Citi Commodities Congestion/Liquidity Navigator (E) Index. Index Conditions. 4 December Part 1. General

Transcription

1 Citi Commodities Congestion/Liquidity Navigator (E) Index Index Conditions 4 December 2014 Part 1 General This document constitutes the Index Conditions of the Citi Commodities Congestion/Liquidity Navigator (E) 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, its Index Level and its Index Published 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 Calculation Agent shall calculate the Index Level on each Index Business Day. The Index Calculation Agent shall calculate the Index Published Level for each Index Business Day by rounding the Index Level for such Index Business Day to the number of decimal places specified. The Index Published Level for each Index Business Day shall be published on the Index Ticker, at the Index Valuation Time on the next following Index Business Day. This should be considered the official source for the Index Published Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial. The Index Sponsor s determinations in respect of the Index, the methodology of which is described in these Index Conditions, shall be final. Please refer to Part 3 (Miscellaneous Provisions) for further information. Full information in respect of any Index Linked Product is only available on the basis of the combination of these Index Conditions and the confirmation, prospectus or offering document (however described) of the Index Linked Product. Page 1 of 35

2 Key Information Index Ticker: CVICLINE <Index>. The Index Ticker is a Bloomberg Electronic Page. Index Calculation Agent: Index Sponsor: Citigroup Global Markets Limited. Citigroup Global Markets Limited. Index Launch Date: 29 August Index Start Date: 14 January Index Start Level: 100. Index Base Currency: Index Business Day: Index Valuation Time: Scheduled Transacting Day: Scheduled Balancing Day: Frequency of calculation of the Index Level: U.S. Dollars. Each Scheduled Trading Day of the New York floor of the CME Group. 11:00 a.m. (London time). Each Index Business Day which is also an All Exchanges Open Business Day. The tenth Scheduled Transacting Day of each calendar month. Daily. 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 and estimates not used by the Index Calculation Agent when determining the Index Level. Page 2 of 35

3 Overview of the Index The Index contains 23 Commodities. Each Commodity (other than Natural Gas) is represented in the Index by: (1) a Citi Commodities Congestion BCOM-F0 Mono Index, a Citi Commodities Congestion BCOM-F2 Mono Index, and a Citi Commodities Congestion BCOM-F3 Mono Index (each, a Pre-Roll Mono Index ); and (2) a sub-index of the Bloomberg Commodity Index SM (the Benchmark Index ), a 2 Month Forward sub-index of the Benchmark Index, and a 3 Month Forward sub-index of the Benchmark Index (each, a Benchmark Mono Index ). Natural Gas is represented in the Index by (1) a Citi Commodities Congestion BCOM-F2 Mono Index and a Citi Commodities Congestion BCOM-F3 Mono Index; and (2) a 2 Month Forward sub-index of the Benchmark Index and a 3 Month Forward sub-index of the Benchmark Index. Each Pre-Roll Mono Index and each Benchmark Mono Index (each, a Mono Index ) is also a Component Index. Mono Index Pair shall mean, in respect of a Commodity, a Benchmark Mono Index and a Pre-Roll Mono Index in respect of such Commodity, which correspond with each other. For example, one Mono Index Pair in respect of a Commodity contains the Citi Commodities Congestion BCOM-F2 Mono Index in respect of such Commodity and the corresponding 2 Month Forward sub-index of the Benchmark Index in respect of such Commodity. The Component Index Table specifies the Mono Indices and (adjacent to the sub-heading (a), or (b), or (where relevant) (c) ) each Mono Index Pair in respect of each Commodity. Each Commodity (other than Natural Gas) is represented in the Index by three Mono Index Pairs, and Natural Gas is represented in the Index by two Mono Index Pairs. Therefore, the Index contains 136 Component Indices. The weighting methodology of the Index (The following description of the weighting methodology of the Index is subject to Section A of Part 1.) On a monthly balancing, the weighting methodology of the Index (the Weighting Methodology ) assigns a Weight to each Component Index for the period until the next monthly balancing. First, the Weighting Methodology identifies for each Commodity the particular Mono Index Pair which has the highest Annualized Gradient Difference. The Annualized Gradient Difference of a Mono Index Pair is (subject to the third paragraph below) the gradient of the relevant Pre-Roll Mono Index minus the gradient of the corresponding Benchmark Mono Index. The Annualized Gradient Difference of a Mono Index Pair can therefore be either positive, or zero, or negative. The highest Annualized Gradient Difference can therefore be the least negative Annualized Gradient Difference. Page 3 of 35

