CITIFX ALPHA INDEX – INDEX CONDITIONS

The following description of the CitiFX Alpha Index (the Index) is as of its Start Date, 2 January 2007, as amended on 26 September 2008, 22 January 2009 and 22 February 2010.

Payments are linked, through exposure to the dynamic Index. The Index is determined by Citi or any of its affiliates in the capacity of sponsor thereof (the Index Sponsor) in accordance with the methodology described below. No assurance can be given that market, regulatory, juridical or fiscal circumstances or, without limitation, any other circumstances in the determination of the Index Sponsor will not arise that would necessitate a modification or change of such methodology.

Although the Index Sponsor will obtain information for inclusion in or for use in the calculation of the Index from sources which the Index Sponsor considers reliable (such sources including the Index Sponsor's internally maintained databases and public sources, such as Bloomberg Service), the Index Sponsor will not publish or independently verify such information.

The Index Sponsor makes no express or implied representations or warranties as to (a) the advisability of purchasing or assuming any risk in connection with any transaction linked in whole or in part to the Index, (b) the levels at which the Index stands at any particular time on any particular date, (c) the results to be obtained by the issuer of any security or any counterparty or any such issuer's security holders or customers or any such counterparty's customers or counterparties or any other person or entity from the use of the Index or any data included therein for any use, or (d) any other matter. The Index Sponsor makes no express or implied representations or warranties of merchantability or fitness for a particular purpose with respect to the Index or any data included therein.

Without limiting any of the foregoing, in no event shall the Index Sponsor have any liability (whether in negligence or otherwise) to any person for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

Words and expressions defined in the Prospectus and Supplement will, unless otherwise defined in these Index Conditions, have the same meaning when used in these Index Conditions.

General

The Index is a rules based notional trading Index sponsored by the Index Sponsor which aims notionally to generate capital appreciation by a combination of rules-based trading strategies. This effect will be achieved through the taking of long and/or short positions in Forward Contracts on Currency Pairs. These Currency Pairs (as set out in the definitions below) are pre-selected pairs of currencies. The component holdings of the Index are evaluated and can be rebalanced daily.

The Index is calculated by the Index Sponsor on a purely notional basis. Investors in any financial instrument or transaction linked directly or indirectly in whole or in part to the performance of the Index will not have any proprietary interest in units in the Index or any of the components that comprise the Index from time to time.

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The Index will be denominated in, and the Index Value will be determined separately for, each of the Index Currencies as applicable. Consequently, references to the Index or the Reference Asset in these Index Conditions will be construed as references to the Index or Reference Asset denominated in the applicable Index Currency.

1. Composition of the Index

The Index described in these Index Conditions (the Index Conditions) is a dynamically allocated notional portfolio denominated in the Index Currencies, which, at any time after the Start Date (2 January 2007), depending on the operation of its rules, will consist of notional positions in:

(a) cash; and

(b) Forward Contracts.

The Index is unitised and reflects the value over time of one unit. The value of one unit in the Index on the Start Date was 100 units of the Index Currency.

On the Start Date the Index consists of equal exposures to each of four strategies, the Trend Strategy, the Carry Strategy, the Emerging Market Carry Strategy and the Economic Factor Strategy. The Index Sponsor will reweight the exposure of the Index to the Strategies each month to ensure that the Risk Contribution of each Strategy to the Index is equal or as close to equal as practicable.

The exposure to each of the Strategies is multiplied by the Leverage Factor. The Leverage Factor on the Start Date was 3. The Index Sponsor will adjust the Leverage Factor each month in order to achieve as far as practicable the target volatility of 7% for the Index (as more fully described in section 4 (Monthly Rebalancing Procedure – Constant Risk Targeting) of the Index Conditions) or on the occurrence of a Top-Level Risk Control Event (as more fully described in section 7 (Adjustments – Top-Level Risk Control Event) of these Index Conditions).

The composition of each Strategy and therefore the Index will be adjusted in accordance with the Index Conditions.

2. Determination of Trade Signal

The Trade Signal for the Index is determined by reference to the Strategies. There will be a Trade Signal for the Index whenever a Trade Signal is generated by any of the Strategies as more particularly described in paragraphs 2.1 to 2.4 below.

Each Strategy operates on a set of currency pairs which may be unique to that Strategy. Each Strategy generates trade signals in respect of its own set of currency pairs, which are without reference to trade signals from any of the other Strategies. It is possible that different Strategies may generate complementary or opposing trade signals in the same currency pairs, but they are generated entirely separately from each other.

2.1 Determination of Trend Strategy Trade Signal

In respect of the Trend Strategy and each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day, determine the value of a Moving Average, the Implied FX option at-the-money-forward volatility and the Critical G10 Percentile Value. The relative levels of the Implied FX option at-the-money-forward volatility, the Critical G10

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Percentile Value, the Citigroup FX Bench Spot Fixing Rate and the Moving Average will then determine the appropriate Trend Strategy Trade Signal for the relevant Currency Pair.

The Trend Strategy has two modes of operation, the High Volatility cut-out Mode and the Low Volatility Trend Mode.

In respect of a Currency Pair and the applicable Currency Pair Business Day, if the Implied FX option at-the-money-forward volatility is below the relevant Critical G10 Percentile Value, then such Currency Pair will be in Low Volatility Trend Mode. In this mode:

(a) if the relevant Citigroup FX Bench Spot Fixing Rate is below the relevant Moving Average, then the Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Trend Strategy to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day; and

(b) if the relevant Citigroup FX Bench Spot Fixing Rate is above the relevant Moving Average, then the Trend Strategy Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Trend Strategy to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day.

In respect of a Currency Pair and the applicable Currency Pair Business Day, if the Implied FX option at-the-money-forward volatility is above or equal to the relevant Critical G10 Percentile Value, then such Currency Pair will be in High Volatility cut-out Mode. In this mode the Trend Strategy Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

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2.2 Determination of Carry Strategy Trade Signal

In respect of each of the Currency Pairs, the Trade Signal for the Carry Strategy is determined by reference to two models, the State Contingent Carry Model and the Carry with FIRST and SECOND Model. In respect of each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day determine the Trade Signal generated by each of the State Contingent Carry Model and the Carry with FIRST and SECOND Model. The Index Sponsor will then determine the Trade Signal for the Carry Strategy in respect of such Currency Pair and such Currency Pair Business Day as the average of the relevant State Contingent Carry Model Trade Signal and the Carry with FIRST and SECOND Model Trade Signal.

State Contingent Carry Model

In respect of the State Contingent Carry Model and each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Business Day, determine the One Month Forward Points, the Implied FX option-at-the-money-forward-volatility and the Critical G10 Percentile Value. The relative levels of the One Month Forward Points, the Implied FX option at-the-money-forward volatility and the Critical G10 Percentile Value will then determine the appropriate State Contingent Carry Model Trade Signal for the relevant Currency Pair.

The State Contingent Carry Model has two modes of operation, the Low Volatility Carry Mode, and the High Volatility cut-out Mode.

