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Citi Mergers & Acquisitions US Total Return Index

Index Conditions

Citi Investment Strategies

4 September 2014

1

Part A: Introduction

This document constitutes the “Index Conditions” in respect of the Citi Mergers & Acquisitions US Total Return Index (the “Index”). These Index Conditions dated 4 September 2014 are made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. Full information in respect of any Index Linked Product is only available on the basis of the combination of these Index Conditions and the confirmation, prospectus or offering document (however described) in respect of such Index Linked Product. These Index Conditions may be amended from time to time without notice in the circumstances set out in Part H (Miscellaneous), and will be available from the Index Sponsor. References to a “Part” shall be references to a part of these Index Conditions.

Citi Investment Strategies Citi Mergers & Acquisitions US Total Return Index

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Part B: Key Information

Index: Citi Mergers & Acquisitions US Total Return Index (the “Index”)

Summary of strategy: The Index uses a strategy that provides exposure to a dynamic basket of US equities, primarily, through:

(a) a notional long position in certain US-listed equities that are, broadly, the target of publicly announced merger or acquisition transactions or similar transactions (each an “M&A Deal”) (the “Stock Constituents”) and which meet certain liquidity requirements and other limitations set out herein, with notional reinvestment of dividends; and

(b) a notional short position in the S&P 500 Total Return Index (“S&P 500 Index”), which is intended to form an approximate hedge to any exposure to the acquirer’s stock in respect of certain Stock Constituents (depending on the payment type specified in relation to the relevant M&A Deal) (the “Short Index Constituent”); and

(c) a residual cash position. The Stock Constituents will be selected in accordance with the Index methodology and will be drawn from a defined eligible universe of company stocks that are listed on a US exchange, trading system or quotation system. Certain filters will then be applied to the defined eligible universe to exclude those equities and instruments that do not meet certain specified criteria and limitations, in order to determine the selected stock constituents that will form the Index. Following the announcement of an M&A Deal, the target Stock Constituent will typically trade at a price that differs from the proposed acquisition price, reflecting market uncertainty about whether the M&A Deal will ultimately be completed or market expectations that the final acquisition price may differ from the proposed acquisition price. The Index takes notional long positions in target Stock Constituents following the announcement of an M&A Deal and seeks to realise gains to the extent that the final acquisition price is greater than the trading price following announcement. For M&A Deals where the acquisition consideration consists in whole or in part of a fixed number of shares of stock of the acquiring company, the Index will seek to approximately hedge any exposure to the acquirer’s stock through a short position in the Short Index Constituent. The Index is at risk of loss to the extent that announced M&A Deals are not completed or are completed at final acquisition prices that are lower than trading prices following announcement. Because of the short position in the Short Index Constituent, the Index may also realise losses (to the extent that the Index contains the Short Index Constituent) if the Short Index Constituent outperforms the Stock Constituents. The Index may also include a cash position in respect of any regular cash dividends paid on a Stock Constituent and any notional net proceeds associated with the removal of a Stock Constituent from the Index and its related short position forming a portion of the overall Short Index Constituent (if any), for example, where an M&A Deal relating to that


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Stock Constituent is completed or Citi’s Restricted Trading List requires the sale of such Stock Constituent or a Change in Law Event has occurred in respect of a Stock Constituent (in each case, which cash position is not reinvested until the next rebalancing date). In addition, from time to time and in certain circumstances, the Index may include an uninvested portion. The Index rebalances on a weekly basis to reflect any changes in the defined eligible universe or the selected Stock Constituents. The percentage weight of each constituent to be included in the Index is determined on a weekly basis in accordance with the methodology set out in Part C (Calculation of the Index Level) of these Index Conditions, whereupon the Index is then rebalanced. The Stock Constituents of the Index are weighted by reference to the cubic-root of that Stock Constituent’s market capitalisation (subject to an individual weight cap of 5%); the corresponding short position in the overall Short Index Constituent is weighted by reference to a function of the beta of the relevant company acquiring the corresponding Stock Constituent to the S&P 500 Index. The result of selection and rebalancing is that new constituents may be added to and/or existing constituents may be removed from the Index and the total number of constituents included in the Index may change from time to time. In addition, the constituents comprising the Index will be reweighted at each rebalancing. Any new constituents that are added into the Index, and any existing constituents that remain in the Index, are given effect in their respective weights as of the rebalancing date following a selection day. The notional allocation to each individual Stock Constituent of the Index is subject to a specified maximum weight of 5% of the total weight of all Stock Constituents of the Index (calculated for each Stock Constituent before application of the weight cap to any other Stock Constituent), which is intended to retain a degree of diversification. The initial constituents of the Index as of the Index Start Date will be determined on the initial Selection Day preceding the Index Start Date. From time to time Citi and/or any of its Affiliates may be prohibited from purchasing the Target Stock of any Target Company in the Index due to laws, regulations and/or Citi’s internal policies (including as a result of any prohibitions or restrictions arising from or relating to Citi’s Restricted Trading List (the ”RTL”)). Accordingly, the effects of this limitation are that (i) the Index may not include certain Target Stocks that would otherwise have been included in accordance with the Index selection and weighting algorithm, and (ii) the Index may contain fewer than 20 stocks at any time and therefore may be partly (or wholly) composed of a Cash Position or an Unallocated Constituent, the consequences of each of which are described further in Part G (Risk Factors).

Index Sponsor: Citigroup Global Markets Limited

Index Calculation Agent: S&P Dow Jones Indices LLC and/or its subsidiaries

Index Base Currency: US dollars (USD)


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Index Launch Date: 8 September 2014

Index Start Date: 3 January 2003

Index Start Level: 100

Index Fee: Not applicable, but note notional transaction costs accounted for in paragraph 1.3 (Weight Computation for Constituents) of Part C (Calculation of Index Level) below.

Frequency of calculation of the Index Level:

Daily, on each Index Business Day.

Frequency of rebalancing: Weekly, on each Rebalancing Date.

Index Electronic Page: Bloomberg page CIISMAUS <Index>

The Index was launched by the Index Sponsor as of the Index Launch Date. The past performance of the Index prior to the Index Launch Date has been derived by the Index Sponsor from a back-testing simulation by applying the Index methodology to published historical levels of the Index constituents. The Index methodology utilizes a number of Bloomberg screens, fields and classifications that have been changed by Bloomberg on one or more occasions during the historical period covered by the back-testing simulation. The back-testing simulation is based on historical data available from Bloomberg at the time of preparing the back-testing simulation, which historical data has been revised by Bloomberg to reflect such changes. In addition, the back-testing simulation assumed that there were no market disruption events, no extraordinary events affecting the constituents, no changes in the selection criteria for target stocks used by Bloomberg Page MA and no regulatory, legal or compliance restrictions (including Citi’s Restricted Trading List) preventing inclusion of any target stock. Therefore, the back-testing simulation is not an indication of how the Index would actually have performed during the period covered by the back-testing simulation. A simulation based on different assumptions may produce different results. See also Part G (Risk Factors) for further risks in respect of back-testing simulation.


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Part C: Calculation of the Index Level

The Index Sponsor is Citigroup Global Markets Limited. As at the date of these Index Conditions, the Index Sponsor has appointed S&P Dow Jones Indices LLC and/or its subsidiaries 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 which may be the Index Sponsor or one of its Affiliates. The Index Calculation Agent’s calculations of the Index Level shall be final in the absence of manifest error. Please refer to Part H (Miscellaneous) 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 C are the responsibility of the Index Calculation Agent. The calculations and determinations in this Part C are subject to the occurrence of, and adjustments made as a consequence of, Dividend Adjustment Events, Stock Split Adjustment Events and Rights Issue Adjustment Events (as described in Part D (Dividends, Stock Splits and Rights Issues) below), Disrupted Days and Extraordinary Events (as described in Part F (Market Disruptions and Extraordinary Events)).

1. DAILY INDEX CALCULATION

1.1 Index Level

The “Index Level” as of the Index Start Date shall be the Index Start Level. The “Index Level” on 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 aggregates the product of the Constituent Closing Level of each Constituent and its prevailing Weight plus the Cash Position (each as defined below).

trUA,trSP500,t

n

1i

ri,ti,

t

PositionCash Weight UAWeight SP500 Weight ituentStockConst

lIndex Leve

where:

Index Levelt = Index Level as of Index Business Day t

StockConstituenti,t = Constituent Closing Level of the relevant Stock Constituent (as defined in Part E (Data)) as of Index Business Day t, as determined in accordance with paragraph 3.1 below


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Weighti,r = Weight of Stock Constituent i as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 1.3.1 below

n = The number of Stock Constituents only included in the Index as of Index Business Day t

SP500t = The Constituent Closing Level in respect of the Short Index Constituent (as defined in Part E (Data)) as of Index Business Day t, as determined in accordance with paragraph 3.2 below

WeightSP500,r = Weight of the Short Index Constituent as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 1.3.2 below, provided that, if a Stock Constituent i is removed from the Index for any reason, WeightSP500,r is calculated in accordance with paragraph 1.3.2 (Weight for Short Index Constituent) but on the basis that PWSP500,r (as determined pursuant to Step 3 of paragraph 2.6.2 (Percentage Weight of Short Index Constituent) below) is calculated without the inclusion of SIWSP500,i,r in respect of such removed Stock Constituent i

UAt = The Constituent Closing Level in respect of an Unallocated Constituent (as defined in Part E (Data)) as of Index Business Day t, as determined in accordance with paragraph 3.3 below

WeightUA,r = Weight of the Unallocated Constituent as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 1.3.3 below

CashPositiont = The Cash Position as of Index Business Day t, as determined in accordance with paragraph 1.2 (Cash Position) below

For the avoidance of doubt, the Index may at any time include one or more Stock Constituents, a Short Index Constituent, an Unallocated Constituent (each as defined in paragraph 2.1 (Selection of Constituents) below) and a Cash Position (as defined in paragraph 1.2 (Cash Position) below). On Rebalancing Date r, the Index Level is calculated using the respective Weights (as determined on Rebalancing Date r-1) of each Constituent (as selected on the Selection Day immediately preceding Rebalancing Date r-1), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events. Beginning with the first Index Business Day following Rebalancing Date r, up to and including Rebalancing Date r+1 (but prior to the rebalancing of the Index on such Rebalancing Date r+1), the Index Level is calculated using the Constituents selected on the Selection Day immediately preceding Rebalancing Date r and their respective Weights (as determined on Rebalancing Date r), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events.


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1.2 Cash Position

The Cash Position on each Index Business Day t includes:

(1) any cash dividend amount (in respect of regular dividends only) of any Stock Constituent that has an Ex-Dividend Date on Index Business Day t (although, if such Ex-Dividend Date is not an Index Business Day, the next following Index Business Day will be treated as the Ex-Dividend Date in respect of that Stock Constituent); and

(2) the notional net proceeds associated with the removal from the Index of the long position in any Stock Constituent (or portion thereof) (or, as the case may be, in respect of an M&A Late Completion Event, the removal of any Acquirer Stock replacing such Stock Constituent) and its related short position forming a portion of the overall Short Index Constituent (if any), after the close of business on the Index Business Day immediately preceding such Index Business Day t (being the relevant Removal Date), for any reason, including where (i) an M&A Deal relating to that Stock Constituent is completed pursuant to any of the M&A Completion Events described in paragraph 2.3 (Completion of an M&A Deal) below, and (ii) a Change in Law Event has occurred in respect of a Stock Constituent pursuant to paragraph 6.2 (Change in Law Event) of Part F (Market Disruption and Extraordinary Events) below,

and is calculated in USD in accordance with the following formula:

rSP500,C

n

1i

ri,i,C

n

1i

ri,ti,1-t

t

ightCPortionWe SP500 CWeight ituentStockConstWeight DividendonCashPositi

onCashPositi

where:

CashPositiont = Cash Position in the Index Base Currency as of Index Business Day t

CashPositiont-1 = If the Index Business Day immediately preceding Index Business Day t is a Rebalancing Date, zero; and Otherwise, the Cash Position in the Index Base Currency as of the Index Business Day immediately preceding Index Business Day t

Dividendi,t = The Dividend Amount (as defined in Part D (Dividends, Stock Splits and Rights Issues) below) in respect of a Cash Dividend of Stock Constituent i, if such Stock Constituent has an Ex-Dividend Date on Index Business Day t, (converted, if necessary, at the applicable FX Rate (as defined in Part E (Data)) for the conversion of the currency in which such Dividend Amount is denominated into the currency in which the Constituent Closing Level of such Stock Constituent i is published). If such Ex-Dividend Date is not an Index Business Day, the next following Index Business Day will be treated as the Ex-Dividend Date in respect of that Stock Constituent i.

n = The number of Stock Constituents only included in the Index as of Index Business Day t

Weighti,r = Weight of Stock Constituent i as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t (as determined in accordance with paragraph 1.3.1 below)


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StockConstituenti,C = Constituent Closing Level of Stock Constituent i, as determined in accordance with paragraph 3.1 below, as of the Removal Date (as defined in paragraph 2.3 below)

CWeighti,r = If the M&A Deal relevant to Stock Constituent i has its Completion Date or Designated Date, as applicable, on Index Business Day t, the Weight of Stock Constituent i as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding the Completion Date or Designated Date, as applicable

SP500C = If the M&A Deal relevant to Stock Constituent i (that has a corresponding short position forming a portion of the overall Short Index Constituent) has its Completion Date or Designated Date, as applicable, on Index Business Day t, the Constituent Closing Level in respect of the Short Index Constituent, as determined in accordance with paragraph 3.2 below, as of the Removal Date

CPortionWeightSP500,r = If the M&A Deal relevant to Stock Constituent i (that has a corresponding short position forming a portion of the overall Short Index Constituent) has its Completion Date or Designated Date, as applicable, on Index Business Day t, the Weight of the corresponding short position forming a portion of the overall Short Index Constituent as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding the Completion Date or Designated Date, as applicable

“Completion Date” is defined in paragraph 3 of Part E (Data) and “Designated Date” is defined in paragraph 6.2 (Change in Law Event) of Part F (Market Disruption and Extraordinary Events). On Rebalancing Date r, the Index Level is calculated using the respective Weights (as determined on Rebalancing Date r-1) of each Constituent (as selected on the Selection Day immediately preceding Rebalancing Date r-1), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events. Beginning with the first Index Business Day following Rebalancing Date r, up to and including Rebalancing Date r+1 (but prior to the rebalancing of the Index on such Rebalancing Date r+1), the Index Level is calculated using the Constituents selected on the Selection Day immediately preceding Rebalancing Date r and their respective Weights (as determined on Rebalancing Date r), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events.

1.3 Weight Computation for Constituents

The Index Calculation Agent shall determine the Weight of each of the Constituents on the Index Start Date and on each Rebalancing Date, and such Weights shall remain in effect until the end of the following Rebalancing Date, subject to the occurrence of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days and Extraordinary Events. The “Weight” for the Stock Constituents, the Short Index Constituent and the Unallocated Constituent in respect of each Rebalancing Date shall be an amount determined by the Index Calculation Agent as the product of (i) the Percentage Weight of the relevant Constituent and (ii) the Index Level on such Rebalancing Date divided by the level of that Constituent on such Rebalancing Date. The calculation formulae are set out in detail below. For this purpose, the Index Start Date shall be deemed to be a Rebalancing Date.


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1.3.1 Weight for Stock Constituent On each Rebalancing Date r the Weight of each Stock Constituent i with respect to the Index Level will be calculated as follows:

ri,

rrri,ri,

ituentStockConst

)tc1(IndexLevelPWWeight

Weighti,r = Weight of Stock Constituent i as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t

PW i,r = The Percentage Weight of Stock Constituent i as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 2.6.1 (Percentage Weight of Stock Constituents) below

IndexLevelr = Index Level as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 1.1 (Index Level) above

tcr = The notional transaction costs as of Rebalancing Date r calculated in accordance with the following formula:

tc)CPW (PW abstcL

1k

rk,rk,r

provided that the notional transaction costs in respect of the first Rebalancing Date are zero. See paragraph 1.3.4 (Additional Definitions in respect of Notional Transaction Costs) below.