4 The gradient of a Mono Index is determined, for the purposes of the Weighting Methodology, (and subject to the following paragraph) with reference to the Settlement Price of the current Futures Contract to which it is exposed and the Settlement Price of the Futures Contract whose Contract Month immediately precedes the current Futures Contract. If no such preceding Futures Contract is available in respect of a Benchmark Mono Index, the gradient of such Benchmark Mono Index is instead determined with reference to the Settlement Price of the current Futures Contract to which it is exposed and the Settlement Price of the Futures Contract whose Contract Month immediately follows the current Futures Contract. The Annualized Gradient Difference of a Mono Index Pair is 0 if there is no such preceding Futures Contract in respect of the Pre-Roll Mono Index of such Mono Index Pair. Next, the Weighting Methodology selects the Commodities which have positive Annualized Gradient Differences. If fewer than five Commodities are so selected, or no Commodities are so selected, then the Weighting Methodology selects (in addition to any Commodity already selected) the Commodities which have the highest negative (i.e. the least negative ) Annualized Gradient Differences, so five Commodities are selected (whether these are a combination of Commodities with positive, zero, and negative Annualized Gradient Differences, or just Commodities with negative and zero Annualized Gradient Differences). Next, the Weighting Methodology assigns, for the period following the monthly balancing until the next monthly balancing, for each selected Commodity, (1) an equal positive weight in the Index to the Pre-Roll Mono Index which is contained in the Mono Index Pair of that selected Commodity with the highest Annualized Gradient Difference; and (2) an equal negative weight in the Index to the Benchmark Mono Index which is contained in that Mono Index Pair. A weight of zero in the Index is assigned to each other Mono Index that is not selected. Therefore the Index assumes, for the period following the monthly balancing until the next monthly balancing, a long exposure to the relevant selected Pre-Roll Mono Indices and a short exposure to the relevant selected Benchmark Mono Indices. For the period following the monthly balancing until the next monthly balancing, for each selected Commodity, the weight in the Index of the long exposure to the relevant selected Pre-Roll Mono Index representing that Commodity is capped at 20%, and the weight in the Index of the short exposure to the relevant selected Benchmark Mono Index representing that Commodity is capped at -20%. Certain Commodities are considered to be sub-categories of the same commodity; these Commodities are grouped into Complexes. The Complexes are: the Oil Complex, the Soy Complex and the Wheat Complex. For the period following the monthly balancing until the next monthly balancing, for each Complex, the total weight in the Index of the long exposures to the relevant Pre-Roll Mono Indices representing the selected Commodities contained in that Complex is capped at 20%, and the total weight in the Index of the short exposures to the Benchmark Mono Indices representing the selected Commodities contained in that Complex is capped at -20%. Page 4 of 35

5 Section A Determination of the Index Level and the Index Published Level, and supplementary calculations and determinations 1. Index Level and Index Published Level 1.1 The Index Level on the Index Start Date The Index Level on the Index Start Date shall be the Index Start Level. 1.2 The Index Level on 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: ( ) where: I d shall mean the Index Level on d. I d-1 shall mean the Index Level on the Index Business Day immediately preceding d. Number Units i,d-1 shall mean the number of Component Indices contained in the Index. shall mean the Number of Units in respect of Component Index i on the Index Business Day immediately preceding d. The Number of Units in respect of each Component Index is determined in accordance with paragraph 3. CIL i,d shall mean the Component Index Level of Component Index i on d. CIL i,d-1 shall mean the Component Index Level of Component Index i on the Index Business Day immediately preceding d. 1.3 The Index Published Level on each Index Business Day The Index Published Level on each Index Business Day d shall be an amount determined by the Index Calculation Agent equal to the Index Level for d rounded to three decimal places. 2. Component Index Level The Component Index Level of each Component Index on an Index Business Day d shall be the closing level of such Component Index on d determined by the Index Calculation Agent with reference to the Component Index Ticker in respect of such Component Index. Page 5 of 35