In respect of a Currency Pair and the applicable Currency Pair Business Day, if the Implied FX option at-the-money-forward volatility is below the relevant Critical G10 Percentile Value, then such Currency Pair will be in Low Volatility Carry Mode. In this mode:

(a) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are positive then the State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the State Contingent Carry Model to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day;

(b) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are negative then the State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the State Contingent Carry Model to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and short the Term Currency as at the Month End for the applicable Currency Pair Business Day; and

(c) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are zero then the State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero in the applicable Currency Pair as at the Month End for the applicable Currency Pair Business Day.

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In respect of a Currency Pair and the applicable Currency Pair Business Day, if the Implied FX option at-the-money-forward volatility is above or equal to the relevant Critical G10 Percentile Value, then such Currency Pair will be in High Volatility cut-out Mode. In this mode the State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

Carry with FIRST and SECOND Model

The Carry with FIRST and SECOND Model has four modes of operation, the interest rate (IR) Spread Expansion and IR Spread Increasing Trend Mode, the IR Spread Expansion and IR Spread Decreasing Trend Mode, the IR Spread Contraction and IR Spread Increasing Trend Mode, and the IR Spread Contraction and IR Spread Decreasing Trend Mode. Each of these modes is a combination of the IR Spread Expansion Mode or the IR Spread Contraction Mode from the Carry with FIRST Model and the IR Spread Increasing Trend Mode or the IR Spread Decreasing Trend Mode from the Carry with SECOND Model.

In order for the Index Sponsor to determine in respect of a Currency Pair and any applicable Currency Business Day which of these modes of operation such Currency Pair is in, the Index Sponsor will first determine whether the Currency Pair is in IR Spread Expansion Mode or IR Spread Contraction Mode pursuant to the Carry with FIRST Model and whether the Currency Pair is in IR Spread Increasing Trend Mode or IR Spread Decreasing Trend Mode pursuant to the Carry with SECOND Model.

Carry with FIRST Model

In respect of each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day, determine the Medium Moving Average and the Swap Rate Spread and use these parameters to determine whether the relevant Currency Pair is in IR Spread Expansion Mode or IR Spread Contraction Mode.

If the Swap Rate Spread is above or equal to the Medium Moving Average, the Currency Pair is in IR Spread Expansion Mode.

If the Swap Rate Spread is below the Medium Moving Average, the Currency Pair is in IR Spread Contraction Mode.

Carry with SECOND Model

In respect of each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Business Day determine the Carry with First Differential and the Short Moving Average and use these parameters to determine whether the relevant Currency Pair is in IR Spread Increasing Trend Mode or IR Spread Decreasing Trend Mode.

If the Carry with First Differential is above or equal to the Short Moving Average, the Currency Pair is in IR Spread Increasing Trend Mode.

If the Carry with First Differential is below the Short Moving Average, the Currency Pair is in IR Spread Decreasing Trend Mode.

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If the Index Sponsor determines that a Currency Pair on any applicable Currency Pair Business Day is in the IR Spread Expansion Mode pursuant to the Carry with FIRST Model and the IR Spread Increasing Trend Mode pursuant to the Carry with SECOND Model, the relevant Currency Pair will be in the IR Spread Expansion and IR Spread Increasing Trend Mode. In this mode:

(a) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are positive then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Carry with FIRST and SECOND Model to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and short the Term Currency as at the Month End for the applicable Currency Pair Business Day. This is equivalent to selling the Term Currency to fund lending in the Currency Pair Base Currency;

(b) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are negative, then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Carry with FIRST and SECOND Model to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and short the Term Currency as at the Month End for the applicable Currency Pair. This is equivalent to selling the Term Currency to fund lending in the Currency Pair Base Currency; and

(c) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are precisely zero, then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

If the Index Sponsor determines that a Currency Pair on any applicable Currency Pair Business Day is in the IR Spread Contraction Mode pursuant to the Carry with FIRST Model and the IR Spread Decreasing Trend Mode pursuant to the Carry with SECOND Model, the relevant Currency Pair will be in the IR Spread Contraction and IR Spread Decreasing Trend Mode:

In this mode:

(d) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are positive then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Carry with FIRST and SECOND Model to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day. This is equivalent to selling the Currency Pair Base Currency to fund lending in the Term Currency;

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(e) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are negative, then the Carry with FIRST and SECOND Model Trade Signal is for that Currency Pair in respect of the applicable Currency Pair Business Day to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the applicable Month End for the applicable Currency Pair Business Day. This is equivalent to selling the Currency Pair Base Currency to fund lending in the Term Currency; and

(c) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are precisely zero then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

If the Index Sponsor determines that a Currency Pair on any applicable Currency Pair Business Day is in the IR Spread Expansion Mode pursuant to the Carry with FIRST Model and the IR Spread Decreasing Trend Mode pursuant to the Carry with SECOND Model, the relevant Currency Pair will be in the IR Spread Expansion and IR Spread Decreasing Trend Mode.

If the Index Sponsor determines that a Currency Pair on any applicable Currency Pair Business Day is in the IR Spread Contraction Mode pursuant to the Carry with FIRST Model and the IR Spread Increasing Trend Mode pursuant to the Carry with SECOND Model, the relevant Currency Pair will be in the IR Spread Contraction and IR Spread Increasing Trend Mode.

In these modes:

(f) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are positive, then the Carry with FIRST and SECOND Model Trade Signal is for the Currency Pair in respect of the applicable Currency Pair Business Day is for the Carry with FIRST and SECOND Model to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the applicable Month End for the applicable Currency Pair Business Day. This is equivalent to selling the Currency Pair Base Currency to fund lending in the Term Currency;

(g) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are negative then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Carry with FIRST and SECOND Model to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and short the Term Currency as at the applicable Month End for the applicable Currency Pair Business Day. This is equivalent to selling the Term Currency to fund lending in the Currency Pair Base Currency; and

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(h) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are precisely zero then the Carry with FIRST and SECOND Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero at the Month End for the applicable Currency Pair Business Day.

2.3 Determination of the Emerging Market Carry Strategy Trade Signal

In respect of each of the Currency Pairs, the Trade Signal for the Emerging Market Carry Strategy is determined by reference to two models, the Emerging Market State Contingent Carry Model and the Emerging Market Long-Short Model. In respect of each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day determine the Trade Signal generated by each of the Emerging Market State Contingent Carry Model and the Emerging Market Long-Short Model. The Index Sponsor will then determine the Trade Signal for the Emerging Market Carry Strategy in respect of such Currency Pair and such Currency Pair Business Day as the average of the relevant Emerging Market State Contingent Carry Model Trade Signal and the Emerging Market Long-Short Model Trade Signal.

Emerging Market State Contingent Carry Model

In respect of the Emerging Market State Contingent Carry Model and each of the relevant Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day, determine the One Month Forward Points, the Implied FX option at-the money-forward volatility and the Critical EM Percentile Value. The relative levels of the One Month Forward Points, the Implied FX option at-the-money-forward volatility and the Critical EM Percentile Value will then determine the appropriate Emerging Market State Contingent Carry Model Trade Signal for the relevant Currency Pair.