StockConstituenti,r = The Constituent Closing Level of Stock Constituent i as of Rebalancing Date r, as determined in accordance with paragraph 3.1 below

For the avoidance of doubt, Stock Constituent i means each of the Stock Constituents. 1.3.2 Weight for Short Index Constituent On each Rebalancing Date r the Weight of the Short Index Constituent SP500 with respect to the Index Level will be calculated as follows:

rSP500,

rrrSP500,rSP500,

tConstituenShortIndex


WeightSP500,r = Weight of Short Index Constituent SP500 as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t


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PWSP500,r = The Percentage Weight of Short Index Constituent SP500 as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 2.6.2 (Percentage Weight of Short Index Constituent) below


tcr = The notional transaction costs as of Rebalancing Date r calculated in accordance with the following formula:

tc)CPW (PW abstcL

1k

rk,rk,r


ShortIndexConstituentSP500,r = The Constituent Closing Level of Short Index Constituent SP500 as of Rebalancing Date r, as determined in accordance with paragraph 3.2 below

1.3.3 Weight for Unallocated Constituent On each Rebalancing Date r the Weight of an Unallocated Constituent UA with respect to the Index Level will be calculated as follows:

rUA,

rrrUA,rUA,

ntdConstitueUnallocate


WeightUA,r = Weight of Unallocated Constituent UA as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t

PWUA,r = The Percentage Weight of Unallocated Constituent UA as of Rebalancing Date r (or the Index Start Date, as applicable) immediately preceding Index Business Day t, as determined in accordance with paragraph 2.6.3 (Percentage Weight of Unallocated Constituent) below


tcr = The notional transaction costs in respect of Rebalancing Date r, calculated in accordance with the following formula:


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tc)CPW (PW abstcL

1k

rk,rk,r


UnallocatedConstituentUA,r = The Constituent Closing Level of Unallocated Constituent UA as of Rebalancing Date r, as determined in accordance with paragraph 3.3 below

1.3.4 Additional Definitions in respect of Notional Transaction Costs The following definitions shall apply in respect of paragraphs 1.3.1 to 1.3.3 above:

k = In respect of Rebalancing Date r, means each Constituent that was either (i) selected for inclusion in the Index as of the Selection Day in respect of such Rebalancing Date r, or (ii) was included as a Constituent as of the immediately preceding Rebalancing Date r -1

PWk,r = Percentage Weight of Constituent k as of Rebalancing Date r immediately preceding Index Business Day t, as determined in accordance with paragraph 2.6 (Constituents Percentage Weight Determination) below

CPWk,r = Current Percentage Weight of Constituent k as of Rebalancing Date r, as determined in accordance with paragraph 1.4 (Current Percentage Weight Computation) below, provided that, (i) if such Constituent k is not included as a Constituent between Rebalancing Date r-1 and Rebalancing Date r, then CPWk,r is zero, and (ii) if the M&A Deal in respect of Constituent k has its Completion Date or its Designated Date, as applicable, between Rebalancing Date r-1 and Rebalancing Date r then CPWk,r is equal to the CPWk on the Index Business Day immediately preceding the Completion Date or Designated Date, as applicable

tc = The notional transaction costs of 0.08%

1.4 Current Percentage Weight Computation The Current Percentage Weight of Constituent k on any Index Business Day t is calculated as the Weight (as determined in accordance with paragraph 1.3 (Weight Computation for Constituents) above) that such Constituent had in the Index as of the immediately preceding Rebalancing Date r (or the Index Start Date, as the case may be), multiplied by its Constituent Closing Level on such Index Business Day t, divided by the Index Level in respect of such Index Business Day t, provided that, (i) if such Constituent is not included as a Constituent between Rebalancing Date r-1 and Rebalancing Date r, then CPWk,r is zero, and (ii) if the M&A Deal in respect of Constituent k has its Completion Date or Designated Date, as applicable, between Rebalancing Date r-1 and Rebalancing Date r then CPWk,r is equal to the CPWk on the Index Business Day immediately preceding the Completion Date or Designated Date, as applicable.

On each Index Business Day t, the Index Calculation Agent shall calculate the “Current Percentage Weight” in respect of each Constituent k in accordance with the following formula:


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t

tk,rk,

tk,IndexLevel

veltClosingLeConstituenWeightghtcentageWeiCurrentPer

where:

CurrentPercentageWeightk,t

= Current Percentage Weight of Constituent k as of Index Business Day t

Weightk,r = Weight of Constituent k as of Rebalancing Date r (or the Index Start Date, as the case may be) immediately preceding Index Business Day t, as determined in accordance with paragraph 1.3 (Weight Computation for Constituents) above

ClosingConstituentLevelk,t = Constituent Closing Level of Constituent k as of Index Business Day t, as determined in accordance with paragraph 3 below

IndexLevelt = Index Level as of Index Business Day t, as determined in accordance with paragraph 1.1 (Index Level) above

Where Index Business Day t is itself a Rebalancing Date, then references to Rebalancing Date r in the above formula shall be construed as references to “Rebalancing Date r-1” and references to Index Business Day t shall be construed as references to “Rebalancing Date r” such that Weightk,r and ConstituentClosingLevelk,t are determined prior to the rebalancing taking place on Rebalancing Date r.

On Rebalancing Date r, the Index Level is calculated using the respective Weights (as determined on Rebalancing Date r-1) of each Constituent (as selected on the Selection Day immediately preceding Rebalancing Date r-1), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events. Beginning with the first Index Business Day following Rebalancing Date r, up to and including Rebalancing Date r+1 (but prior to the rebalancing of the Index on such Rebalancing Date r+1), the Index Level is calculated using the Constituents selected on the Selection Day immediately preceding Rebalancing Date r and their respective Weights (as determined on Rebalancing Date r), subject to any subsequent adjustment of any Constituent’s Weight as a result of any Dividend Adjustment Event, Stock Split Adjustment Event, Rights Issue Adjustment Event, Disrupted Days or Extraordinary Events.

2. CONSTITUENT SELECTION AND INDEX REBALANCING PROCESS

Capitalised terms used but not defined in this paragraph 2 shall have the meanings given to them in Part E (Data), unless otherwise specified. 2.1 Selection of Constituents

On each Selection Day, all company stocks that are listed on a US exchange, trading system or quotation system, shall form the “Eligible Stock Universe”, and each stock therein being an “Eligible Stock Constituent”.

The Index Calculation Agent shall determine the selected stocks that will form the Index (the “Selected Stocks”), by applying certain filters to the Eligible Stock Universe to exclude those Eligible Stock Constituents that do not have certain characteristics and do not meet certain liquidity requirements and other limitations. Broadly speaking, the intention is that only publicly traded US-listed stocks of US-domiciled companies that are the target or subject of an M&A Deal (as defined in Part E (Data) below), among other things, will be included in the Selected Stocks.


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More particularly, as at the relevant Selection Day, the Index Calculation Agent will include in the Index only each Eligible Stock Constituent that:

(1) is the Target Company of an M&A Deal that:

a. has an Announcement Date that falls on or prior to such Selection Day but falls less than one year prior to the Selection Day;

b. has a Deal Size greater than or equal to USD100,000,000;

c. has an anonymous seller throughout the M&A Deal, i.e. the Seller Name is blank, as specified under the “SELLER Name” field on the Bloomberg MA Page, (the intention being to exclude from the Index asset sales and divestitures of subsidiary companies by a parent company since these types of transaction are not typically regarded by the market as M&A transactions);

d. constitutes one of the transaction types listed in Annex to Part E (Data) (Transaction Types), as specified under “DEAL ATTRIBUTES” - “TRANSACTION TYPE” on the Bloomberg MA Page (the intention being to exclude from the Index certain types of transaction such as, for example, asset sales and divestures of subsidiaries, minority purchase transactions and hostile takeovers, among others);

e. has as its payment type “Cash”, “Stock”, “Cash or Stock” or “Cash and Stock” only, as specified under the “PAYMENT TYPE” field on the Bloomberg MA Page;

f. has a deal status of “Pending”, as displayed under the “DEAL STATUS” field on the Bloomberg MA Page (the intention being to include only those transactions that have been approved by the board of directors of the Target Company);

g. has a nature of bid that is “Friendly”, “Unsolicited to Friendly” or “Hostile to Friendly”, as specified under the “NATURE OF BID” field on the Bloomberg MA Page (the intention being to exclude any hostile transactions);

h. involves the Target Stock of such Target Company (and which therefore does not include depositary receipts, ETFs and other funds, Real Estate Investment Trusts and similar instruments) that has a country code of “US”, as displayed under the “TARGET COUNTRY” field on the Bloomberg MA Page;

(2) has an Average Monthly Trading Volume (AMTV) in respect of its Target Stock that is greater than USD25,000,000 as of the Index Business Day immediately preceding the Announcement Date for the relevant M&A Deal;

(3) has a Scheduled Completion Date (if any) that falls at least 2 Index Business Days after the Rebalancing Date immediately following such Selection Day;

(4) is not issued by the Index Sponsor or its Affiliates, including Citigroup Inc.;

(5) is not excluded by reason of the fact that Citi and/or its Affiliates are prohibited from purchasing such Eligible Stock Constituent as a consequence of the prevailing prohibitions or restrictions arising from or relating to Citi’s Restricted Trading List (as determined by Citi and/or its Affiliates and notified to the Index Sponsor and in turn as notified to the Index Calculation Agent) (“Selection Filter 5”);

(6) had, as of the Announcement Date preceding any Selection Day, a Market Capitalisation greater than or equal to USD500,000,000, subject to the Proviso below:

Proviso:

If, as of a Selection Day, the Index Calculation Agent determines that, following application of the above Selection Filters, the number of Selected Stocks is fewer than 20, then: (a) the Index Calculation Agent will determine which remaining Eligible Stock

Constituents that satisfy Selection Filters 1 to 5 above had, as of the Announcement


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Date preceding any Selection Day, a Market Capitalisation of less than USD500,000,000 but more than USD100,000,000 and will rank those Eligible Stock Constituents in decreasing size order (largest to smallest) of Market Capitalisation (the “Ranking List”);

(b) in order of rank (largest to smallest), Eligible Stock Constituents will be selected from the Ranking List as Selected Stocks until the total number of Selected Stocks is equal to 20, and any Eligible Stock Constituents selected from the Ranking List as Selected Stocks shall remain in the Index subject to application of the Selection Filters 1 to 5 above on subsequent Selection Days until the Completion Date in respect of such Selected Stock;

(c) if, after following the steps in paragraphs (a) and (b):

(i) the total number of Selected Stocks is equal to 20, the Index will be comprised of

those Selected Stocks as of the next following Rebalancing Date; or

(ii) the total number of Selected Stocks is fewer than 20, then certain Selected Stocks may be further excluded pursuant to and in accordance with Selection Filter 5 (as reapplied to those Selected Stocks) (for example, if the number of Selected Stocks is 18, then certain of those Selected Stocks may be excluded as a consequence of the prevailing prohibitions or restrictions arising from or relating to Citi’s Restricted Trading List with the result that only 16 Selected Stocks ultimately form the Constituents of the Index),

(each of 1 to 6 above being a “Selection Filter”, together the “Selection Filters”), subject always to paragraphs (A) and (B) below.

The Selected Stocks remaining after the application of each of the Selection Filters will be the “Stock Constituents” in respect of the relevant Selection Day and such Stock Constituents, along with the Short Index Constituent (if any) and the Unallocated Constituent (if any), will become the “Constituents” of the Index after the rebalancing process on the immediately following Rebalancing Date, provided that,

(A) if any Selected Stock is the subject of an M&A Deal that has its Completion Date between the Selection Day and the related Rebalancing Date, such Selected Stock shall be deemed not to be a Selected Stock and shall not become a Constituent of the Index; and

(B) Selection Filter 5 is reapplied in respect of all the Selected Stocks on the Rebalancing Date (prior to any rebalancing) and any Selected Stocks that do not satisfy such Selection Filter 5 shall be deemed not to be a Selected Stock and shall not become a Constituent of the Index,

and, in each case, the respective Percentage Weights that would have been allocated to such rejected stocks, is reallocated across all other remaining Selected Stocks, subject to the specified maximum weight of each such individual Stock Constituent. On each Selection Day, the Index Calculation Agent shall determine in accordance with the Index methodology, the short position in the S&P 500 Index that will form part of the Index (the “Short Index Constituent”. The overall Short Index Constituent is intended to approximately hedge exposure to the acquirer’s stock, which exposure arises, according to a Conversion Ratio (as specified on the Bloomberg MA Page), as a result of the long position in Stock Constituents in relation to which the relevant M&A Deal specifies that the consideration consists of any of: (a) a “Stock Offer”; (b) a “Cash and Stock Offer”; or (c) a “Cash or Stock Offer” (and any default election provisions in respect of such M&A Deal are not relevant for these purposes), each as defined in Part E (Data), and in each case, provided that, if no Conversion Ratio is specified in respect of a Stock Constituent, no corresponding Short Index Constituent in respect of such Stock Constituent will be included in the Index. From time to time, the Index may also consist of an unallocated position in the Index (being the remaining portion of the Index representing the difference in value between (a) 1, and (b) the total Percentage


Index Conditions

15

Weight of the Stock Constituents plus the absolute value of the Percentage Weight of the Short Index Constituent), which confers no investment exposure to any investment asset pursuant to and in accordance with the Index methodology (the “Unallocated Constituent”). 2.2 Termination or failure of an M&A Deal

If, as of a Selection Day, the relevant M&A Deal in respect of a Stock Constituent has ‘terminated’, ‘failed’, been ‘withdrawn’ or similar (as displayed under the “DEAL STATUS” field on the Bloomberg MA Page), then such Stock Constituent and any corresponding short position forming a portion of the overall Short Index Constituent will be removed from the Index on the next following Rebalancing Date and the constituents of the Index will be reselected (and reweighted) in accordance with the usual rebalancing process described in this paragraph 2 (Constituent Selection and Index Rebalancing Process).

2.3 Completion of an M&A Deal

2.3.1 Prior to NYSE scheduled closing time

If, as of any Index Business Day (the “first Index Business Day”), the relevant M&A Deal in respect of a Stock Constituent has as its Scheduled Completion Date the next following Index Business Day and such Scheduled Completion Date is announced prior to the scheduled closing time of the New York Stock Exchange on such first Index Business Day, then:

(a) such Stock Constituent and any corresponding short position forming a portion of the overall Short Index Constituent will be removed from the Index after the close of business on that first Index Business Day (the “Removal Date”); and

(b) the Cash Position in respect of the next Index Business Day following the Removal Date will be adjusted in accordance with the provisions of paragraph 1.2 (Cash Position) of Part C (Calculation of the Index Level) above,

(an “M&A Early Completion Event”).

2.3.2 After NYSE scheduled closing time

If the Completion Date for the relevant M&A Deal in respect of a Stock Constituent is not announced prior to the scheduled closing time of the New York Stock Exchange on the Index Business Day immediately preceding such Completion Date, then:

(a) where such M&A Deal is a “Cash Offer” only:

(i) such Stock Constituent and any corresponding short position forming a portion of the

overall Short Index Constituent will be removed from the Index after the close of business on the Completion Date (the “Removal Date”); and

(ii) the Cash Position in respect of the next Index Business Day following the Removal Date will be adjusted in accordance with the provisions of paragraph 1.2 (Cash Position) of Part C (Calculation of the Index Level) above,

(b) in any other case:

(iii) such Stock Constituent shall be replaced by the Acquirer Stock based on the relevant

Conversion Ratio in respect of such Stock Constituent (as displayed on the Bloomberg MA Page) as of the opening of business on the Completion Date;

(iv) such Acquirer Stock and any corresponding short position forming a portion of the overall Short Index Constituent will be removed from the Index after the close of business on the Completion Date (the “Removal Date”); and


Index Conditions

16

(v) the Cash Position in respect of the next Index Business Day following the Removal Date

will be adjusted in accordance with the provisions of paragraph 1.2 (Cash Position) of Part C (Calculation of the Index Level) above,

(an “M&A Late Completion Event”).

2.4 No change to Constituents or Acquiring Company on Selection Day

If, as of a Selection Day, the Index Calculation Agent determines that the Selected Stocks determined in accordance with paragraph 2.1 (Selection of Constituents) are the same as those selected on the previous Selection Day and the Acquiring Company in respect of the M&A Deal in respect of each Constituent is the same as the previous Selection Day, then there shall be no Rebalancing Date in respect of such Selection Day and the Constituents of the Index shall not be rebalanced until the next following Rebalancing Date (using the Percentage Weights determined as of the next following Selection Day relating thereto).

2.5 No Rebalancing in a short week

If for any reason there is less than one full Index Business Day falling between a Selection Day (as adjusted) and the related Rebalancing Date, then there shall be no Rebalancing Date in respect of such Selection Day and the Constituents of the Index shall not be rebalanced until the next following Rebalancing Date (using the Percentage Weights determined as of the next following Selection Day relating thereto).

2.6 Constituents Percentage Weights Determination

The “Percentage Weights” of each Constituent are determined by the Index Calculation Agent on each Selection Day in accordance with the formulae below: 2.6.1 Percentage Weight of Stock Constituents The Percentage Weight of each Stock Constituent i is determined based on the Market Capitalisation of each stock according to the following formula:

%5,

CM

CM MinPW

N

1

r i,

ri,r i,

i

subject always to Selection Filter 5 above Where:

PW i.r = Percentage Weight of Stock Constituent i as of Rebalancing Date r

CMi.r = The cubic-root (3 CM ) of the Market Capitalisation of Stock Constituent i as of

Rebalancing Date r

N = Total number of Stock Constituents


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17

2.6.2 Percentage Weight of Short Index Constituent

The process of determining the Percentage Weight of the Short Index Constituent SP500 in order to provide an approximate hedge to certain Stock Constituents of the Index is determined by the Index Calculation Agent as follows: The Percentage Weight of the Short Index Constituent is determined by the Index Calculation Agent on each Selection Day in respect of the relevant Rebalancing Date. In order to determine the applicable Percentage Weight, the Index Calculation Agent follows a three-step process. The first step calculates the beta of the Acquiring Company to the Reference Index, and the second step calculates the beta-adjusted weight of the approximate hedge for each Stock Constituent (being a short position in the Reference Index, which forms a portion of the overall Short Index Constituent), and the third step adds together all the beta-adjusted weights of the approximate hedges to calculate the total Percentage Weight of the overall Short Index Constituent. However, if, at any time on any date, the Percentage Weights of one or more Stock Constituents is adjusted, then the process for determining the revised Percentage Weight of the overall Short Index Constituent SP500 will be repeated using the adjusted Percentage Weights of the Stock Constituents. In addition, if the Acquirer Stock j has an available price history, as published on the applicable Electronic Page, of less than 252 Index Business Days up to but excluding the Announcement Date, then:

(a) if the Acquirer Stock has an available price history, as published on the applicable Electronic Page, of less than 64 Index Business Days up to but excluding the Announcement Date then the beta of the Acquirer Stock j to the Reference Index will be deemed to be zero (i.e. there will be no corresponding Short Index Constituent in respect of the Stock Constituent relating to the Acquirer Stock); and

(b) otherwise, the Observation Period will be deemed to be equal to the largest number of Index Business Days for which the Acquirer Stock has an available price history, as published on the applicable Electronic Page.

