Citi Volatility Balanced Beta (VIBE) Trend US Spread Alpha Net Total Return Prim Index Index Methodology. Citi Investment Strategies

Transcription

1 Citi Volatility Balanced Beta (VIBE) Trend US Spread Alpha Net Total Return Prim Index Citi Investment Strategies 24 April 2014

2 Table of Contents Citi Investment Strategies Part A: Introduction 2 Part B: Key Information 4 Part C: Overview of the Index 6 Part D: Calculation of the Index Level 10 Part E: Data 14 Part F: Specific Risks 17 Part G : Constituent Disclaimers 20 1

3 Part A: Introduction 2

4 Introduction Citi Investment Strategies This document constitutes the 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 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 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 and the Index General Conditions and the confirmation, prospectus or offering document (however described) in respect of such Index Linked Product. This 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 may be required. Terms used in this but not defined in this shall have the meanings given to them in the Index General Conditions. 3

5 Part B: Key Information 4

6 Key Information Citi Investment Strategies Name of Index: Summary of strategy: (the "Index") The Index uses a long/short asset allocation strategy that provides exposure to US equities through (1) a notional long position, split equally between two Citi VIBE indices (as described below) and (2) a notional short position in the S&P 100. As a consequence, the Index will perform well during any periods when the average performance of the Citi VIBE indices outperforms the S&P 100. The notional long position is an equally-weighted blend of Citi VIBE Equity US Net Total Return Index (BBG Ticker: <CIISRLUT Index>) and Citi VIBE Equity US Alpha Trend Net Total Return Index (BBG Ticker: <CIISRAUT Index>) (the Long Indices ). Each of these indices comprises US-listed stocks in weights which are determined according to the Citi Volatility Balanced Beta ( VIBE ) methodology developed by Citigroup Global Markets Limited. The percentage weight of each stock within each Long Index is determined on a quarterly basis such that the risk contribution of each stock is equal in accordance with the VIBE methodology. For more information with respect to each of the Long Indices, please refer to the applicable published by the Index Sponsor, which is available free of charge upon request from the Index Sponsor. Index Sponsor: Index Calculation Agent: Index Base Currency: Citigroup Global Markets Limited Citigroup Global Markets Limited US dollars (USD) Index Launch Date: 27 February 2012 Index Start Date: 5 January 2001 Index Start Level: USD 100 Index Fee: Frequency of calculation of the Index Level: Frequency of rebalancing: Index Electronic Page: Not Applicable Daily, as of each Index Business Day Quarterly, as of each Rebalancing Date Not Applicable The Index was launched by the Index Sponsor as of 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. 5

7 Part C: Overview of the Index 6

8 Overview of the Index Citi Investment Strategies 1. GENERAL OVERVIEW The overview set out in this Part C is a summary only of the Index Conditions, of which this Part C is a part. The Index Conditions as a whole govern the calculation of the Index and the Index Level (as defined in Part D (Calculation of the Index Level) below), and the determinations made in connection with the maintenance of the Index. In the case of any inconsistency between this Part C and the remainder of the Index Conditions, the remainder of the Index Conditions shall prevail. The Index is a rules-based proprietary index developed by the Index Sponsor. The Index is described as replicating notional positions in the Constituents because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index simply references certain investment positions the performance of which is used as a reference point for the purpose of calculating the Index Level. The Index Level is calculated in Index Base Currency by the Index Calculation Agent as of every Index Business Day (as specified in Part E (Data) below) and is generally published on the following Index Business Day. The Index has been calculated on a live basis since the Index Launch Date and has been back-tested for the period since the Index Start Date. The Index The Index uses a long/short asset allocation strategy that provides exposure to US equities through: (1) a notional long position, split equally between two Citi VIBE indices: Citi VIBE Equity US Net Total Return Index and Citi VIBE Equity US Alpha Trend Net Total Return Index (together, the Long Allocation ); and (2) a notional short position in the S&P 100 Total Return Index (the Short Allocation ). As a consequence, the Index will perform well during any periods when the average performance of the Citi VIBE indices outperforms the S&P 100. The weights of the Constituents forming the Long Allocation will be equal, and the weights of the Long Allocation and the Short Allocation will be equal, as of the Index Start Date and each quarterly Rebalancing Date (as defined in Part E (Data)). However, the performance of the Constituents will change the respective weights of the Constituents between Rebalancing Dates such that the Long Allocation and the Short Allocation will deviate from equilibrium. As of each Rebalancing Date, the equilibrium between the aggregate weight of the Constituents of the Long Allocation with the weight of the Short Allocation will be re-established. The Long Allocation The Long Allocation comprises the Citi Volatility Balanced Beta (VIBE) Equity US Net Total Return Index (the Citi VIBE US Index ) and the Citi Volatility Balanced Beta (VIBE) Equity US Alpha Trend Net Total Return Index (the Citi VIBE US Alpha Trend Index and together with the Citi VIBE US Index, the Long Indices ). The Citi VIBE US Index comprises the same stocks which are included in the S&P 100, subject to certain exceptions. However, the weights of the constituents of the Citi VIBE US Index are assigned on a quarterly basis pursuant to the Citi Volatility Balanced Beta ( VIBE ) rules-based methodology developed by Citigroup Global Markets Limited, rather than on the basis of market capitalization. The objective of the VIBE methodology is to assign weights so that each constituent will contribute equally to the overall volatility of the Citi VIBE US Index. The Citi VIBE US Alpha Trend Index comprises 50 stocks selected from the components of the S&P 100 on a quarterly basis according to a trend-based ranking methodology which measures the difference, for each stock, between (i) the short-term performance of a stock (measured over 3 months) ( Short Term Performance ) and (ii) the long-term performance of that same stock (measured over 5 years) ( Long Term Performance ). The 7

