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Citi Investment Strategies Citi Multi VIBE Long Short EUR Prim Index

Index Methodology

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Citi Multi VIBE Long Short EUR Prim Index

Index Methodology

Citi Investment Strategies

24 April 2014


Index Methodology

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Table of Contents

Part A: Introduction 3

Part B: Key Information 5

Part C: Calculation of the Index Level 8

Part D: Data 13

Part E: Specific Risks 16


Index Methodology

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Part A: Introduction


Index Methodology

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Introduction

This document constitutes the “Index Methodology” in respect of the Index (as defined below) and is made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. This Index Methodology dated 24 April 2014 and the Index General Conditions dated 3 June 2013 (as amended from time to time, the “Index General Conditions”) together comprise the Index Conditions applicable to the Index and must be read together. In the case of any inconsistency between this Index Methodology and the Index General Conditions, this Index Methodology shall prevail in respect of the Index. Full information in respect of the Index is only available on the basis of the combination of this Index Methodology and the Index General Conditions. Full information in respect of any Index Linked Product is only available on the basis of the combination of this Index Methodology and the Index General Conditions and the confirmation, prospectus or offering document (however described) in respect of such Index Linked Product. This Index Methodology may be amended from time to time without notice, and will be available from the Index Sponsor. See Section E (Miscellaneous) of the Index General Conditions for a description of the circumstances in which a change to this Index Methodology may be required. Terms used in this Index Methodology but not defined in this Index Methodology shall have the meanings given to them in the Index General Conditions.


Index Methodology

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Part B: Key Information


Index Methodology

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Key Information

Index: Citi Multi VIBE Long Short EUR Prim Index (the “Index”)

Summary of strategy: The Index tracks the performance of a notional long position in a core index comprised of three underlying proprietary indices, being:

(a) the Citi VIBE Trend US Spread Alpha Net Total Return Prim Index (“VIBE US Prim Index”) (Bloomberg ticker: Not Applicable);

(b) the Citi VIBE Eurozone Spread Beta Neutral Prim Index (“VIBE Eurozone Prim Index”) (Bloomberg ticker: Not Applicable); and

(c) the Citi VIBE UK Spread Beta Neutral Prim Index

(“VIBE UK Prim Index”) (Bloomberg ticker: Not Applicable),

each of which is a long/short index (together the “Constituents” as defined in Section D (Definitions) of the Index General Conditions). The Constituents are non-equally weighted in the Core Index Level (VIBE US Prim Index at 50%; VIBE Eurozone Prim Index at 25% and VIBE UK Prim Index at 25%) and the Index is rebalanced on a quarterly basis, at which point the Constituents are reset to their specified weightings. Copies of the Index Methodology providing information in respect of each of the Constituents are available free of charge upon request.

Index Sponsor: Citigroup Global Markets Limited

Index Calculation Agent: Citigroup Global Markets Limited

Index Base Currency: Euros (EUR)

Index Launch Date: 27 November 2013

Index Start Date: 20 November 2001

Index Start Level: 100

Core Index Start Date: 20 November 2001

Core Index Start Level: 100

Index Fee: Not Applicable

Frequency of calculation of the Index Level:

Daily, on each Index Business Day

Frequency of rebalancing: Quarterly, on each Rebalancing Date


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Index Electronic Page: Not Applicable

The Index was launched by the Index Sponsor on the Index Launch Date and has been calculated by the Index Calculation Agent for the period from the Index Start Date. Any back-testing or similar performance analysis 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.


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Part C: Calculation of the Index Level


Index Methodology

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Calculation of the Index Level

The Index Sponsor is Citigroup Global Markets Limited. As at the date of this Index Methodology, Citigroup Global Markets Limited also acts as Index Calculation Agent, calculating and publishing the Index in accordance with the Index Conditions. 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 Calculation Agent’s calculations of the Index Level shall be final in the absence of manifest error. Please refer to Section E (Miscellaneous) of the Index General Conditions for further information. The Index Level is calculated by the Index Calculation Agent as of the Index Valuation Time on each Index Business Day (each as defined in Part D (Data) below). The Index Level for each Index Business Day is published on the Index Electronic Page, generally on the 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. All of the calculations and determinations described in this Part D are the responsibility of the Index Calculation Agent. The calculations and determinations in this Part D are subject to the occurrence of, and adjustments made as a consequence of Disrupted Days and Adjustment Events (as described in Section B (Valuations and Adjustments) and Section F (Constituent Schedule) of the Index General Conditions).