6 3. Determination of the Number of Units 3.1 Each Index Business Day following the Index Start Date (other than a balancing) The Number of Units in respect of each Component Index on each Index Business Day d (following the Index Start Date) other than a Balancing Day shall be equal to the Number of Units in respect of such Component Index on the Index Business Day immediately preceding d. 3.2 Balancing process ( balance what you can ) (1) If a Scheduled Balancing Day is not a Disrupted Day for any Component Index, then the Number of Units in respect of each Component Index on such Scheduled Balancing Day shall be an amount determined by the Index Calculation Agent in accordance with the formula set out at paragraph 4 below. (2) If a Scheduled Balancing Day is a Disrupted Day for any Component Index, then: (a) on each Interim Balancing Day in respect of such Scheduled Balancing Day: (i) (ii) (iii) the Number of Units in respect of each Component Index for which such Interim Balancing Day is not a Disrupted Day shall be an amount determined by the Index Calculation Agent in accordance with the formula set out at paragraph 4 below; and where such Scheduled Balancing Day is the Index Start Date, the Number of Units in respect of each Component Index for which such Interim Balancing Day is a Disrupted Day shall be zero; and where such Scheduled Balancing Day is not the Index Start Date, the Number of Units in respect of each Component Index for which such Interim Balancing Day is a Disrupted Day shall be equal to the Number of Units in respect of such Component Index on the Index Business Day immediately preceding such Interim Balancing Day; and (b) the Number of Units in respect of each Component Index on the Effective Balancing Day in respect of such Scheduled Balancing Day shall be an amount determined by the Index Calculation Agent in accordance with the formula set out at paragraph 4 below. For the purposes of this paragraph 3.2, any Component Index the Weight of which is zero shall be disregarded for the purposes of determining whether a day is a Disrupted Day for any Component Index. Page 6 of 35

7 4. Formula for the Number of Units The Number of Units in respect of each Component Index i on a Balancing Day d shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below: where: Units i,d shall mean the Number of Units in respect of i on d. I d shall mean the Index Level on d. Weight i,d shall mean the Weight of i on d. CIL i,d shall mean the Component Index Level of i on d. Page 7 of 35

8 5. Determination of the Weight of a Component Index 5.1 The Weight of each Component Index i on a Balancing Day d shall be either: (1) if i is a Selected Component Index on the Determination Date in respect of d, the Determined Weight of i on the Determination Date in respect of d; or (2) if i is not a Selected Component Index on the Determination Date in respect of d, 0%. Determination Date shall mean, in respect of a Scheduled Balancing Day (and the Effective Balancing Day (if applicable) in respect of such Scheduled Balancing Day, and each Interim Balancing Day (if any) in respect of such Scheduled Balancing Day), the Scheduled Transacting Day immediately preceding such Scheduled Balancing Day. 5.2 Selected Component Index Selected Component Index shall mean, on a Determination Date d, each Mono Index selected in accordance with the relevant paragraph of the paragraphs set out below. (1) If five or more Commodities each has on d a positive Maximum Gradient Difference, then the Selected Component Indices on d shall be the two Mono Indices comprising the Selected Mono Index Pair of each such Commodity on d. (2) If at least one but fewer than five Commodities each has on d a positive Maximum Gradient Difference, then the Selected Component Indices on d shall be: (a) (b) the two Mono Indices comprising the Selected Mono Index Pair of each such Commodity on d, and the two Mono Indices comprising the Selected Mono Index Pair of each of the first X number of the Ranked Commodities on d (where X shall mean an amount equal to 5 minus the number of Commodities each of which has on d a positive Maximum Gradient Difference). (3) If no Commodity has on d a positive Maximum Gradient Difference, then the Selected Component Indices on d shall be the two Mono Indices comprising the Selected Mono Index Pair of the first five of the Ranked Commodities on d. 5.3 Ranked Commodity (and ranking) Ranked Commodity shall mean, in respect of a Determination Date d on which fewer than five Commodities each has a positive Maximum Gradient Difference, each Commodity which has on d a negative or zero Maximum Gradient Difference. The Ranked Commodities on a Determination Date d shall be ranked in accordance with their Maximum Gradient Differences on d in descending order, such that the Ranked Commodity the Maximum Gradient Difference of which on d is the highest (i.e. the least negative ) is ranked first, the Ranked Commodity the Maximum Gradient Difference of which on d is the second highest (or the second least negative ) is ranked second, and so forth. If two or more Ranked Commodities have the same Maximum Gradient Difference on a Determination Date d, then such Ranked Commodities shall be ranked in the order in which they are Page 8 of 35