9 weights of the stocks selected for inclusion in the Citi VIBE US Alpha Trend Index on each quarterly rebalancing date are assigned pursuant to the VIBE methodology. For more information with respect to each of the Long Indices, please refer to the applicable Index Methodology published by the Index Sponsor. The Short Allocation The Short Allocation comprises the S&P 100, which is a subset of the S&P 500 and comprises 100 leading U.S. stocks with exchange-listed options. Constituents of the S&P 100 are selected by S&P for sector balance. The calculation of the value of the S&P 100 is based on the relative value of the aggregate Market Value (as defined below) of the issuers of the 100 constituent as of a particular time as compared to the aggregate average Market Value of 100 similar companies during the base period. The Market Value of the issuer of any constituent is the product of the market price per share and the number of then outstanding shares of such constituent. The S&P 500 is published by S&P and is intended to provide a performance benchmark for the U.S. equity markets. The calculation of the value is based on the relative aggregate market value of the common stocks of 500 companies at a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through The weight and composition of the index components are updated periodically so that the S&P 500 reflects the performance of the U.S. equity markets. The Citi Volatility Balanced Beta (VIBE) Equity US Spread Alpha Index uses a long/short asset allocation strategy with the aim of capturing any outperformance of the Long Indices over the S&P 100. The methodology on which the Index is based may not be successful and may not outperform the S&P 100 or any alternative strategy that might be employed in respect of the stocks comprised in the S&P 100 from time to time. 2. INDEX SPONSOR AND INDEX CALCULATION AGENT The Index Sponsor is Citigroup Global Markets Limited. As at the date of this, the Index Sponsor also acts as Index Calculation Agent to calculate and publish 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. The Index Sponsor s determinations in respect of the Index shall be final. Please refer to Section E (Miscellaneous) of the Index General Conditions for further information. 3. INDEX LEVEL CALCULATION Subject to the occurrence or existence of a Disrupted Day (as defined in Section D (Definitions) of the Index General Conditions), the Index Level is calculated by the Index Calculation Agent as of the Index Valuation Time on each Index Business Day (as defined in Part E (Data) below). The Index Level as of 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 that Index Business Day. The Index Calculation Agent may also, but is not obliged to, calculate the level of the Index in respect of any other valuation time on any Index Business Day or any other day with the consent of the Index Sponsor. The detailed procedures for the calculation of the Index Level in respect of each Index Business Day are set out in Part D (Calculation of the Index Level) below. The Index Level can be conceived of as the aggregate performance of two further components the Long Allocation and the Short Allocation (as outlined above and set out in detail in Part D (Calculation of the Index Level) below). 8

10 4. QUARTERLY REBALANCING Citi Investment Strategies Subject to the occurrence or existence of a Disrupted Day, the Index is rebalanced on a quarterly basis as of each Rebalancing Date in order to (a) return the weights of the Long Allocation and the Short Allocation to equilibrium, and (b) return the weights of the Long Indices to equal weights. 9

