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Citi Volatility IndicesCiti EUR Long Volatility 10y10y IndexCiti USD Long Volatility 10y10y IndexCiti EUR Short Volatility 5w10y IndexCiti USD Short Volatility 5w10y IndexIndex Conditions22 July 2014Part 1GeneralThis document constitutes the “Index Conditions” of each of the following indices (each, an “Index”):(1)Citi EUR Long Volatility 10y10y Index(Index Table A)(CRBVTXFE)(2)Citi USD Long Volatility 10y10y Index(Index Table B)(CRBWTXFU)(3)Citi EUR Short Volatility 5w10y Index(Index Table C)(CRBGE1TE); and(4)Citi USD Short Volatility 5w10y Index(Index Table D)(CRBGU1TU).References in these Index Conditions to “the Index” or “an Index” shall be references to each Index themethodology of which is described in these Index Conditions.These Index Conditions are made available by Citigroup Global Markets Limited in its capacity as the IndexSponsor.As at the date of these Index Conditions, Citigroup Global Markets Limited also acts as the IndexCalculation Agent, calculating and publishing (in accordance with these Index Conditions) the Index and theIndex Level, and any version of the Index denominated in a currency other than the Index Base Currency(each such version, a “Currency Index”) and the Currency Index Level of each such Currency Index.The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index CalculationAgent at any time, which may be the Index Sponsor or one of its Affiliates.The Index Level is calculated by the Index Calculation Agent on each Index Business Day.The Currency Index Level of each Currency Index is calculated by the Index Calculation Agent on eachIndex Business Day.Page 1 of 41Citi Volatility Indices-Index Conditions-2017-07-22

The Index Level for each Index Business Day is published on the Index Ticker, generally on the nextfollowing Index Business Day. This should be considered the official source for the Index Level and a levelobtained from any other source (electronic or otherwise) must be considered unofficial. The Index Level isthe 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 IndexBusiness Day or any other day with the consent of the Index Sponsor.The Currency Index Level of each Currency Index for each Index Business Day is published on the relevantCurrency Index Ticker, generally on the next following Index Business Day. This should be considered theofficial source for the Currency Index Level and a level obtained from any other source (electronic orotherwise) must be considered unofficial. The Currency Index Level is the closing level of the relevantCurrency Index for the relevant Index Business Day. The Index Calculation Agent may also, but is notobliged to, calculate the level of each Currency Index in respect of any other valuation time on any IndexBusiness Day or any other day with the consent of the Index Sponsor.The Index Sponsor’s determinations in respect of any index, the methodology of which is described in theseIndex Conditions, shall be final. Please refer to Part 3 (Miscellaneous Provisions) for further information.Page 2 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Key InformationIndex Calculation Agent:Citigroup Global Markets Limited.Index Sponsor:Citigroup Global Markets Limited.Index Business Day:Each day which is both (1) a day on whichcommercial banks and foreign exchange marketsare open for general business (including dealingsin foreign exchange and foreign currency deposits)in London and New York; and (2) a TARGETSettlement Day.Frequency of calculation of the Index Level:Daily, on each Index Business Day.Index Rebalancing Day:The Index Business Day immediately followingeach Observation Day, commencing on the IndexStart Date, subject to adjustment under paragraph 3of Section A of Part 1.Frequency of rebalancing:Weekly, on each Index Rebalancing Day.The Index was launched by the Index Sponsor on the Index Launch Date. The Index has been calculated bythe Index Calculation Agent for the period from the Index Start Date. Any back-testing or similarperformance analysis (for the period prior to the Index Start Date) undertaken by any person in respect of theIndex for any reason must be considered illustrative only and may be based on assumptions or estimates notused by the Index Calculation Agent when determining the Index Level.Page 3 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Overview of the IndexThe Index is a