RISK FACTORS RELATING TO THE CITI FX G10 EQUITY LINKED MOMENTUM 4% INDEX

Transcription

1 RISK FACTORS RELATING TO THE CITI FX G10 EQUITY LINKED MOMENTUM 4% INDEX Capitalised terms which are used, but not defined, in this document have the respective meanings given to such terms in the document entitled "Description of the " (the "Index Description"). This document should be read in conjunction with the Index Description and the index conditions for the Index (the "Index Conditions"). SPECIFIC RISKS ASSOCIATED WITH THE INDEX 1. Underlying Index and Constituent Indices 1.1 Underlying Index The Index is a volatility-targeted version of the Citi FX G10 Equity-Linked Momentum Index (the "Underlying Index"). Accordingly the performance of the Index is dependent on the performance of the Underlying Index. There can be no assurance that the Underlying Index will generate positive returns. Knowledge of the methodology of the Underlying Index is essential to evaluate the Index. The risks which exist in respect of an exposure to the Underlying Index also exist in respect of an exposure to the Index. Consequently investors should read and understand the index conditions of the Underlying Index (the "Underlying Index Conditions"), including the disclosure and the discussion of the risks which arise in respect of an exposure to the Underlying Index. Further information relating to the Underlying Index, including specific risks, is available free of charge upon request to the Index Administrator. 1.2 Constituent Indices The performance of the Underlying Index, and in turn, the Index, is dependent on the performance of the nine foreign exchange "market tracker" indices (the "Constituent Indices"), each tracking the performance of a specific reference currency against U.S. Dollars. There can be no assurance that a Constituent Index will generate positive returns (or if a Constituent Index has a negative weight in the Index, that it will generate negative returns and therefore contribute positively to the performance of the Index). Knowledge of the methodology of the Constituent Indices is essential to evaluate the Index. The risks which exist in respect of an exposure to the Constituent Indices also exist in respect of an exposure to the Underlying Index and therefore the Index. Consequently investors should read and understand the index conditions of each Constituent Index, including the disclosure and the discussion of the risks which arise in respect of an exposure to the Constituent Indices. Further information relating to the Constituent Indices, including specific risks, is available free of charge upon request to the Index Administrator. The combination of these risks may create additional particular risks which may substantially increase the effect of adverse market movements. 2. Strategy Risk G10 Currencies The Index has been developed to represent the relative performance of what are generally understood to be the nine most heavily traded currencies as of the Index Start Date other than U.S. Dollars (such nine currencies being the "Reference Currencies" and together with U.S. Dollars being the "G10 currencies", as defined in the Index Description). The list of "G10 currencies" as such term is used in general market practice after the Index Start Date may change, whether through the addition of a currency, or through the removal of an existing currency, in response to changes in the perception of the trading volumes and liquidity of currencies. Notwithstanding any such change in the list of currencies that are understood to be the "G10 currencies", the Constituent Indices will not change and therefore the Index will no longer fully implement its strategy. 1