11 Part D: Calculation of the Index Level 10

12 Calculation of the Index Level Citi Investment Strategies 1. INTRODUCTION The Index Sponsor is Citigroup Global Markets Limited. As at the date of this, the Index Sponsor also acts in the capacity of Index Calculation Agent to calculate and publish 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. The Index Sponsor s determinations in respect of the Index shall be final. 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 E (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, Additional Adjustment Events as set out below in this Part D, Disrupted Days and Adjustment Events as described in Section B (Valuations and Adjustments) and Section F (Constituent Schedule) of the Index General Conditions. 2. DAILY INDEX CALCULATION 2.1 Index Level The Index Level as of 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 in accordance with the formula set out below. The formula combines the performance of the Long Allocation and the Short Allocation for the period from the preceding Rebalancing Date (or the Index Start Date, as the case may be) up to, and including, Index Business Day t. (1) notional long positions (rebalanced to equal weights on each Rebalancing Date) in Citi Volatility Balanced Beta (VIBE) Equity US Net Total Return Index (i=1) and Citi Volatility Balanced Beta (VIBE) Equity US Alpha Trend Net Total Return Index (i=2) (together, the Long Allocation ); and (2) a notional short position in the S&P 100 Total Return Index (i=3) (the Short Allocation ). The weights allocated to the Long Allocation and the Short Allocation on the Index Start Date were equal, and are rebalanced to equal weights (in opposite directions) on each Rebalancing Date. Index Level t Long Allocation Level t Short Allocation Level t Index Level 1 r 1 1 Long Allocation Level r Short Allocation Level r provided that Index Level t shall never be less than zero (0). For the avoidance of doubt, if the formula above would result in a negative amount for the Index Level in respect of any Index Business Day t, the Index Level as of such Index Business Day t shall be deemed to be zero (0). where: 11

13 Index Level t = The Index Level as of Index Business Day t Index Level r = The Index Level as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) Long Allocation Level t = The Long Allocation Level (as defined in paragraph 2.2 below) as of Index Business Day t Long Allocation Level r = The Long Allocation Level as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) Short Allocation Level t = The Short Allocation Level (as defined in paragraph 2.3 below) as of Index Business Day t Short Allocation Level r = The Short Allocation Level as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) If the Index Level as of any Index Business Day t is equal to, or is deemed to be equal to, zero (0), the Index Level will cease to be calculated and the Index will be discontinued and cancelled. 2.2 Long Allocation Level The Long Allocation Level as of the Index Start Date shall be equal to 100. The Long Allocation Level as of each Index Business Day t (following the Index Start Date) shall be an amount determined by the Index Calculation Agent in accordance with the formula set out below. The formula combines the performance of each Constituent within the Long Allocation for the period from the preceding Rebalancing Date (or the Index Start Date, as the case may be) up to, and including, Index Business Day t. Long Allocation Level t Constituent 1,t Constituent 2,t Long Allocation Level r Constituent 1,r Constituent 2,r where: Long Allocation Level t = The Long Allocation Level as of Index Business Day t Long Allocation Level r = The Long Allocation Level as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) Constituent 1,t = The Constituent Closing Level of Constituent i, where i=1, as of Index Business Day t Constituent 1,r = The Constituent Closing Level of Constituent i, where i=1, as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) Constituent 2,t = The Constituent Closing Level of Constituent i, where i=2, as of Index Business Day t 12

14 Constituent 2,r = The Constituent Closing Level of Constituent i, where i=2, as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be) 2.3 Short Allocation Level The Short Allocation Level determined by the Index Calculation Agent as of the Index Start Date and each Index Business Day t following the Index Start Date shall be an amount equal to the Constituent Closing Level of Constituent i, where i=3, in respect of such day. 3 ADDITIONAL ADJUSTMENT EVENTS 3.1 Constituent Licensing Event If, in respect of any Constituent, any license granted to the Index Sponsor and/or the Index Calculation Agent and/or any of their respective Affiliates, to use such Constituent in connection with the Index is terminated, or any such entity s right to use such Constituent in connection with calculating the Index is otherwise disputed, impaired or ceases for any reason (each an Additional Adjustment Event ), then regardless of whether such Constituent is, at that time, a Constituent: (i) (ii) (iii) the Index Calculation Agent may suspend the calculation, publication and dissemination of the Index and the Index Level until the first succeeding Index Business Day on which such event does not occur or continue to occur; and/or the Index Calculation Agent may select a replacement Constituent that has substantially similar characteristics to the Constituent that is being replaced, having regard to the manner in which such Constituent is used in the calculation of the Index (the Replacement Criteria ), in which case the Index Calculation Agent will (a) determine the effective date of such replacement, and (b) make such adjustment(s) to the Index Conditions as it determines appropriate to account for the effect on the Index of such replacement; and/or the Index Sponsor may discontinue and cancel the Index. 13

15 Part E: Data 14

16 Data Citi Investment Strategies (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 Allocation Type 1 Citi Volatility Balanced Beta (VIBE) Equity US Net Total Return Index CIISRLUT <Index> Proprietary Index Long Allocation 2 Citi Volatility Balanced Beta (VIBE) Equity US Alpha Trend Net Total Return Index CIISRAUT <Index> Proprietary Index Long Allocation 3 S&P 100 Total Return Index SPTR100 <Index> Share Index Short Allocation 2. Particulars in respect of each Constituent Constituent i Type of Index Exchange(s) Related Exchange(s) 1 Not Applicable Not Applicable Not Applicable 2 Not Applicable Not Applicable Not Applicable 3 Single Exchange Index New York Stock Exchange and Nasdaq Stock Market, Inc. All Exchanges 3. Adjustment Elections Scheduled Valuation Dates Adjustments (Scheduled Trading Days: holidays ): Adjustments (Disrupted Days): Rebalancing Date Move In Block Value What You Can Other Move In Block Move In Block Valuation Roll (Disrupted Days): 5 5 In cases where a scheduled Rebalancing Date is postponed due to the occurrence of existence of a Disrupted Day, an Index Level for the day which was originally scheduled to be the Rebalancing Date will be determined 15