rules-based proprietary index developed by the Index Sponsor which aims to provide exposureto interest rate volatility by tracking the performance of an underlying strategy (the “Underlying Strategy”).The Underlying Strategy is a rules-based notional trading strategy which, on a weekly basis, notionallyenters into one or more transactions (each, a “Transaction”) and notionally terminates one or moreTransactions.References in these Index Conditions to any Transaction shall be references to a notional transaction, whichis notionally entered into and subsequently notionally terminated.The Underlying Strategy does not enter into any actual transaction.The applicable Index Table of the Index specifies the particular Transactions that the Underlying Strategy ofthe Index enters into and subsequently terminates, and the dates when the Underlying Strategy enters intoand subsequently terminates those Transactions.The Underlying Strategy aims to provide exposure to interest rate volatility by tracking a rolling notionalinvestment position in interest rate “swaption straddle” Transactions (each, a “Swaption StraddleTransaction”).Each Swaption Straddle Transaction comprises a pair of “swaption” Transactions (each, a “SwaptionTransaction”).Under one Swaption Transaction of a Swaption Straddle Transaction, the Underlying Strategy has the optionto pay the fixed rate in the underlying interest rate swap, and under the other Swaption Transaction of thatSwaption Straddle Transaction, the Underlying Strategy has the option to receive the fixed rate in theunderlying interest rate swap.Each Swaption Transaction provides the Underlying Strategy with the option (which may be exercised 10years after the Swaption Transaction is entered into) to enter into an underlying 10-year interest rate swap inthe relevant currency. The fixed rate leg of each underlying interest rate swap is priced such that the fixedrate is “at-the-money” on the date when the Swaption Straddle Transaction is entered into.By entering into a Swaption Straddle Transaction which is “at-the-money”, the Underlying Strategy achievesan exposure to both the implied volatility of the forward swap rate and the realized volatility of the forwardswap rate. The Underlying Strategy also has an exposure to the prevailing interest rate environment throughthe discount rates used in the calculation of the premium for each Swaption Transaction.The Index Table of the Index specifies the particulars of each Swaption Straddle Transaction that theUnderlying Strategy of the Index enters into and subsequently terminates.The Index Table also specifies whether or not the Underlying Strategy enters into and subsequentlyterminates any hedging swap Transaction (each, a “Hedging Swap Transaction”), and if so, the particularsof each such Hedging Swap Transaction.Page 4 of 41Citi Volatility Indices-Index Conditions-2017-07-22

The performance of the Underlying Strategy is calculated on each Business Day with reference to the valueof each Transaction in which the Underlying Strategy is notionally invested on such day.The Index Table also specifies whether or not there are any Currency Indices in respect of the Index, and ifso, the particulars of each such Currency Index.The relevant Index Table of each Index is identified in the table the first page of these Index Conditions.Page 5 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Section ADetermination of the Index Level and supplementary calculations1.Index Level1.1Index Start DateThe Index Level on the Index Start Date shall be the Index Start Level.1.2Each Index Business Day following the Index Start DateThe Index Level on each Index Business Day “d” (following the Index Start Date) shall be an amountdetermined by the Index Calculation Agent in accordance with the formula set out below:I I NDPLAwhere:“Id”shall mean the Index Level on d.“Iird”shall mean the Index Level on the Index Rebalancing Day immediatelypreceding d.“NDPLAd”shall mean the Net Daily Profit or Loss Amount of the Underlying Strategyfor d.Page 6 of 41Citi Volatility Indices-Index Conditions-2017-07-22