The Emerging Market State Contingent Carry Model has two modes of operation, the Low Volatility Carry Mode and the High Volatility cut-out Mode:

(a) if the Implied FX option at-the-money-forward volatility is below the Critical EM Percentile Value, then the Emerging Market State Contingent Carry Model for the relevant Currency Pair will be in Low Volatility Carry Mode. In this mode, if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are positive then the Emerging Market State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is for the Emerging Market State Contingent Carry Model to be short of the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day; and

(b) if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day are zero or negative then the Emerging Market State Contingent Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

If the Implied FX option at-the-money-forward volatility is above or equal to the Critical EM Percentile Value, then the Emerging Market State Contingent Carry Model for the relevant Currency Pair will be in High Volatility cut-out Mode. In this mode the Emerging Market

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Carry Model Trade Signal for that Currency Pair in respect of the applicable Currency Pair Business Day is to have a Net Exposure of zero as at the Month End for the applicable Currency Pair Business Day.

Emerging Market Long-Short Model

In respect of the Emerging Market Long-Short Model, the Index Sponsor will determine the relevant Currency Pairs in respect of a calendar month on the basis of the relative levels of the One Month Deposit Rates for each relevant Emerging Market Currency Pairs as of the Month End immediately preceding such calendar month.

The Emerging Market Long-Short Model has two modes of operation, the Long Carry Mode and the Short Carry Mode determined by the Index Sponsor in respect of each relevant Currency Pair for a calendar month on the basis of the One Month Deposit Rates for such Currency Pair as of the Month End immediately preceding such calendar month:

(a) the maximum eight relevant Currency Pairs with the highest One Month Deposit Rates trade in Long Carry Mode; and

(b) the maximum eight relevant Currency Pairs with the lowest One Month Deposit Rates trade in Short Carry Mode.

In respect of each applicable Currency Pair for a calendar month and each Currency Pair Business Day falling in such calendar month, the Index Sponsor will determine the relevant Emerging Market Long-Short Model Direction of Carry Signal for such calendar month on the basis of the values of the One Month Forward Points as at the Month End immediately preceding such calendar month:

(c) For each relevant Currency Pair in Long Carry Mode:

(i) If the One Month Forward Points for a Currency Pair are positive then the Emerging Market Long-Short Model Direction of Carry Signal for such Currency Pair is to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day; and

(ii) if the One Month Forward Points for a Currency Pair are negative then the Emerging Market Long-Short Model Direction of Carry Signal for such Currency Pair is to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day.

(d) For each relevant Currency Pair in Short Carry Mode:

(i) If the One Month Forward Points for the applicable Currency Pair are positive then the Emerging Market Long-Short Model Direction of Carry Signal for such Currency Pair is to be long the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day; and

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(ii) if the One Month Forward Points for the applicable Currency Pair are negative then the Emerging Market Long-Short Model Direction of Carry Signal for such Currency Pair is to be short the relevant Currency Notional Amount (expressed as a value in the Currency Pair Base Currency) of the Currency Pair Base Currency and long the Term Currency as at the Month End for the applicable Currency Pair Business Day.

(e) If the One Month Forward Points for a Currency Pair in either the Long Carry Mode or the Short Carry Mode are zero then the Emerging Market Long-Short Model Direction of Carry Signal for such Currency Pair is to have a Net Exposure of Zero as at the Month End for the applicable Currency Pair Business Day.

In respect of each of the Currency Pairs, the Index Sponsor will, for each applicable Currency Pair Business Day determine the Implied FX option at-the-money-forward volatility Percent Rank Value. The Implied FX option at-the-money-forward volatility Percent Rank Value and the Emerging Market Long Short Model Direction of Carry Signal will then determine the appropriate Emerging Market Long-Short Model Trade Signal for each of the relevant Currency Pairs as set out below.

Subject as provided below, the Emerging Market Long-Short Model Trade Signal in respect of a Currency Pair and a Currency Pair Business Day will be determined as follows:

(f) In respect of each relevant Currency Pair in the Long Carry Mode on such Currency Pair Business Day, the Emerging Market Long-Short Model Trade Signal is an inverse function of (i) the Implied FX option at-the-money-forward volatility Percent Rank Value and (ii) the Emerging Market Long Short Model Direction of Carry Signal multiplied by (iii) the Emerging Market Long-Short Exposure Factor; and

(g) in respect of each relevant Currency Pair in the Short Carry Mode on such Currency Pair Business Day, the Emerging Market Long-Short Model Trade Signal is a function of (i) the Implied FX option at-the-money-forward volatility Percent Rank Value and (ii) the Emerging Market Long Short Model Direction of Carry Signal multiplied by (iii) the relevant Emerging Market Long-Short Exposure Factor,

Provided that, if in respect of an Index Business Day the sum of the Net Exposures in respect of each applicable Currency Pair (the Aggregate Net Exposure) would exceed 130% of the notional Index exposure to the Emerging Market Long-Short Model, then in respect of such Index Business Day:

(h) the Emerging Market Long-Short Model Trade Signal in respect of (i) the applicable Currency Pair with the highest One Month Deposit Rate in Short Carry mode and (ii) the applicable Currency Pair with the lowest One Month Deposit Rate in Long Carry mode (each as selected by the Index Sponsor) are each to have a Net Exposure of zero to the Emerging Market Currency Pair with the highest One Month Deposit Rate in Short Carry mode and the applicable Currency Pair with the lowest One Month Deposit Rate in Long Carry mode as at the Month End for the applicable Currency Pair Business Day; and

(i) if the Aggregate Net Exposure still exceeds 130% of the notional Index exposure to the Emerging Market Long-Short Model, then the Emerging Market Long-Short Model Trade Signal for such Index Business Day is to have a Net Exposure of zero to the Emerging Market Currency Pair with the second highest One Month Deposit Rate in Short Carry mode and the Emerging Market Currency Pair with the second lowest

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One Month Deposit Rate in Long Carry mode as at the Month End for the applicable Currency Pair Business Day.

The Trade Signals described in (a) and (b) above (each a Temporary Closed Position) shall be maintained in respect of each of the following Index Business Days in such calendar month, until such Index Business Day on which the Aggregate Net Exposure would be less than 120% of the notional Index exposure to the Emerging Market Long-Short Model, then in such case the Temporary Closed Positions shall be disapplied unless such disapplication would result in the Aggregate Net Exposure exceeding 130% of the notional Index exposure to the Emerging Market Long-Short Model.

2.4 Determination of the Economic Factor Strategy Trade Signal

The Economic Factor Strategy is a statistical forecasting model based on macroeconomic data and predicts when to buy or sell FX forward contracts to month end. The model uses interest rates, inflation, exports, unemployment and retail sales, all sourced from Bloomberg, to predict the direction of the future exchange rate relative to the current forward rate. It uses monthly data and a moving window multiple regression structure.

Economic factors offer important insight into currency valuations. Traditionally, models of exchange rate determination have been based on macroeconomic fundamentals and have not had much success. This conclusion is somewhat misleading as the success criteria are usually based on how well a model forecasts either the future spot exchange rate or the period return. The Economic Factor Strategy instead focuses on how effective economic models are at forecasting direction rather than magnitude relative to the current forward rate. .The Economic Factor Strategy uses monthly data and a moving window multiple regression structure, with five economic variables for the foreign country and the U.S., to find a value for k, where k equals the predicted log return of forwards versus realised spot.

