. Notional transaction costs are determined in respect of the period from each Index Rebalancing Day to the next following Index Rebalancing Day (each such period, a Period ). The level of the Index on each day will be reduced by the notional transaction costs that are calculated in respect of the Period ending on the Index rebalancing Day immediately preceding such day. The notional transaction costs in respect of an Underlying Index and a Period are calculated with reference to a rate of 0.10%, which is applied to the change in the allocation within the Index of each Underlying Index. 7. The Index may be disrupted if an Underlying Index is disrupted or cancelled. THIS LIST OF RISKS IS NOT EXHAUSTIVE. ANY EVALUATION OF INVESTMENT PRODUCTS LINKED TO THE INDEX SHOULD BE MADE AFTER SEEKING ADVICE FROM INDEPENDENT PROFESSIONAL LEGAL, TAX, ACCOUNTING AND OTHER ADVISORS. Conflicts of interest Index Swap and Swap Dealer The following material conflicts of interest may exist in respect of a swap or other over-the-counter derivative transaction (an Index Swap ) which references or is otherwise based on the performance of the Index, where your counterparty to the Index Swap (the Swap Dealer ) is either the Index Calculation Agent, the Index Sponsor, an affiliate of the Index Calculation Agent, or an affiliate of the Index Sponsor. 1. Discretions. As discussed above, the Index Calculation Agent and the Index Sponsor are entitled to exercise certain discretions in relation to the Index, including but not limited to the determination of index disruption events. Such determinations may adversely affect the level of the Index and therefore the amount payable under the Index Swap. 2. Hedging. The Swap Dealer expects to hedge its obligations under the Index Swap directly or through one or more of its affiliates. This hedging activity is likely to involve trading in one or more Index Constituents and Related Instruments. For these purposes, Related Instruments shall mean the instruments comprising the Index Constituents and other instruments (such as futures, options and swaps) with returns linked to the performance of the Index, the Index Constituents or the instruments comprising the Index Constituents. This hedging activity could affect the value of the Index Constituents and therefore the level of the Index, and may result in the Swap Dealer or its affiliates Page 22 of 24 Citi USD Total Curve Carry Index-Index Conditions

23 receiving a profit, even if the level of the Index declines. 3. Trading activities. The Swap Dealer and its affiliates expect to engage in trading activities related to the Index, the Index Constituents and Related Instruments, for their own account or for the account of customers, and may exercise remedies or take other action with respect to their interests as they deem appropriate. These trading activities could affect the level of the Index and therefore the value of the Index Swap. 4. Index fee. If a fee is deducted in the calculation of the level of the Index (an Index Fee ), the Swap Dealer or its affiliates may receive a payment in addition to any fee payable under the Index Swap. For example, if the Swap Dealer hedges its obligations under the Index Swap by investing (directly or through one of its affiliates) in the Index Constituents in the same notional amounts as the Index Swap, the amount received by the Swap Dealer in respect of its hedge may exceed the amount payable under the Index Swap by the amount of the Index Fee. 5. Notional transaction costs. If notional transaction costs are deducted in the calculation of the level of the Index ( Notional Transaction Costs ), the Swap Dealer or an affiliate may receive a payment in addition to any fee payable under the Index Swap. For example, if the Swap Dealer hedges its exposure under the Index Swap by investing (directly or through one of its affiliates) in the Index Constituents, and the Notional Transaction Costs exceed the actual cost incurred by the Swap Dealer in adjusting its hedge, the amount received by the Swap Dealer in respect of its hedge may exceed the amount payable under the Index Swap by some or all of the amount of the Notional Transaction Costs. 6. Valuations. If the Index references notional over-the-counter swaps or other notional over-the-counter transactions, the terms and prices of such notional transactions may be determined by the Index Calculation Agent, based on its view of the prevailing terms and prices for similar transactions in the relevant markets, which may differ from the views of other market participants. Persons involved in making such determinations may have interests which conflict with your interests, and the Index Calculation Agent will not take the Index Swap or your interests into consideration when making such determinations. 7. Unavailability of the Index. In the event that the determination and publication of the Index is suspended or discontinued, or the level of the Index is not available for another reason, the calculation agent of the Index Swap may be required to determine the level of the Index pursuant to the terms of the Index Swap. 8. Licensing fee. If the Index includes an Index Constituent which is an index sponsored by the Swap Dealer or an affiliate of the Swap Dealer (a Sub-Index ), the potential conflicts discussed above may exist in respect of that Sub-Index. If the Index or a Sub-Index is based on a methodology licensed from the Page 23 of 24 Citi USD Total Curve Carry Index-Index Conditions