2.Net Daily Profit or Loss Amount2.1Net Daily Profit or Loss AmountThe Net Daily Profit or Loss Amount on each Index Business Day “d” (following the Index StartDate) shall be an amount determined by the Index Calculation Agent in accordance with the formulaset out below:NDPLA DPLA TCwhere:“NDPLAd”shall mean the Net Daily Profit or Loss Amount on d.“DPLAd”shall mean the Daily Profit or Loss Amount on d.“TCd”shall mean the Transaction Cost in respect of the Index on d.The Transaction Cost in respect of the Index is specified in the applicableIndex Table.2.2Daily Profit or Loss AmountThe Daily Profit or Loss Amount on each Index Business Day “d” (following the Index Start Date)shall be an amount determined by the Index Calculation Agent equal to the sum (which may bepositive, negative or zero) of an amount, in respect of each Transaction in which the UnderlyingStrategy is invested on d, equal to the Citi Official Value of such Transaction on d minus the CitiOfficial Value of such Transaction on the Index Rebalancing Day immediately preceding d.The Daily Profit or Loss Amount on any Index Business Day which is also an Index Rebalancing Dayshall be determined prior to the notional termination of each Transaction that is notionally terminatedon such day.Page 7 of 41Citi Volatility Indices-Index Conditions-2017-07-22

3.Disrupted Days3.1Disrupted Day on any Index Rebalancing DayIf an Index Rebalancing Day is a Disrupted Day, then such Index Rebalancing Day shall be postponedto the first succeeding Index Business Day which is not a Disrupted Day, unless each of the five IndexBusiness Days immediately following the relevant Scheduled Index Rebalancing Day is a DisruptedDay. In that case:3.2(1)the Index Calculation Agent may deem the fifth Index Business Day following the relevantScheduled Index Rebalancing Day to be the relevant Index Rebalancing Day, notwithstandingthat it is a Disrupted Day, and may determine any information relating to the Index and/or theUnderlying Strategy (including without limitation the Citi Official Value of any Transaction)that it determines that it requires to determine the Index and the Index Level (or a method fordetermining such information), taking into consideration the latest available quotations, marketpractice and any other information that it determines is relevant; or(2)the Index Calculation Agent may suspend the determination and publication of the Index andthe Index Level until the first succeeding Index Business Day which is not a Disrupted Day, oruntil such later time as the Index Calculation Agent determines that it is practicable torecommence the determination and publication of the Index and the Index Level, taking intoconsideration any related transactions and such other commercial considerations as it deems arerelevant; or(3)the Index Sponsor may permanently discontinue the determination and publication of the Indexand the Index Level.Disrupted Day on any Index Business Day (which is not an Index Rebalancing Day)If an Index Business Day (which is not an Index Rebalancing Day) is a Disrupted Day, then the IndexCalculation Agent may suspend the determination and publication of the Index and the Index Leveluntil the first succeeding Index Business Day which is not a Disrupted Day, or until such later time asthe Index Calculation Agent determines that it is practicable to recommence the determination andpublication of the Index and the Index Level, taking into consideration any related transactions andsuch other commercial considerations as it deems are relevant.Page 8 of 41Citi Volatility Indices-Index Conditions-2017-07-22

4.Currency IndexThe Index Table specifies each Currency Index (if any) that is determined in respect of the Index.References in this paragraph 4 to “the Currency Index” shall be references to each Currency Index inrespect of the Index.4.1Index Start DateThe Currency Index Level on the Index Start Date shall be the Currency Index Start Level.4.2Each Index Business Day following the Index Start DateThe Currency Index Level on each Index Business Day “d” (following the Index Start Date) shall bean amount determined by the Index Calculation Agent in accordance with the formula set out below:CI CI CI II 1 RateRatewhere:4.3“CId”shall mean the Currency Index Level of the Currency Index on d.“CIird”shall mean the Currency Index Level of the Currency Index on the IndexRebalancing Day immediately preceding d.“Id”shall mean the Index Level on d.“Iird”shall mean the Index Level on the Index Rebalancing Day immediatelypreceding d.“Rateird”shall mean the Relevant Currency Exchange Rate, in respect of the Indexand the Currency Index, for the Index Rebalancing Day immediatelypreceding d.“Rated”shall mean the Relevant Currency Exchange Rate, in respect of the Indexand the Currency Index, for d.Relevant Currency Exchange Rate“Relevant Currency Exchange Rate” shall mean, in respect of the Index and a Currency Index, for aparticular day, the closing exchange rate on such day, expressed as the amount of the Index BaseCurrency per one unit of the Currency Index Currency in respect of such Currency Index, determinedby the Index Calculation Agent with reference to the Citi Official Value of such Relevant CurrencyExchange Rate.Page 9 of 41Citi Volatility Indices-Index Conditions-2017-07-22

