Citi BRIC Enhanced Commodities Index

Citi BRIC Enhanced Commodities Index Index Conditions The following is the description of the Citi BRIC Enhanced Commodities Index (the Index). The Index was established on 4 January 2010 (the Establishment Date) and back-calculated from 31 December 2002 (the Start Date). The Index is determined by Citigroup Global Markets Limited (the Index Sponsor) in accordance with the methodology described below. No assurance can be given that market, regulatory, juridical or fiscal circumstances or, without limitation, any other circumstances in the determination of the Index Sponsor will not arise that would necessitate a modification or change of such methodology. Although the Index Sponsor will obtain information for inclusion in or for use in the calculation of the Index from sources which the Index Sponsor considers reliable, the Index Sponsor will not publish or independently verify such information and does not guarantee the accuracy and/or completeness of the Index or any of the data included therein. The Index Sponsor makes no express or implied representations or warranties as to (a) the advisability of purchasing or assuming any risk in connection with any transaction linked in whole or in part to the Index, (b) the levels at which the Index stands at any particular time on any particular date, (c) the results to be obtained by the issuer of any security or any counterparty or any such issuer's security holders or customers or any such counterparty's customers or counterparties or any other person or entity from the use of the Index or any data included therein for any use, or (d) any other matter. The Index Sponsor makes no express or implied representations or warranties of merchantability or fitness for a particular purpose with respect to the Index or any data included therein. Without limiting any of the foregoing, in no event shall the Index Sponsor have any liability (whether in negligence or otherwise) to any person for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. General The Index reflects the weighted performance of the Underlying Indices as more fully described in Index Condition 1. Each year, the Index Sponsor will determine the Annual Weight for each Underlying Index as more fully described in Index Condition 2. An Excess Return Index Value and a Total Return Index Value for the Index is calculated in respect of each Index Business Day in accordance with Index Condition 3. The Index is sponsored by the Index Sponsor. The Index is calculated by the Index Sponsor on a notional basis. Investors in any financial instrument or transaction linked directly or indirectly in whole or in part to the performance of the Index will not have any proprietary interest in the Index or any of the components that comprise the Index from time to time. 2010-04-26

1. INDEX CONSTITUTION 1.1 Composition of the Index The Index Sponsor calculates the Index, which reflects the weighted performance of the thirteen Citi Commodities Curve Beta Enhanced Indices (Citi CUBES) set out in Appendix A hereto (each an Underlying Index and together, the Underlying Indices). The methodology of the Underlying Indices is set out in the Index Conditions of Citi CUBES (the Citi CUBES Index Conditions), which are available on the following website: https://www.citigroupcib.com/euprospectus 1.2 Calculation and Publication of the Index The Index Sponsor will calculate (i) an index value on an excess return basis (the Excess Return Index Value) and (ii) an index value on a total return basis (the Total Return Index Value and, together with the Excess Return Index Value, the Index Values) for the Index in respect of each Index Business Day. The Excess Return Index Value rounded to three decimal places will be the Published Excess Return Index Value and the Total Return Index Value rounded to three decimal places will be the Published Total Return Index Value. The Published Total Return Index Value and the Published Excess Return Index Value (together the Published Index Values) in respect of the Index will be published on the Bloomberg ticker specified in the table below under the heading "Index Bloomberg Ticker" at the Index Valuation Time on the immediately following Index Business Day. Index Citi BRIC Enhanced Commodities Index Published Excess Return Index Value CCUBBCER Index Index Bloomberg Ticker Published Total Return Index Value CCUBBCTR Index 1.3 Index Discontinuation The Index Sponsor may cease calculating the Index Values and publishing the Published Index Values in respect of the Index and/or discontinue the Index at any time on the occurrence of the following (each a Discontinuation Event): (a) (b) an Underlying Index is discontinued and/or an index value in respect of an Underlying Index is no longer calculated or published; or the Index Sponsor acting in good faith and in a commercially reasonable manner is unable to determine the Annual Weights from one or more Consumption Quantity Data Source(s) which are in its opinion quoting commercially reasonable relevant Consumption Quantity(ies). The Index Sponsor shall make available relevant details in accordance with Index Condition 4 as soon as practicable following the occurrence of a Discontinuation Event. 2. ANNUAL WEIGHTS DETERMINATION METHODOLOGY The Index Sponsor determined or, as applicable, will determine the weight for each Underlying Index (the Annual Weight) in respect of each calendar year (an Annual Weights Year) from and including the Start Year as the quotient of (a) the Implied Consumption Value for the Associated Commodity in respect of such Underlying Index (as numerator) and (b) the Total Implied Consumption Value (as denominator). 2