Step 1 - Calculation of the Acquiring Company Beta For each Selection Day, the beta of the Acquiring Company j to the Reference Index is calculated according to the following equation:

)(

),(Cov B

m

im mj,

RVar

RR

Where:

Bj,m = The beta of Acquiring Company j to the Reference Index

Cov(Rm,Ri)

= The covariance between the 252 daily returns “Ri,s“ (s=k-252….k-1) of the Acquirer Stock in respect of Stock Constituent i for the Observation Period and the 252 daily returns “Rm,s“ (s= k-252….k-1) of the Reference Index for the Observation Period, calculated as follows:

1

1

,,

N

RRRRk

Nks

msmisi

; where N=252

Var(Rm) = Cov(Rm,Rm)


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18

Cov(Rm,Rm) = The covariance between the 252 daily returns “Rm,s“ (s=k-252….k-1) of the Reference Index for the Observation Period and the 252 daily returns “Rm,s“ (s= k-252….k-1) of the Reference Index for the Observation Period, calculated as follows:

1

1

,,

N

RRRRk

Nks

msmism

where N=252

s = Each Index Business Day in the Observation Period ending on the Index Business Day immediately preceding Announcement Date k.

Observation Period = A series of 252 Index Business Days

Ri,s =

A

ADividend A

1- si,

si, si,

Rm,s

=

ndexLevelReferenceI

ndexLevelReferenceI

1- si,

si,

iR , mR = The arithmetic averages of the N daily returns “Ri” and “Rm” as

applicable.

Ai,s = The official closing price of the Acquirer Stock in respect of Stock Constituent i as of Index Business Day s as published on the applicable Electronic Page, or if, for any reason, no closing price is published in respect of such Index Business Day s, then the closing price of the Acquirer Stock as of Index Business Day s shall be deemed to be equal to the closing price of the Acquirer Stock on the preceding day on which a closing price for the Acquirer Stock was published on such Electronic Page, in each case converted into the Index Base Currency by the Index Calculation Agent using the FX Rate (as defined in Part E (Data)) in respect of such Index Business Day s.

Ai,s-1 = The official closing price of the Acquirer Stock in respect of Stock Constituent i as of the Index Business Day immediately preceding Index Business Day s as published on the applicable Electronic Page, or if, for any reason, no closing price is published in respect of such Index Business Day s-1, then the closing price of the Acquirer Stock as of Index Business Day s -1 shall be deemed to be equal to the closing price of the Acquirer Stock on the preceding day on which a closing price for the Acquirer Stock was published on such Electronic Page, in each case converted into the Index Base Currency by the Index Calculation Agent using the FX Rate (as defined in Part E (Data)) in respect of such Index Business Day s-1.

ADividendi,s = In respect of the Acquirer Stock in respect of Stock Constituent, if Index Business Day s is an ex-dividend date in respect of any dividend payable in respect of the Acquirer Stock, an amount equal to the dividend payable in respect of such Acquirer Stock,


Index Conditions

19

converted into the Index Base Currency by the Index Calculation Agent using the FX Rate (as defined in Part E (Data)) in respect of such Index Business Day s (although, if such Ex-Dividend Date is not an Index Business Day, the next following Index Business Day will be treated as the Ex-Dividend Date in respect of the Acquirer Stock)

Reference Index = S&P 500 Total Return Index Level (SPTR <Index>)

Reference Index Sponsor

= S&P Dow Jones Indices LLC, including its successors and assigns

ReferenceIndexLeveli,s = The official closing level of the Reference Index on the relevant Index Business Day s as published on the applicable Electronic Page. If the Reference Index Sponsor did not publish, for any reason, a closing level for the Reference Index as of Index Business Day s, then Reference Index Leveli,s shall be deemed to be equal to the closing level of the Reference Index on the preceding day on which a closing level for the Reference Index was published by the Reference Index Sponsor.

ReferenceIndexLeveli,s-1 = The official closing level of the Reference Index as of the Index Business Day immediately preceding Index Business Day s as published on the applicable Electronic Page. If the Reference Index Sponsor did not publish, for any reason, a closing level for the Reference Index as of Index Business Day s-1, then Reference Index Leveli,s-1 shall be deemed to be equal to the closing level of the Reference Index on the preceding day on which a closing level for the Reference Index was published by the Reference Index Sponsor.

Step 2 - Calculation of the Beta-Adjusted Short Index Weights For each Selection Day and each Stock Constituent i that is to be approximately hedged, the Beta-Adjusted Short Index Weight is equal to:

(a) If B j,m is greater than zero:

oi,

oj,j mj,ri,r i,SP500, SIW

CCL

ACBPW

(b) Otherwise, SIWSP500,i,r is equal to zero.

Where:

SIWSP500,i,r = The required Short Index Weight for Stock Constituent i; for the avoidance of doubt, for each Stock Constituent that is not to be approximately hedged the Short Index Weight is equal to 0

Bj,m = The beta of Acquiring Company j to the Reference Index (as determined in accordance with Step 1 above)

Cj = The Conversion Ratio of Acquiring Company j to the Target


Index Conditions

20

Company

Aj,o = The official closing price of the Acquirer Stock of the Acquiring Company as of the Constituent Inclusion Date o in respect of the corresponding Stock Constituent i, as published on the applicable Electronic Page, or if, for any reason, no closing price is published in respect of such Constituent Inclusion Date o, then the closing price of the Acquirer Stock on Constituent Inclusion Date o shall be deemed to be equal to the closing price of the Acquirer Stock on the preceding day on which a closing price for the Acquirer Stock was published on such Electronic Page, in each case converted into the Index Base Currency by the Index Calculation Agent using the FX Rate (as defined in Part E (Data)) in respect of such Constituent Inclusion Date o.

CCLi,o = The Constituent Closing Level of Stock Constituent i as of the Constituent Inclusion Date o in respect of that Stock Constituent, as determined in accordance with paragraph 3.1 below

PW i,r = Percentage Weight of Stock Constituent i as of Rebalancing Date r, as determined in accordance with paragraph 2.6.1 (Percentage Weight of Stock Constituents) above

Step 3 - Calculation of Short Index Constituent Percentage Weight The Percentage Weight of a Short Index Constituent SP500 as of Rebalancing Date r is the negative value of the sum of all the Beta-Adjusted Short Index Weights determined above.

N

1

r i,SP500,r SP500, SIW - PWi

Where:

PWSP500,r = Percentage Weight of Short Index Constituent SP500 as of Rebalancing Date r

SIWSP500,i,r = Beta-Adjusted Short Index Weight for Stock Constituent i as of Rebalancing Date r

N = The number of Stock Constituents as of Rebalancing Date r

2.6.3 Percentage Weight of Unallocated Constituent The Percentage Weight of the Unallocated Constituent (UA) is determined in accordance with the following formula:

rSP500,

N

1

r i,r UA, PW- PW - 100% PW

i

Where:


Index Conditions

21

PWUA.r = Percentage Weight of Unallocated Constituent (UA) as of Rebalancing Date r

PW i,r = Percentage Weight of Stock Constituent i as of Rebalancing Date r, as determined in accordance with paragraph 2.6.1 (Percentage Weight of Stock Constituents) above

PWSP500,r = Percentage Weight of Short Index Constituent SP500 as of Rebalancing Date r, as determined in accordance with paragraph 2.6.2 (Percentage Weight of Short Index Constituent) above

3. CONSTITUENT CLOSING LEVEL OF THE CONSTITUENTS

3.1 Constituent Closing Level for Stock Constituent

Subject to the provisions of paragraph 4 below and the occurrence of a Market Disruption Event (as described in Part F (Market Disruption and Extraordinary Events), the “Constituent Closing Level” of a Stock Constituent (i.e. a Share) on a Valuation Date shall be determined by the Index Calculation Agent as the official closing price of such Share as of the Valuation Time on such Valuation Date, as displayed on the applicable Electronic Page.

“Valuation Time” shall mean, in respect of a Share and a Scheduled Trading Day for such Share, the Scheduled Closing Time on the relevant Exchange on such Scheduled Trading Day.

3.2 Constituent Closing Level for Short Index Constituent

Subject to the provisions of paragraph 4 below and the occurrence of a Market Disruption Event (as described in Part F (Market Disruption and Extraordinary Events), the “Constituent Closing Level” of a Short Index Constituent (i.e. a Share Index) on a Valuation Date shall be determined by the Index Calculation Agent as the official closing level of such Share Index as of the Valuation Time on such Valuation Date, as displayed on the applicable Electronic Page.

“Valuation Time” shall mean, in respect of a Single Exchange Index and a Scheduled Trading Day for such Single Exchange Index, the Scheduled Closing Time on the relevant Exchange on such Scheduled Trading Day.

3.3 Constituent Closing Level for Unallocated Constituent

The “Constituent Closing Level” of the Unallocated Constituent on a Valuation Date shall be equal to the Index Level on the immediately preceding Rebalancing Date.

4. ADJUSTMENTS TO VALUATION DATES (SCHEDULED TRADING DAYS: “HOLIDAYS”)

4.1 On an Index Business Day (for the purposes of publication only)

If a Scheduled Valuation Date that is an Index Business Day for the purposes of publication only (and is NOT a Rebalancing Date) is not a Scheduled Trading Day for any Constituent (and for these purposes “Constituent” means only the Stock Constituents and the Short Index Constituent, not the Unallocated Constituent), then:

(a) the Valuation Date for each Constituent for which such Scheduled Valuation Date is a Scheduled Trading Day shall be such Scheduled Valuation Date; and


Index Conditions

22

(b) the Valuation Date for each Constituent for which such Scheduled Valuation Date is not a Scheduled Trading Day shall be the first day immediately preceding such Scheduled Valuation Date which is a Scheduled Trading Day and not a Disrupted Day for such Constituent.

4.2 On a Selection Day

If a Scheduled Valuation Date that is a Selection Day is not a Scheduled Trading Day for any Constituent (and for these purposes “Constituent” means only the Stock Constituents and the Short Index Constituent, not the Unallocated Constituent), then:

(a) the Valuation Date for each Constituent for which such Scheduled Valuation Date is a Scheduled Trading Day shall be such Scheduled Valuation Date; and

(b) the Valuation Date for each Constituent for which such Scheduled Valuation Date is not a Scheduled Trading Day shall be the first day immediately preceding such Scheduled Valuation Date which is a Scheduled Trading Day and not a Disrupted Day for such Constituent.

4.3 Rebalancing Date

If a Scheduled Valuation Date that is a Rebalancing Date is not a Scheduled Trading Day for any Constituent (and for these purposes “Constituent” means only the Stock Constituents and the Short Index Constituent, not the Unallocated Constituent), then such Valuation Date shall be the first day immediately following such Scheduled Valuation Date which is a Scheduled Trading Day for all Constituents.

4.4 Not postponing to a Disrupted Day

If any day to which a Scheduled Valuation Date is postponed under paragraph 4.3 above is a Disrupted Day for the relevant Constituent, then paragraph 5 below and paragraph 1 (Consequences of Disrupted Days) of Part F (Market Disruption and Extraordinary Events) shall apply.

5. MARKET DISRUPTION AND EXTRAORDINARY EVENTS

Certain provisions in respect of Market Disruption Events and Extraordinary Events (as defined in Part E (Data) below) applicable to the Index are set out in Part F (Market Disruption and Extraordinary Events) of these Index Conditions.


Index Conditions

23

Part D: Dividends, Stock Splits and Rights Issues

Upon the occurrence of a Dividend Adjustment Event, a Stock Split Adjustment Event or a Rights Issue Adjustment Event (each as defined below), the Index Calculation Agent will make the appropriate adjustments to the composition of the Index including, in particular, the Weights of the Constituents, in accordance with the methodology set out in this Part D (Dividends, Stock Splits and Rights Issues). For the avoidance of doubt, Dividend Adjustment Events, Stock Split Adjustment Events and Rights Issue Adjustment Events shall be treated in the manner described in this Part D (Dividends, Stock Splits and Rights Issues) and shall not constitute Extraordinary Events (as described in Part F (Market Disruptions and Extraordinary Events) for the purpose of the Index Conditions.

1. DIVIDEND ADJUSTMENTS (REGULAR DIVIDENDS: CASH AND/OR STOCK DIVIDENDS)

For the avoidance of doubt, for the purposes of this Paragraph 1 of Part D, Constituent i means each Stock Constituent only. Cash Dividends: Following the declaration by the issuer of any Constituent of a Cash Dividend (as defined below), the Index Calculation Agent shall adjust the Cash Position only in accordance with the provisions of paragraph 1.2 of Part C (Calculation of the Index Level) above and no adjustment to the Weight of such Constituent shall be made. Non-Cash Regular Dividends: Following the declaration by the issuer of any Constituent of a Non-Cash Regular Dividend (as defined below) (a “Dividend Adjustment Event”), the Index Calculation Agent shall adjust the Weight of such Constituent on the Index Business Day following the Ex-Dividend Date (as defined below) in relation to such Dividend in accordance with the formula set out below. The Weight of the relevant Constituent shall be adjusted such that:

i1-exi,

iiexi,1exi,

Amount DividendLevel Closingt Constituen

Amount DividendPercentage Dividend1WeightWeight

where:

Weighti,ex+1 = Weight of Constituent i as of the Index Business Day immediately following the applicable Ex-Dividend Date.

Weighti,ex = Weight of Constituent i on the applicable Ex-Dividend Date (or, if such day is not an Index Business Day, on the immediately preceding Index Business Day).

Dividend Percentagei

= The applicable Dividend Percentage (as defined below).

Dividend Amounti

= The applicable Dividend Amount (as defined below).


Index Conditions

24

Constituent Closing Leveli,ex-1

= Constituent Closing Level of Constituent i as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

“Cash Dividend” means, in respect of a Constituent, any regular dividend (in the form of a cash dividend only) declared by the issuer of such Constituent for which the Ex-Dividend Date falls on any day after the Index Start Date (excluding any Extraordinary Dividend). “Non-Cash Regular Dividend” means, in respect of a Constituent, any regular dividend (in the form of a scrip (stock) dividend only) declared by the issuer of such Constituent for which the Ex-Dividend Date falls on any day after the Index Start Date (excluding any Extraordinary Dividend). “Dividend” means a Cash Dividend or a Non-Cash Regular Dividend, as applicable. “Dividend Amount” means, in respect of a Dividend: (1) if such Dividend is a Cash Dividend, 100% of the gross cash dividend per one stock as

declared by the issuer of the relevant Constituent, before the withholding or deduction of taxes at source by or on behalf of any applicable authority having power to tax in respect of such a dividend (an “Applicable Authority”), and shall exclude (a) any imputation or other credits, refunds or deductions granted by an Applicable Authority (together, the “Credits”), and (b) any taxes, credits, refunds or benefits imposed, withheld, assessed or levied on the Credits referred to in (a) above (converted, if necessary, at the applicable FX Rate for the conversion of the currency in which the relevant Dividend Amount is denominated into the currency in which the Constituent Closing Level of the relevant Constituent is published).

(2) if such Dividend is a Non-Cash Dividend, an amount per one stock equal to the cash

value declared by the issuer of the relevant Constituent (whether or not such Non-Cash Dividend includes stock that are the Constituent) or, if no cash value is declared by the issuer of the relevant Constituent, the cash value of such Non-Cash Dividend as determined by the Index Calculation Agent, calculated by reference, where available, to the closing price of any stocks or the Constituent Closing Level (as the case may be) comprising such Non-Cash Dividend on the last trading day immediately preceding the relevant Ex-Dividend Date, taking into account (where such Non-Cash Dividend consists of the stock of the Constituent) any diluting effect on the theoretical value of the Constituent stock resulting from such Non-Cash Dividend. The cash value of a Non-Cash Dividend shall be converted, if necessary, at the applicable FX Rate for the conversion of the currency in which the relevant Dividend Amount is denominated into the currency in which the Constituent Closing Level of the relevant Constituent is published.