9 specified in the Component Index Table. 5.4 Selected Mono Index Pair and Maximum Gradient Difference of each Commodity Selected Mono Index Pair shall mean, in respect of a Commodity c on a Determination Date d, the Mono Index Pair in respect of c which has the highest (or the least negative, as relevant) Annualized Gradient Difference on d. Maximum Gradient Difference shall mean, in respect of a Commodity c on a Determination Date d, the Annualized Gradient Difference of the Selected Mono Index Pair in respect of c on d. 5.5 Annualized Gradient Difference of each Mono Index Pair in respect of each Commodity Annualized Gradient Difference shall mean, in respect of each Mono Index Pair p in respect of each Commodity c on a Determination Date d, and subject to paragraph 5.7 below, a percentage determined by the Index Calculation Agent in accordance with the formula set out below: where: AGD p,d shall mean the Annualized Gradient Difference on d of p. Gradient benchmark,d shall mean the Gradient on d of the Benchmark Mono Index contained in p. Gradient pre-roll,d shall mean the Gradient on d of the Pre-Roll Mono Index contained in p. 5.6 Gradient of a Pre-Roll Mono Index Gradient shall mean, in respect of each Pre-Roll Mono Index i in respect of each Commodity on a Determination Date d, and subject to paragraph 5.7 below, a percentage determined by the Index Calculation Agent in accordance with the formula set out below: (( ) ) where: Gradient i,d shall mean the Gradient on d of i. Price preceding,i,d Price current,i,d Time d shall mean the Settlement Price on d of the Preceding Futures Contract in respect of i on d. shall mean the Settlement Price on d of the Current Futures Contract in respect of i on d. shall mean the number of calendar months between the Contract Month of the Preceding Futures Contract in respect of i on d and the Contract Month of the Current Futures Contract in respect of i on d. 5.7 If there is no Preceding Futures Contract in respect of a Pre-Roll Mono Index on a Determination Date Page 9 of 35

10 d, then the Annualized Gradient Difference on d of the Mono Index Pair which contains such Pre- Roll Mono Index shall be Gradient of a Benchmark Mono Index Gradient shall mean, in respect of each Benchmark Mono Index i in respect of each Commodity on a Determination Date d, a percentage determined by the Index Calculation Agent in accordance with the formula set out below: (( ) ) where: Gradient i,d shall mean the Gradient on d of i. Price initial,i,d Price subsequent,i,d Time d shall mean either (1) the Settlement Price on d of the Preceding Futures Contract in respect of i on d; or (2) if there is no Preceding Futures Contract in respect of i on d, the Settlement Price on d of the Current Futures Contract in respect of i on d. shall mean either (1) the Settlement Price on d of the Current Futures Contract in respect of i on d; or (2) if there is no Preceding Futures Contract in respect of i on d, the Settlement Price on d of the Following Futures Contract in respect of i on d. shall mean the number of calendar months between the Contract Month of the Preceding Futures Contract in respect of i on d and the Contract Month of the Current Futures Contract in respect of i on d. 5.9 Determined Weight of a Selected Component Index Determined Weight shall mean, in respect of a Selected Component Index i on a Determination Date d, a percentage determined by the Index Calculation Agent in accordance with the formula set out below: where: DW i,d shall mean the Determined Weight on d of i. Number d Multiplier i shall mean the number of Commodities, each of which on d corresponds with a Selected Component Index. shall mean either (1) if i is a Pre-Roll Mono Index, 1; or (2) if i is Benchmark Mono Index, -1. Page 10 of 35

11 5.10 Capped Weight of a Selected Component Index On each Determination Date d, the Index Calculation Agent shall follow the five steps set out below to determine the capped weight (the Capped Weight ) of each Selected Component Index and to redetermine the Determined Weight of each Selected Component Index. For the avoidance of doubt, (1) such steps shall be applied in the order in which they are set out; and (2) Step One to Step Four (inclusive) may be repeated. (1) Step One (Capped Weight) The Index Calculation Agent shall determine the Capped Weight on the Determination Date d of each Selected Component Index i on d in accordance with the applicable of the two formulae set out below: (a) if i corresponds with a Commodity which is contained in a Complex: ( ( )) (b) if i corresponds with a Commodity which is not contained in a Complex: ( ( )) where: CW i,d shall mean the Capped Weight on d of i. min Number Complex,i,d abs shall mean the lesser of the amounts written in parentheses and separated by each semi-colon. shall mean the number of Commodities which are (i) contained in the Complex which contains the Commodity which corresponds with i; and (ii) represented by Selected Component Indices on d. shall mean the absolute value of the amount written in parentheses. DW i,d shall mean the Determined Weight on d of i. For the purposes of the first occasion on which this Step One is applied, the Determined Weight on d of i shall be the percentage determined in accordance with paragraph 5.9 of this Section A. For the purposes of each subsequent occasion on which this Step One is applied, the Determined Weight on d of i shall be the percentage determined in accordance with the application of Step Three immediately preceding this application of this Step One. Multiplier i shall mean either (1) if i is a Pre-Roll Mono Index, 1; or (2) if i is a Benchmark Mono Index, -1. Page 11 of 35