A table illustrating the determination of Annual Weights for 2010 is provided in Appendix B hereto. The Annual Weights for an Annual Weights Year will be available on request from the Index Sponsor on or before the first Index Business Day of such Annual Weights Year. 3. INDEX VALUE CALCULATION METHODOLOGY The Index Sponsor will calculate the Index Values in respect of each Index Business Day as more fully described in this Index Condition 3. Figures used in calculations in respect of the Index, including, for the avoidance of doubt, the Index Values, will not be rounded. The Published Index Values in respect of the Index will be rounded to three decimal places. The precision in respect of all calculations and determinations is based on the Microsoft VBA precision for the datatype double. 3.1 Excess Return Index Value Calculation In respect of the Start Date, each of the Excess Return Index Value and the Published Excess Return Index Value in respect of the Index was 100. In respect of each Index Business Day after the Start Date, the Excess Return Index Value in respect of the Index was or, as applicable, will be calculated as follows: where: u ERIV d = ERIV d-1 + UERIU u,d-1 x ( UPERIV u,d UPERIV u,d-1 ) ERIV d ERIV d-1 UERIU u,d-1 UPERIV u,d UPERIV u,d-1 is the Excess Return Index Value of the Index in respect of Index Business Day d; is the Excess Return Index Value of the Index in respect of the Index Business Day immediately preceding Index Business Day d; is the Underlying Excess Return Index Units in respect of Underlying Index u in relation to the Index Business Day immediately preceding Index Business Day d; is the Published Excess Return Index Value (as defined in the Citi CUBES Index Conditions) of Underlying Index u in respect of Index Business Day d; and is the Published Excess Return Index Value (as defined in the Citi CUBES Index Conditions) of Underlying Index u in respect of the Index Business Day immediately preceding Index Business Day d. In respect of the Start Date, the Underlying Excess Return Index Units in respect of each Underlying Index was as set out in Appendix D. In respect of each Index Business Day (each a Relevant Day) following the Start Date, the Underlying Excess Return Index Units in respect of each Underlying Index was or, as applicable, will be calculated as follows: If (a) such Relevant Day is an Exchange Business Day, (b) such Relevant Day is not a Disrupted Day in respect of such Underlying Index and (c)(i) such Relevant Day is the 3