2 Moreover, for the avoidance of doubt, the countries and regions associated with each of the G10 currencies are not, and should not be taken to be, the same as the "Group of 10" or "G10" countries participating in the International Monetary Fund's General Arrangements to Borrow. 3. Strategy Risk Reference Indices 3.1 The Reference Indices may not be the best representation of the relevant equity markets The methodology of the Underlying Index associates each G10 currency with a specified benchmark equity index representing the equity market of the country or region of that G10 currency (each such index a "Reference Index"). The Reference Index specified in the Underlying Index Conditions corresponding to a G10 currency may not be the best representation of the performance of the equity market of the relevant country or region, and another benchmark equity index may more accurately reflect the performance of the equity market of such country or region. Use of an alternative benchmark equity index may give different results. 3.2 The momentum (or trend) in respect of a Reference Index may not be apparent on a rebalancing of the Index, or may not last until the next rebalancing of the Index The weighting of each Constituent Index in the Underlying Index depends upon the ratio of (i) the level of each Reference Index as of each monthly weight determination date to (ii) the average level of that Reference Index over the immediately preceding month. That ratio (the "Equity Performance") is used in the Underlying Index methodology as an indication of the momentum (or trend) in respect of the relevant Reference Index as of that date. On each monthly weight determination date, the Equity Performance of each Reference Index is compared to the Equity Performance of each other Reference Index, with the difference between such Equity Performances being the "Relative Equity Performance" in respect of the relevant pair. The Relative Equity Performance of each Reference Index versus each other Reference Index is used to determine the "Signal" in respect of the corresponding Reference Currency. That Signal, and accordingly the weight of the relevant Constituent Index in the Underlying Index, will be greater (or lesser) based on the number of other Reference Indices that the Reference Index corresponding to that G10 currency out- or under-performed, on the basis of their Relative Equity Performance. In other words, the strategy assigns a greater weight to a Constituent Index for each Reference Index in respect of which the corresponding Reference Index has experienced a stronger positive Equity Performance (i.e., trend) (or a less negative Equity Performance, as the case may be) over the preceding month. This reflects the assumption in the strategy that a Constituent Index is more likely to appreciate over the next month if, as of a monthly weight determination date, the corresponding Reference Index has a stronger positive trend or a less negative trend than most of the other Reference Indices. Conversely, the strategy also assumes that a Constituent Index is more likely to depreciate over the next month if, as of a monthly weight determination date, the corresponding Reference Index has a weaker positive trend or stronger negative trend than most of the other Reference Indices. However, the momentum (or trend) in respect of a Reference Index may not be apparent on a monthly weight determination date. Furthermore, any momentum (or trend) that is determined in respect of a Reference Index for the purposes of a monthly rebalancing of the Underlying Index may not last until the next monthly rebalancing of the Index. In either case, the Underlying Index may not be able to implement fully its strategy. Momentum investing may not necessarily outperform other investment methodologies. There are other more common methods for identifying market trends, such as comparing moving averages with different lengths, which may with hindsight prove to be more successful than the Signal. The Signal may fail to accurately identify trends or predict the future direction of a Reference Index. If a trend in respect of a Reference Index 2

3 exhibits a sudden change of direction, there may be a significant time lag before the Signal identifies the new trend. The Signal does not purport to provide or replace a nuanced assessment of macro-economic and market risks, and does not take into account all possible risks, whether known or unknown, of investing in any of the Constituent Indices. The output of the Signal is merely an algorithmic parameter of the Index methodology and should not be used independently to drive trading or investment decisions in other contexts. Furthermore, the Signal is a "lagging" indicator as it is calculated on the basis of historical information, namely recent price trends in relation to each Reference Index. However, there is no guarantee that a previouslyobserved price trend in a Reference Index will continue in the future or that it will result in a corresponding price trend in the corresponding Constituent Index (as to which see paragraph 3.3 below) and if the corresponding Constituent Index does not perform as anticipated by the Index methodology, the Index Level will be adversely affected. 3.3 The relative performance of the Reference Indices may not correlate with the relative performance of the Constituent Indices As described in paragraph 3.2 above, the weighting of each Constituent Index in the Underlying Index depends upon the performance of the corresponding Reference Index and not the performance of that Constituent Index itself. The strategy embedded within the Underlying Index methodology is premised on an assumption that the performance of each Reference Index will be correlated with the performance of the Constituent Index corresponding to the Reference Currency that is the currency of the country or region represented by that Reference Index. However, in practice the performance of a Reference Index and the corresponding Constituent Index may not be correlated, or may be negatively correlated, over any given time period. In such circumstances, the application of the Index methodology to the performance of that Reference Index may result in a positive weight being applied to or maintained in respect of the corresponding Constituent Index in the Underlying Index in circumstances when the level of that Constituent Index is declining (or a negative weight being applied to or maintained in respect of that corresponding Constituent Index in circumstances when the level of that Constituent Index is increasing). In such circumstances, the Underlying Index's strategy will not be successful, and the Underlying Index, and therefore the Index, may experience significant declines. 3.4 The methodology of the Index depends on relative, and not absolute, performance of the Reference Indices As described in paragraph 3.2 above, the Signal determined in respect of each Constituent Index depends upon the performance of the corresponding Reference Index relative to the performance of the other Reference Indices. That is, "Score" of each G10 currency versus each other G10 currency that is aggregated to produce the relevant Signal for that G10 currency is determined irrespective of the degree of relative out- or under-performance by one Reference Index versus another. For example, with respect to a given pair of G10 currencies, whether the Relative Equity Performance for their respective Reference Indices is 5% or 100%, the Underlying Index methodology will assign the same Scores to those G10 currencies against each other. Furthermore, in circumstances where both Reference Indices have a negative Equity Performance (but a nonzero Relative Equity Performance), the Underlying Index methodology will still generate a positive Score for one of the two G10 currencies in that pair which will contribute positively to the Signal for that G10 currency and therefore to a greater weight in the Underlying Index for the relevant Constituent Index. Conversely, in circumstance where both Reference Indices have a positive Equity Performance (but a non-zero Relative Equity 3