1. DAILY INDEX CALCULATION

1.1 Index Level

The “Index Level” on the Index Start Date shall be the Index Start Level. The “Index Level” as of each Index Business Day t following the Index Start Date shall be an amount determined by the Index Calculation Agent as of the Index Valuation Time on such Index Business Day t in accordance with the following formula:

{ [

]}

where:

Indext = Index Level on Index Business Day t

Indext-1 = Index Level on the Index Business Day immediately preceding Index Business Day t (Index Business Day t -1)

CoreIndext = Core Index Level as defined in paragraph 1.2 (Core Index Level) on Index Business Day t

CoreIndext-1 = Core Index Level on Index Business Day t -1


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1.2 Core Index Level

The Core Index Level on the Core Index Start Date was the Core Index Start Level. The “Core Index Level” as of each Index Business Day t following the Index Start Date shall be an amount determined by the Index Calculation Agent on such Index Business Day t in accordance with the following formula:

[ (

) (

) (

)]

where:

CoreIndext = Core Index Level on Index Business Day t

CoreIndexr = Core Index Level on the Rebalancing Date r immediately preceding Index Business Day t

VIBEUSFXt = VIBE US Long Short FX Level (as defined in paragraph 1.3.1 (VIBE US Long Short FX Level)) on Index Business Day t

VIBEUSFXr = VIBE US Long Short FX Level (as defined in paragraph 1.3.1 (VIBE US Long Short FX Level)) on the Rebalancing Date r immediately preceding Index Business Day t

VIBEUKFXt = VIBE UK Long Short FX Level (as defined in paragraph 1.3.2 (VIBE UK Long Short FX Level)) on Index Business Day t

VIBEUKFXr = VIBE UK Long Short FX Level (as defined in paragraph 1.3.2 (VIBE UK Long Short FX Level)) on the Rebalancing Date r immediately preceding Index Business Day t

VIBEEZt = VIBE Eurozone Long Short Level on Index Business Day t (being the index level of the VIBE Eurozone Prim Index, determined in accordance with the Index Methodology for the VIBE Eurozone Prim Index)

VIBEEZr = VIBE Eurozone Long Short Level on the Rebalancing Date r immediately preceding Index Business Day t (being the index level of the VIBE Eurozone Prim Index, determined in accordance with the Index Methodology for the VIBE Eurozone Prim Index)

1.3 Components of Core Index Level

1.3.1 VIBE US Long Short FX Level

The “VIBE US Long Short FX Level” as of each Index Business Day t following the Index Start Date shall be an amount determined by the Index Calculation Agent on such Index Business Day t in accordance with the following formula:


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[ (

) (

) (

)]

where:

VIBEUSFXt = VIBE US Long Short FX Level on Index Business Day t

VIBEUSFXt-1 = VIBE US Long Short FX Level on Index Business Day t-1

VIBEUSLSt = VIBE US Long Short Level on Index Business Day t (being the index level of the VIBE US Prim Index (as defined above), determined in accordance with the Index Methodology for the VIBE US Prim Index)

VIBEUSLSt-1 = VIBE US Long Short Level on Index Business Day t-1 (being the index level of the VIBE US Prim Index (as defined above), determined in accordance with the Index Methodology for the VIBE US Prim Index)

FXt = FX EURUSD WMCO Level on Index Business Day t

FXt-1 = FX EURUSD WMCO Level on the Index Business Day immediately preceding Index Business Day t

FX EURUSD WMCO Level

= The applicable “Closing Spot Rate” for the exchange of US Dollars to the Index Currency at approximately 4.00 p.m. (London time), as published by The World Markets Company plc in conjunction Reuters on the relevant Index Business Day or, if such rate is discontinued or unavailable on the relevant day for any reason, such other exchange rate for the conversion of the relevant currency to the Index Currency as the Index Calculation Agent shall determine appropriate by reference to an alternative foreign exchange rate service.