first Exchange Business Day of the calendar month in which such Relevant Day falls (a Relevant Month) or (ii) there has not been an Exchange Business Day in the Relevant Month which is not a Disrupted Index Business Day: UERIU u,d = ERIV d x AW u,d UPERIV u,d ; or otherwise: where: UERIU u,d = UERIU u,d-1 UERIU u,d UERIU u,d-1 AW u,d is the Underlying Excess Return Index Units in respect of Underlying Index u in relation to Index Business Day d; is the Underlying Excess Return Index Units in respect of Underlying Index u in relation to the Index Business Day immediately preceding Index Business Day d; and is the Annual Weight in respect of Underlying Index u in respect of the Annual Weights Year on which Index Business Day d falls. The Published Excess Return Index Value of the Index in respect of each Index Business Day is the Excess Return Index Value in respect of such Index Business Day, rounded to three decimal places. 3.2 Total Return Index Value Calculation In respect of the Start Date, each of the Total Return Index Value and the Published Total Return Index Value in respect of the Index was 100. In respect of each Index Business Day after the Start Date, the Total Return Index Value in respect of the Index was or, as applicable, will be calculated as follows: where: u TRIV d = TRIV d-1 + [ UTRIU u,d-1 x ( UPTRIV u,d UPTRIV u,d-1 ) ] TRIV d TRIV d-1 UTRIU u,d-1 UPTRIV u,d UPTRIV u,d-1 is the Total Return Index Value of the Index in respect of Index Business Day d; is the Total Return Index Value of the Index in respect of the Index Business Day immediately preceding Index Business Day d; is the Underlying Total Return Index Units in respect of Underlying Index u in relation to the Index Business Day immediately preceding Index Business Day d; is the Published Total Return Index Value (as defined in the Citi CUBES Index Conditions) of Underlying Index u in respect of Index Business Day d; and is the Published Total Return Index Value (as defined in the Citi CUBES Index Conditions) of Underlying Index u in respect of the Index Business Day immediately preceding Index Business Day d. 4

In respect of the Start Date, the Underlying Total Return Index Units in respect of each Underlying Index was as set out in Appendix D. In respect of each Index Business Day (each a Relevant Day) following the Start Date, the Underlying Total Return Index Units in respect of each Underlying Index was or, as applicable, will be calculated as follows: If (a) such Relevant Day is an Exchange Business Day, (b) such Relevant Day is not a Disrupted Day in respect of such Underlying Index and (c)(i) such Relevant Day is the first Exchange Business Day of the calendar month in which such Relevant Day falls (a Relevant Month) or (ii) there has not been an Exchange Business Day in the Relevant Month which is not a Disrupted Index Business Day: UTRIU u,d = TRIV d x AW u,d UPTRIV u,d ; or otherwise: where: UTRIU u,d = UTRIU u,d-1 UTRIU u,d UTRIU u,d-1 AW u,d is the Underlying Total Return Index Units in respect of Underlying Index u in relation to Index Business Day d; is the Underlying Total Return Index Units in respect of Underlying Index u in relation to the Index Business Day immediately preceding Index Business Day d; and is the Annual Weight in respect of Underlying Index u in respect of the Annual Weights Year on which Index Business Day d falls. The Published Total Return Index Value of the Index in respect of each Index Business Day is the Total Return Index Value in respect of such Index Business Day, rounded to three decimal places. 4. CALCULATIONS, DETERMINATIONS AND CANCELLATIONS General: The Index Sponsor shall make all calculations, determinations, rebalancings and adjustments in respect of the Index. The Index Sponsor shall have no responsibility for good faith errors or omissions in its calculations, determinations, rebalancings and adjustments as provided in these Index Conditions. The calculations, determinations, rebalancings and adjustments of the Index Sponsor shall be made by it in accordance with these Index Conditions, acting in good faith and in a commercially reasonable manner (having regard in each case to the criteria stipulated herein and (where relevant) on the basis of information provided to or obtained by employees or officers of the Index Sponsor responsible for making the relevant calculation, determination, rebalancing or adjustment). All calculations, determinations, rebalancings and adjustments shall, in the absence of manifest error, be final, conclusive and binding on any user of any Index including any holder of or counterparty to an investment linked to the Index. For the avoidance of doubt, any calculations, determinations, rebalancings or adjustments made by the Index Sponsor under these Index Conditions on an estimated basis shall not be revised following the making of such calculation, determination, rebalancing or adjustment. While the Index Sponsor currently employs the methodology described in these Index Conditions to calculate the Index, if market, regulatory, juridical or fiscal circumstances or, without limitation, any other circumstances arise that would, in the determination of the Index Sponsor, necessitate a modification or change to such methodology or the permanent discontinuance of the determination and publication of the Index, the Index Sponsor may make such modifications or changes as it considers appropriate to deal with such circumstances or, as the case may be, 5