“Dividend Percentage” means, in respect of a Dividend Amount, the Dividend Percentage specified by the Index Sponsor from time to time in respect of the country or jurisdiction in which the issuer of the relevant Constituent is domiciled for tax purposes. As of the date of these Index Conditions, the Dividend Percentage in respect of the United States of America is 100%. The Index Sponsor shall notify the Index Calculation Agent of any change in the Dividend Percentage applicable to any country or jurisdiction, in which case the current Dividend Percentage will be published by the Index Calculation Agent on the Index Electronic Page and available from the Index Sponsor. “Ex-Dividend Date” means, in respect of a stock and a dividend payment which has been announced by the issuer of such stock, the first day on which a purchaser of such stock will not be entitled to receive the relevant dividend payment, as fixed by the issuer of such stock and/or the primary exchange on which such stock is traded. “Extraordinary Dividend” has the meaning given to such term in paragraph 2 below.


Index Conditions

25

“FX Rate” means, in respect of the notional exchange of one currency to another currency, the applicable WM/Reuters “Closing Spot Rate” as published by The World Markets Company plc in conjunction with Reuters at approximately 4.00 p.m. (London time) on the Ex-Dividend Date or, if such rate is discontinued or unavailable on the relevant day for any reason, such other exchange rate for the relevant currency conversion as the Index Calculation Agent shall determine appropriate by reference to an alternative foreign exchange rate service.

2. DIVIDEND ADJUSTMENTS (EXTRAORDINARY DIVIDENDS, BONUS SHARES)

For the avoidance of doubt, for the purposes of this Paragraph 2 of Part D, Constituent d means each Constituent of the Index and Constituent i means each Stock Constituent i only. Extraordinary Dividends: Following the declaration by the issuer of any Constituent d of an Extraordinary Dividend (as defined below) (a “Dividend Adjustment Event”), the Index Calculation Agent shall adjust the Weight of each of the Constituents of the Index on the Ex-Dividend Date (as defined below) in relation to such Extraordinary Dividend in accordance with each of the formulae set out below. If such Ex-Dividend Date is not an Index Business Day, the adjustment shall be made on the next following Index Business Day. The Weight of the Constituents of the Index shall be adjusted such that: Stock Constituent i:

d1-d,ex1-ex

dd1-d,ex

1-i,exi,exAmount videndx Extra Di WeightlIndex Leve

Amount dendExtra Divie Percentagx Dividend Weight1WeightWeight

Short Index Constituent SP500:

d1-exd,1-ex

dd1-exd,

1-exSP500,exSP500,Amount videndx Extra Di WeightlIndex Leve


Unallocated Constituent UA:

d1-d,ex1-ex

dd1-d,ex

1-UA,exUA,exAmount dendExtra DiviWeightlIndex Leve


where:

Weighti,ex = Weight of Stock Constituent i on the applicable Ex-Dividend Date (or, if such day is not an Index Business Day, on the immediately following Index Business Day).

Weighti,ex-1 = Weight of Stock Constituent i as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

WeightSP500,ex = Weight of Short Index Constituent SP500 on the applicable Ex-Dividend Date (or, if such day is not an Index Business Day, on the immediately following Index Business Day).


Index Conditions

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WeightSP500,ex-1 = Weight of Short Index Constituent SP500 as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

WeightUA,ex = Weight of Unallocated Constituent UA on the applicable Ex-Dividend Date (or, if such day is not an Index Business Day, on the immediately following Index Business Day).

WeightUA,ex-1 = Weight of Unallocated Constituent UA as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

Weightd,ex-1 = Weight of relevant Constituent d as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

Dividend Percentaged

= The applicable Dividend Percentage (as defined below) in respect of relevant Constituent d.

Extra Dividend Amountd

= The applicable Extraordinary Dividend Amount (as defined below) in respect of relevant Constituent d.

IndexLevelex-1 = Index Level as of the Index Business Day immediately preceding the applicable Ex-Dividend Date.

“Extraordinary Dividend” means (i) an “Extraordinary Dividend”, as such term is defined in paragraph 3 of Part E (Data) and will generally include any dividend (in the form of a cash dividend or a scrip (stock) dividend) which is described as “special”, “extra”, “irregular” or a “return of capital”; or (ii) a free distribution or dividend of stock of such Constituent to existing holders by way of bonus, capitalization or similar issue, for which in each case the applicable Ex-Dividend Date falls on any day after the Index Start Date. “Extraordinary Dividend Amount” means, in respect of an Extraordinary Dividend: (1) if such Extraordinary Dividend is a cash dividend, 100% of the gross cash dividend per

one stock as declared by the issuer of the relevant Constituent, before the withholding or deduction of taxes at source by or on behalf of any applicable authority having power to tax in respect of such a dividend (an “Applicable Authority”), and shall exclude (a) any imputation or other credits, refunds or deductions granted by an Applicable Authority (together, the “Credits”), and (b) any taxes, credits, refunds or benefits imposed, withheld, assessed or levied on the Credits referred to in (a) above (converted, if necessary, at the applicable FX Rate for the conversion of the currency in which the relevant Extraordinary Dividend Amount is denominated into the currency in which the Constituent Closing Level of the relevant Constituent is published).

(2) if such Extraordinary Dividend is a non-cash dividend, an amount per one stock equal to

the cash value declared by the issuer of the relevant Constituent (whether or not such non-cash dividend includes stock that are the Constituent) or, if no cash value is declared by the issuer of the relevant Constituent, the cash value of such non-cash dividend as determined by the Index Calculation Agent, calculated by reference, where available, to the closing price of any stocks or the Constituent Closing Level (as the case may be) comprising such non-cash dividend on the last trading day immediately preceding the


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27

relevant Ex-Dividend Date, taking into account (where such non-cash dividend consists of the stock of the Constituent) any diluting effect on the theoretical value of the Constituent stock resulting from such non-cash dividend. The cash value of a non-cash dividend shall be converted, if necessary, at the applicable FX Rate for the conversion of the currency in which the relevant Extraordinary Dividend Amount is denominated into the currency in which the Constituent Closing Level of the relevant Constituent is published.

“Dividend Percentage” means, in respect of an Extraordinary Dividend Amount, the Dividend Percentage specified by the Index Sponsor from time to time in respect of the country or jurisdiction in which the issuer of the relevant Constituent is domiciled for tax purposes. As of the date of these Index Conditions, the Dividend Percentage in respect of the United States of America is 100%. The Index Sponsor shall notify the Index Calculation Agent of any change in the Dividend Percentage applicable to any country or jurisdiction, in which case the current Dividend Percentage will be published by the Index Calculation Agent on the Index Electronic Page and available from the Index Sponsor. “Ex-Dividend Date” means, in respect of a stock and an Extraordinary Dividend, the first day on which a purchaser of such stock will not be entitled to receive the relevant Extraordinary Dividend Amount, as fixed by the issuer of such stock and/or the primary exchange on which such stock is traded. “FX Rate” means, in respect of the notional exchange of one currency to another currency, the applicable WM/Reuters “Closing Spot Rate” as published by The World Markets Company plc in conjunction with Reuters at approximately 4.00 p.m. (London time) on the Ex-Dividend Date or, if such rate is discontinued or unavailable on the relevant day for any reason, such other exchange rate for the relevant currency conversion as the Index Calculation Agent shall determine appropriate by reference to an alternative foreign exchange rate service.

3. DIVIDEND RECOVERY If, in respect of a Dividend or an Extraordinary Dividend, (a) the gross cash or non-cash dividend declared or estimated by the issuer of the relevant Constituent (a “Declared Dividend”) to holders of record of the stock in such Constituent is not equal to the gross amount deemed to be paid by the issuer of such Constituent (notwithstanding that such payment is made to either any relevant taxing authority or holders of record) in respect of such Dividend (a “Dividend Mismatch Event”) or (b) the issuer of the relevant Constituent fails to make any payment or delivery in respect of that Declared Dividend by the third Index Business Day following the relevant due date, then in either case the Index Calculation Agent may (but shall not be obliged to) determine: (i) any appropriate adjustment to be made to the Index, including the Cash Position in the

Index and the Weight of any Constituent, to account for that Dividend Mismatch Event or non-payment or non-delivery, as the case may be; and

(ii) the effective date of any such adjustment. In the event that an issuer of a Constituent makes a payment or delivery in respect of a Dividend or an Extraordinary Dividend that has already been the subject of an adjustment in accordance with this paragraph 3 (Dividend Recovery), the Index Calculation Agent shall determine any appropriate adjustment(s) to be made in respect of the Index in order to account for the economic effect of such subsequent payment or delivery.

4. STOCK SPLIT ADJUSTMENTS

For the avoidance of doubt, for the purposes of this Paragraph 4 of Part D, Constituent i means each Stock Constituent i only.


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Following the declaration by the issuer of a Constituent of a Stock Split (as defined below) (a “Stock Split Adjustment Event”), the Index Calculation Agent shall adjust the Weight of such Constituent on the Ex-Date (as defined below) in relation to such Stock Split in accordance with the formula set out below. If such Ex-Date is not an Index Business Day, the adjustment shall be made on the next following Index Business Day. The Weight of the relevant Constituent shall be adjusted such that:

i1-exi,exi, RatioSplit WeightWeight

where:

Weighti,ex = Weight of Constituent i on the applicable Ex-Date (or, if such day is not an Index Business Day, on the immediately following Index Business Day).

Weighti,ex-1 = Weight of Constituent i as of the Index Business Day immediately preceding the applicable Ex-Date.

Split Ratioi = In respect of the applicable Stock Split, the ratio of the new total number of shares (B) for the old total number of shares (A) (e.g., split ratio=B/A) in respect of Constituent i.

“Ex- Date” means, in respect of a Stock Split in respect of a Constituent, the effective date of such Stock Split, as fixed by the issuer of such Constituent and/or the primary exchange on which such Constituent is traded. “Stock Split” means, in respect of a Constituent, a stock split, subdivision, reverse stock split, consolidation or similar reclassification of the stock of such Constituent, for which the Ex-Date falls on any day after the Index Start Date.

5. RIGHTS ISSUE ADJUSTMENTS

For the avoidance of doubt, for the purposes of this Paragraph 5 of Part D, Constituent i means each Stock Constituent i only. Following the declaration by the issuer of a Constituent of a Rights Issue (as defined below) (a “Rights Issue Adjustment Event”), the Index Calculation Agent shall adjust the Weight of such Constituent on the Ex-Rights Date (as defined below) in relation to such Rights Issue in accordance with the formula set out below. If such Ex-Rights Date is not an Index Business Day, the adjustment shall be made on the following Index Business Day. The Weight of the relevant Constituent shall be adjusted such that:

i

1-exi,

i

i1-exi,exi,

NLevel Closingt Constituen

S1

N1WeightWeight

where:


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Weighti,ex = Weight of Constituent i on the applicable Ex-Rights Date (or, if such day is not an Index Business Day, on the immediately following Index Business Day).

Weighti,ex-1 = Weight of Constituent i as of the Index Business Day immediately preceding the applicable Ex-Rights Date.

Ni = In respect of the applicable Rights Issue, the rights ratio in respect of such Rights Issue of Constituent i, N = B/A where A is the number of existing stocks and B is the number of new stocks entitlement.

Si = In respect of the applicable Rights Issue, the subscription price per share of Constituent i.

Constituent Closing Leveli,ex-1

= Constituent Closing Level of Constituent i as of the Index Business Day for Constituent i immediately preceding the Ex-Rights Date.

“Ex-Rights Date” means, in respect of a Rights Issue in respect of a Constituent, the first day on which a purchaser of such stock would not be entitled to participate in such Rights Issue, as fixed by the issuer of such Constituent and/or the primary exchange on which such Constituent is traded. “Rights Issue” means, in respect of a Constituent, a distribution to existing holders of such Constituent of any stock, rights or warrants to purchase shares of such Constituent, in any case for payment (whether in cash or otherwise) at less than the prevailing market price or any other similar event as determined by the Index Calculation Agent and for which the Ex-Rights Date falls on any day after the Index Start Date.

29

Part E: Data

(As at the Index Launch Date)

The Index shall operate with reference to an Eligible Universe. This Part E sets out the classification and particulars of each Eligible Constituent in the Eligible Universe.

1. Eligible Constituents of Eligible Universe

Eligible Constituents Classification Allocation Type Replacement Criteria

Each Eligible Stock Constituent of the Eligible Stock Universe from time to time as determined in accordance with paragraph 2.1 of Part C (Calculation of the Index Level). Each Stock Constituent from time to time (following the application of certain filters in accordance with paragraph 2.1 (Selection of Constituents) in Part C (Calculation of the Index Level) above)

Share Long Allocation Not Applicable

Short Index Constituent - S&P 500 Total Return Index

Share Index Short Allocation Exposure to mid to large cap US stocks

Unallocated Constituent N/A Long Allocation N/A

2. Particulars in respect of each Constituent

Constituent Type of Index

Exchange(s) Related Exchange(s)

Electronic Page Maximum Percentage Weight

Each Stock Constituent

N/A As defined in Part F (Market Disruptions and Extraordinary Events)

All Exchanges As defined in Part F (Market Disruptions and Extraordinary Events)

5%

Short Index Constituent - S&P 500 Total Return Index

Single Exchange Index

As defined in Part F (Market Disruptions and Extraordinary Events)

All Exchanges SPTR <Index> N/A


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Unallocated Constituent

N/A N/A N/A N/A

Each Constituent is classified as specified in the column headed “Classification” of the table set out above.

3. Defined Terms

Acquiring Company: In respect of an M&A Deal and a Target Company, means the company specified as the acquirer under the “ACQUIRER NAME” field of the Bloomberg MA Page (irrespective of the jurisdiction in which such company is established or listed), provided that if there is any ambiguity in respect of the Bloomberg MA Page as to the identity of the Acquiring Company, such Target Company shall not be included in the Index.

Acquirer Stock: The common stock of the Acquiring Company.

Affiliate: shall mean, in respect of a person, any entity controlled (directly or indirectly) by such person, any entity which controls (directly or indirectly) such person or any entity (directly or indirectly) under common control with such person. For this purpose, “control” of any person or entity shall mean the ownership or a majority of the voting power of such person or entity.

Announcement Date: In respect of an M&A Deal, the day on which it is announced as specified under the “ANNOUNCE DATE” field on the Bloomberg MA Page.

Average Monthly Trading Volume (AMTV):

In respect of the Target Stock of a Target Company and an Index Business Day, the product of the following formula as determined by the Index Calculation Agent:

Where: Pricei,j is the official closing price in respect of Target Stock i as of Index Business Day j (as displayed on the applicable Electronic Page in respect of that Target Stock), where “j” is each Index Business Day in the period of 120 Index Business Days up to and including the relevant Index Business Day t; and Volumei,j is the Daily Exchange Traded Volume (as defined below) in respect of Target Stock i as of Index Business Day j.


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Bloomberg MA Page: In respect of an M&A Deal and a Stock Constituent, means Bloomberg Page “MA”, subject to paragraph 4 (Bloomberg Pages, Fields and Classifications) of Part E (Data) below.

Cash Offer: In respect of an M&A Deal, the consideration consists of a “Cash Offer” as specified in the “PAYMENT TYPE“ field as displayed on Bloomberg MA Page.

Cash and Stock Offer: In respect of an M&A Deal, the consideration consists of a “Cash and Stock Offer” as specified in the “PAYMENT TYPE“ field as displayed on Bloomberg MA Page.

Cash or Stock Offer: In respect of an M&A Deal, the consideration consists of a “Cash or Stock Offer” as specified in the “PAYMENT TYPE“ field as displayed on Bloomberg MA Page.

Citi:

shall mean Citigroup Inc. and its Affiliates.

Classification:

shall mean, in respect of a Constituent, the classification assigned to it in Part E (Data).

Completion Date: In respect of an M&A Deal, the day on which such deal is or was completed as publicly announced and as displayed under the “COMPLETION DATE” field on the Bloomberg MA Page.

Constituent:

shall mean each Constituent of the Index specified as such in, or determined in accordance with, these Index Conditions.

Constituent Inclusion Date:

shall mean, in respect of a Constituent, the Selection Day with effect from which such Constituent is first selected to be included in the Index.

Conversion Ratio: In respect of an M&A Deal, the conversion ratio as to the number of shares in the Acquirer Stock of the Acquiring Company that a holder of one share of the Target Stock in the Target Company would receive by way of consideration therefor, as specified under the “STOCK TERMS” field as displayed on Bloomberg MA Page.

Daily Exchange Traded Volume: In respect of any day, the data specified as the volume traded under the “VOLUME” field in respect of a Target Stock on the relevant Exchange on such day, as displayed on the applicable Electronic Page in respect of such Target Stock on such day.

Deal Size: In respect of an M&A Deal, the total value of that M&A Deal as specified under the “ANNOUNCED TOTAL VALUE” field on the Bloomberg MA Page.

Disrupted Day: shall have the meaning given to it in Part F (Market Disruption


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32

and Extraordinary Events)

Electronic Page:

shall mean, in respect of a Constituent, (1) the electronic page or source specified for such Constituent in Part E (Data) of these Index Conditions, or (2) if no such electronic page or source is so specified for such Constituent, such Bloomberg or Reuters page or other widely recognised source of financial data as the Index Calculation Agent may determine appropriate, or (3) in any such case, any successor electronic page or source that has been designated by either (a) the sponsor of the original electronic page or source; or (b) the relevant information vendor or provider of the original electronic page or source; or (4) any alternative electronic page or source of financial data that may be designated by the Index Calculation Agent, provided that such page or source is widely recognised by participants in the relevant market.