The precise data source details are given in the definition of Data Sources.

If the value of k as defined above is positive then the trade signal is short the Currency Pair Base Currency, and long the Term Currency, of the Currency Notional Amount. This is equivalent to selling the Currency Pair Base Currency to fund lending in the Term Currency. If the value of k is negative, then the trade signal is long the Currency Pair Base Currency, and short the Term Currency, of the Currency Notional Amount. This is equivalent to selling the Term Currency to fund lending in the Currency Pair Base Currency.

3. Index – Daily Rebalancing Procedure

Having determined the applicable Trade Signal for each Currency Pair, the Index Sponsor will compare each applicable Trade Signal with the Month End Net Exposure it would generate in respect of the applicable Currency Pair.

If the Index Sponsor determines that the applicable Trade Signal would result in a Month End Net Exposure identical to that implied by current positions in the applicable Currency Pair, no further action will be taken in respect of the applicable Currency Pair for that Currency Pair Business Day.

If the Index Sponsor determines that the applicable Trade Signal would imply a different Month End Net Exposure than that implied by current positions in the applicable Currency Pair, the exposure of the Index to the applicable Currency Pair will be adjusted by the Index notionally entering into such Forward Contracts as the Index Sponsor determines will bring

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the Month End Net Exposure as close as is reasonably practical in the determination of the Index Sponsor to the exposure implied by such Trade Signal. The applicable Forward Contracts will have an inception date as of the date of the applicable Trade Signal and a value date as of the applicable Month End.

4. Monthly Rebalancing Procedure

One Net Cash Flow

At each Month End for each Currency Pair the Forward Contract(s) (if any) notionally entered into in respect of each Currency Pair in the month ending on the applicable Month End will be notionally netted through the Rolling of Forward Contracts, described below. The Index Sponsor will then determine the notional net cash flow for each Currency Pair in respect of the Month End, which may be a positive or negative amount.

Where the net cash flow for a particular Currency Pair is not denominated in EUR, the Index Sponsor will convert such net cash flow into EUR at the applicable Citigroup FX Bench Spot Fixing Rate as soon as practicable.

The Index Sponsor will calculate the aggregate notional net cash flow in respect of the Index Month End for the Index as a whole by aggregating the notional net cash flows at the Month End for each Currency Pair. This aggregate notional net cash flow may be a positive or negative amount, representing a profit (if positive) or loss (if negative) to the Index.

Rolling of Forward Contracts

At each Month End for each Currency Pair, the Index will notionally enter into such Forward Contracts in respect of each Currency Pair as the Index Sponsor determines which will give the Index an exposure equal to the Month End Net Exposure for that Currency Pair on the day that is two Currency Pair Business Days after the following Month End.

Rebalancing of Notionals

As soon as possible (but no longer than three Index Business Days) following the applicable Index Month End, the Index will notionally enter into such Forward Contracts in respect of each Currency Pair as the Index Sponsor determines in accordance with the preceding paragraph "Rolling of Forward Contracts" save that the Currency Notional Amount in respect of each Forward Contract will reflect the Currency Notional Amount for the applicable Currency Business Day.

As soon as possible (but no longer than five Index Business Days) after applicable Index Month End the Index will enter into a notional 1 month deposit with a notional equal to the current Total Notional Amount and with maturity two Index Business Days after the following Index Month End, which pays the Funding Rate following the standard day count convention for the Index Currency , as applicable.

Equal Risk Contribution

On each Index Month End, the Index Sponsor will calculate the Risk Contribution in respect of each Strategy using the Risk Contribution Methodology and will reweight the exposure of the Index to each Strategy in accordance with the Risk Contribution Methodology in order that the Risk Contribution of each Strategy is equal or, in the determination of the Index Sponsor as close to equal as is practicable.

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Constant Risk Targeting

Following the determination by the Index Sponsor of the exposure of the Index to each Strategy in accordance with "Equal Risk Contribution" above, the Index Sponsor will on each Index Month End, subject as provided in section 7 (Adjustments - Top-Level Risk Control Event), calculate the Leverage Factor for the following calendar month, in order to achieve as far as practicable the target volatility for the Index of 7%. The Leverage Factor will be calculated by the Index Sponsor on each Index Month End as the quotient of (a) 7 per cent (as numerator) and (b) the standard deviation of the daily percentage changes in the Unfunded Index Value on each Index Business Day in the 6 month period immediately preceding such Index Month End, annualised with the factor of the square root of 245 (as denominator), subject to a maximum of 4.

Calculating the Leverage Factor The Leverage Factor is calculated by the Index Sponsor on each Index Month End. This calculation uses the daily percentage changes in the Unfunded Index Value for the preceding 6 months. On Index Month End i, let ri1, ri2, ri3 , ..,rin be the daily percentage changes in the Unfunded Index Value for the previous 6 months. The volatility on Index Month End i (Volatility (i)) is calculated as:

Volatility (i) = σ (ri1, ri2, ri3 , ..,rin) * √ 245

where σ (ri1, ri2, ri3 , ..,rin) is the standard deviation of daily percentage changes in the Unfunded Index Value for the previous 6 months. The Leverage Factor on Index Month End i (Leverage Factor (i)) is calculated with the formula:

Leverage Factor (i) = 7% / Volatility (i)

For example, if Volatility (i) = 5% then the Leverage Factor (i) = 7%/5% = 1.4

5. Transaction Costs

Spot and forward trades are executed at the mid-market Citigroup FX Bench Spot Fixing Rate or the Citigroup FX Bench Forward Fixing Rate plus or minus applicable spreads. Where spot and forward trades are, for whatever reason, unable to be executed at their mid-market Citigroup FX Bench Spot Fixing Rate or the Citigroup FX Bench Forward Fixing Rate then the trades will be executed at any other Citi mid-market rate whatsoever plus or minus applicable spreads.

6. Calculation and publication of the Index Value

The Index Sponsor will publish the level of the Index by 11:00 pm London on every Index Business Day that is not a Disrupted Day in respect of any Currency Pair on Bloomberg page CIGV and website: https://www.citigroupcib.com/euprospectus.

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Index Value on the Start Date

On the Start Date (2 January, 2007) the net asset value of each unit (the Index Value) of the Index was 100 units of the Index Currency.

Index Value after the Start Date for an Index Business Day

On any Index Business Day after the Start Date, the Index Value of each unit of the Index will be an amount expressed in the Index Currency as applicable, calculated by the Index Sponsor as follows:

(a) the Index Value of a unit of the Index on the previous Index Month End;

PLUS

(b) the mark-to-market values, as determined by the Index Sponsor of the Forward Contracts notionally entered into by the Index in respect of a unit of the Index, expressed in the Index Currency and where appropriate having been converted into the Index Currency amount using the applicable Citigroup FX Bench Spot Fixing Rate in respect of the applicable Currency Pair Business Day; and

(c) Funding.

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7. Adjustments

Periodic Review

If the Index Sponsor determines that a Review Event has occurred, the Index Sponsor shall review and amend if necessary the weightings of any and all the Strategies of the Index and/or to replace any and all of the Strategies while acting in good faith and in a commercially reasonable manner. The Index and any changes will be available on website: https://www.citigroupcib.com/euprospectus.