24 Swap Dealer or an affiliate of the Swap Dealer, the Swap Dealer or its affiliate (as relevant) may receive a licensing fee based on the notional amount of the Index Swap. 9. Sharing payments. Payments received by the Swap Dealer under the Index Swap, or by the Swap Dealer or its affiliates in connection with the Index, may be shared with third parties. Page 24 of 24 Citi USD Total Curve Carry Index-Index Conditions

25 Citi Curve Carry Indices Citi EUR Curve Carry Index Citi GBP Curve Carry Index Citi USD Curve Carry Index Index Conditions 22 July 2014 Part 1 General This document constitutes the Index Conditions of each of the following indices (each, an Index ): (1) Citi EUR Curve Carry Index (Index Table A) (CGCBCEUE) (2) Citi GBP Curve Carry Index (Index Table B) (CGCBCGBG); and (3) Citi USD Curve Carry Index (Index Table C) (CGCBCUSU). References in these Index Conditions to the Index or an Index shall be references to each Index the methodology of which is described in these Index Conditions. These Index Conditions are made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. As at the date of these Index Conditions, Citigroup Global Markets Limited also acts as the Index Calculation Agent, calculating and publishing (in accordance with these Index Conditions) the Index and the Index Level, and any version of the Index denominated in a currency other than the Index Base Currency (each such version, a Currency Index ) and the Currency Index Level of each such Currency Index. The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index Calculation Agent at any time, which may be the Index Sponsor or one of its Affiliates. The Index Level is calculated by the Index Calculation Agent on each Index Business Day. The Currency Index Level of each Currency Index is calculated by the Index Calculation Agent on each Index Business Day. The Index Level for each Index Business Day is published on the Index Ticker, generally on the next following Index Business Day. This should be considered the official source for the Index Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial. The Index Level is the closing level of the Index for the relevant Index Business Day. The Index Calculation Agent may also, Page 1 of 34

26 but is not obliged to, calculate the level of the Index in respect of any other valuation time on any Index Business Day or any other day with the consent of the Index Sponsor. The Currency Index Level of each Currency Index for each Index Business Day is published on the relevant Currency Index Ticker, generally on the next following Index Business Day. This should be considered the official source for the Currency Index Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial. The Currency Index Level is the closing level of the relevant Currency Index for the relevant Index Business Day. The Index Calculation Agent may also, but is not obliged to, calculate the level of each Currency Index in respect of any other valuation time on any Index Business Day or any other day with the consent of the Index Sponsor. The Index Sponsor s determinations in respect of any index, the methodology of which is described in these Index Conditions, shall be final. Please refer to Part 3 (Miscellaneous Provisions) for further information. Page 2 of 34

27 Key Information Index Calculation Agent: Index Sponsor: Index Business Day: Frequency of calculation of the Index Level: Index Rebalancing Day: Frequency of rebalancing: Citigroup Global Markets Limited. Citigroup Global Markets Limited. Each day which is both (1) a day on which commercial banks and foreign exchange markets are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and New York; and (2) a TARGET Settlement Day. Daily, on each Index Business Day. The Index Business Day immediately following each Observation Day, commencing on the Index Start Date, subject to adjustment under paragraph 3 of Section A of Part 1. Every three calendar months, on each Index Rebalancing Day. The Index was launched by the Index Sponsor on the Index Launch Date. The Index has been calculated by the Index Calculation Agent for the period from the Index Start Date. Any back-testing or similar performance analysis (for the period prior to the Index Start Date) undertaken by any person in respect of the Index for any reason must be considered illustrative only and may be based on assumptions or estimates not used by the Index Calculation Agent when determining the Index Level. Page 3 of 34