Eligible Constituent:

shall have the meaning given to it in paragraph 1 of Part E (Data).

Eligible Universe: shall have the meaning given to it in paragraph 1 of Part E (Data).

Extraordinary Dividend: In respect of a Share, a dividend or a distribution or portion thereof which is determined by the Index Calculation Agent to be an extraordinary dividend relating to such Share having regard to general market consensus.

Extraordinary Event: Means any of the events referred to in paragraphs 3 (Adjustment Events in respect of Stock Constituents), 5 (Adjustment Events in respect of Short Index Constituent), 6 (Additional Adjustment Events) and 9 (Reference Index Adjustment Events) of Part F (Market Disruption and Extraordinary Events).

FX Rate: In respect of the notional exchange of one currency to another currency, the applicable WM/Reuters “Closing Spot Rate” as published by The World Markets Company plc in conjunction with Reuters at approximately 4.00 p.m. (London time) on the relevant Index Business Day or Ex-Dividend Date or other relevant day, or, if such rate is discontinued or unavailable on the relevant day for any reason, such other exchange rate for the relevant currency conversion as the Index Calculation Agent shall determine appropriate by reference to an alternative foreign exchange rate service.

Short Index Constituent: Has the meaning given to it in paragraph 2.1 of Part C (Calculation of the Index Level).


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Index Business Day: Each day which is (a) a day on which commercial banks and foreign exchange markets are open for general business (including dealings in foreign exchange and foreign exchange currency deposits) in the principal financial centre of the Index Base Currency and (b) a day on which the New York Stock Exchange is scheduled to be open for trading for its regular trading session(s).

Index Calculation Agent: shall mean CGML, any successor to such person, or any alternative calculation agent appointed by the Index Sponsor.

Index Electronic Page:

shall mean (1) the electronic page or source specified as such in Part B (Key Information) above, or (2) any successor electronic page or source that has been designated by either (a) the sponsor of the original electronic page or source; or (b) the relevant information vendor or provider of the original electronic page or source; or (3) any alternative electronic page or source designated by the Index Sponsor.

Index Level:

shall mean, in respect of an Index Business Day, the closing level of the Index as of the Index Valuation Time on such Index Business Day.

Index Linked Product:

shall mean any security, contract or other financial product the return on which is linked to the performance of the Index.

Index Sponsor:

shall mean CGML or any successor to or assignee of such person.

Index Valuation Time: In respect of an Index Business Day, 11.00 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.

Initial Selection Day: 30 December 2002

Market Capitalisation: In respect of a Target Company and an Index Business Day, the prevailing total market value of all outstanding Target Stock in respect of the Target Company, as displayed under the “CUR_MKT_CAP” field on the relevant Electronic Page in respect of that Target Company, converted, if necessary, into the Index Base Currency at the applicable FX Rate in respect of such Index Business Day.

M&A Deal: A publicly announced merger or acquisition transaction or similar transaction (as defined by the reporting of such transaction on Bloomberg MA Page) involving a Target Company in the Eligible Stock Universe,


Index Conditions

34

provided that, if, as of a Selection Day, either (a) an Acquiring Company in respect of a Target Company revises or has revised the terms of the M&A Deal in respect of that Target Company, or (b) the board of a Target Company receives or has received an offer from more than one potential Acquiring Company, then the latest definitive offer that has been approved by the board of the Target Company (as displayed under the “DEAL ATTRIBUTES” field on the Bloomberg MA Page) will supersede all other offers with respect to that Target Company and will constitute the relevant “M&A Deal”, and any offers that have been superseded shall be disregarded.

Rebalancing Date: Subject to paragraph 2.5 (No Rebalancing in a short week) of Part C (Calculation of the Index Level), the Index Start Date and, in respect of a Selection Day, the last Index Business Day of the week in which such Selection Day occurs, as adjusted in accordance with paragraph 4 (Adjustments to Valuation Dates (Scheduled Trading Days: “Holidays”)) of Part C (Calculation of the Index Level) and paragraph 1 (Consequences of Disrupted Days) of Part F (Market Disruptions and Extraordinary Events).

Selection Day: The Initial Selection Day and the first Index Business Day of each week.

Scheduled Completion Date: In respect of an M&A Deal, the day on which such deal is scheduled to be completed as publicly announced and as displayed under the “COMPLETION DATE” field on the Bloomberg MA Page, as may be updated from time to time.

Scheduled Valuation Date: Each Index Business Day.

Stock Constituent: Has the meaning given to it in paragraph 2.1 of Part C (Calculation of the Index Level).

Stock Offer: In respect of an M&A Deal, the consideration consists of a “Stock Offer” as specified in the “PAYMENT TYPE“ field as displayed on Bloomberg MA Page.

Target Company: In respect of an M&A Deal, means the company in the Eligible Stock Universe that is being acquired by the relevant Acquiring Company, and is identified as such under “TARGET NAME” of the Bloomberg MA Page.

Target Stock: The common stock of the Target Company.

Unallocated Constituent: Has the meaning given to it in paragraph 2.1 of Part C (Calculation of the Index Level).

Valuation Date: Each Scheduled Valuation Date, as adjusted in accordance with paragraph 4 (Adjustments to Valuation Dates (Scheduled Trading Days: “Holidays”)) of Part C (Calculation of the Index Level) and paragraph 1 (Consequences of Disrupted Days) of Part F (Market Disruptions and Extraordinary Events).


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35

Weight:

shall have the meaning given to it in paragraph 1.3 of Part C (Calculation of the Index Level).

References to a “Part” shall be references to a part of these Index Conditions. 4. Bloomberg Pages, Fields and Classifications

If any Bloomberg page, field or classification referenced in these Index Conditions is replaced by a successor electronic page, field or classification that is designated by Bloomberg and that provides substantially the same information as the original Bloomberg page, field or classification, then the information specified in these Index Conditions to be obtained from the original Bloomberg page, field or classification shall be obtained instead from such successor Bloomberg page, field or classification. If any Bloomberg page, field or classification referenced in these Index Conditions is permanently discontinued and there is no successor Bloomberg page, field or classification pursuant to the preceding sentence, or if any such Bloomberg page, field or classification is materially modified so that it does not provide substantially the same information as it does on the date of these Index Conditions, then the Index Calculation Agent may designate one or more alternative electronic pages, fields or other sources of financial information to be the source of the relevant information, provided that each such alternative page, field or source is widely recognised and provides, as nearly as possible, the same information as the original Bloomberg page, field or classification. If all or substantially all Bloomberg pages, fields or classifications referenced in these Index Conditions are permanently discontinued and there is no successor Bloomberg page, field or classification pursuant to the first paragraph above, then the Index Sponsor may discontinue and cancel the Index.


Index Conditions

36

Annex to Part E (Data)

Transaction Types

Additional Stake Purchase, Company Takeover

Additional Stake Purchase, Cross Border, Company Takeover

Additional Stake Purchase, Cross Border, Going Private, Company Takeover

Additional Stake Purchase, Going Private, Company Takeover

Additional Stake Purchase, Majority purchase, Company Takeover

Additional Stake Purchase, Management Buyout, Company Takeover

Additional Stake Purchase, Management Buyout, Going Private, Company Takeover

Additional Stake Purchase, Private Equity, Company Takeover, PE Buyout

Additional Stake Purchase, Private Equity, Management Buyout, Company Takeover, PE Buyout

Additional Stake Purchase, Private Equity, Management Buyout, Going Private, Company Takeo...

Additional Stake Purchase, Private Equity, Management Buyout, Going Private, Company Takeover

Bankruptcy/Liquidation, Company Takeover

Company Takeover

Company Takeover, Competing Bid

Company Takeover, PE Buyout, Real Estate

Company Takeover, Reverse Merger

Cross Border, Company Takeover

Cross Border, Company Takeover, Competing Bid

Cross Border, Company Takeover, Reverse Merger

Going Private, Company Takeover

Management Buyout, Company Takeover

Management Buyout, Going Private, Company Takeover

Private Equity, Company Takeover

Private Equity, Company Takeover, Competing Bid, PE Buyout

Private Equity, Company Takeover, PE Buyout

Private Equity, Company Takeover, PE Buyout, Real Estate

Private Equity, Company Takeover, PE Buyout, Secondary Transaction

Private Equity, Cross Border, Company Takeover

Private Equity, Cross Border, Company Takeover, PE Buyout

Private Equity, Cross Border, Company Takeover, PE Buyout, Real Estate

Private Equity, Cross Border, Going Private, Company Takeover, PE Buyout

Private Equity, Going Private, Company Takeover, PE Buyout

Private Equity, Management Buyout, Company Takeover, PE Buyout

Private Equity, Management Buyout, Going Private, Company Takeover, PE Buyout

Tender Offer

Tender Offer, Additional Stake Purchase, Company Takeover

Tender Offer, Additional Stake Purchase, Cross Border, Company Takeover

Tender Offer, Additional Stake Purchase, Cross Border, Going Private, Company Takeover

Tender Offer, Additional Stake Purchase, Going Private, Company Takeover

Tender Offer, Additional Stake Purchase, Management Buyout, Company Takeover

Tender Offer, Additional Stake Purchase, Management Buyout, Going Private, Company Takeover


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Tender Offer, Additional Stake Purchase, Private Equity, Company Takeover

Tender Offer, Additional Stake Purchase, Private Equity, Company Takeover, PE Buyout

Tender Offer, Company Takeover

Tender Offer, Company Takeover, Competing Bid

Tender Offer, Cross Border, Company Takeover

Tender Offer, Cross Border, Company Takeover, Competing Bid

Tender Offer, Management Buyout, Company Takeover

Tender Offer, Private Equity, Company Takeover

Tender Offer, Private Equity, Company Takeover, PE Buyout

Tender Offer, Private Equity, Company Takeover, PE Buyout, Real Estate

Tender Offer, Private Equity, Cross Border, Company Takeover

Tender Offer, Private Equity, Cross Border, Company Takeover, PE Buyout

Tender Offer, Majority purchase, Cross Border, Company Takeover


Index Conditions

38

Part F: Market Disruption and Extraordinary Events

References to a “paragraph” shall be references to a paragraph of this Part F and references to a “Sub-paragraph” shall be references to a sub-paragraph of this Part F.

1. CONSEQUENCES OF DISRUPTED DAYS

1.1 On an Index Business Day (for the purposes of publication only)

If a Scheduled Valuation Date that is NOT a Rebalancing Date is a Disrupted Day for any Constituent, then:

(a) the Valuation Date for each Constituent for which such Scheduled Valuation Date is not a Disrupted Day shall be such Scheduled Valuation Date; and

(b) the Valuation Date for each Constituent for which such Scheduled Valuation Date is a Disrupted Day shall be the first day immediately preceding such Scheduled Valuation Date which is a Scheduled Trading Day and not a Disrupted Day for such Constituent.

1.2 On a Selection Day – not affected

The occurrence of a Disrupted Day in respect of any Constituent on a Scheduled Valuation Date that is a Selection Day shall not affect the process described in these Index Conditions for the selection of the Constituents of the Index and the determination of the Percentage Weights of the Constituents, which will take effect from the market close on the following Rebalancing Date relating to such Selection Day and such day will still be treated as a Selection Day for the purpose of making the Index determinations which are scheduled to be made in respect of such Selection Day. In addition, in respect of any Constituent for which the required data is not available on such Selection Day, the Calculation Agent will use the last available data in respect of that Constituent on the first Scheduled Trading Day immediately preceding such date that is not a Disrupted Day for that Constituent.

The Index Level on a Selection Day that is a Disrupted Day shall be determined in accordance with paragraph 1.1 above.

1.3 On a Rebalancing Date – no rebalancing if Disrupted Day

If a Scheduled Valuation Date that is a Rebalancing Date is a Disrupted Day for any Constituent, then (i) such date shall be deemed not to be a Rebalancing Date and consequently the Constituents of the Index shall not be rebalanced until the next following Rebalancing Date in accordance with the Index Conditions (using the Percentage Weights determined as of the next following Selection Day relating to such next following Rebalancing Date), subject to the occurrence of a Disrupted Day in respect of any Constituent.

2. MARKET DISRUPTION IN RESPECT OF STOCK CONSTITUENT (SHARE)

This paragraph 2 shall apply to each Constituent classified in Part E (Data) as a “Share”.


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2.1 Disrupted Days in respect of Stock Constituents “Disrupted Day” shall mean, in respect of a Share, any Scheduled Trading Day for such Share on which any of the events set out below occurs: (a) any relevant Exchange or any relevant Related Exchange fails to open for trading during

its regular trading session; or (b) the occurrence or existence at any time during the one hour period which ends at the

relevant Valuation Time of any suspension of or limitation imposed (whether by reason of movements in price exceeding permitted limits or otherwise) on the trading on (i) any relevant Exchange of such Share; or (ii) any relevant Related Exchange of futures contracts or options contracts relating to such Share; or

(c) the occurrence or existence at any time during the one hour period which ends at the

relevant Valuation Time of any other event (other than an event described in Sub-paragraph (d) or Sub-paragraph (e) of this definition) which disrupts or impairs the ability of market participants in general (i) (on any relevant Exchange) to effect transactions in or to obtain market values for such Share; or (ii) (on any relevant Related Exchange) to effect transactions in or to obtain market values for any futures contracts or options contracts relating to such Share; or

(d) the closure on any Exchange Business Day of any relevant Exchange prior to its

Scheduled Closing Time (unless such earlier closing time is announced by such Exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such Exchange on such Exchange Business Day; and (ii) the deadline for the submission of orders to be entered into such Exchange system for execution at the relevant Valuation Time on such Exchange Business Day); or

(e) the closure on any Exchange Business Day of any relevant Related Exchange in respect

of futures contracts or options contracts relating to such Share prior to its Scheduled Closing Time (unless such earlier closing time is announced by such Related Exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such Related Exchange on such Exchange Business Day; and (ii) the deadline for the submission of orders to be entered into such Related Exchange system for execution at the Valuation Time on such Exchange Business Day).

3. ADJUSTMENT EVENTS IN RESPECT OF STOCK CONSTITUENTS

This paragraph 3 shall apply to each Constituent classified in Part E (Data) as a “Share”.

3.1 Adjustment Events “Adjustment Event” shall mean, in respect of a Share, the occurrence of any of the events set out below: (a) a Corporate Action; or (b) a Delisting; or (c) an Insolvency; or (d) a Nationalization.

(a) Corporate Action


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“Corporate Action” shall mean, in respect of relevant Shares, any of the following events (provided that, in each case, the relevant event has a diluting or concentrative effect on the theoretical value of the relevant Shares):

(i) a subdivision, consolidation or reclassification of such Shares, unless resulting in

a Merger Event; or

(ii) a free distribution or dividend of such Shares to existing holders by way of bonus, capitalization or similar issue; or

(iii) a distribution, issue or dividend to existing holders of such Shares of (A) an additional amount of such Shares; or (B) other share capital or securities granting the right to payment of dividends and/or the proceeds of the liquidation of the relevant Share Company equally or proportionately with such payments to holders of its Shares; or (C) share capital or other securities of another issuer acquired or owned (directly or indirectly) by such Share Company as a result of a spin-off or other similar transaction; or (D) any other type of securities, rights or warrants or other assets, in any case for payment (whether in cash or otherwise) at less than their prevailing market price; or

(iv) an Extraordinary Dividend; or

(v) a call by the relevant Share Company in respect of such Shares which are not fully paid; or

(vi) a repurchase by the relevant Share Company or any of its subsidiaries of such Shares, whether out of profits or capital, and whether the consideration for such repurchase is cash, securities or otherwise; or

(vii) in respect of the relevant Share Company, an event which results in any shareholder rights being distributed or becoming separated from shares of common stock or other shares of the capital stock of such Share Company, pursuant to a shareholder rights plan or arrangement directed against hostile takeovers which provides (upon the occurrence of certain events) for a distribution of preferred stock, warrants, debt instruments or stock rights at a price below their market value (PROVIDED THAT any adjustment effected as a result of such an event may be readjusted upon any redemption of such rights); or

(viii) any other event which may have a diluting or concentrative effect on the theoretical value of such Shares.


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(b) Delisting “Delisting” shall mean, in respect of relevant Shares, that any relevant Exchange announces that pursuant to the rules of such Exchange such Shares cease (or will cease) to be listed, traded or publicly quoted on such Exchange for any reason and are not (or will not be) immediately re-listed, re-traded or re-quoted on an exchange or quotation system located in the same country as such Exchange (or, where such Exchange is located within the European Union, in any member state of the European Union) or another exchange or quotation system (that is acceptable to the Index Calculation Agent) located in another country (that is acceptable to the Index Calculation Agent). In addition, it will also constitute a Delisting if the relevant Exchange is located in the United States and the relevant Shares are not immediately re-listed, re-traded or re-quoted on any of the New York Stock Exchange, the NASDAQ Global Select Market and the NASDAQ Global Market (or their respective successors).