permanently discontinue the determination and publication of the Index. Information relating to such action, if any, will be promptly recorded and will be made available on the following website: https://www.citigroupcib.com/euprospectus Rounding: Unless otherwise stated, any price, number, currency amount or percentage calculated by the Index Sponsor will be rounded to such number of decimal places and in such a manner as the Index Sponsor determines is appropriate acting in a commercially reasonable manner, in each case using the Microsoft Excel function Round. The precision in respect of all calculations and determinations is based on the Microsoft VBA precision for the datatype double. Use of Estimates: The Index Sponsor will make calculations, determinations, rebalancings and adjustments as described in these Index Conditions using the information, price sources or factors as specified in these Index Conditions and may undertake any of such measures in any order. However, should the Index Sponsor not be able to obtain the necessary information or be able to use the specified price sources or factors, then, after using reasonable endeavours and after applying all fallback provisions specified in these Index Conditions in relation to such calculation, determination, rebalancing or adjustment, the Index Sponsor shall be permitted to use its estimate (arrived at in good faith and a commercially reasonable manner) of the relevant information, price source or factor in making the relevant calculations, determinations, rebalancings or adjustments should it determine that such estimate is reasonably necessary in order to give effect to any provision or calculate any value required by any provision of these Index Conditions. Corrections: If the Index Sponsor becomes aware that any value, level, account or other information used by it in connection with any calculation, determination, rebalancing or adjustment in respect of these Index Conditions has been corrected or adjusted the Index Sponsor may, but shall not be obliged to, use such corrected or adjusted value, level, amount or other information and, as a consequence, make any change, adjustment, rebalancing, determination or calculation in respect of these Index Conditions it determines necessary or desirable to give effect to or reflect such corrected or adjusted value, level, amount or other information in its discretion including, without limitation, to take account of any redenomination, exchange or conversion of any currency into a successor currency. Reliance: In making any calculations, determinations, rebalancings or adjustments, the Index Sponsor may rely upon the opinion of any person who appears to it as being competent to value assets of any class or classes by reason of any appropriate professional qualification or experience of any relevant market or asset. Not Acting as Fiduciary: In making calculations, determinations, rebalancings and adjustments under the Index Conditions, the Index Sponsor shall act as principal and not as agent or fiduciary of any other person. Each calculation, determination, rebalancing and adjustment performed by the Index Sponsor under the Index Conditions is performed in reliance upon this and subject thereto. If by performing any such calculation, determination, rebalancing or adjustment the Index Sponsor is rendered an agent or fiduciary for another person under applicable law, then the Index Sponsor's right and obligation to perform such calculation, determination, rebalancing or adjustment may be suspended at the option of the Index Sponsor (or, if already performed, its application may be suspended) until such calculation, determination, rebalancing or adjustment may be performed by the Index Sponsor as principal and not as agent or fiduciary (or until it may be performed by an appropriate third party that is willing and able to perform it). Dates of Calculations: Notwithstanding that certain calculations, determinations, rebalancings and adjustments in these Index Conditions may be expressed to be "on" a certain date, the Index 6