4 Performance), the Underlying Index methodology will still generate a negative Score for one of the two G10 currencies in that pair which will contribute negatively to the Signal for that G10 currency and therefore to a lesser weight in the Underlying Index for the relevant Constituent Index. (When the Relative Equity Performance in respect of two Reference Indices is zero, i.e. they experienced the same Equity Performance over the preceding month, the Scores of the corresponding G10 currencies against each other will both be zero and accordingly will not contribute positively or negatively to the weight of the corresponding Constituent Indices in the Underlying Index.) Use of an alternative methodology which considers the absolute performance of the Reference Indices may give different results. 3.5 The Reference Indices give rise to risks associated with equity indices. The Reference Indices give rise to the risks and considerations associated with equity indices generally, including the following: (a) The level of an equity index is based on the prices of the shares contained in that equity index, and the level of that equity index may not at any particular time reflect the reinvestment yield of those shares. (b) The prices of the shares contained in an equity index (and therefore the level of that equity index) may be affected global economic, financial, and political developments. (c) Market volatility reflects the degree of instability and expected instability in the performance of an equity index and the shares contained in that equity index. (d) The level of market volatility is largely determined by the prices of financial instruments that are supposed to protect investors against market volatility. The prices of these financial instruments are themselves determined by supply and demand, which in turn are affected by factors such as actual market volatility, expected market volatility, economic factors, and speculation. Knowledge of the methodology of the Reference Indices is essential to evaluate the Index. Consequently investors should read and understand the index conditions of the Reference Indices, including the disclosure and the discussion of the risks which arise in respect of an exposure to the Reference Indices. Further information relating to the Reference Indices, including specific risks, is available free of charge upon request to the Index Administrator. 4. Limited Diversification Risk The Index offers the potential to achieve some diversification amongst a number of different constituents. However, the Index may be less diversified than an investment in any fund, investment portfolio or other product which invests in or tracks a diversified investment portfolio, and therefore could experience greater volatility and may underperform such other investment products or a more diversified index. 5. Volatility Target 5.1 Volatility Targeting may be unsuccessful The exposure of the Index Level to the Underlying Index Level is adjusted, potentially on a daily basis, in accordance with a formula which seeks to maintain an overall specified annualised volatility level for the Index Level of not more than 4% (the "Volatility Target"). The exposure is determined by reference to the volatility of the Underlying Index Level over the preceding 20 Index Business Day period. Although the volatility of the Underlying Index Level and the exposure of the Index Level thereto is determined and potentially adjusted daily, the actual volatility of the Index Level may be greater or less than the Volatility Target. 4