17 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. 4. Defined Terms Index Business Day: Index Valuation Time: LSE Trading Day: Rebalancing Date: Scheduled Valuation Date: XETRA Trading Day: Each day which is (1) a Scheduled Trading Day for each Constituent; and (2) a XETRA Trading Day and an LSE Trading Day. In respect of an Index Business Day, 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. Each day on which the London Stock Exchange (or any successor) is scheduled to be open for trading for its regular trading session. The Index Start Date and thereafter, the fourth Index Business Day of each of January, April, July and October, subject to adjustment in accordance with section 3 (Adjustment Elections) above. Each Index Business Day. Each day on which XETRA (or any successor) is scheduled to be open for trading for its regular trading session. 16

18 Part F: Specific Risks 17

19 Specific Risks Citi Investment Strategies This Part G 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. LONG/SHORT STRATEGY RISK The Index uses a long/short asset allocation strategy that provides exposure to US equities through (1) a notional long position, split equally between two Citi VIBE indices: Citi Volatility Balanced Beta (VIBE) Equity US Net Total Return Index and Citi Volatility Balanced Beta (VIBE) Equity US Alpha Trend Net Total Return Index (the Long Indices ); and (2) a notional short position in the S&P 100 Total Return Index (the S&P 100 ). The Index will, therefore, perform positively during any periods when the average performance of the Long Indices outperforms the S&P 100. However, the Index will suffer negative performance during any periods when the S&P 100 performs better than the average performance of the Long Indices. The performance of the Index may be worse than the performance of the S&P 100 and indeed the Index may perform negatively during periods when the S&P 100 or the US equity market more broadly experiences positive performance. 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 used by each of the Long Indices 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 constituents, with lower volatility, when compared to an equivalent equal-weighted or market capitalizationweighted 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. REBALANCING FREQUENCY LIMITATIONS The Index is rebalanced on a quarterly basis on each Rebalancing Date in order to (a) return the weights of the Long Allocation and the Short Allocation to equilibrium, and (b) return the weights of the Long Indices to equal 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, the Long Indices may deviate significantly from equal weights; and the Long Allocation and the Short Allocation may deviate significantly from 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 equities than would have been the case if the Index was rebalanced on a more frequent basis. FIXED ALGORITHMIC MODEL PARAMETERS In common with all algorithmic strategies, the Index uses a rules-based methodology which contains fixed parameters. For example, the weights of the three Constituents (being the two Long Indices and the S&P 100) are rebalanced to their target weights 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. 18

20 THE INDEX WILL BE CANCELLED IF THE INDEX LEVEL FALLS TO ZERO The use of a long/short asset allocation strategy means that the level of the Index could fall to zero even if the individual Constituents do not fall to zero. This is possible due to several factors, including: (i) an increase in the value of the Short Allocation (being a notional short position in the S&P 100) will cause a decline in the level of the Index, (ii) a short position in any asset is subject to the risk of losses which are theoretically unlimited because there is no upper limit on the price to which an asset can rise, and (iii) the level of the Index will decline as a result of both (a) any increase in the value of the Short Allocation, as previously mentioned, and (b) any decrease in the value of the Long Allocation (being a notional long position in the Long Indices). If the level of the Index falls to zero, the Index will be discontinued and cancelled by the Index Sponsor. 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. 19

21 Part G : Constituent Disclaimers 20

22 Constituent Disclaimers Citi Investment Strategies S&P Disclaimer Any Index Linked Product is not sponsored, endorsed, sold or promoted by Standard & Poor's Financial Services LLC ("S&P") or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the any Index Linked Product or any member of the public regarding the advisability of investing in securities generally or in any Index Linked Product particularly or the ability of the S&P 100 Total Return Index to track general stock market performance. The S&P 100 Total Return Index is determined, composed and calculated by S&P or its third party licensors without regard to Citigroup Global Markets Limited or any Index Linked Products. S&P and its third party licensors have no obligation to take the needs of Citigroup Global Markets Limited or the owners of the any Index Linked Product into consideration in determining, composing or calculating the S&P 100 Total Return Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of any Index Linked Product or the timing of the issuance or sale of any Index Linked Product or in the determination or calculation of the equation by which any Index Linked Product is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of any Index Linked Product. NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. THE S&P 100 TOTAL RETURN INDEX IS A TRADEMARK OF STANDARD & POOR'S FINANCIAL SERVICES LLC. 21