12 Capped Component Index shall mean, in respect of d, each Selected Component Index on d whose Capped Weight on d is not equal to its Determined Weight on d, on any occasion on which this Step One is applied. (2) Step Two (Excess Weight) The Index Calculation Agent shall determine the excess weight (the Excess Weight ) on d of all of the Capped Component Indices on d which are Pre-Roll Mono Indices, in accordance with the formula set out below: ( ) where: EW d shall mean the Excess Weight on d. Number shall mean the number of Capped Component Indices on d which are Pre-Roll Mono Indices. Each such Capped Component Index shall be represented by the variable j. DW j,d shall mean the Determined Weight on d of j. For the purposes of the first occasion on which this Step Two is applied, the Determined Weight on d of j shall be the percentage determined in accordance with paragraph 5.9 of this Section A. For the purposes of each subsequent occasion on which this Step Two is applied, the Determined Weight on d of j shall be the percentage determined in accordance with the application of Step Three immediately preceding this application of this Step Two. CW j,d shall mean the Capped Weight on d of j. (3) Step Three (distribution of any Excess Weight) The Index Calculation Agent shall proportionately distribute the Excess Weight on d (as determined in accordance with Step Two) between all Selected Component Indices on d which are not Capped Component Indices (if any), by: (a) re-determining the Determined Weight on d of each Selected Component Index i on d which is not a Capped Component Index (if any) in accordance with the formula set out below: ( ) where: DW i,d,new shall mean the Determined Weight on d of i, as re-determined in accordance with this Step Three. Page 12 of 35

13 DW i,d,old EW d Number DW k,d,old shall mean the Determined Weight on d of i, as applied in Step One. shall mean the Excess Weight on d, as determined in accordance with Step Two. shall mean the number of Component Indices on d which are Pre-Roll Mono Indices and which are not Capped Components. Each such Component Index shall be represented by the variable k. shall mean the Determined Weight on d of k, as applied in Step One. and (b) re-determining the Determined Weight on d of each Selected Component Index on d which is a Capped Component Index (if any) as its Capped Weight on d, as determined in Step One. (4) Step Four (loop) Step One to Step Three (inclusive) shall be repeated until both of the two conditions set out below are satisfied: (a) (b) the Total Capped Weight Percentage (as defined below) on d of each Complex is not greater than 20%; and the Determined Weight on d (as determined in Step Three) of each Non-Complex Selected Component Index (as defined below) is not greater than 20%. Total Capped Weight Percentage shall mean, in respect of a Complex c on a Determination Date dd, a percentage determined by the Index Calculation Agent in accordance with the formula set out below: where: TCWP c,dd shall mean the Total Capped Weight Percentage on dd in respect of c. ΣCW c,dd shall mean the sum of the Capped Weight on dd of the Selected Component Index which is a Pre-Roll Mono Index corresponding with each Commodity contained in c. Non-Complex Selected Component shall mean, in respect of a Determination Date, a Selected Component Index on such Determination Date which corresponds with a Commodity which is not contained in a Complex and which is a Pre-Roll Mono Index. Page 13 of 35

14 (5) Step Five If on d the sum of the Determined Weight of each Selected Component Index on d which is a Pre-Roll Mono Index is less than 100%, then: (a) (b) each Component Index, other than a Selected Component Index on d, which is contained in a Selected Mono Index Pair on d (as determined in paragraph 5.3 of this Section A) which has an Annualized Gradient Difference equal to zero on d shall also be a Selected Component Index on d (each such additional Selected Component Index, an Additional Selected Component Index ); and the Determined Weight of each Additional Selected Component Index i on d shall be a percentage determined by the Index Calculation Agent in accordance with the formula set out below: ( ) where: DW i,d shall mean the Determined Weight on d of i. ΣDW d Number zero gradient Multiplier i shall mean the sum of the Determined Weight on d of each Selected Component Index (other than any Additional Selected Component Index) which is a Pre-Roll Mono Index. shall mean the number of Additional Selected Component Indices on d. shall mean either (1) if i is a Pre-Roll Mono Index, 1; or (2) if i is a Benchmark Mono Index, Definitions for the purposes of paragraph 5.6, paragraph 5.7, paragraph 5.8 and paragraph 5.10 Complex shall mean each of the Oil Complex, the Soy Complex and the Wheat Complex. Contract Month shall mean, in respect of a Futures Contract, the calendar month referred to in the title of such Futures Contract (by way of illustration, if the title of a Futures Contract refers to November 2014, the Contract Month of such Futures Contract is November ). Expiration Date shall mean, in respect of a Futures Contract, the date of expiration of such Futures Contract. Current Futures Contract shall mean, (1) in respect of a Pre-Roll Mono Index and a Determination Date d, the Futures Contract that is contained in such Pre-Roll Mono Index following the roll which takes place under the methodology of such Pre-Roll Mono Index on or after d; and (2) in respect of a Benchmark Mono Index and a Determination Date d, the Futures Contract that is contained in such Mono Index on d. Following Futures Contract shall mean, in respect of a Mono Index and a Determination Date d, the Futures Contract (if any), in respect of the relevant Commodity in respect of such Mono Index, the Expiration Date of which is the first to occur after the Expiration Date of the Current Futures Contract Page 14 of 35