5 There can be no assurance that the volatility targeting mechanism used to construct the Index Level will be successful or that the Index Level will outperform the Underlying Index Level or any alternative volatility adjusted index that might be constructed by reference to the Underlying Index or the Constituent Indices. The volatility targeting methodology of the Index will not prevent a decrease in the level of the Index. 5.2 Different methods for calculating volatility may give different results. 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 targeting methodology of the Index measures volatility with reference to a specified number of days. Measuring volatility over a different number of days may give a different result. 5.3 Potential deleveraging The volatility targeting methodology of the Index may result in the exposure of the Index to the Underlying Index being considerably less than 100% (but never greater than 100%). This means that the gains of any Index Linked Product may be significantly less than the gains of any investment product with a greater exposure to the Underlying Index. 6. Signal and Rebalancing Frequency Limitations The methodology of the Underlying Index only observes the Signal in respect of each G10 currency monthly, which means that the composition of the Underlying Index is determined with respect to the Signal as observed on each monthly observation date, at which point the weight of each Constituent Index in the Underlying Index is fixed for the following month (subject to the occurrence of holidays and Disrupted Days). This may mean that the Underlying Index, and by extension the Index, may have a different exposure to each Constituent Index had the market indicators been observed over a different period and the Signals determined on a different day, perhaps a few days earlier or later. Accordingly, this may result in significant falls in the Index Level where one or more Constituent Indices suffers a sudden sharp change in trend. The Index may underperform a direct investment in the Constituent Indices in an environment of frequently changing trends as these may be too short for the market indicators influencing the Signals to detect. 7. Foreign Exchange risk Prospective investors in an Index Linked Product linked to the Index should be familiar with currency exchange markets generally. The Index Level depends upon the performance of the Constituent Indices, which are "market tracker" indices each tracking the performance of a specific Reference Currency against U.S. Dollars. Investors should note in particular that foreign exchange rates can be volatile and move in an unanticipated fashion and are influenced by many factors that may vary considerably over the term of an Index Linked Product, including supply and demand (influenced by existing and expected rates of inflation, existing and expected interest rate levels, the balance of payments between the relevant countries and government surpluses or deficits in the relevant countries, among other factors) as well as economic and political factors. Foreign exchange rates may be especially volatile during times of financial turmoil, as capital can flow very quickly out of regions that are perceived to be impacted disproportionately by such turmoil. Historic exchange rates should not be considered indicative of future exchange rates. Foreign currency markets are subject to periodic disruptions and distortions due to many complex economic and political factors, including new laws and regulations and the participation of speculators and governments in the markets to fix or support the value of a currency, or to impose exchange controls, for example. These 5

6 circumstances could affect exchange rates and, consequently, the value of the Constituent Indices and therefore the Underlying Index and the Index. These economic and political factors are independent of other market forces of supply and demand. Foreign currencies represent the legal tender of one or more foreign nations and normally are not linked to any intrinsically valuable commodity (such as precious metals). Any transaction involving foreign currencies, including instruments linked to indices based on over-the-counter (commonly referred to as "OTC") foreign currency contracts, involves risks not common to investments denominated entirely in a person s domestic currency. Such enhanced risks include (but are not limited to) the risks of political or economic policy changes in a foreign nation, which may substantially and permanently alter the conditions, terms, marketability or price of a foreign currency. For example, some governments intervene in markets to affect the values of their currencies, which may have an impact on the performance of the Constituent Indices and therefore the Underlying Index and the Index. Therefore, Index Linked Products are appropriate only for persons who understand and are willing and financially able to assume the economic, legal and other risks involved in foreign currency-linked transactions (including, but not limited to, the risks noted above). 8. Effect of Notional Costs The Index can be simply conceived of as a strategy which invests in the Underlying Index and adjusts its exposure thereto based on the volatility targeting mechanism embedded in the Index methodology. The Underlying Index can be simply conceived of as a strategy which notionally invests in the Constituent Indices and varies the relevant weights based on the respective Signals. Switching the focus of notional investment and varying the level of exposure require certain notional transaction and replication costs to be taken into account for the Index to be an accurate measure of the strategy's effectiveness. The notional cost of the volatility targeting mechanism is equal to 1.4 basis points (0.014%) applied to the product of (i) the absolute value of the number of units of the Underlying Index in which the Index is notionally invested and (ii) the level of the Underlying Index in respect of the relevant day, and is deducted from the Index Level potentially on a daily basis. The notional cost of maintaining a constant exposure to a particular Constituent Index is applied monthly and the amount of such notional cost is equal to 0.8 basis points (0.008%) applied to the absolute value of the number of units of the relevant Constituent Index in which the Underlying Index is notionally invested as of the relevant monthly rebalancing date for that Constituent Index and is deducted from the level of the Underlying Index. The notional cost of rebalancing a particular Constituent Index is applied potentially monthly and the amount of such notional cost is equal to 0.6 basis points (0.006%) applied to the absolute value of the change in the number of units of the relevant Constituent Index in which the Underlying Index is notionally invested as of the relevant monthly rebalancing date for that Constituent Index and is deducted from the level of the Underlying Index. Investors in any Index Linked Product are advised to scrutinise and understand the various notional costs set out in the Index Conditions and the Underlying Index Conditions because all of them will ultimately serve to act as a drag on the Index Level 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. 6