1.3.2 VIBE UK Long Short FX Level

The “VIBE UK Long Short FX Level” as of each Index Business Day t following the Index Start Date shall be an amount determined by the Index Calculation Agent on such Index Business Day t in accordance with the following formula:

[ (

) (

) ]

where:

VIBEUKFXt = VIBE UK Long Short FX Level on Index Business Day t

VIBEUKFXt-1 = VIBE UK Long Short FX Level on Index Business Day t-1

VIBEUKLSt = VIBE UK Long Short Level on Index Business Day t (being the index level of the VIBE UK Prim Index (as defined above), determined in accordance with the Index Methodology for the


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VIBE UK Prim Index)

VIBEUKLSt-1 = VIBE UK Long Short Level on Index Business Day t-1 (being the index level of the VIBE UK Prim Index (as defined above), determined in accordance with the Index Methodology for the VIBE UK Prim Index)

FXt = FX EURGBP WMCO Level on Index Business Day t

FXt-1 = FX EURGBP WMCO Level on the Index Business Day immediately preceding Index Business Day t

FX EURGBP WMCO Level

= The applicable “Closing Spot Rate” for the exchange of Pounds Sterling to the Index Currency at approximately 4:00 p.m. (London time), as published by The World Markets Company plc in conjunction Reuters on the relevant Index Business Day or, if such rate is discontinued or unavailable on the relevant day for any reason, such other exchange rate for the conversion of the relevant currency to the Index Currency as the Index Calculation Agent shall determine appropriate by reference to an alternative foreign exchange rate service.


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Part D: Data


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Data

(As at the Index Start Date)

The Index shall operate with reference to certain Constituents. This Part E sets out the particulars of each Constituent and certain elections and inputs relating to the calculation of the Index.

1. Constituents

i Constituent Electronic Page Constituent Schedule/Classification

1 Citi VIBE Trend US Spread Alpha Net Total Return Prim Index

Not Applicable Proprietary Index

2 Citi VIBE Eurozone Spread Beta Neutral Prim Index

Not Applicable Proprietary Index

3 Citi VIBE UK Spread Beta Neutral Prim Index Not Applicable Proprietary Index

Each Constituent is classified as specified in the column headed “Classification” of the table set out above.

2. Particulars in respect of each Constituent

Constituent Type of Index Exchange(s) Related Exchange(s)

Citi VIBE Trend US Spread Alpha Net Total Return Prim Index

Not Applicable Not Applicable Not Applicable

Citi VIBE Eurozone Spread Beta Neutral Prim Index

Not Applicable Not Applicable Not Applicable

Citi VIBE UK Spread Beta Neutral Prim Index Not Applicable Not Applicable Not Applicable

3. Additional Data – as at the Index Start Date and upon each rebalancing

Constituent Weighting

Citi VIBE Trend US Spread Alpha Net Total Return Prim Index 50%

Citi VIBE Eurozone Spread Beta Neutral Prim Index 25%

Citi VIBE UK Spread Beta Neutral Prim Index 25%


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4. Adjustment Elections

Scheduled Valuation Date

Rebalancing Date Other

Adjustments (Scheduled Trading Days: “holidays”):

Move In Block Move In Block

Adjustments (Disrupted Days):

Value What You Can Move In Block

Valuation Roll (Disrupted Days):

5

5

In cases where a scheduled Rebalancing Date is postponed due to the occurrence or existence of a Disrupted Day, an Index Level for the day which was originally scheduled to be such Rebalancing Date will be determined in accordance with the methodology set out in the column headed “Other”, and the Rebalancing Date will occur as of the last occurring Valuation Date in relation to the originally scheduled Rebalancing Date.

5. Defined Terms

Index Business Day: Each day which is a Scheduled Trading Day for each Constituent.