Whilst the Index Sponsor has agreed that it will act in good faith and in a commercially reasonable manner in making determinations and calculations and to take into account the matters referred to in the Index Conditions in so doing, there can be no assurance that the making of any such determination or calculation will not affect the performance of the Index and in turn the Net Asset Value per Share of each Class. The basis on which the Index Sponsor will make determinations and calculations is respectively set out in the Index Conditions.

Market Disruption

If any Valuation Date for a Currency Pair is a Disrupted Day, then the Valuation Date for each Currency Pair not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date for that Currency Pair, and the Valuation Date for each Currency Pair affected by the occurrence of a Disrupted Day shall be the first succeeding Currency Pair Business Day that is not a Disrupted Day relating to that Currency Pair, unless each of the five Currency Pair Business Days immediately following the relevant Scheduled Valuation Date is a Disrupted Day in respect of that Currency Pair. In that case, the Index Sponsor may in its discretion:

(a) deem that fifth Currency Pair Business Day to be the relevant Valuation Date for the affected Currency Pair, notwithstanding the fact that such day is a Disrupted Day, and determine any information relating to that Currency Pair (including but not limited to any spot rate or forward rate) that it determines is required by it to determine the Index as of the relevant time(s) (or a method for determining such information relating to that Currency Pair) taking into consideration the latest available quotations, market practice and any other information that it determines is relevant; or

(b) remove the affected Currency Pair and any related positions from the Index and make such changes to the Index and the methodology for calculating the Index as it considers necessary or desirable to reflect the removal of the affected Currency Pair and any related positions, including, without limitation, to reflect any notional transaction costs or expenses and, in each case, the effective date for any such removal or change; or

(c) suspend the determination and publication of the Index until the first succeeding Currency Pair Business Day which is not a Disrupted Day or until such later date as the Index Sponsor determines that it is practicable to recommence the determination and publication of the Index taking into consideration any related transactions and hedging arrangements and such other commercial considerations as it deems relevant; or

(d) permanently discontinue the determination and publication of the Index.

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Forwards Market Illiquidity

If the Index Sponsor determines that liquidity in the foreign exchange forwards market is materially reduced, the notional entering into of Forward Contracts in respect of a Currency Pair may be delayed or suspended for such period as the Index Sponsor determines is appropriate. The Index will re-commence notionally entering into Forward Contracts in respect of the applicable Currency Pair on the earliest practical Currency Pair Business Day in the determination of the Index Sponsor after the Index Sponsor determines that normal market conditions as to liquidity in the foreign exchange forwards market have resumed.

If the notional entering of Forward Contracts is delayed or suspended in this manner, the Index Sponsor shall make such temporary or permanent adjustments to the Index as it determines are necessary or desirable to take account of such delay or suspension.

Review Events

If the Index Sponsor determines that any of the following has occurred (each a Review Event):

(a) In respect of any of the Strategies or in the case of the Emerging Market Carry Strategy, the Emerging Market State Contingent Carry Model or Emerging Market Long-Short Model, as applicable, the occurrence of a downward movement in the Unfunded Strategy Index Value of greater than 50% of the Maximum Drawdown–at-Risk Limit for such Strategy or Emerging Market Model, as the case may be; or

(b) in respect of the Emerging Market State Contingent Carry Model, if the One Month Forward Points for the applicable Currency Pair in respect of the applicable Currency Pair Business Day remain continuously negative for more than one calendar month;

then the Index Sponsor shall review and amend if necessary the weightings of any and all the Strategies of the Index and/or to replace any and all of the Strategies while acting in good faith and in a commercially reasonable manner. Any changes will be available on the website: https://www.citigroupcib.com/euprospectus.

Top-Level Risk Control Event

If, in respect of an Index Business Day, the Index Sponsor determines that a downward movement in the Unfunded Index Value in respect of the Prior Three Month Period exceeds the Three Month Maximum Drawdown at Risk Limit (such event, a Top Level Risk Control Event), the Index Sponsor will reduce the Leverage Factor by applying the Leverage Factor Reduction Multiplier.

The Leverage Factor Reduction Multiplier shall continue to apply in respect of each of the succeeding Index Business Days on which a Top Level Risk Control Event is subsisting, provided that in the case of the Economic Factor Strategy, the Leverage Factor Reduction Multiplier will continue to apply up to and including the final Index Business Day in the calendar month in which the Top Level Risk Control Event ceases.

Details of such reduction of the Leverage Factor will be made available as soon as practicable following the relevant determination on website: https://www.citigroupcib.com/euprospectus.

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8. Calculations and determinations

General: The Index Sponsor shall make all calculations, determinations, rebalancings and adjustments in respect of the Index. The Index Sponsor shall have no responsibility for good faith errors or omissions in its calculations, determinations, rebalancings and adjustments as provided in the Index Conditions. The calculations, determinations, rebalancings and adjustments of the Index Sponsor shall be made 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 herein, the Hypothetical Transactions that the Index Sponsor determines would be made by a Hypothetical Investor and (where relevant) on the basis of information provided to or obtained by employees or officers of the Index Sponsor responsible for making the relevant calculation, determination, rebalancing or adjustment). All calculations, determinations, rebalancings and adjustments shall, in the absence of manifest error, be final, conclusive and binding on any user of the Index including any holder of or counterparty to an investment linked to the Index. For the avoidance of doubt, any calculations, determinations, rebalancings or adjustments made by the Index Sponsor under these Index Conditions on an estimated basis shall not be revised following the making of such calculation, determination, rebalancing or adjustment.

While the Index Sponsor currently employs the methodology described in these Index Conditions to calculate the Index, without limitation to the remaining provisions of this section 8 (Calculations and determinations), if market, regulatory, juridical or fiscal circumstances or, without limitation, any other circumstances arise that would, in the determination of the Index Sponsor, necessitate a modification or change to such methodology, the Index Sponsor may make such modifications or changes as it considers appropriate to deal with such circumstances.

Rounding: Any price, number, currency amount or percentage calculated by the Index Sponsor will be rounded to such number of decimal places and in such a manner as the Index Sponsor determines is appropriate acting in a commercially reasonable manner.

Use of Estimates: The Index Sponsor will make calculations, determinations, rebalancings and adjustments as described in these Index Conditions using the information, price sources or factors as specified in these Index Conditions and may undertake any of such measures in any order. However, should the Index Sponsor not be able to obtain the necessary information or be able to use the specified price sources or factors, then, after using reasonable endeavours and after applying all fallback provisions specified in these Index Conditions in relation to such calculation, determination, rebalancing or adjustment, the Index Sponsor shall be permitted to use its estimate (arrived at in good faith and a commercially reasonable manner) of the relevant information, price source or factor in making the relevant calculations, determinations, rebalancings or adjustments should it determine that such estimate is reasonably necessary in order to give effect to any provision or calculate any value required by any provision of these Index Conditions.