7 9. No Guarantee of Return The Index methodology cannot guarantee that tracking the Underlying Index will result in an increased Index Level over time. It is possible that each of the Constituent Indices performs negatively (or in the case of the Constituent Indices having negative weights in the Underlying Index, positively), such that the negative overall performance of the Underlying Index and by extension, the Index, is assured. 10. Performance Risk The Index may underperform the Underlying Index, the Underlying Index may underperform the Constituent Indices, and each may underperform other indices with the same constituents, where those other indices employ a different weighting scheme or scheme to manage volatility. The Index methodology does not seek to outperform any other benchmark in absolute terms and may not outperform at all. Index Linked Products based on the Index methodology cannot and do not guarantee absolute returns in any situation. 11. Index Methodology Limitations The performance of the Index is dependent on the pre-defined rules-based methodology set out in the Index Conditions and the Underlying Index Conditions. There is no assurance that other exposure, selection and weighting methodologies for the Constituent Indices would not result in better performance than the methodology set out in the Index Conditions and the Underlying Index Conditions. 12. Fixed Algorithmic Model Parameters In common with all algorithmic strategies, each of the Underlying Index and the Index uses a rules-based methodology which contains fixed parameters. For example, (i) the Signals that determine the weights of the Constituent Indices in the Underlying Index are determined on a monthly basis; (ii) the initial weights of the Constituent Indices within the Underlying Index are fixed, (iii) realised volatility (for the purpose of determining the exposure of the Index to the Underlying Index) is calculated by reference to the volatility of the level of the Underlying Index over a fixed number of days (being 20 Index Business Days), and (v) the annualised volatility target for the Index is set at 4%, which is deemed to be indicative of the limits beyond which the realised volatility of the Underlying Index will hinder the performance objective of the Index. 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 (for instance, more or less frequent rebalancing or a longer or shorter period for calculating realised volatility) could have a positive effect on the performance of the Index. 13. Model Precision The Index methodology is a complex calculation model which is sensitive to the precision of both the original inputs and the interim calculations. Each of these are in turn dependent on the rounding conventions used in the financial market for the primary data and the rounding conventions determined appropriate by the Index Calculation Agent at each stage of the calculation process. 14. Limited Operating History The Index was launched by the Index Administrator on the Index Launch Date specified in the Index Conditions (8 December 2017) and has been calculated by the Index Calculation Agent for the period from the Index Start Date specified in the Index Conditions (13 February 2004). 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. 7

8 GENERAL RISKS ASSOCIATED WITH INDICES OF THE SAME TYPE AS THE INDEX 1. Introduction The Index Level may go down as well as up, depending on the performance of the constituents and their effect on the strategy that the Index has been developed to reflect. There can be no assurance as to the future performance of the Index, and the Index Level on any day may not reflect either its past performance or its future performance. The strategy that the Index has been developed to reflect may not be successful, and other strategies using the constituents and alternative indices and benchmarks may perform better than the Index. The Index represents the volatility targeted performance of the Underlying Index. The Index has been developed to be "investable", but the methodology set out in the Index Conditions is quantitative, which means that the Index Level is determined according to the rules and the processes set out in the Index Conditions on a purely notional basis, without reference to any actual investment in the Index or any of its constituents. The result of any such actual investment may be different to the performance of the Index. In particular, any notional costs deducted in the calculation of the Index Level, and any proportionate amount included in the Index Level of any dividend, distribution or payment in respect of any constituents, may be different from those arising in respect of any actual investment in any constituent or any combination of constituents. Prospective investors in any Index Linked Product should be familiar with investments in the global financial and commodity markets, financial instruments and indices generally. 2. Risks in Respect of the constituents The performance of the Index is dependent on the performance of all of the constituents contained in the Index. Fluctuations in the level, price, rate or value (as applicable) (the "Value") of the constituents contained in the Index from time to time will directly affect the Index Level. The extent to which fluctuations in the Value of a particular constituent will affect the Index Level will, amongst other things, depend on the weight attributed to that constituent at the relevant time. 3. Performance of the Index The performance of the Index may be significantly lower than the performance of certain constituents The performance of the Index could be significantly less than the performance of alternative indices and benchmarks with similar risk characteristics, even if some of the constituents have generated significant positive returns. The Values of the constituents may move in different directions at different times compared to each other, and underperformance by one or more of the constituents may reduce the performance of the Index as a whole, even if other constituents generate positive returns. The correlation between the constituents may change unpredictably Correlation is the extent to which the Values of the constituents increase or decrease to the same degree at the same time. If the correlations among the constituents change, the level of the Index may be adversely affected. The Index may be subject to currency rate risk The Index may be exposed to currency rate risk because the Values of the constituents may be converted into the base currency of the Index for the purposes of calculating the level of the Index if those Values are expressed in a different currency. Currency rates may be volatile and move in an unexpected way. Historical currency rates should not be considered indicative of future currency rates. 8