Sponsor may make such calculations, determinations, rebalancings and adjustments in respect of that date on a date after that date determined by it in its discretion. Publication: Information relating to the calculation of the Index and any Underlying Index Discontinuation Event or Underlying Index Substitution will be promptly recorded and will be made available on the following website: https://www.citigroupcib.com/euprospectus 5. DEFINITIONS Annual Weight is as defined in Index Condition 2. Annual Weights Year is as defined in Index Condition 2. Associated Commodity means, in respect of an Underlying Index, the commodity set out beside such Underlying Index in Appendix A hereto. Associated Contract means, in respect of an Associated Commodity, the category and type of futures contract and with the same quality and quantity of such Associated Commodity and traded on the exchange set out beside such Associated Commodity in Appendix A hereto or any successor to such futures contract as determined by the Index Sponsor acting in good faith and a commercially reasonable manner. Citi CUBES means Citi Commodities Curve Beta Enhanced Indices. Citi CUBES Index Conditions is as defined in Index Condition 1.1. Consumption Quantity means, in respect of an Associated Commodity, the sum of the total consumption (or, if the Associated Commodity is silver or gold, the total fabrication) of the Associated Commodity for each Relevant Country in respect of the second calendar year immediately preceding the Annual Weights Year published by the Consumption Quantity Data Source or, if no data is published for such year, the most recently published data. The Consumption Quantity in respect of each Associated Commodity in relation to Annual Weights Year 2010 is set out in Appendix B. Consumption Quantity Data Source means, in respect of an Associated Commodity, the data source set out beside such Associated Commodity in Appendix A hereto or any alternative or successor data source determined by the Index Sponsor acting in good faith and a commercially reasonable manner. Contract Unit Price means, in respect of an Associated Commodity and an Annual Weights Year, the per-contract price in USD of the monthly futures contract closest to expiration of the Associated Contract in respect of such Associated Commodity as published by the Price Source on the last Index Business Day of November in the calendar year immediately preceding the Annual Weights Year. The Contract Unit Price in respect of each Associated Contract in relation to Annual Weights Year 2010 is set out in Appendix B. Disrupted Day means a day on which in the determination of the Index Sponsor one or more of the following occurs in respect of an Underlying Index: (a) the exchange on which one or more commodity futures contracts constituting such Underlying Index on such day is traded did not open for trading at any time on such day; 7

(b) (c) one or more commodity futures contracts constituting such Underlying Index on such day was not traded at any time on such day; or the Settlement Price of one or more commodity futures constituting such Underlying Index on such day is a Limit Price on such day. Disrupted Index Business Day means an Index Business Day which is a Disrupted Day in respect of any Underlying Index. Discontinuation Event is as defined in Index Condition 1.3. Establishment Date means 4 January 2010. Excess Return Index Value is as defined in Index Condition 1.2. Exchange Business Day is as defined in the Citi CUBES Index Conditions. Implied Consumption Value means, in respect of an Associated Commodity and an Annual Weights Year, an amount in USD equal to the product of (a) the Implied Contract Units and (b) the Contract Unit Price in each case in respect of such Associated Commodity. The Implied Consumption Value in respect of each Associated Commodity in relation to Annual Weights Year 2010 is set out in Appendix B. Implied Contract Units means, in respect of an Associated Commodity and an Annual Weights Year, the number of units of the Associated Contract in respect of such Associated Commodity as determined by the Index Sponsor to be the equivalent of the Consumption Quantity for such Associated Commodity in respect of such Annual Weights Year, by converting and, if applicable, annualising any such Consumption Quantity expressed as a daily amount, using the conversion amount beside the relevant Associated Commodity in Appendix C hereto. The Implied Contract Units in respect of each Associated Contract in relation to Annual Weights Year 2010 is set out in Appendix B. Index means Citi BRIC Enhanced Commodities Index. Index Business Day is as defined in the Citi CUBES Index Conditions. Index Sponsor means Citigroup Global Markets Limited. Index Valuation Time means 11 a.m. (London time) or such time approximate thereto as the Index Sponsor determines or such other time as the Index Sponsor determines to be the Index Valuation Time. Index Value means the Excess Return Index Value and the Total Return Index Value. Limit Price means a price determined by reference to the maximum price advance or decline from the previous day s settlement price as permitted by the rules of the relevant exchange. Price Source means, in respect of an Associated Contract, the price source set out beside such Associated Contract in Appendix A hereto or any alternative or successor price source determined by the Index Sponsor in good faith and in a commercially reasonable manner. Published Excess Return Index Value is as defined in Index Condition 1.2. 8