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Corrections: If the Index Sponsor becomes aware that any value, level, account or other information used by it in connection with any calculation, determination, rebalancing or adjustment in respect of these Index Conditions has been corrected or adjusted the Index Sponsor may, but shall not be obliged to, use such corrected or adjusted value, level, amount or other information and, as a consequence, make any change, adjustment, rebalancing, determination or calculation in respect of these Index Conditions it determines necessary or desirable to give effect to or reflect such corrected or adjusted value, level, amount or other information in its discretion including, without limitation, to take account of any redenomination, exchange or conversion of any Currency into a successor currency.

Reliance: In making any calculations, determinations, rebalancings or adjustments, the Index Sponsor may rely upon the opinion of any person who appears to it as being competent to value assets of any class or classes by reason of any appropriate professional qualification or experience of any relevant market or asset.

Not Acting as Fiduciary: In making calculations, determinations, rebalancings and adjustments under these Index Conditions, the Index Sponsor shall act as principal and not as agent or fiduciary of any other person. Each calculation, determination, rebalancing and adjustment performed by the Index Sponsor under these Index Conditions is performed in reliance upon this and subject thereto. If by performing any such calculation, determination, rebalancing or adjustment the Index Sponsor is rendered an agent or fiduciary for another person under applicable law, then the Index Sponsor's right and obligation to perform such calculation, determination, rebalancing or adjustment may be suspended at the option of the Index Sponsor (or, if already performed, its application may be suspended) until such calculation, determination, rebalancing or adjustment may be performed by the Index Sponsor as principal and not as agent or fiduciary (or until it may be performed by an appropriate third party that is willing and able to perform it).

Dates of Calculations: Notwithstanding that certain calculations, determinations, rebalancings and adjustments in these Index Conditions may be expressed to be "on" a certain date, the Index Sponsor may make such calculations, determinations, rebalancings and adjustments in respect of that date on a date after that date determined by it in its discretion.

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ANNEX 1

DEFINITIONS

1 months' LIBOR Rate means the 1-month London Interbank Offer Rate as fixed by the British Bankers' Association at 11 am London time daily and published on http://www.bba.org.uk;

Calculation Agent means Citi;

Carry Strategy means a rules based notional trading strategy which aims notionally to generate capital appreciation by exploiting interest rate differentials and selling lower yielding currencies and using the proceeds to buy higher yielding currencies;

Carry with First Differential means in respect of each applicable Currency Pair and the applicable Currency Pair Business Day, the difference between the relevant Swap Rate Spread and the Medium Moving Average on such Currency Pair Business Day as determined by the Index Sponsor;

Citi means Citigroup Global Markets Limited;

Citigroup FX Bench Forward Fixing Rate means, in respect of a particular Currency Pair and the applicable Currency Pair Business Day:

(a) for the purposes of calculating the One Month Forward Points, the mid market forward rate for that Currency Pair on the applicable Currency Pair Business Day determined by the Index Sponsor by reference to internal FX rates as published by the Index Sponsor and/or external published market fixings of FX spot rates for the applicable Currency Pair at that time; and

(b) for the purposes of calculating the Month End Forward Points in respect of any period expiring on the applicable Month End that is in the determination of the Index Sponsor of a non-market standard duration for forward rates in respect of the applicable Currency Pair:

the rate calculated by the Index Sponsor in accordance with the following formula:

Citigroup FX Bench Forward Fixing Ratet = ))/(1(1xS 21t rr ++

Where:

r1 means the Interest Rate for the Term Currency for the period from (and including the applicable Currency Pair Business Day up to (but excluding) the Month End;

r2 means the Interest Rate for the Currency Pair Base Currency for the period from (and including the applicable Currency Pair Business Day up to (but excluding) the Month End;

St means the Citigroup FX Bench Spot Fixing Rate in respect of Currency Pair Business Dayt;

t means the applicable Currency Pair Business Day;

19

Citigroup FX Bench Spot Fixing Rate means, in respect of each Currency Pair and the applicable Currency Pair Business Day, the mid market exchange rate for that Currency Pair on the applicable Currency Pair Business Day determined by the Index Sponsor by reference to internal FX rates as published by the Index Sponsor and/or external published market fixings of FX spot rates for the applicable Currency Pair at that time;

Critical EM Percentile Value means in respect of the applicable Currency Pair and the applicable Currency Business Day, the value that represents a percentile of the highest Implied FX option at-the-money-forward volatility in respect of the relevant Data Set as determined by the Excel PERCENTILE Function. For this purpose, the Data Set will comprise the Implied FX option at-the-money-forward volatility for the applicable currency pair for each of the Currency Pair Business Days in a rolling time period immediately preceding and including the relevant Currency Pair Business Day;

Critical G10 Percentile Value means in respect of an applicable Currency Pair and any applicable Currency Business Day, the value that represents a percentile of the highest Implied FX option at-the-money- forward volatility in respect of the relevant Data Set as determined by the Excel PERCENTILE Function. For this purpose the Data Set will comprise the Implied FX option at-the-money-forward volatility for the applicable Currency Pair for the Currency Pair Business Days in a rolling time period immediately preceding and including the relevant Currency Pair Business Day;

Currency Day Count Convention means the total number of calendar days in a year for each applicable Currency Pair Base Currency as determined by general market practices;

Currency Notional Amount means in respect of any day the amount that is calculated by allocating the Total Notional Amount for that day between all Currency Pairs in the Strategies and multiplying the result by the Leverage Factor;

Currency Pair means:

(a) when used in the context of the Trend Strategy, the Carry Strategy or the Economic Factor Strategy a selection from a set of fifteen liquid and deeply traded currency pairs between G10 Currencies;

(b) when used in the context of the Emerging Market State Contingent Carry Model, each of a fixed sub-set of a maximum twelve Emerging Market Currency Pairs;

(c) when used in the context of the Emerging Market Long-Short Model each of a sub-set of a maximum sixteen Emerging Market Currency Pairs, chosen on a monthly basis by the Index Sponsor as described in section 2.3 (Determination of the Emerging Market Carry Strategy Trade Signal);and

(d) when used in the context of the Index, each of the Currency Paris comprising the Strategies;

Currency Pair Base Currency means, in respect of a particular Currency Pair, the first currency in that Currency Pair being the currency against which the other currency (the Term Currency) is quoted;

Currency Pair Base Currency 2-year Swap Rate means in respect of each applicable Currency Pair and the applicable Currency Pair Business Day, the 2-year swap rate for the Currency Pair Base Currency for that Currency Pair on the applicable Currency Pair Business

20

Day as determined by the Index Sponsor by reference to Bloomberg L.P. page IRSB and pricing source CMPL ("London Market Trading Day Composite");

Currency Pair Business Day means, in respect of each Currency Pair, a day on which commercial banks are open (or, but for the occurrence of any Disruption Event, would have been open) for business (including dealings in foreign exchange in accordance with the market practice of the foreign exchange market) in the Principal Financial Centre for each currency of the applicable Currency Pair and London;

Data Sources means, in respect of the Economic Factor Strategy, the financial and economic data used in the calculation of the Economic Factor Strategy Trade Signal sourced from Bloomberg L.P. as London trading day market composite values;

Disrupted Day means, in respect of each Currency Pair, any Currency Pair Business Day on which there is a Disruption Event;