(c) Insolvency “Insolvency” shall mean, in respect of a Share Company, that either (i) by reason of the voluntary or involuntary liquidation, bankruptcy, insolvency, dissolution or winding up of (or any analogous proceeding) affecting such Share Company (A) all the Shares of such Share Company are required to be transferred to an Insolvency Officer; or (B) holders of such Shares become legally prohibited from transferring or redeeming such Shares; or (ii) an Insolvency Event occurs in respect of such Share Company. “Insolvency Officer” shall mean an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official. “Insolvency Event” shall mean, in respect of an entity, that such entity (i) is dissolved or has a resolution passed for its dissolution, winding-up or official liquidation (other than pursuant to a consolidation, amalgamation or merger); (ii) makes a general assignment or arrangement with or for the benefit of its creditors; (iii) either (A) institutes, or has instituted against it by a Competent Official, a proceeding seeking an Insolvency Judgment, or a petition is presented for its winding-up or liquidation by it or by such Competent Official; or (B) has instituted against it a proceeding seeking an Insolvency Judgment, or a petition is presented for its winding-up or liquidation, and such proceeding or petition is instituted or presented by a person not described in (A) above and either (1) results in an Insolvency Judgment or the entry of an order for relief or the making of an order for its winding up or liquidation; or (2) is not dismissed, discharged, stayed or restrained, in each case within 15 days of the institution or presentation thereof; or (iv) seeks or becomes subject to the appointment of an Insolvency Officer of all or substantially all of its assets; or (v) has a secured party take possession of all or substantially all of its assets (and such secured party maintains possession for not less than 15 days thereafter); or (vi) has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all of its assets (and such process is not dismissed, discharged, stayed or restrained within 15 days thereafter); or (vii) the holders of securities issued by such entity become legally prohibited from transferring such securities; or (viii) causes or is subject to any event which, under the applicable laws of any jurisdiction, has an analogous effect to any of the events specified in (iv) to (vi) above. For these purposes, “Competent Official” shall mean, in respect of such entity, a regulator, supervisor or other similar official with primary insolvency, rehabilitative or regulatory jurisdiction over it in the jurisdiction of its incorporation or organization or in the jurisdiction of its head office or home office; “Insolvency Law” shall mean any bankruptcy law, insolvency law or other similar law affecting creditors’ rights; and “Insolvency Judgment” shall mean any judgment of insolvency or bankruptcy or any other relief under any Insolvency Law.


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(d) Nationalization “Nationalization” shall mean, in respect of a Share Company, that all the Shares or all the assets or substantially all the assets of such Share Company are nationalized, expropriated or are otherwise required to be transferred to any governmental agency, authority, entity or instrumentality thereof.

3.2 Consequences of Adjustment Events in respect of Stock Constituents If an Adjustment Event occurs in respect of any Constituent (the “Affected Constituent”), then the consequences of such Adjustment Event shall be as follows. (a) The Index Calculation Agent will effect as soon as reasonably practicable a Reweighting

in respect of such Affected Constituent. (b) If the Index Calculation Agent determines that no such Reweighting it can make will produce a commercially reasonable result, then the Index Calculation Agent will effect as soon as reasonably practicable a Replacement of such Affected Constituent.

“Replacement” shall mean that the Index Calculation Agent will remove the Affected Constituent from the Index and either: (a) replace the Affected Constituent with an Eligible Constituent selected in accordance with

the relevant rules set out in these Index Conditions; or

(b) (if (i) no such replacement can be made under sub-paragraph (a) above; or (ii) the Index Calculation Agent determines that no such replacement it can make will produce a commercially reasonable result) replace the Affected Constituent with either (1) a notional exposure in accordance with the relevant rules specified in these Index Conditions; or (2) (if no such rules are so specified) a replacement constituent (which shall be deemed to be a Constituent) which shall confer no investment exposure.

“Reweighting” shall mean that the Index Calculation Agent will revise the Weight attributed to the Affected Constituent to account for the economic effect on the Index of the relevant Adjustment Event. For the avoidance of doubt, the Weight attributed to the Affected Constituent may be zero. In the case of either a Replacement or a Reweighting, the Index Calculation Agent will (a) make such adjustment to the calculation of the Index and the Index Level as it determines appropriate to account for the effect on the Index of any such Replacement or Reweighting (as applicable) that is made (including without limitation rebalancing the Index); and (b) determine the effective date of any such Replacement or Reweighting that is made.

3.3 Definitions in respect of Stock Constituents “Exchange” shall mean, in respect of a Share, the primary exchange, trading system or quotation system in respect of such Share or any successor to such exchange, trading system or quotation system, or any substitute exchange, trading system or quotation system to which trading in such Share has temporarily relocated (PROVIDED THAT there is comparable liquidity relative to such Share on such temporary substitute exchange, trading system or quotation system as on the original exchange, trading system or quotation system). “Exchange Business Day” shall mean, in respect of a Share, any Scheduled Trading Day for such Share on which each relevant Exchange and each relevant Related Exchange are open for trading during their respective regular trading sessions, notwithstanding any such Exchange or any such Related Exchange closing prior to its Scheduled Closing Time.


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“Extraordinary Dividend” shall mean, in respect of a Share, a dividend or a distribution or portion thereof which is determined by the Index Calculation Agent to be an extraordinary dividend relating to such Share having regard to general market consensus. “Related Exchange” shall mean, in respect of a Share, each exchange, trading system or quotation system in respect of futures contracts or options contracts relating to such Share or any successor to such exchange, trading system or quotation system, or any substitute exchange, trading system or quotation system to which trading in such futures contracts or options contracts has temporarily relocated (PROVIDED THAT that there is comparable liquidity relative to such futures contracts or options contracts on such temporary substitute exchange, trading system or quotation system as on the original exchange, trading system or quotation system). Where “All Exchanges” is specified in Part E (Data) of these Index Conditions as the applicable Related Exchange in respect of a Share, then “Related Exchange” shall mean each exchange, trading system or quotation system where trading has a material effect on the overall market for futures contracts or options contracts relating to such Share. “Scheduled Closing Time” shall mean, in respect of a Share, a Scheduled Trading Day and an Exchange or a Related Exchange (as relevant) for such Share, the scheduled weekday closing time on such Exchange or Related Exchange on such Scheduled Trading Day, without regard to after-hours trading or any other trading outside the hours of the regular trading session on such Exchange or Related Exchange. “Scheduled Trading Day” shall mean, in respect of a Share, any day on which each relevant Exchange and each relevant Related Exchange is scheduled to be open for trading for its regular trading session. “Share” shall mean each Constituent classified as such in Part E (Data). “Share Company” shall mean, in respect of a Share, the issuer of such Share.


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4. MARKET DISRUPTION IN RESPECT OF SHORT INDEX CONSTITUENT (SHARE INDEX) This paragraph 4 shall apply to each Constituent classified in Part E (Data) as a “Share Index”.

4.1 Disrupted Days in respect of Short Index Constituent

“Disrupted Day” shall mean, in respect of a Share Index, any Scheduled Trading Day for such Share Index on which a Market Disruption Event occurs. For the purposes of determining whether or not a Market Disruption Event exists in respect of a Share Index at any time, if an event giving rise to a Market Disruption Event occurs in respect of a Component Security included in such Share Index at that time, then the relevant percentage contribution of such Component Security to the level of such Share Index shall be based on a comparison of (i) the portion of the level of such Share Index attributable to such Component Security; and (ii) the overall level of such Share Index, in the case of a Single Exchange Index, immediately before the occurrence of such Market Disruption Event.

4.2 Market Disruption Events in respect of Short Index Constituent

(a) Single Exchange Index

“Market Disruption Event” shall mean, in respect of a Share Index which is a Single Exchange Index, the occurrence of any of the events set out below: (i) the relevant Share Index Sponsor fails to publish the level of such Share Index; or (ii) any relevant Exchange or any relevant Related Exchange fails to open for trading during

its regular trading session; or (iii) the occurrence or existence at any time during the one hour period which ends at the

relevant Valuation Time of any material suspension of or limitation imposed (whether by reason of movements in price exceeding permitted limits or otherwise) on the trading on (A) any relevant Exchange, of Component Securities which in aggregate comprise 20 per cent. or more of the level of such Share Index; or (B) any relevant Related Exchange, of futures contracts or options contracts relating to such Share Index; or

(iv) the occurrence or existence at any time during the one hour period which ends at the

relevant Valuation Time of any other event (other than an event described in Sub-paragraph (v) or Sub-paragraph (vi) of this definition) which materially disrupts or impairs the ability of market participants in general (A) (on any relevant Exchange) to effect transactions in or to obtain market values for Component Securities which in aggregate comprise 20 per cent. or more of the level of such Share Index; or (B) (on any relevant Related Exchange) to effect transactions in or to obtain market values for any futures contracts or options contracts relating to such Share Index; or

(v) the closure (which has a material effect on the Index) on any Exchange Business Day of

any relevant Exchange in respect of Component Securities which in aggregate comprise 20 per cent. or more of the level of such Share Index prior to its Scheduled Closing Time (unless such earlier closing time is announced by such Exchange at least one hour prior to the earlier of (A) the actual closing time for the regular trading session on such Exchange on such Exchange Business Day; and (B) the deadline for the submission of orders to be entered into such Exchange system for execution at the Scheduled Closing Time on such Exchange Business Day); or

(vi) the closure (which has a material effect on the Index) on any Exchange Business Day of

any relevant Related Exchange in respect of futures contracts or options contracts relating to such Share Index prior to its Scheduled Closing Time (unless such earlier


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closing time is announced by such Related Exchange at least one hour prior to the earlier of (A) the actual closing time for the regular trading session on such Related Exchange on such Exchange Business Day; and (B) the deadline for the submission of orders to be entered into such Related Exchange system for execution at the Scheduled Time on such Exchange Business Day).

5. ADJUSTMENT EVENTS IN RESPECT OF SHORT INDEX CONSTITUENT

5.1 Share Index Adjustment Events

(a) Successor Share Index and Successor Share Index Sponsor

If a Share Index is (i) not calculated and announced by the relevant Share Index Sponsor but is calculated and announced by a successor sponsor acceptable to the Index Calculation Agent, or (ii) replaced by a successor index using, in the determination of the Index Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of the relevant Share Index, then in each case that index (the “Successor Share Index”) will be deemed to be the relevant Share Index with effect from the date determined by the Index Calculation Agent who may make such adjustment(s) to the Index Conditions as it determines appropriate to account for such change. (b) Share Index Modification and Share Index Cancellation

If a Share Index Sponsor announces that it will make a material change in the formula for or method of calculating a Share Index or in any other way materially modifies that Share Index (other than a modification prescribed in that formula or method to maintain that Share Index in the event of changes in constituent stock and capitalization and other routine events) (a “Share Index Modification”) or permanently cancels that Share Index and no Successor Share Index exists (a “Share Index Cancellation” and, together with a Share Index Modification, each a “Share Index Adjustment Event”), then: (i) 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

(ii) the Index Calculation Agent may select a replacement Share Index that has substantially similar characteristics to the Share Index that is being replaced, having regard to the manner in which such Share Index is used in the calculation of the Index and the Replacement Criteria (if any), 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

(iii) the Index Sponsor may discontinue and cancel the Index.

5.2 Definitions in respect of Short Index Constituent

“Component Security” shall mean, in respect of a Share Index, each share included in such Share Index.

“Exchange” shall mean, in respect of a Single Exchange Index, each exchange, trading system or quotation system specified as such in respect of such Single Exchange Index in Part E (Data) of these Index Conditions or any successor to any such exchange, trading system or quotation system, or any substitute exchange, trading system or quotation system to which trading in the relevant Component Securities has temporarily relocated (PROVIDED THAT there is comparable liquidity relative to such Component Securities on such temporary substitute exchange, trading system or quotation system as on the original exchange, trading system or quotation system).


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“Exchange Business Day” shall mean, in respect of a Single Exchange Index, any Scheduled Trading Day for such Single Exchange Index on which each relevant Exchange and each relevant Related Exchange for such Single Exchange Index are open for trading during their respective regular trading sessions, notwithstanding any such Exchange or any such Related Exchange closing prior to its Scheduled Closing Time.

“Related Exchange” shall mean, in respect of a Share Index, each exchange, trading system or quotation system in respect of futures contracts or options contracts relating to such Share Index or any successor to such exchange, trading system or quotation system, or any substitute exchange, trading system or quotation system to which trading in futures contracts or options contracts relating to such Share Index has temporarily relocated (PROVIDED THAT there is comparable liquidity relative to such futures contracts or options contracts relating to such Share Index on such temporary substitute exchange, trading system or quotation system as on the original exchange, trading system or quotation system). Where “All Exchanges” is specified in the Part E (Data) of these Index Conditions as the applicable Related Exchange in respect of a Share Index, then “Related Exchange” shall mean each exchange, trading system or quotation system where trading has a material effect on the overall market for futures contracts or options contracts relating to such Share Index.

“Replacement Criteria” shall mean, in respect of a Share Index, the criteria (if any) specified as such in Part E (Data).

“Scheduled Closing Time” shall mean, in respect of a Share Index, a Scheduled Trading Day and an Exchange or a Related Exchange (as relevant) for such Share Index, the scheduled weekday closing time of such Exchange or Related Exchange on such Scheduled Trading Day, without regard to after-hours trading or any other trading outside the hours of the regular trading session on such Exchange or Related Exchange.

“Scheduled Trading Day” shall mean, in respect of a Single Exchange Index, any day on which each relevant Exchange and each relevant Related Exchange for such Single Exchange Index is scheduled to be open for trading for their respective regular trading sessions.

“Share Index” shall mean each Constituent classified as such in Part E (Data).

“Share Index Sponsor” shall mean, in respect of a Share Index, the corporation or other entity which (a) is responsible for setting and reviewing the rules and procedures and methods of calculations and adjustments, if any, related to such Share Index; and (b) announces (directly or through an agent) the level of such Share Index on a regular basis.

“Single Exchange Index” shall mean each Share Index specified as such in Part E (Data) of these Index Conditions.

6. ADDITIONAL ADJUSTMENT EVENTS

This paragraph 6 shall apply to all Constituents.

6.1 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) the Index Calculation Agent may suspend the calculation, publication and dissemination



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(ii) 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”) (if any), 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


6.2 Change in Law Events

If either: (a) the Index Sponsor or any of its Affiliates is required (or there is a reasonable likelihood

that, within the next 30 Index Business Days, it will be required) by any applicable law or regulation or policy to dispose of any Hedge Positions, or it is not permitted (or there is a reasonable likelihood that, within the next 30 Index Business Days, it will not be permitted) to hold, acquire, increase, decrease or dispose of any Hedge Position; and/or

(b) due to any applicable law or regulation or policy, the Index Sponsor or the Index

Calculation Agent is not permitted (or there is a reasonable likelihood that, within the next 30 Index Business Days, it will not be permitted) to continue to sponsor or calculate, as applicable, an index comprising an asset which is a Constituent of the Index,

(each, a “Change in Law Event”), then such Stock Constituent (a “Removed Stock Constituent”) and any related short position forming a portion of the overall Short Index Constituent (if any) (a “Removed Short Index Constituent”) will be removed from the Index after the close of business on a day designated by the Index Calculation Agent or the Index Sponsor (such day being a “Designated Date” and a “Removal Date”) (in which case the Index Sponsor will notify the relevant date to the Index Calculation Agent), and the Cash Position in respect of the next Index Business Day following the Removal Date will be adjusted in accordance with the provisions of paragraph 1.2 (Cash Position) of Part C (Calculation of the Index Level) above. “Hedge Position” means any one or more of: (i) positions or contracts in, or relating to, securities, options, futures, other derivative contracts or foreign exchange, or (ii) other instruments, contracts, transactions or arrangements (howsoever described) that would be commercially reasonable to hedge, individually or on a portfolio basis, any Index Linked Product.

7. CORRECTIONS OF PUBLISHED OR ANNOUNCED LEVELS, PRICES, RATES OR VALUES This paragraph 7 shall apply to all Constituents. If the level, price, rate or value (as applicable) of any Constituent for any time on any day which is announced by or on behalf of the person or entity responsible for such publication or announcement and which is used for any calculation or determination in respect of the Index is subsequently corrected, and such correction (the “Corrected Level”) is published by or on behalf of such person or entity within two Index Business Days after the original publication (the “Correction Period”), then such Corrected Level shall be deemed to be the level, price, rate or value (as applicable) for such Constituent for the relevant time on the relevant day and the Index Calculation Agent may, but shall not be obliged to, revise the Index Level for such day. Corrections published after the Correction Period after the original publication shall be disregarded.


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8. SUSPENSION AND CANCELLATION

(a) If any Index Business Day is a Disrupted Day for any Constituent, the Index Calculation

Agent may:

(i) publish its good faith estimate of the Index Level for such Index Business Day (notwithstanding the occurrence of a Disrupted Day), using its good faith estimate of the value of the Constituent(s) affected by the occurrence of a Disrupted Day. Any such estimated value may be subject to correction once the relevant Market Disruption Event ceases; and/or

(ii) suspend the calculation, publication and dissemination of the Index and the Index Level until the first succeeding Index Business Day which is not a Disrupted Day for any Constituent.

(b) The Index Sponsor may discontinue and cancel the Index at any time and is under no

obligation to continue, or procure the continuation of, the calculation, publication and dissemination of the Index Level.