15 in respect of such Mono Index on d. Oil Complex shall mean a group of Commodities comprising WTI Crude Oil, Brent Crude Oil, Gasoline and Heating Oil. Preceding Futures Contract shall mean, in respect of a Mono Index and a Determination Date d, the Futures Contract (if any), in respect of the relevant Commodity in respect of such Mono Index, the Expiration Date of which is the last to occur before the Expiration Date of the Current Futures Contract in respect of such Mono Index on d. Settlement Price shall mean, in respect of an Index Business Day d and a Futures Contract, either (1) the settlement price of such Futures Contract on d, as published or otherwise made available by (or on behalf of) the Exchange on d; or (2) if no such settlement price is so published or otherwise made available from any other source on d, the settlement price of such Futures Contract on the first Index Business Day immediately preceding d on which the Settlement Price of such Futures Contract is so published. Soy Complex shall mean a group of Commodities comprising Soybeans, Soybean Meal and Soybean Oil. Wheat Complex shall mean a group of Commodities comprising Wheat (CBOT) and Wheat (KCBOT). Page 15 of 35

16 Section B Component Index Table The Component Index Ticker of each Pre-Roll Mono Index in respect of each Commodity is specified under the heading Pre-Roll Mono Indices of the Component Index Table. The Component Index Ticker of each Benchmark Mono Index in respect of each Commodity is specified under the heading Benchmark Mono Indices of the Component Index Table. i Commodity Pre-Roll Mono Indices Benchmark Mono Indices (a) CVICD0CL BCOMCL 1 WTI Crude Oil (b) CVICD2CL BCOMCL2 (c) CVICD3CL BCOMCL3 (a) CVICD0CO BCOMCO 2 Brent Crude Oil (b) CVICD2CO BCOMCO2 (c) CVICD3CO BCOMCO3 3 Natural Gas (a) CVICD2NG BCOMNG2 (b) CVICD3NG BCOMNG3 (a) CVICD0XB BCOMRB 4 Gasoline (b) CVICD2XB BCOMRB2 (c) CVICD3XB BCOMRB3 (a) CVICD0HO BCOMHO 5 Heating Oil (b) CVICD2HO BCOMHO2 (c) CVICD3HO BCOMHO3 (a) CVICD0GC BCOMGC 6 Gold (b) CVICD2GC BCOMGC2 (c) CVICD3GC BCOMGC3 (a) CVICD0SI BCOMSI 7 Silver (b) CVICD2SI BCOMSI2 (c) CVICD3SI BCOMSI3 (a) CVICD0HG BCOMHG 8 Copper (b) CVICD2HG BCOMHG2 (c) CVICD3HG BCOMHG3 (a) CVICD0LA BCOMAL 9 Aluminum (b) CVICD2LA BCOMAL2 (c) CVICD3LA BCOMAL3 (a) CVICD0LN BCOMNI 10 Nickel (b) CVICD2LN BCOMNI2 (c) CVICD3LN BCOMNI3 (a) CVICD0LX BCOMZS 11 Zinc (b) CVICD2LX BCOMZS2 (c) CVICD3LX BCOMZS3 (a) CVICD0WX BCOMWH 12 Wheat (CBOT) (b) CVICD2WX BCOMWH2 (c) CVICD3WX BCOMWH3 (a) CVICD0KW BCOMKW 13 Wheat (KCBOT) (b) CVICD2KW BCOMKW2 (c) CVICD3KW BCOMKW3 Page 16 of 35