Published Index Value means each of the Published Excess Return Index Value and the Published Total Return Index Value. Published Total Return Index Value is as defined in Index Condition 1.2. Relevant Country means each of the Federative Republic of Brazil, the People's Republic of China, India and the Russian Federation. Relevant Month is as defined in Index Condition 3.1 or 3.2, as applicable. Relevant Day is as defined in Index Condition 3.1 or 3.2, as applicable. Settlement Price is as defined in the Citi CUBES Index Conditions. Start Date means 31 December 2002. Start Year means 2003. Total Implied Consumption Value means, in respect of an Annual Weights Year, the sum of the Implied Consumption Values for all of the Associated Commodities as determined by the Index Sponsor. Total Return Index Value is as defined in Index Condition 1.2. Underlying Excess Return Index Units is as defined in Index Condition 3.1. Underlying Index is as defined in Index Condition 1.1. Underlying Total Return Index Units is as defined in Index Condition 3.2. USD means the lawful currency of the United States of America. 9

Appendix A. Underlying Indices No. Underlying Index Associated Commodity Associated Contract Consumption Quantity Data Source 1. Citi CUBES Brent Crude Petroleum ICE Brent Crude Total Petroleum Consumption, published by U.S. Energy Information Administration 2. Citi CUBES Gold Gold COMEX Gold Gold Fabrication (including use of scraps), Gold Survey, published by GFMS Limited 3. Citi CUBES Silver Silver COMEX Silver Silver Fabrication (including use of scraps), World Silver Survey, published by The Silver Institute and GFMS Limited 4. Citi CUBES Copper Copper LME Copper Total Copper Consumption (including (LME) direct use of scrap) for India and the People's Republic China, Refined Copper Consumption for the Federative Republic of Brazil and the Russian Federation, in each case published by Brook Hunt 5. Citi CUBES Aluminium Aluminium LME Aluminium Primary Aluminium Consumption, published by Brook Hunt 6. Citi CUBES Lead Lead LME Lead Refined Lead Consumption published by Brook Hunt 7. Citi CUBES Nickel Nickel LME Nickel Primary Nickel Consumption, published by Brook Hunt 8. Citi CUBES Zinc Zinc LME Zinc Slab Zinc Consumption, published by Brook Hunt 9. Citi CUBES Wheat Wheat CBOT Wheat Wheat Domestic Consumption, published by US Department of Agriculture 10. Citi CUBES Corn Corn CBOT Corn Corn Domestic Consumption, published by US Department of Agriculture 11. Citi CUBES Soybeans Soybean CBOT Soybean Soybean Oilseed Domestic Consumption published by, US Department of Agriculture Price Source Bloomberg screen page "CO1 Bloomberg screen page "GC1 Bloomberg screen page "SI1 Bloomberg screen page "LP1 Bloomberg screen page "LA1 Comdty " Bloomberg screen page "LL1 Comdty " Bloomberg screen page "LN1 Bloomberg screen page "LX1 Bloomberg screen page "W 1 Bloomberg screen page "C 1 Bloomberg screen page "S 1 10

No. Underlying Index Associated Commodity Associated Contract Consumption Quantity Data Source 12. Citi CUBES Soybean Oil Soybean Oil CBOT Soybean Oil Soybean Oil Domestic Consumption, published by US Department of Agriculture 13. Citi CUBES Cotton Cotton NYBOT Cotton Cotton Domestic Consumption, published by US Department of Agriculture Price Source Bloomberg screen page "BO1 Bloomberg screen page "CT1 11