9. REFERENCE INDEX ADJUSTMENT EVENTS

9.1 Successor Reference Index and Successor Reference Index Sponsor If a Reference Index is (i) not calculated and announced by the relevant Reference Index Sponsor but is calculated and announced by a successor sponsor acceptable to the Index Calculation Agent, or (ii) replaced by a successor index using, in the determination of the Index Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of that Reference Index, then in each case that index (the “Successor Reference Index”) will be deemed to be the relevant Reference Index with effect from the date determined by the Index Calculation Agent who may make such adjustment(s) to the Index Conditions as it determines appropriate to account for such change.

9.2 Reference Index Modification and Reference Index Cancellation If a Reference Index Sponsor announces that it will make a material change in the formula for or method of calculating a Reference Index or in any other way materially modifies that Reference Index (other than a modification prescribed in that formula or method to maintain that Reference Index in the event of changes in constituent stock and capitalization and other routine events) (a “Reference Index Modification”) or permanently cancels that Reference Index and no Successor Reference Index exists (a “Reference Index Cancellation” and, together with a Reference Index Modification, each a “Reference Index Adjustment Event”), then: (i) the Index Calculation Agent may suspend the calculation, publication and dissemination


(ii) the Index Calculation Agent may select a replacement Reference Index that has substantially similar characteristics to the Reference Index that is being replaced, having regard to the manner in which such Reference Index is used in the calculation of the Index, 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



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9.3 Cancellation of Reference Index license If, in respect of a Reference Index, a license granted (if required) to the Index Sponsor and/or the Index Calculation Agent and/or any of their respective Affiliates, to use such Reference Index in connection with the Index is terminated, or any such entity’s right to use such Reference Index in connection with calculating the Index is otherwise disputed, impaired or ceases for any reason, then: (i) the Index Calculation Agent may suspend the calculation, publication and dissemination


(ii) the Index Calculation Agent may select a replacement Reference Index that has substantially similar characteristics to the Reference Index that is being replaced, having regard to the manner in which such Reference Index is used in the calculation of the Index, 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


9.4 Corrections of published levels, prices, rates or values in respect of a Reference Index If, in respect of a Reference Index, any level, price, rate or value (as applicable) in respect of such Reference Index or any related derivative or other related instrument, for any time on any day, which is announced by or on behalf of the person or entity responsible for such publication or announcement and which is used for any calculation or determination in respect of the Index, is subsequently corrected, and such correction (the “Corrected Level”) is published by or on behalf of such person or entity within two Index Business Days after the original publication, then such Corrected Level shall be deemed to be the level, price, rate or value (as applicable) for such Reference Index, related derivative or other related instrument (as the case may be) for the relevant time on the relevant day and the Index Calculation Agent may, but shall not be obliged to, make appropriate adjustments to the Index and the Index Level for the relevant Index Business Day(s).

9.5 Reference Index Definitions “Reference Index” means the S&P 500 Total Return Index Level (SPTR <Index>). “Reference Index Sponsor” means, in respect of a Reference Index, the corporation or other entity which (a) is responsible for setting and reviewing the rules and procedures and the methods of calculation and adjustments, if any, related to such Reference Index and (b) announces (directly or through an agent) the level of such Reference Index.


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Part G: Risk Factors

STRATEGY RISK The Index uses a strategy that provides exposure to a dynamic basket of US equities, primarily, through (a) a notional long position in certain US-listed equities that are, broadly, the target of publicly announced merger or acquisition (M&A) transactions (the “Stock Constituents”) and which meet certain liquidity requirements and other limitations set out herein, with notional reinvestment of dividends; and (b) a notional short position in the S&P 500 Total Return Index (“S&P 500 Index”), which is intended to form an approximate hedge to any exposure to the acquirer’s stock in respect of certain Stock Constituents (depending on the payment type specified in relation to the relevant M&A Deal) (the “Short Index Constituent”); and (c) a residual cash position. From time to time, the Index may also contain an Unallocated Constituent. The strategy in the Index is intended to represent a type of merger arbitrage strategy. In a typical merger arbitrage strategy an investor takes a long position in (buys) the target stocks that are subject to merger and acquisition (M&A) transactions and takes a short position in (sells) each of the related acquirer stocks in order to hedge a theoretical long exposure to those acquirer stocks for which interests in the target stocks may be converted upon completion of the relevant M&A transaction. However, it should be noted that the strategy embedded in the Index does not necessarily represent a typical merger arbitrage strategy since it takes a short position in the S&P 500 Index and not the relevant acquirer stocks. It is possible that a short position in the S&P 500 Index may prove not to be an adequate hedge for a theoretical long exposure to the relevant acquirer stocks. Long position: Exposure to the Stock Constituents is positively weighted (effectively reflecting a “long” position) and negative performance of the Stock Constituents will have a negative impact on the level of the Index. Short position: Exposure to the Short Index Constituent is negatively weighted (effectively reflecting a “short” position) and positive performance of the Short Index Constituent will have a negative impact on the level of the Index. Unlike long positions, short positions are subject to unlimited risk of loss because there is no limit on the amount by which the price that the relevant asset may appreciate before the short position is closed. It is possible that any short position included in the Index may appreciate substantially with an adverse impact on the level of the Index and therefore the value of any Index Linked Product. The Short Index Constituent may prove not to be an adequate hedge against theoretical exposure to the Acquirer Stock. 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. Investors should be aware that the Index is subject to long equity price risk and short equity index price risk. Prospective investors in any Index Linked Product should be familiar with investments in the global financial and commodity markets, financial instruments, stocks and indices (including stock indices) generally. Global economic, financial and political developments, among other things, may have a material effect on the value and/or the performance of the shares included as Stock Constituents in the Index and the shares included in the Short Index Constituent and the Short Index Constituent. Investors in Index Linked Products should be aware of these limitations in considering their investment decision. INDEX MAY BE PARTLY OR FULLY UNALLOCATED OR INDEX MAY REFLECT A PARTIAL CASH POSITION BETWEEN REBALANCING DATES The Index will hold a large position in cash (i.e. an unallocated or uninvested portion represented by the Unallocated Constituent) if, at any time, for example, only a few or no M&A transactions are announced in


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the market or meet the requirements for inclusion in the Index. The Index methodology sets out certain limits on the weight of any stock in the Index, subject to any further restrictions imposed by Selection Filter 5 described in Part C (Calculation of the Index Level). Since no stock can exceed such weight limit in the Index, once the Index has been populated with all stocks that are eligible for inclusion at any time, any remaining capacity in the Index will reflect an unallocated position. The level of the Index will not reflect the returns, if any, of the merger arbitrage strategy underlying the Index with respect to the portion of the Index that is unallocated. In addition, the Index will also include a cash position between Rebalancing Dates in respect of any regular cash dividends paid on a Stock Constituent and any notional net proceeds associated with the removal of a Stock Constituent from the Index and its related short position forming a portion of the overall Short Index Constituent (if any) where (i) an M&A Deal relating to that Stock Constituent is completed pursuant to any of the M&A Completion Events described in paragraph 2.3 (Completion of an M&A Deal) of Part C (Calculation of the Index Level) above, and (ii) a Change in Law Event has occurred in respect of a Stock Constituent pursuant to paragraph 6.2 (Change in Law Event) of Part F (Market Disruption and Extraordinary Events) above, and in each case, such cash amounts are not reinvested until the next Rebalancing Date. Any portion of the Index that is unallocated or represented by a cash position will not accrue interest. Furthermore, to the extent that a portion of the Index is unallocated or represents a cash position, an investor’s return on investment in an Index Linked Product may be less than the return on a similar investment in other instruments tracking the Stock Constituents and/or the Short Index Constituent. PENDING M&A TRANSACTIONS IN THE INDEX MAY NOT BE COMPLETED The strategy embedded in the Index is designed to capture the spread (or premium), if any, between the share price at which a Target Stock of the Target Company trades after the date on which an M&A transaction in respect of such Target Company is announced and the price that the Acquiring Company has proposed to pay for the Target Stock upon completion of the relevant M&A transaction. The spread (or premium) between these two prices typically exists due to the uncertainty that the announced M&A transaction will close and, if it closes, that such M&A transaction will be at the initially proposed economic terms. For a successful M&A transaction, the spread is expected to approach zero by the completion date of the M&A transaction. There is no assurance that any of the transactions reflected in the Index will be successfully completed. In particular, in certain market conditions, it is possible that most or all of the transactions would not be completed. If any M&A transaction reflected in the Index is not completed, the spread between the price offered for the Target Company and the price at which the shares of the Target Company trade is expected to widen. This could adversely affect the performance of the Index. In addition, in certain markets, there may not be any such spread (or premium) on the traded share price of a Target Stock. This may be because, for example, the effect of the announcement is already be priced in when the relevant Target Stock becomes part of the Index. Also, in some markets, any spread (or premium) on the share price in respect of the Target Stock may be less than the amount an investor holding that stock would stand to lose if the M&A transaction fails or is withdrawn and the share price of the Target Stock falls to the level at which it was trading before the announcement date. If any of these circumstances become apparent with respect of the Target Stocks included in the Index, the Index strategy may not perform as intended and the Index Level may decline. CITI’S RESTRICTED TRADING LIST From time to time Citi and/or any of its Affiliates may be prohibited from purchasing the Target Stock of any Target Company on any Selection Day or Rebalancing Date due to laws, regulations and/or Citi’s internal policies (including as a result of any prohibitions or restrictions arising from or relating to Citi’s Restricted Trading List (the ”RTL”)). Accordingly, the effect of this limitation in the Index methodology (as described in Selection Filter (5) of the selection and rebalancing process set out by Part C (Calculation of the Index Level)) is that, from time to time, the Index may not include certain Target Stocks that would otherwise have been included in accordance with the Index selection and weighting algorithm or that other merger arbitrage strategies would have included and, if those Target Stocks increase in value, that increase will not be captured by the Index.


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In addition, as a consequence of this limitation, the Index may contain fewer than 20 stocks at any time (as described further in Selection Filter (6)(c)(ii) in Paragraph 2.1 of Part C (Calculation of the Index Level)) and, in such circumstances, would be composed partly (or wholly) of an Unallocated Constituent, the consequences of which are described above. (However it should also be noted that the Index may contain an Unallocated Constituent or cash position even where it contains more than 20 stocks). The RTL is intended to impose various restrictions on trading that businesses must comply with pursuant to Citi’s policy and under the applicable laws of the jurisdictions in which Citi conducts business. Citi is actively engaged in soliciting advisory engagements in respect of M&A transactions which may trigger the inclusion of companies in the RTL. Such Citi activities may increase the likelihood that the RTL will result in exclusion from the Index of a transaction that would otherwise satisfy the selection criteria. Exclusion of certain transactions based on the RTL may cause the Index to decline or to underperform an index having similar objectives that is not sponsored by Citi or that permits such Target Stocks to be included. Any such underperformance may be significant if the excluded transactions would have presented particularly profitable risk arbitrage opportunities. Citi’s activities and determinations affecting application of the RTL may result in a conflict of interest between Citi and persons having exposure to the Index. Citi will not take into account the interests of persons having exposure to the Index when engaging in such activities or making such determinations. RELIANCE ON BLOOMBERG AS PRIMARY DATA SOURCE The Index methodology is dependent on Bloomberg as the primary data source in respect of a large number of data reference points in respect of the weekly selection and weighting of the Constituents of the Index. The data published by Bloomberg is subject to calculation and categorization by Bloomberg, in each case which process is based on unpublished criteria or, potentially, Bloomberg’s own subjective criteria or no defined criteria at all (i.e. relying on Bloomberg’s own judgment and inherent discretion). Bloomberg may at any time, without notice or announcement, make a material change to the manner in which it makes, or the inputs that it uses for, those calculations and categorizations, and any such changes may have an adverse effect on the Index Level. Alternatively and in addition, Bloomberg may cease to publish any of the relevant data in respect of the Index methodology. If such an event occurs, then one or more data provision services may be selected by the Index Calculation Agent, in its sole discretion, as a replacement data source for such Bloomberg data. However, if Bloomberg ceases to publish all or substantially all relevant data required in respect of the Index methodology, then the Index Sponsor may, in its sole discretion, cancel and discontinue the Index, which may have an adverse effect on Index Linked Products (including, potentially, early termination, whereby an investor may receive back less than his/her original investment). CONCENTRATION AND CORRELATION RISK The Constituents of the Index (and the number of Constituents in the Index) may change from time to time but essentially comprise US equities selected from a universe of Target Companies, a US stock index and, from time to time, cash and therefore represent a limited number of asset classes. Whilst an individual weight cap is imposed on the weight of each Stock Constituent in the Index, which may offer the potential to achieve some diversification among the qualifying Stock Constituents, in certain markets, the overall diversification in the Index is potentially limited. Therefore, 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. The Index may also underperform a more diversified index that has exposure to a range of asset classes and geographical regions or uses other weightings or methodologies. In addition, although the Constituents of the Index are not necessarily correlated or inversely correlated in terms of performance, it is possible that such a relationship does exist. The Index may perform poorly or decline as a result of either (i) a decline in the value of the Stock Constituents or (ii) an increase in the value of the Short Index Constituent, which circumstances may occur at the same time (in other words,


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the Stock Constituents and the Short Index Constituent prove to be inversely correlated). If this does happen, then the Index strategy may not be successful and the Index may experience significant declines, particularly if an increase in value of the Short Index Constituent is greater than an increase in value of the Stock Constituents over the same time period. It should also be noted that a long position in the Stock Constituents and a short position in the Short Index Constituent do not necessarily form a hedge for each other and, therefore, if a Stock Constituent is removed from the Index along with its corresponding short position as a portion of the overall Short Index Constituent, the Cash Position may decline in respect of each of the removed Constituents. RISKS RELATING TO USE OF SHORT INDEX CONSTITUENT AND REFERENCE INDEX No representation as to accuracy of the Short Index Constituent or the Reference Index: The Short Index Constituent and the Reference Index is published and maintained by S&P Dow Jones Indices LLC. Citi is not affiliated with S&P Dow Jones Indices LLC and cannot assure investors in Index Linked Products as to either the quality of the information available to S&P Dow Jones Indices LLC or the quality of S&P Dow Jones Indices LLC’s work in producing the Short Index Constituent or the Reference Index. Citi does not have any control over or input into the methodology and publication of the Short Index Constituent or the Reference Index. Discontinuance of or changes to the Short Index Constituent or the Reference Index: S&P Dow Jones Indices LLC may cease to publish the Short Index Constituent and the Reference Index at any time, in which case the Index Sponsor may cease calculating and publishing the Index Level and/or discontinue the Index. S&P Dow Jones Indices LLC may also change the methodology it uses to calculate the Short Index Constituent and the Reference Index at any time. In either case, the Index may be adversely affected. INDEX METHODOLOGY LIMITATIONS The performance of the Index is dependent on the pre-defined rules-based methodology set out in the Index Conditions. There is no assurance that other weighting methodologies for the Constituents would not result in better performance than the methodology set out in the Index Conditions. The benefits of the Index strategy may only become apparent over a long period. PERFORMANCE RISK The Index may underperform its Constituents and other indices with the same constituents, where those other indices employ a different weighting or rebalancing scheme. The Index methodology does not seek to outperform any equity 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. REBALANCING FREQUENCY LIMITATIONS Subject to the occurrence of a Disrupted Day, the frequency of rebalancing of the Index is weekly. In accordance with the Index methodology, the Index Calculation Agent determines the weight of the Constituents on each weekly Selection Day and resets those weights as of the Rebalancing Date immediately following such Selection Day (subject to any further restrictions imposed as at the Rebalancing Date by Selection Filter (5) of Part C (Calculation of the Index Level in respect of Citi’s Restricted Trading List), at which point the notional allocation of the Index is fixed for one week until the next Rebalancing Date. However, this means that, as a result of price movement in the market, the relative weights of the Constituents between Rebalancing Dates may deviate from the level at which they were reset.