Index Valuation Time: In respect of an Index Business Day, 11.00 p.m. (London time) on such Index Business Day, or such later time that the Index Calculation Agent may determine with the consent of the Index Sponsor.

Rebalancing Date: The Core Index Start Date and thereafter, the fourth Index Business Day of January, April, July and October in each calendar year, subject to adjustment in accordance with paragraph 4 (Adjustment Elections) above.

Scheduled Valuation Date: Each Index Business Day.


Index Methodology

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Part E: Specific Risks


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Specific Risks

THIS PART E DOES NOT DESCRIBE ALL OF THE RISKS ARISING IN RESPECT OF THE INDEX. PLEASE REFER TO SECTION C (GENERAL RISKS) OF THE INDEX GENERAL CONDITIONS FOR A DISCUSSION OF FURTHER RISKS ARISING IN RESPECT OF THE INDEX.

INDEX METHODOLOGY REFERENCES OTHER METHODOLOGIES The algorithmic strategy embedded in the Index Methodology tracks the performance of the Constituents, which are themselves proprietary indices that embed algorithmic strategies. These proprietary indices also embed a variety of other parameters, for example, different weighting schemes, each of which may be unique to that index and have a significant effect on its performance. While the Index Methodology identifies each Constituent herein, it does not, by itself, address all the necessary details required to analyze and understand how the performance of a Constituent may contribute to the overall performance of the Index. On that basis, investors in any Index Linked Product are also advised to obtain and review the methodology (an “Underlying Methodology”) of any Constituent. Where a Constituent is sponsored by the Index Sponsor, the applicable Underlying Methodology is available free of charge upon request from the Index Sponsor.

STRATEGY RISK

The Index uses an allocation strategy that provides exposure to US, Eurozone and UK equities risk through a notional long position in each of the Constituents, split unequally with weightings of 50%, 25% and 25% respectively (the “specified weights”) to reflect the respective sizes of the markets. The Index is particularly sensitive to the success or failure of the Citi Volatility Balanced Beta (“VIBE”) methodology in determining constituent weights which deliver improved overall returns relative to a market capitalization weighting methodology. See “VIBE Methodology Risk” below. Investors in Index Linked Products should be aware of this limitation in considering their investment decision. VIBE METHODOLOGY RISK The VIBE methodology embedded in each of the Constituents employs a quantitative risk-weighting strategy that determines the percentage weights of its constituents on a quarterly basis with the aim of equalizing the risk contribution of each constituent. This strategy is designed with the aim of providing diversification among the components of each Constituent, when compared to an equivalent equal-weighted or market capitalization-weighted index. However, there is no guarantee that this will be the case, especially over short periods. In particular, the benefits of the VIBE methodology may only become apparent over a long period and may underperform market capitalization-weighted indices during an upward trend in the investment cycle.

INDEX METHODOLOGY LIMITATIONS

The performance of the Index is dependent on the pre-defined rules-based methodology set out in the Index Conditions. There is no assurance that other fixed weightings for the Constituents would not result in better performance than the methodology set out in the Index Conditions. If one or more of the Constituents performs poorly then, given the fixed weighting of the Constituents, such performance will have an adverse effect on the Index Level, and may negate, in whole or in part, any positive performance of the other Constituents and/or the Index as a whole.


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PERFORMANCE RISK

The Index Methodology cannot guarantee that tracking the Core Index will result in an increased Index Level over time. The Index may underperform other indices with the same constituents, where those other indices employ a different weighting scheme. The methodology does not seek to outperform any other equity benchmark in absolute terms and may not outperform at all.

REBALANCING FREQUENCY LIMITATIONS

The Index is rebalanced on a quarterly basis on each Rebalancing Date in order to return the weights of each Constituent to the specified weights. However, each of the individual Constituents will experience a different performance, which means that the respective weights of the Constituents will vary between Rebalancing Dates. As such, all of the Constituents may deviate significantly from their specified weights; and the VIBE Eurozone Prim Index and the VIBE UK Prim Index deviate significantly from their 25% equilibrium. As the weight of a Constituent within the Index increases, the contribution of the performance of that individual Constituent to the performance of the Index will increase. This may expose investors in Index Linked Products to greater directional risk with respect to US, Eurozone or UK equities than would have been the case if the Index was rebalanced on a more frequent basis.