Appendix B. Annual Weights for 2010 Underlying Index Associated Commodity Associated Contract Consumption Quantity Implied Contract Units Contract Unit Price Implied Consumption Value Annual Weight Energy 59.82% Citi CUBES Brent Crude Petroleum ICE Brent Crude 16,194 thousand barrels/day 5,910,810 $ 78,470 $ 463,821,260,700 59.82% Precious Metals 5.49% Citi CUBES Gold Gold COMEX Gold 1,019.6 tonnes 327,801 $ 118,110 $ 38,716,623,354 4.99% Citi CUBES Silver Silver COMEX Silver 209.5 million ounces 41,900 $ 92,475 $ 3,874,702,500 0.50% Industrial Metals 14.66% Citi CUBES Copper (LME) Copper LME Copper 8,108 kilotonnes 324,332 $ 172,619 $ 55,985,755,810 7.22% Citi CUBES Aluminium Aluminium LME Aluminium 16,118 kilotonnes 644,700 $ 50,863 $ 32,791,053,750 4.23% Citi CUBES Lead Lead LME Lead 3,486 kilotonnes 139,440 $ 58,006 $ 8,088,391,500 1.04% Citi CUBES Nickel Nickel LME Nickel 362 kilotonnes 60,309 $ 98,088 $ 5,915,592,302 0.76% Citi CUBES Zinc Zinc LME Zinc 4,733 kilotonnes 189,320 $ 57,438 $ 10,874,052,523 1.40% Agriculture 20.03% Citi CUBES Wheat (CBOT) Wheat CBOT Wheat 222,870 1000 MT 1,637,827 $ 28,375 $ 46,473,342,714 5.99% Citi CUBES Corn Corn CBOT Corn 218,700 1000 MT 1,721,956 $ 20,138 $ 34,675,895,394 4.47% Citi CUBES Soybeans Soybeans CBOT Soybeans 96,087 1000 MT 706,124 $ 53,025 $ 37,442,232,820 4.83% Citi CUBES Soybean Oil Soybean Oil CBOT Soybean Oil 16,316 1000 MT 599,613 $ 24,114 $ 14,459,067,882 1.86% Citi CUBES Cotton Cotton NYBOT Cotton 65,475 1000 480 lb. Bales 628,560 $ 35,375 $ 22,235,310,000 2.87% Consumption Quantities were obtained from the Consumption Quantity Data Sources listed in Appendix A. Consumption Quantities in respect of the calendar year 2008 were used to determine the Annual Weights for 2010, in accordance with Index Condition 2 12

Appendix C. Conversion from Consumption Quantity to Implied Contract Units Unit of Measurement of Consumption Quantity Implied Contract Units for each Unit of Measurement of Consumption Quantity Associated Commodity Associated Contract Petroleum ICE Brent Crude thousand barrels/day 365.00000000 Gold COMEX Gold tonnes 321.50000000 Silver COMEX Silver million ounces 200.00000000 Copper LME Copper kilotonnes 40.00000000 Aluminum LME Aluminum kilotonnes 40.00000000 Lead LME Lead kilotonnes 40.00000000 Nickel LME Nickel kilotonnes 166.66666667 Zinc LME Zinc kilotonnes 40.00000000 Wheat CBOT Wheat 1000 MT 7.34880000 Corn CBOT Corn 1000 MT 7.87360000 Soybeans CBOT Soybeans 1000 MT 7.34880000 Soybean Oil CBOT Soybean Oil 1000 MT 36.75000000 Cotton NYBOT Cotton 1000 480 lb. Bales 9.60000000 13

Appendix D. Underlying Excess Return Index Units and Underlying Total Return Index Units in respect of the Start Date Underlying Excess Return Index Units in respect of the Start Date Underlying Total Return Index Units in respect of the Start Date Underlying Index Citi CUBES Brent Crude 0.158011459 0.134820435 Citi CUBES Gold 0.044471014 0.037938366 Citi CUBES Silver 0.004968106 0.004238255 Citi CUBES Copper (LME) 0.028269339 0.024116635 Citi CUBES Aluminium 0.037214492 0.031748258 Citi CUBES Lead 0.003445756 0.002939518 Citi CUBES Nickel 0.002731442 0.002330342 Citi CUBES Zinc 0.011835759 0.010096904 Citi CUBES Wheat (CBOT) 0.214446890 0.182937731 Citi CUBES Corn 0.117765414 0.100460732 Citi CUBES Soybeans 0.069807485 0.059551993 Citi CUBES Soybean Oil 0.036379291 0.031033200 Citi CUBES Cotton 0.088897312 0.075833884 14