9 4. Notional Exposure The Index creates a notional exposure to the constituents and such notional exposure will only exist in the books and records of the Index Administrator and the Index Calculation Agent. No rights Investors in Index Linked Products (1) have no legal or beneficial ownership interest in any constituent and therefore have no recourse to any constituent; (2) have no right to take delivery of any constituent; (3) have no voting rights with respect to any constituent; (4) have no right to receive dividends, distributions or other payments with respect to any constituent. No offer Nothing in the Index Conditions constitutes an offer to buy or to sell any constituent or any other asset, commodity, contract or security (including without limitation any asset, contract, commodity or security included in any constituent). 5. No Involvement of Persons Connected with any constituent The Index does not create any obligation of any person connected with any constituent (each such person, for the purposes of this paragraph, a "Relevant Person"), including without limitation the issuer of any constituent which is a security and the provider of any service (such as an investment adviser or an investment manager) to any constituent which is a fund. No Relevant Person has participated in the preparation of the Index Conditions or in the arrangement and offer of any Index Linked Product. 6. No Investigation Neither the Index Administrator nor the Index Calculation Agent has made or will make any investigation or enquiry with respect to any constituent, including with respect to any publicly-available information that is disclosed in the Index Conditions to any constituent. Consequently there can be no assurance that all events have been disclosed which would affect the performance of the Index or the value of any Index Linked Product. 7. Disruption to the Index Certain events may affect the calculation of the Index and the Index Level. consequences including: These events may have (1) the Index Calculation Agent adjusting the dates on which the Index is valued; (2) the Index Calculation Agent exercising certain discretions conferred by the Index Conditions; (3) the Index Calculation Agent suspending the calculation, publication and dissemination of the Index and the Index Level; (4) the Index Administrator making a modification or change to the Index Conditions; and (5) the Index Administrator discontinuing and cancelling the Index. Unless otherwise stated, the Index Administrator has no obligation to inform any person of the result of any action taken on the occurrence of such events. 9

10 The occurrence or existence of Disrupted Days may also result in the calculation, publication and dissemination of the Index being postponed to a later time than as provided in the Index Conditions. 8. Index Administrator and the Index Calculation Agent The Index Conditions confer on the Index Administrator and the Index Calculation Agent a degree of discretion in making certain determinations and calculations, for example in connection with the occurrence of disruptions and adjustments. Although each of the Index Administrator and the Index Calculation Agent will use Expert Judgement in exercising any discretion, the exercise of any such discretion may have an adverse effect on the Index Level and therefore may have an adverse effect on the value of any Index Linked Product. In performing any calculation or other action in connection with the Index Conditions, each of the Index Administrator and the Index Calculation Agent will act as principal and not as agent of any other person. Neither the Index Administrator nor the Index Calculation Agent owes any duty of care or any fiduciary duty to any investor in any Index Linked Product or to any other person. THE LIST OF RISK FACTORS OUTLINED IN THIS DOCUMENT IS NOT INTENDED TO BE EXHAUSTIVE. ANY EVALUATION OF INDEX LINKED PRODUCTS SHOULD BE MADE ONLY AFTER SEEKING ADVICE FROM INDEPENDENT PROFESSIONAL ACCOUNTING, FINANCIAL, INVESTMENT, LEGAL, REGULATORY, TAX AND OTHER ADVISORS. The Index is not in any way sponsored or promoted by any sponsor or issuer, as relevant, of any constituent of the Index Citigroup Global Markets Limited. All rights reserved. "Citi" and "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 in the United Kingdom by the Prudential Regulation Authority ("PRA") and is regulated in the United Kingdom by the Financial Conduct Authority and the PRA. 15 December