4.4Currency Index Disrupted DaysIf an Index Business Day (including an Index Rebalancing Day) is a Currency Index Disrupted Day,then:(1)the Index Calculation Agent may suspend the determination and publication of the CurrencyIndex and the Currency Index Level until the first succeeding Index Business Day which is not aCurrency Index Disrupted Day, or until such later time as the Index Calculation Agentdetermines that it is practicable to recommence the determination and publication of theCurrency Index and the Currency Index Level, taking into consideration any related transactionsand such other commercial considerations as it deems are relevant; and(2)if the determination and publication of the Index and the Index Level are permanentlydiscontinued, then the Index Sponsor may permanently discontinue the determination andpublication of the Currency Index and the Currency Index Level.Page 10 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Section BThe Underlying Strategy1.Transactions1.1On each Index Rebalancing Day, the Underlying Strategy:(1)notionally enters into, with a Notional Counterparty, each Transaction specified in Part 2 of theIndex Table as being notionally entered into on such Index Rebalancing Day; and(2)notionally terminates each Transaction specified in Part 2 of the Index Table as being notionallyterminated on such Index Rebalancing Day.1.2Each such Transaction is entered into and subsequently terminated on the Standard Transaction Terms,and the particulars of each such Transaction are set out in the relevant parts of the relevant IndexTable.2.Capital At Risk2.1Index Start DateThe Capital At Risk on the Index Start Date shall be the amount specified in the Index Table.2.2Each Index Rebalancing DayThe Capital At Risk on each Index Rebalancing Day shall be an amount equal to the Index Level onsuch Index Rebalancing Day.3.Break-even RateThe Break-even Rate of a Swap Transaction shall be the Fixed Rate at which such Swap transaction isentered into such that neither the Fixed Rate Payer nor the Floating Rate Payer of such SwapTransaction makes a payment to the other in order to enter into such Swap Transaction (i.e. such SwapTransaction has a value of zero when it is entered into).Page 11 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Section CIndex TablesIndex Table A, Part 1Index:Index Ticker:Index Base Currency:Index Launch Date:Index Launch Level:Index Start Date:Index Start Level:Transaction Cost:Capital At Risk on the Index Start Date:Citi EUR Long Volatility 10y10y Index.CRBVTXFE.EUR.28 March 2013.131.96.9 July 2007.100.00.In respect of each Index Business Day, 0.EUR 100.00.Currency IndicesCurrency Index Currency:1. USDCurrency Index Start Level:100.00Currency Index Ticker:CRBVTXFUIndex Table A, Part 2Transaction(s) notionally entered into A Swaption Straddle Transaction comprising a Fixed Rateon an Index Rebalancing Day (“ird”):Receiver Swaption Transaction (on the terms set out below in thisIndex Table) and a Fixed Rate Payer Swaption Transaction (on theterms set out below in this Index Table).Transactions(s) notionally terminated The Swaption Straddle Transaction that had been notionallyentered into on the fourth Index Rebalancing Day immediatelyon ird:preceding ird.Page 12 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table A, Part 3Fixed Rate Receiver Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.EUR.TARGET Settlement Day.10 years after the Trade Date.European.Notional Counterparty.Underlying Strategy.The Citi Official Value of such Transaction.Expiration Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Notional Counterparty.Annually, from (and including) the date which is 12 months afterthe Effective Date to (and including) the Termination Date.The Break-even Rate for this Underlying Swap Transaction.30/360.Underlying Strategy.