Disruption Event means, in respect of any currency or Currency Pair, any event or circumstance that in the determination of the Index Sponsor makes it impossible to convert a currency into another currency or to deliver or transfer a Currency in each case in accordance with market practice or on terms materially the same as those to be notionally entered into by the Index or there is a material change in the liquidity of a Currency or the foreign exchange markets or any price or reference source used by the Index Sponsor for the purposes of determining the Index is unavailable to the Index Sponsor or is disrupted or discontinued or is in the determination of the Index Sponsor unreliable;

Economic Factor Strategy means a rules based notional trading strategy which aims notionally to generate capital appreciation by predicting direction USD crosses from a monthly regression;

Emerging Market Carry Strategy means a rules based notional trading strategy which aims notionally to generate capital appreciation by taking long and short positions in Emerging Market Currency Pairs;

Emerging Market Currency Pair means any currency pair between an Emerging Market Currency and a G10 Financing Currency;

Emerging Market Currency means any of the set of a maximum twenty liquid and easily tradable currencies outside the set of G10 Currencies selected by the Index Sponsor;

Emerging Market Long-Short Exposure Factor means in respect of each of the applicable Currency Pairs in the Emerging Market Long-Short Model a multiplier between zero and two, as determined by the Index Sponsor;

Emerging Market Model means each of the Emerging Market State Contingent Carry Model and the Emerging Market Long-Short Model;

Euro or EUR means the lawful currency of the member states of the European Union that adopt the single currency in accordance with the EC Treaty;

Forward Contract means, in respect of each Currency Pair and the applicable Currency Pair Business Day, a cash settled forward contract on terms determined by the Index Sponsor for the difference between the Month End Forward Rate on the applicable Currency Pair Business Day and the Citigroup FX Bench Spot Fixing Rate at the Month End which contract

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may long or short the applicable Currency Pair Base Currency (against the Term Currency) of the applicable Currency Pair;

Funding means, the sum of all daily interest earned between two Index Business Days. The daily interest is calculated by multiplying the Funding Rate on the preceding Index Business Day by the number of calendar days since the preceding Index Business Day divided by the Currency Day Count Convention and multiplying the result by:

(a) the Total Notional Amount as at the Index Month End immediately prior to the preceding Index Month End if the Index Business Day is less than or equal to two Index Business Days after the preceding Index Month End; or

(b) the Total Notional Amount as at the preceding Index Month End if the Index Business Day is more than two Index Business Days after the preceding Index Month End;

Funding Rate means the one week London Interbank Bid Rate minus 10 basis points. This is subject to change by the Index Sponsor in good faith and acting in a reasonable commercial manner;

G10 Currencies means the Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, New Zealand Dollar, Norwegian Krone, Swedish Krona, Swiss Franc or US Dollar;

G10 Financing Currency means in the context of the Emerging Market Carry Strategy either the Euro or the US Dollar, depending on the currency pair;

GBP means the lawful currency of the United Kingdom;

Hypothetical Investor means a securities dealer located in the United Kingdom, having branches and affiliates located in a number of jurisdictions including the United States, and which is deemed to enter into such Hypothetical Transactions;

Hypothetical Investor Portfolio means an amount denominated in USD with a value on the applicable date equal to the notional exposure to the Index under investments and investment contracts outstanding at the applicable date, all as determined by the Index Sponsor;

Hypothetical Maximum Drawdown means, in respect of a Strategy or in the case of the Emerging Market Carry Strategy, the Emerging Market State Contingent Carry Model or Emerging Market Long-Short Model, a statistical distribution of at least 1,000 hypothetical Maximum Drawdowns calculated by the Index Sponsor on the basis of all previous Unfunded Strategy Index Values for such Strategy or Emerging Market Model, as the case may be, using the bootstrap algorithm to simulate the statistical properties of such Unfunded Strategy Index Values;

Hypothetical Three-Month Maximum Drawdown means a statistical distribution of at least 1,000 hypothetical Three-Month Maximum Drawdowns calculated by the Index Sponsor on the basis of all previous Unfunded Index Values, determined by the Index Sponsor using the bootstrap algorithm to simulate the statistical properties of such Unfunded Index Values;

Hypothetical Transactions means such transactions as the Index Sponsor determines would be undertaken by a Hypothetical Investor that used its reasonable endeavours to manage a Hypothetical Investor Portfolio in accordance with the rules of the Index;

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Implied FX option at-the-money-forward volatility means, in respect of an applicable Currency Pair and any applicable Currency Pair Business Day, an amount determined by the Citigroup London Options Desk at 12 p.m. London time on such Currency Pair Business Day;

Implied FX option at-the-money-forward volatility Percent Rank Value means, in respect of an applicable Currency Pair and an applicable Currency Pair Business Day, the percentile ranking of the Implied FX option at-the-money-forward volatility in respect of the relevant Data Set as determined by the Excel PERCENTRANK Function. For this purpose the Data Set will comprise the Implied FX option at-the-money-forward volatility for the applicable Currency Pair for the Currency Pair Business Days in a rolling time period immediately preceding and including the relevant Currency Pair Business Day;

Index Business Day means a day that is a Currency Pair Business Day in respect of each Currency Pair in the Index;

Index Currencies means each of EUR, USD, GBP or JPY and Index Currency means any of them. The Index Sponsor may make changes to Index Currencies at its discretion;

Index Month End means, in respect of any calendar month, the day that is the last to occur Month End in respect of each of the Currency Pairs in the Index;

Index Sponsor means Citigroup Global Markets Limited and its successors or assigns or any other entity appointed by the then Index Sponsor to calculate the Index in accordance with the Index Conditions in its place;

Index Value has the meaning given to such term in section 6 (Calculation and publication of the Index Value) of these Index Conditions;

JPY means the lawful currency of Japan;

Leverage Factor means a figure determined by the Index Sponsor on each Index Month End in accordance with section 4 (Monthly Rebalancing Procedure – Constant Risk Targeting) of these Index Conditions and subject to adjustment as provided in section 7 (Adjustments – Top Level Risk Control Event) of these Index Conditions;

Leverage Factor Reduction Multiplier means 0.25;

London Interbank Bid Rate means the rate that a Euromarket bank is willing to pay to attract a deposit from another Euromarket bank in London;

Market Disruption Event means, in respect of each Currency Pair, the occurrence or existence in the determination of the Index Sponsor of a Disruption Event;

Maximum Drawdown means, in respect of a Strategy or in the case of the Emerging Market Carry Strategy, the Emerging Market State Contingent Carry Model or Emerging Market Long-Short Model, the largest downward movement in the Unfunded Strategy Index Value from the previously recorded highest Unfunded Strategy Index Value since the Start Date in each case in respect of such Strategy or Emerging Market Model, as the case may be;

Maximum Drawdown at Risk Limit means, in respect of a Strategy or in the case of the Emerging Market Carry Strategy, the Emerging Market State Contingent Carry Model or the Emerging Market Long-Short Model a figure determined by the Index Sponsor equal to the 90th percentile of the Hypothetical Maximum Drawdowns for such Strategy or Emerging Market Model, as the case may be;