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If a Disrupted Day occurs in respect of any Constituent on a Rebalancing Date, then no rebalancing will occur that week until the next following Rebalancing Date (subject to such day itself being a Disrupted Day). In such circumstances, new M&A Deals that have been announced and selected for inclusion in the Index may not be included in the Index for a period of time and therefore the Index composition may not be optimized during that period. FIXED ALGORITHMIC MODEL PARAMETERS In common with many algorithmic strategies, the Index use a rules-based methodology which contains fixed parameters. For example, (i) the Rebalancing Date is scheduled to occur on a weekly basis on the last Index Business Day of the week in which a Selection Day occurs, and (ii) the weighting of each Stock Constituent is determined by reference to the cubic-root of that Stock Constituent’s market capitalisation (subject to an individual weight cap of 5%), and the weighting of the corresponding short position in the overall Short Index Constituent is determined by reference to a function of the beta of the relevant Acquiring Company to the S&P 500 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 may have a positive effect on the performance of the Index. EFFECT OF NOTIONAL COSTS Certain notional trading costs are required to be taken into account for the Index (and the strategy embedded therein) to be an accurate measure the Index’s effectiveness. Such notional costs are described in Part C (Calculation of the Index Level) of these Index Conditions. Investors in any Index Linked Product are advised to scrutinize and understand the notional costs set out in these Index Conditions because they reduce the Weight of each Constituent in the Index and will ultimately serve to act as a drag on the Index Level (unless the Index is sufficiently successful to overcome the cumulative effect of these notional costs) and restrict the return available (if any) under an Index Linked Product. The amount of notional trading costs attributed to the Index will be dependent on how frequently the weekly rebalancing results in changing the weightings of the Constituents, and the notional costs associated with the relevant Constituents. The cumulative effect of these notional costs may be significant and will adversely affect the performance of the Index. Any such deduction of notional costs will result in the Index underperforming a hypothetical investment portfolio from which no such deduction is made. NOTIONAL EXPOSURES The Index creates a notional exposure to the Constituents and such notional exposure will only exist in the books and records of the Index Sponsor and the Index Calculation Agent. In turn, one of the Constituents, the Short Index Constituent, reflects the performance of a notional exposure to shares of mid to large cap US stocks. No rights: Investors in Index Linked Products (a) have no legal or beneficial ownership interest in any Constituent and therefore have no recourse to any such Constituent; (b) have no right to take delivery of any such Constituent; (c) have no voting rights with respect to any such Constituent; (d) have no right to receive dividends, distributions or other payments with respect to any such Constituent, and (e) have none of the rights described in (a) to (d) in respect of any component stock of any such Constituent. No offer: Nothing in these 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). Reinvestment: The Index is a “total return index” and therefore does include the notional reinvestment of amounts calculated by reference to any dividend, distribution or payment that would be received by a holder of a Constituent. Any cash or non-cash dividends will be reinvested across all constituents of the Index irrespective of the relevant Constituent that notionally generates such dividend. Any proportionate amount included in the Index Level of any dividend, distribution or payment in respect of any Constituent,


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may be different from those arising in respect of any actual investment in any Constituent or any combination of Constituents. NO INVOLVEMENT OF PERSONS CONNECTED WTH ANY CONSTITUENT The Index does not create any obligation of any person connected with any of the Constituents (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 sponsor or calculation agent of any Constituent which is itself an index. No Relevant Person has participated in the preparation of these Index Conditions or in the arrangement and offer of any Index Linked Product. NO INVESTIGATION Neither the Index Sponsor 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 these Index Conditions with respect to such 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. CONSEQUENCES OF DISRUPTED DAYS In the event that any of the Constituents referenced by the Index is affected by a market disruption event, the Index Sponsor and/or the Index Calculation Agent may, among other things, (i) use the previous days’ price or level in respect of such Constituent in accordance with the Index methodology, (ii) make good faith determinations of the price and the Index Level, and/or (iii) postpone the Rebalancing Date until the next Rebalancing Date that is not disrupted in accordance with the Index methodology, as described in Part F (Market Disruption and Extraordinary Events) of these Index Conditions. Any of these actions taken as a consequence of a Disrupted Day may have an adverse effect on the Index Level. The Index Sponsor has no obligation to inform any person of the result of any action taken on the occurrence of such events. 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 these Index Conditions or as is customary of the Index. CONSEQUENCES OF EXTRAORDINARY EVENTS If an Extraordinary Event (as defined in Part E (Data)), other than a Change in Law Event, occurs with respect to the Index or any Constituent, the Index Sponsor and/or the Index Calculation Agent may, among other things, (i) suspend the calculation, publication and dissemination of the Index and the Index Level, (ii) select a replacement constituent that satisfies the relevant criteria (if any) or that has substantially similar characteristics to the relevant Constituent being replaced and make related determinations and exercise certain related discretions conferred by these Index Conditions (or, if no such replacement can be made, replace the relevant Constituent with a notional exposure), (iii) make a modification or change to these Index Conditions, and/or (iv) discontinue the calculation and publication of the Index, as described in more detail in Part F (Market Disruption and Extraordinary Events). If an Extraordinary Event that is a Change in Law Event occurs with respect to the Index or any Constituent, then such Stock Constituent and any related short position forming a portion of the overall Short Index Constituent (if any) will be removed from the Index, and the Cash Position in the Index will be adjusted in accordance with the provisions of paragraph 1.2 (Cash Position) of Part C (Calculation of the Index Level) above.


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The occurrence of such Extraordinary Events and their related consequences may have unforeseen effect on the Index and an adverse effect on Index Linked Products (including, potentially, early termination, whereby an investor may receive back less than his/her original investment). The Index Sponsor has no obligation to inform any person of the result of any action taken on the occurrence of such events. INDEX SPONSOR AND INDEX CALCULATION AGENT DETERMINATIONS These Index Conditions confer on the Index Sponsor 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 Sponsor and the Index Calculation Agent will act in good faith and in a commercially reasonable manner, 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. POTENTIAL CONFLICTS OF INTEREST Citi entities perform various roles in connection with the Index and Index Linked Products, and conflicts of interest may arise for any such entity as a consequence of the roles it performs in relation to the Index or an Index Linked Product, or more generally. The Index Sponsor and its Affiliates may enter into, promote, offer or sell securities or contracts (whether or not structured) linked to the Index and/or the Constituents and/or the component stocks of the Constituents and/or futures or options on the Constituents in the ordinary course of business, for their own accounts and for the accounts of their customers. Such trading activities could potentially affect the value of the Constituents and/or the stock components of the Constituents and/or the level of the Index. The Index Sponsor or its Affiliates may act as issuer, agent or underwriter for issuances of securities, or enter into other transactions, with returns linked or related to changes in the level of the Index or the components underlying the Index and in connection therewith may enter into hedging transactions. Such transactions may affect the level of the Index and may generate a profit for the Index Sponsor or its Affiliates, even in the case of a decline in the level of the Index. MODEL PRECISION The Index methodology is a complex calculation model which is sensitive to the precision of both the original inputs (including data, assumptions and estimates) 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. Different models or models using different data, assumptions, estimates and rounding conventions might result in materially different hypothetical performance. LIMITED PERFORMANCE HISTORY; BACKTESTED PERFORMANCE The Index was launched by the Index Sponsor as of the specified Index Launch Date. Accordingly, the Index has a limited performance history, and this limited history may not reflect the way in which the Index would perform in a variety of market conditions, including market conditions that may arise during the term of any Index Linked Products. Any back-tested 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. In particular, it should be noted that the back-tested performance of the Index for the period prior to the Index Launch Date has been calculated by the Index Calculation Agent based on the assumption that there were no Disrupted Days, no Extraordinary Events and no exclusions or restrictions in respect of the Constituents arising from or relating to Citi’s Restricted Trading List during the back-tested period. If Disrupted Days, Extraordinary Events and exclusions or restrictions in respect of Stock Constituents arising as a result of Citi’s Restricted Trading List had been taken into account for such purpose, the back-tested performance of the Index may have been adversely


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affected in the manner described in the section headed “Consequences of Disrupted Days”, “Consequences of Extraordinary Events” and “Citi’s Restricted Trading List” above. Back-tested performance is provided for illustrative purposes only and should not be regarded as an indication of future performance. The Index is a new index, and any back-tested performance prior to the Index Launch Date is hypothetical. The back-testing simulation is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected the Index’s performance, and cannot account for all financial risk that may affect the actual performance of the Index. Accordingly, the actual performance of the Index may differ significantly from the back-testing simulation. In addition, any transaction or instrument linked to the Index would bear additional fees which would reduce overall returns as compared to the past performance of the Index. Past performance should not be considered indicative of future performance. 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.


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Part H: Miscellaneous

1. CALCULATIONS AND DETERMINATIONS

(a) General The Index Calculation Agent will perform all calculations, determinations, rebalancings and adjustments (together, “Calculations”) in respect of the Index. Neither the Index Calculation Agent nor the Index Sponsor will have any responsibility for errors made in good faith or omissions in Calculations or other actions as provided in the Index Conditions. The Calculations of the Index Calculation Agent shall be performed by it in accordance with the Index Conditions, acting in its sole, absolute and unfettered discretion, but in good faith and in a commercially reasonable manner (having regard in each case to the criteria stipulated in the Index Conditions and, where relevant, on the basis of information provided to or obtained by employees or officers of the Index Calculation Agent responsible for making relevant Calculations). All Calculations shall, in the absence of manifest error, be final, conclusive and binding on any user of the Index, including any holder of, or counterparty to, an Index Linked Product. Although the Index Conditions are intended to be comprehensive, it is possible that ambiguities, errors and omissions may arise in certain circumstances. The Index Sponsor will resolve, acting in good faith and in a commercially reasonable manner, any such ambiguity, error or omission, and may amend the Index Conditions to reflect the resolution of such ambiguity, error or omission in a manner which is consistent with the objectives of the Index as described in these Index Conditions.

(b) Rounding Subject as provided in the Index methodology set out in Part C (Calculation of the Index Level), any amount, currency amount, level, percentage, price, rate or value (“Amount”) calculated by the Index Calculation Agent shall be rounded to such number of decimal points and in such manner as the Index Calculation Agent determines is appropriate, acting in a commercially reasonable manner.

(c) Use of estimates The Index Calculation Agent will perform the Calculations described in the Index Conditions using the information, data sources or factors specified in these Index Conditions and any Amount (together, “Information”) and may perform any Calculation and any action required in respect of the Index Conditions in any sequence. However, in the event that the Index Calculation Agent is not able to obtain or use any necessary Information, then (after using reasonable endeavors and after applying any fallback provision specified in the Index Conditions in respect of the relevant Calculation) the Index Calculation Agent may, but shall not be obliged to, use its estimate (made in good faith and in a commercially reasonable manner) of the relevant Information in performing such Calculation, should the Index Calculation Agent determine that such estimate is reasonably necessary in order to give effect to any provision or to perform any Calculation necessary under the Index Conditions.

(d) No verification of Information Although the Index Calculation Agent will obtain Information for inclusion in the Index or for use in performing any Calculation under the Index Conditions from sources that the


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Index Calculation Agent considers reliable (including databases maintained by the Index Calculation Agent or its Affiliates, and public sources such as Bloomberg and Reuters), the Index Calculation Agent will not publish or independently verify such Information.

(e) Corrections Subject as provided elsewhere in these Index Conditions, if the Index Calculation Agent becomes aware that any Information used by it in connection with any Calculation under the Index Conditions has subsequently been corrected or adjusted, then the Index Calculation Agent may, but shall not be obliged to, use such corrected or adjusted Information and as a consequence make any further Calculation that it determines necessary or desirable in order to give effect to or to reflect such corrected or adjusted Information, including without limitation any redenomination, exchange or conversion of any currency into a successor currency.

(f) Reliance In performing any Calculation under the Index Conditions, the Index Calculation Agent may rely upon the opinion of any person who appears to it as being competent to value any asset or instrument of any class, or to perform any other calculation or determination, by reason of any appropriate relevant professional qualification or experience.

(g) Not acting as fiduciary or agent In performing any Calculation or other action in connection with the Index Conditions, each of the Index Calculation Agent and the Index Sponsor will act as principal and not as agent of any other person. Neither the Index Calculation Agent nor the Index Sponsor owes any duty of care or any fiduciary duty to any investor in any Index Linked Product or to any other person. Each Calculation and other action performed in connection with the Index Conditions by the Index Calculation Agent or the Index Sponsor is performed in reliance on this provision and is subject to this provision. If through performing any such Calculation or other action the Index Calculation Agent or the Index Sponsor is rendered an agent or fiduciary of another person under applicable law, then (at the option of the Index Calculation Agent or the Index Sponsor, as relevant) the rights and obligations of the Index Calculation Agent or the Index Sponsor to perform such Calculation or other action may be suspended (or, if already performed, the application of such Calculation or other action may be suspended) until such time when such Calculation or other action can be performed either by the Index Calculation Agent or the Index Sponsor as principal and not as an agent or fiduciary or by an appropriate third party who is both willing and able to perform such Calculation or other action.

(h) Dates and times of calculations

Notwithstanding that certain Calculations under the Index Conditions may be expressed to be “on” or “as at” a certain date or time, the Index Calculation Agent may in its discretion perform such Calculation in respect of such date or time after such date or time.

2. CONFLICTS OF INTEREST

Citi entities perform various roles in connection with the Index and Index Linked Products, and conflicts of interest may arise for any such entity as a consequence of any role it performs in connection with the Index or any Index Linked Product or as a consequence of its activities more generally. During the normal course of their business, the Index Sponsor, the Index Calculation Agent, any of their respective Affiliates, directors, officers, employees, representatives, delegates and agents


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(each, for the purposes of this Part H, a “Relevant Person”) may enter into, promote, offer or sell securities or contracts (whether or not structured) linked to the Index and/or any Constituent. Any Relevant Person may at any time (a) have long or short principal positions or actively trade (whether or not through making markets to its clients) positions in or relating to the Index or any Constituent; (b) invest in or engage in transactions with or on behalf of other persons relating to the Index and/or any Constituent; (c) undertake hedging transactions (for the purposes of any security or contract) which may adversely affect the level, price or rate or other factor underlying the Index and/or any Constituent; (d) have an investment banking or commercial relationship with the issuer of any Constituent and have access to information from any such issuer; or (e) publish research in respect of any Constituent or the issuer of any Constituent. Such activity may or may not affect the Index Level, but potential investors and counterparties should be aware that a conflict of interest may arise when a person acts in more than one capacity, and such conflict of interest may affect (whether in a positive manner or a negative manner) the Index Level.

3. DISCLAIMER No Relevant Person makes any express or implied representation or warranty as to (a) the advisability of purchasing or entering into any Index Linked Product; (b) the levels of the Index at any particular date or time; (c) the results to be obtained from the use of the Index or any datum included in the Index Conditions for any purpose; or (d) any other matter. Each Relevant Person hereby expressly disclaims, to the fullest extent permitted by applicable law, all warranties of accuracy, completeness, merchantability or fitness for a particular purpose with respect to the Index and any information contained in the Index Conditions. No Relevant Person will have any liability (direct or indirect, special, punitive, consequential or otherwise) to any person even if notified of the possibility of damages. The Index Conditions have been prepared solely for the purposes of information and nothing in the Index Conditions constitutes (a) an offer to buy or to sell any security or contract, to participate in any transaction or to adopt any investment strategy; or (b) legal, tax, regulatory, financial or accounting advice. Any decision to purchase any Index Linked Product should be based on the information contained in the associated prospectus or offering document (however described). In the case of a prospectus or offering document which contains provisions under the heading “Risk Factors”, “Investment Considerations” or the equivalent, please refer to these provisions for a discussion of the factors that must be considered in connection with an investment in the security or contract described therein. Neither the Index Calculation Agent nor the Index Sponsor is under any obligation to continue to calculate, publish or disseminate the Index or the Index Level.

4. INTELLECTUAL PROPERTY The Index and the Index Conditions are the Index Sponsor’s proprietary and confidential material. No person may reproduce or disseminate the information contained in the Index Conditions, the Index or the Index Level without the prior written consent of the Index Sponsor. These Index Conditions are not intended for distribution to or use by any person in a jurisdiction where such distribution is prohibited by applicable law or regulation. The Index is not in any way sponsored or promoted by any sponsor or issuer, as relevant, of any Constituent. © 2013 Citigroup Global Markets Limited. All rights reserved. Citi, 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 Regulatory Authority and regulated in the United Kingdom by the Financial Conduct Authority and the Prudential Regulatory Authority.


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Part I: Index Specific Disclaimers

Calculation Agent disclaimer The Citi Mergers & Acquisitions US Total Return Index is the exclusive property of Citigroup Global Markets Limited, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to calculate and maintain the Index. S&P® and S&P Custom Indices® are registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Custom Indices” and its related stylized mark(s) are service marks of SPFS and have been licensed for use by S&P Dow Jones Indices and sublicensed for certain purposes by Citigroup Global Markets Limited. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index. Products linked to the Citi Mergers & Acquisitions US Total Return Index (“Products”) are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices, SPFS, Dow Jones or any of their affiliates (collectively, “S&P Dow Jones Indices Entities”). S&P Dow Jones Indices Entities do not make any representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products particularly or the ability of the Citi Mergers & Acquisitions US Total Return Index (the “Index”) to track general stock market performance. S&P Dow Jones Indices Entities only relationship to Citigroup Global Markets Limited with respect to the Index is the licensing of certain trademarks, service marks and trade names of S&P Dow Jones Indices Entities and for the providing of calculation and maintenance services related to the Index. S&P Dow Jones Indices Entities is not responsible for and has not participated in the determination of the prices and amount of the Products or the timing of the issuance or sale of the Products or in the determination or calculation of the equation by which the Products is to be converted into cash. S&P Dow Jones Indices Entities have no obligation or liability in connection with the administration, marketing or trading of the Products. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices Entities to buy, sell, or hold such security, nor is it considered to be investment advice. S&P DOW JONES INDICES ENTITIES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES ENTITIES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P DOW JONES INDICES ENTITIES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY CITIGROUP GLOBAL MARKETS LIMITED, OWNERS OF THE PRODUCT(S), OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES ENTITIES 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. S&P 500 Total Return Index disclaimer The "S&P 500 Total Return Index" (the “S&P Index”) is a product of S&P Dow Jones Indices, and has been licensed for use by CGML. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by S&P Dow Jones


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Indices . CGML's Product(s) are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices, Dow Jones, S&P, their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P Index.

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