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.EUR-EURIBOR-Reuters.6 months.None.Actual/360.The first Business Day of each Calculation Period.Page 13 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table A, Part 4Fixed Rate Payer Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.EUR.TARGET Settlement Day.10 years after the Trade Date.European.Notional Counterparty.Underlying Strategy.The Citi Official Value of such Transaction.Expiration Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Underlying Strategy.Annually, from (and including) the date which is 12 months afterthe Effective Date to (and including) the Termination Date.The Break-even Rate for this Underlying Swap Transaction.30/360.Notional Counterparty.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.EUR-EURIBOR-Reuters.6 months.None.Actual/360.The first Business Day of each Calculation Period.Page 14 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table B, Part 1Index:Index Ticker:Index Base Currency:Index Launch Date:Index Launch Level:Index Start Date:Index Start Level:Transaction Cost:Capital At Risk on the Index Start Date:Citi USD Long Volatility 10y10y Index.CRBWTXFU.USD.28 March 2013.133.37.9 July 2007.100.00.In respect of each Index Business Day, 0.USD 100.00.Currency IndicesCurrency Index Currency:1. EURCurrency Index Start Level:100.00Currency Index Ticker:CRBWTXFEIndex Table B, Part 2Transaction(s) notionally entered into A Swaption Straddle Transaction comprising a Fixed Rateon an Index Rebalancing Day (“ird”):Receiver Swaption Transaction (on the terms set out below in thisIndex Table) and a Fixed Rate Payer Swaption Transaction (on theterms set out below in this Index Table).Transactions(s) notionally terminated The Swaption Straddle Transaction that had been notionallyentered into on the fourth Index Rebalancing Day immediatelyon ird:preceding ird.Page 15 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table B, Part 3Fixed Rate Receiver Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.USD.London and New York.10 years after the Trade Date.European.Notional Counterparty.Underlying Strategy.The Citi Official Value of such Transaction.Expiration Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Notional Counterparty.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.The Break-even Rate for this Underlying Swap Transaction.30/360.Underlying Strategy.Quarterly, from (and including) the date which is 3 months afterthe Effective Date to (and including) the Termination Date.USD-LIBOR-Reuters.3 months.None.Actual/360.The first Business Day of each Calculation Period.Page 16 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table B, Part 4Fixed Rate Payer Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.USD.London and New York.10 years after the Trade Date.European.Notional Counterparty.Underlying Strategy.The Citi Official Value of such Transaction.Expiration Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Underlying Strategy.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.The Break-even Rate for this Underlying Swap Transaction.30/360.Notional Counterparty.Quarterly, from (and including) the date which is 3 months afterthe Effective Date to (and including) the Termination Date.USD-LIBOR-Reuters.3 months.None.Actual/360.The first Business Day of each Calculation Period.Page 17 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table C, Part 1Index:Index Ticker:Index Base Currency:Index Launch Date:Index Launch Level:Index Start Date:Index Start Level:Transaction Cost:Citi EUR Short Volatility 5w10y Index.CRBGE1TE.EUR.28 March 2013.167.87.17 May 2004.93.19.In respect the each Index Business Day “d”, the Short IndexTransaction Cost in respect of the Index Rebalancing Dayimmediately preceding d.Capital At Risk on the Index Start Date: EUR 93.19.Currency IndicesCurrency Index Currency:1. USDCurrency Index Start Level:93.33Currency Index Ticker:CRBGE1TUIndex Table C, Part 2Transaction(s) notionally entered into A Swaption Straddle Transaction comprising a Fixed Rateon an Index Rebalancing Day (“ird”):Receiver Swaption Transaction (on the terms set out below in thisIndex Table) and a Fixed Rate Payer Swaption Transaction (on theterms set out below in this Index Table).A Hedging Swap Transaction (on the terms set out below in thisIndex Table).Transactions(s) notionally terminated The Hedging Swap Transaction that had been notionally enteredon ird:into on the Index Rebalancing Day immediately preceding ird.