FIXED ALGORITHMIC MODEL PARAMETERS

In common with many algorithmic strategies, the Index uses a rules-based methodology which contains fixed parameters. For example, the effective weights of the Constituents are rebalanced on a quarterly basis on each Rebalancing Date. The Index methodology assumes that these parameters and the other fixed parameters used in the calculation of the Index are reasonable in the context of the Index, however, alternative parameters could have a positive effect on the performance of the Index. CORRELATION RISK The Index provides exposure to US, Eurozone and UK equities through a notional long position in each of the Constituents. The Constituents are not necessarily correlated or inversely correlated, although it is possible that such a relationship does exist. If all the VIBE US Prim Index, the VIBE UK Prim Index, and the VIBE Eurozone Prim Index decline at the same time or show tendencies to decline at the same time (in other words, if they prove to be positively correlated) then the Index strategy will not be successful and the Index may experience significant declines. Also, the benefits of the Index strategy may only become apparent over a long period. FX RISK The Index Currency is Euros whereas two of the Constituents of the Index are denominated in other currencies. The VIBE Eurozone Prim Index is denominated in Euros but the VIBE UK Prim Index is denominated in Pounds Sterling and the VIBE US Prim Index is denominated in US Dollars. Accordingly, in calculating the Index Level, the Index Calculation Agent is required to convert the relevant level of the VIBE UK Prim Index and the VIBE US Prim Index into Euros using the specified exchange rate in respect of the relevant Valuation Date, as described in paragraph 1.3.1. and 1.3.2 of Part C (Calculation of the Index Level). This means that an Investor in an Index Linked Product will be subject to exchange rate risk in respect of two of the Constituents. Movements in the exchange rate may be such that, on the one hand, Euros may become stronger and/or on the other hand, Pounds Sterling and/or US Dollars may become weaker, in which case the exchange rate in respect of the conversion may be less favourable to the Investor and the Index Level may be adversely affected. In particular, if the exchange rate in respect of one or more Constituents does become less favourable to the Investor, such change in the exchange rate may negate, in whole or in part, any positive performance of that Constituent and/or the other Constituents and/or the Index as a whole.


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EFFECT OF NOTIONAL COSTS There are no notional costs to be deducted from the Index Level. However, two of the Constituents of the Index - the VIBE UK Prim Index and the VIBE Eurozone Prim Index - each require associated notional replication costs to be taken into account for the Index to be an accurate measure the strategy’s effectiveness. Such notional costs are described in the Index Methodology for the VIBE UK Prim Index and the VIBE Eurozone Prim Index respectively. The deduction of those costs will reduce the respective levels of those Constituents. No costs are deducted from the VIBE US Prim Index. Investors in any Index Linked Product are advised to scrutinize and understand the various notional costs set out in this Index Methodology (and the Index Methodology of each of the Constituents) because all of them will ultimately serve to act as a drag on the Index Level (unless the Index is sufficiently successful to overcome the cumulative effect of these notional costs) and restrict the return available (if any) under such Index Linked Product. The cumulative effect of these notional costs may be significant and will adversely affect the performance of the Index.

LIMITED OPERATING HISTORY

The Index was launched by the Index Sponsor on the specified Index Launch Date and has been calculated by the Index Calculation Agent for the period from the specified Index Start Date. Any back-testing or similar performance analysis performed by any person in respect of the Index must be considered illustrative only and may be based on estimates or assumptions not used by the Index Calculation Agent when determining the Index Level. This list of risk factors is not intended to be exhaustive. All persons should seek such advice as they consider necessary from their professional advisors, investment, legal, tax or otherwise, without reliance on the Index Sponsor, the Index Calculation Agent, any of their respective Affiliates or any of their respective directors, officers, employees, representatives, delegates and agents.

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