17 i Commodity Pre-Roll Mono Indices Benchmark Mono Indices (a) CVICD0CX BCOMCN 14 Corn (b) CVICD2CX BCOMCN2 (c) CVICD3CX BCOMCN3 (a) CVICD0SX BCOMSY 15 Soybean (b) CVICD2SX BCOMSY2 (c) CVICD3SX BCOMSY3 (a) CVICD0BO BCOMBO 16 Soybean Oil (b) CVICD2BO BCOMBO2 (c) CVICD3BO BCOMBO3 (a) CVICD0SM BCOMSM 17 Soybean Meal (b) CVICD2SM BCOMSM2 (c) CVICD3SM BCOMSM3 (a) CVICD0KC BCOMKC 18 Coffee (b) CVICD2KC BCOMKC2 (c) CVICD3KC BCOMKC3 (a) CVICD0SB BCOMSB 19 Sugar (b) CVICD2SB BCOMSB2 (c) CVICD3SB BCOMSB3 (a) CVICD0CC BCOMCC 20 Cocoa (b) CVICD2CC BCOMCC2 (c) CVICD3CC BCOMCC3 (a) CVICD0CT BCOMCT 21 Cotton (b) CVICD2CT BCOMCT2 (c) CVICD3CT BCOMCT3 (a) CVICD0LH BCOMLH 22 Lean Hogs (b) CVICD2LH BCOMLH2 (c) CVICD3LH BCOMLH3 (a) CVICD0LC BCOMLC 23 Live Cattle (b) CVICD2LC BCOMLC2 (c) CVICD3LC BCOMLC3 The index conditions of the Component Indices are available from the Index Sponsor. The Component Index Ticker of each Component Index is a Bloomberg Electronic Page. Page 17 of 35

18 Section C Disrupted Day 1. Disrupted Day Disrupted Day shall mean: (1) in respect of an index, a day on which a Disruption Event occurs in respect of any Futures Contract with reference to which such index is determined; and (2) in respect of a Futures Contract, a day on which a Disruption Event occurs in respect of such Futures Contract. 2. Disruption Event Disruption Event shall mean, in respect of a Futures Contract, the occurrence of any event or circumstance which disrupts or impairs the ability of the Index Calculation Agent to determine the Settlement Price of such Futures Contract, including without limitation: (1) the Exchange fails to open for trading during its regular trading session; or (2) the occurrence or existence at any time during the one hour period which ends at the end of the relevant Scheduled Closing Time of any suspension of or limitation imposed (whether by reason of movements in price exceeding permitted limits or otherwise) on the trading on the Exchange; or (3) the occurrence or existence at any time during the one hour period which ends at the end of the relevant Scheduled Closing Time of any other event (other than an event described in sub-paragraph (4)) which disrupts or impairs the ability of market participants in general on the Exchange to effect transactions in or to obtain market values for such Futures Contract; or (4) the closure on any Open Business Day of the Exchange prior to its Scheduled Closing Time (unless such earlier closing time is announced by the Exchange at least one hour prior to the earlier of (a) the actual closing time for the regular trading session of the Exchange on such Open Business Day; and (b) the deadline for the submission of orders to be entered into the Exchange system for execution at the relevant Scheduled Closing Time on such Open Business Day); or (5) the settlement price of such Futures Contract has increased or decreased by an amount equal to the maximum permitted price change from the previous day s settlement price; or (6) the settlement price of such Futures Contract is not published by or otherwise made available by (or on behalf of) the Exchange. Page 18 of 35

19 Section D Extraordinary Event and Successors 1. Extraordinary Event 1.1 Extraordinary Event shall mean, in respect of a Component Index, the Component Index Sponsor: (1) fails to publish the level of such index; or (2) announces that it will make a material change in the formula for or method of calculating such index or in any other way materially modifies such index, other than a modification prescribed in such formula or method to maintain such index in the event of changes in the constituents of such index, the weightings (if any) of such index, or other routine events; or (3) permanently cancels such index. 1.2 Extraordinary Event shall mean, in respect of a Futures Contract, the occurrence of any of the following: (1) trading in such Futures Contract is permanently discontinued on the Exchange; or (2) the Exchange makes a material change in the content, composition or constitution of such Futures Contract; or (3) the Exchange makes a material change in the formula for and method of calculating the settlement price of such Futures Contract. 2. Following an Extraordinary Event If an Extraordinary Event occurs in respect of a Component Index or a Futures Contract (each, the Affected Element ), then: (1) the Index Calculation Agent may suspend the calculation, publication and dissemination of the Index, the Index Level and the Index Published Level until the first succeeding Index Business Day on which such Extraordinary Event does not occur or continue to occur; and/or (2) the Index Calculation Agent may select a replacement for the Affected Element which has substantially similar characteristics to the Affected Element that is being replaced, having regard to the manner in which Affected Element is used in the calculation of the Index, in which case (a) the Index Calculation Agent will determine the effective date of such replacement; 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 replacement; and/or (3) the Index Sponsor may discontinue and cancel the Index. Page 19 of 35