(For the avoidance of doubt, no Swaption Straddle Transaction isnotionally terminated on ird, as each Swaption Transactioncomprising such Swaption Straddle Transaction expires 5 weeksafter its Trade Date.)Page 18 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table C, Part 3Fixed Rate Receiver Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.EUR.TARGET Settlement Day.5 weeks after the Trade Date.European.Underlying Strategy.Notional Counterparty.The Citi Official Value of such Transaction.Trade Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Underlying Strategy.Annually, from (and including) the date which is 12 months afterthe Effective Date to (and including) the Termination Date.The Break-even Rate for this Underlying Swap Transaction.30/360.Notional Counterparty.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.EUR-EURIBOR-Reuters.6 months.None.Actual/360.The first Business Day of each Calculation Period.Page 19 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table C, Part 4Fixed Rate Payer Swaption TransactionTrade Date:Currency:Business Days for Payments:Expiration Date:Option Style:Seller:Buyer:Premium:Premium Payment Date:Settlement Terms:The relevant Index Rebalancing Day.EUR.TARGET Settlement Day.5 weeks after the Trade Date.European.Underlying Strategy.Notional Counterparty.The Citi Official Value of such Transaction.Trade Date.Cash Settlement.Underlying Swap TransactionEffective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:2 Business Days after the Expiration Date.The Capital At Risk in respect of the relevant Index RebalancingDay.10 years after the Effective Date.Notional Counterparty.Annually, from (and including) the date which is 12 monthsfollowing the Effective Date to (and including) the TerminationDate.The Break-even Rate for this Underlying Swap Transaction.30/360.Underlying Strategy.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.EUR-EURIBOR-Reuters.6 months.None.Actual/360.The first Business Day of each Calculation Period.Page 20 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table C, Part 5Hedging Swap TransactionTrade Date:Effective Date:Notional Amount:Termination Date:Fixed Rate Payer:Fixed Rate Payer Payment Dates:Fixed Rate:Fixed Rate Day Count Fraction:Floating Rate Payer:Floating Rate Payer Payment Dates:Floating Rate Option:Designated Maturity:Spread:Floating Rate Day Count Fraction:Reset Dates:The relevant Index Rebalancing Day.5 weeks after the Trade Date.The Current Delta Amount on the Trade Date.10 years after the Effective Date.Either: (1) (if on the Trade Date the Total Delta Change is less thanor equal to 0) Underlying Strategy; or (2) (if on the Trade Date theTotal Delta Change is greater than 0) Notional Counterparty.Annually, from (and including) the date which is 12 monthsfollowing the Effective Date to (and including) the TerminationDate.The Break-even Rate for this Swap Transaction.Actual/360.Either: (1) (if on the Trade Date the Total Delta Change is less thanor equal to 0) Notional Counterparty; or (2) (if on the Trade Datethe Total Delta Change is greater than 0) Underlying Strategy.Semi-annually, from (and including) the date which is 6 monthsafter the Effective Date to (and including) the Termination Date.EUR-EURIBOR-Reuters.6 months.None.Actual/360.The first Business Day of each Calculation Period.Page 21 of 41Citi Volatility Indices-Index Conditions-2017-07-22

Index Table D, Part 1Index:Index Ticker:Index Base Currency:Index Launch Date:Index Launch Level:Index Start Date:Index Start Level:Transaction Cost:Citi USD Short Volatility 5w10y Index.CRBGU1TU.USD.28 March 2013.170.16.17 May 2004.91.14.In respect of the each Index Business Day “d”, the Short IndexTransaction Cost in respect of the Index Rebalancing Dayimmediately preceding d.Capital At Risk on the Index Start Date: USD 91.14.Currency IndicesCurrency Index Currency:1. EURCurrency Index Start Level:91.10Currency Index Ticker:CRBGU1TEIndex Table D, Part 2Tra

The Underlying Strategy is a rules-based notional trading strategy which, on a weekly basis, notionally enters into one or more transactions (each, a " Transaction ") and notionally terminates one or more . Citi Volatility Indices-Index Conditions-2017-07-22. Table. Currency Indices . Index: Citi USD Long Volatility 10y10y Index. .