20 3. Successor Component Index and Successor Component Index Sponsor If a Component Index is: (1) not calculated and announced by the Component Index Sponsor but is calculated and announced by a successor sponsor acceptable to the Index Calculation Agent; or (2) replaced by a successor index using, in the determination of the Index Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of such Component Index, then that index shall be deemed to be such Component Index with effect from the date determined by the Index Calculation Agent, and the Index Sponsor may make such adjustment or adjustments to these Index Conditions as it determines appropriate to account for the effect on the Index of such change. Page 20 of 35

21 Part 2 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. All Exchanges Open Business Day shall mean a day which is an Open Business Day for each Exchange of each Component Index. Balancing Day shall mean each Scheduled Balancing Day, and the Effective Balancing Day (if applicable) in respect of such Scheduled Balancing Day, and each Interim Balancing Day (if any) in respect of such Scheduled Balancing Day. Citi shall mean Citigroup Inc. and its Affiliates. Commodity shall mean each commodity specified in the column headed Commodity of the Component Index Table. Component Index shall mean each Mono Index contained in the Index, as specified in the columns headed Pre-Roll Mono Indices and Benchmark Mono Indices of the Component Index Table. Component Index Level shall mean, in respect of a Component Index, the level of such Component Index. Component Index Sponsor shall mean, in respect of a Component 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 Component Index; and (2) announces (directly or through an agent) the level of such Component Index on a regular basis. Component Index Table shall mean the table set out at Section B of Part 1. Component Index Ticker shall mean, in respect of each Component Index, the Electronic Page specified in respect of such Component Index in the column headed Component Index Ticker of the Component Index Table. Data Table shall mean the table set out under the heading Key Information. Effective Balancing Day shall mean, in respect of a Scheduled Balancing Day which is a Disrupted Day for any Component Index, the first succeeding Scheduled Transacting Day which is not a Disrupted Day for any Component Index. 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. Page 21 of 35

22 Exchange shall mean, in respect of each Component Index, each exchange on which one or more commodity futures contracts constituting such Component Index, or with reference to which such Component Index is determined, is traded. Futures Contract shall mean each contract (for future delivery of the relevant commodity) listed and traded on the relevant Exchange, relating to the same quantity and quality of such commodity. 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 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 Published Level shall mean, in respect of an Index Business Day, the published level of the Index on such Index Business Day. The Index Published Level shall be an amount expressed in the Index Base Currency. 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. 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, as specified in the Data Table. Index Valuation Time shall mean the time specified as such in the Data Table. Interim Balancing Day shall mean, in respect of a Scheduled Balancing Day which is a Disrupted Day for any Component Index, each Scheduled Transacting Day from (and including) such Scheduled Balancing Day to (but excluding) the Effective Balancing Day in respect of such Scheduled Balancing Day. Number of Units shall mean, in respect of a Component Index, the amount determined in accordance with paragraph 4 of Section A of Part 1. Open Business Day shall mean, in respect of an Exchange, any day which is a Scheduled Trading Day for such Exchange on which such Exchange is open for trading during its regular trading session, notwithstanding such Exchange closing prior to its Scheduled Closing Time. Scheduled Balancing Day shall mean each day specified as such in the Data Table. Page 22 of 35

23 Scheduled Closing Time shall mean, in respect of a Scheduled Trading Day, the scheduled weekday closing time on the relevant Exchange on such Scheduled Trading Day, without regard to after-hours trading or other trading outside the hours of the regular trading session on such Exchange. Scheduled Trading Day shall mean, in respect of an exchange, each day when such exchange is scheduled to be open for its regular trading session. Scheduled Transacting Day shall mean each day specified as such in the Data Table. Weight shall mean, in respect of a Component Index, the percentage determined in accordance with paragraph 5 of Section A of Part 1. Page 23 of 35

24 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 places 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 24 of 35

25 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 investor in any Index Linked Product or to any other 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. 2. Notional exposure The Index reflects a particular method by which the performance of the indices, instruments and rates Page 25 of 35

26 (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 any Index Linked Product, 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, 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 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 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, the Index Level, or the Index Published Level. Page 26 of 35