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Medium Moving Average means in respect of an applicable Currency Pair and any applicable Currency Pair Business Day, the simple arithmetic average of the daily values of the Swap Rate Spread for a moderate period immediately preceding, but not including, the applicable Currency Pair Business Day as determined by the Excel AVERAGE function;

Month End means, in respect of each Currency Pair and each Currency Pair Business Day, the last Currency Pair Business Day of the calendar month in which the applicable Currency Pair Business Day falls;

Month End Forward Points means in respect of a particular Currency Pair and the applicable Currency Pair Business Day the value calculated by the Index Sponsor as follows:

Month End Forward Points = ⎥⎦

⎤⎢⎣

⎡−

tt RateFixingSpotBenchFXCitigroup

RateFixingForwardBenchFXCitigroup

Where:

t = the applicable Currency Pair Business Day

Please note for some emerging market Currency Pairs the Month End Forward Points are obtained by subtracting the Bloomberg London composite Spot Rate from the Bloomberg London composite Forward Rate at the time of the Citigroup FX bench fixing;

Month End Forward Rate means, in respect of each Currency Pair and the applicable Currency Pair Business Day, the sum of the Citigroup FX Bench Spot Fixing Rate on the applicable Currency Pair Business Day and the Month End Forward Points;

Month End Net Exposure means, in respect of each Currency Pair and the applicable Currency Pair Business Day, the Net Exposure of the Index to such Currency Pair as of the Month End in which the applicable Currency Pair Business Day falls plus two Currency Pair Business Days, as determined by the Index Sponsor;

Moving Average means, in respect of each applicable Currency Pair and any applicable Currency Pair Business Day, the simple arithmetic average of daily values of the Citigroup FX Bench Spot Fixing Rate for a period immediately preceding, but not including, the relevant Currency Pair Business Day, as determined by the Index Sponsor;

Net Exposure means, in respect of each Currency Pair and the applicable Currency Pair Business Day, the net exposure of the positions notionally held by the Index in respect of the applicable Currency Pair expressed as an amount (which may be long or short) in the Currency Pair Base Currency of the Currency Pair as of the applicable Currency Pair Business Day as determined by the Index Sponsor;

One Month Deposit Rate means the interest rate paid on one month deposits in the Emerging Market Currency as determined by the Index Sponsor at its discretion by reference to rates published by the Index Sponsor or rates published by Bloomberg or Reuters;

One Month Forward Points means in respect of a particular Currency Pair and the applicable Currency Pair Business Day the value calculated by the Index Sponsor as follows:

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One Month Forward Points = ⎥⎦

⎤⎢⎣

⎡−

tt RateFixingSpotBenchFXCitigroup

RateFixingForwardBenchFXCitigroup

Where:

t = the applicable Currency Pair Business Day.

Please note for some emerging market Currency Pairs the One Month Forward Points are obtained by subtracting the Bloomberg London composite Spot Rate from the Bloomberg London composite Forward Rate at the time of the Citigroup FX bench fixing;

One week LIBOR means the 1-week London Interbank Offer Rate as fixed by the British Bankers' Association at 11 am London time daily and published on http://www.bba.org.uk.;

Principal Financial Centre means, in respect of a currency, the principal financial centre(s) for that currency as determined by the Index Sponsor;

Prior Three Month Period means, in respect of an Index Business Day, the period from (and including) the day falling three calendar months prior to such Index Business Day or, if such day is not an Index Business Day, the immediately preceding Index Business Day, to (but excluding) such Index Business Day.

Prospectus means the prospectus for CitiFirst Investments plc dated 29 February 2008;

Risk Contribution means, in respect of a Strategy, the risk contribution of such Strategy to the Index, as determined by the Index Sponsor using the Risk Contribution Methodology for such Strategy.

Risk Contribution Methodology means, in respect of a Strategy and an Index Month End, a rules based method using the returns from such Strategy and correlations with each other Strategy, in each case in respect of the 6 months immediately preceding such Index Month End.

Scheduled Valuation Date means any original date that, but for the occurrence of an event causing a Disrupted Day, would have been a Valuation Date;

Short Moving Average means in respect of an applicable Currency Pair and any applicable Currency Pair Business Day, the simple arithmetic average of the difference between the relevant Swap Rate Spread and the relevant Medium Moving Average for a short period immediately preceding, but not including, the applicable Currency Pair Business Day as determined by the Excel AVERAGE function;

Specified Date means the Currency Pair Business Day falling one calendar month after the applicable Currency Pair Business Day;

Spot Rate means the rate at which one currency can be exchanged for another with immediate delivery;

Start Date means 2 January 2007;

Strategies means each of the Trend Strategy, the Carry Strategy, the Emerging Market Carry Strategy and the Economic Factor Strategy and Strategy means any of them;

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Swap Rate Spread means in respect of each applicable Currency Pair and the applicable Currency Pair Business Day, the value calculated by the Index Sponsor equal to the relevant Currency Pair Base Currency 2-year Swap Rate minus the relevant Term Currency 2-year Swap Rate;

Term Currency means, in respect of a particular Currency Pair, the second currency in that Currency Pair;

Term Currency 2-year Swap Rate means in respect of each applicable Currency Pair and the applicable Currency Pair Business Day, the 2-year swap rate for the Term Currency for that Currency Pair on the applicable Currency Pair Business Day as determined by the Index Sponsor by reference to Bloomberg L.P. page IRSB and pricing source CMPL ("London Market Trading Day Composite");

Three-Month Maximum Drawdown means, in respect of an Index Business Day, the largest downward movement in the Unfunded Index Value from the highest Unfunded Index Value in the Prior Three Month Period in respect of such Index Business Day;

Three-Month Maximum Drawdown at Risk Limit means a figure determined at each Index Month End by the Index Sponsor equal to the 90th percentile of the Hypothetical Three-Month Maximum Drawdowns;

Top-Level Risk Control Event has the meaning given to such term in section 7 (Adjustments-Top-Level Risk Control Event) in these Index Conditions;

Total Notional Amount will be equal to 100 on the Start Date. From the Start Date onwards the Total Notional Amount will be adjusted at each Index Month End by adding the current month's return from the Strategies and Funding in percentage points to the immediately preceding Total Notional Amount;

Trade Signal means in respect of a Strategy, a Currency Pair and the applicable Currency Pair Business Day the trade signal for the directional exposure of the relevant Strategy to that Currency Pair in respect of the applicable Currency Pair Business Day determined as described under section 2 (Determination of Trade Signal) of the Index Conditions;

Trend Strategy means a rules based notional trading strategy which aims notionally to generate capital appreciation by capturing longer term momentum in exchange rates;

Unfunded Index Value means, in respect of an Index Business Day, the Index Value in respect of such Index Business Day excluding Funding determined by the Index Sponsor as provided in section 6 (Calculation and publication of the Index Value) save that the values calculated pursuant to part (b) of such provisions shall be calculated at or around 11:00 London time;

Unfunded Strategy Index Value means, in respect of an Index Business Day and in relation to a Strategy or in the case of the Emerging Market Carry Strategy, the Emerging Market State Contingent Carry Model or Emerging Market Long-Short Model, as applicable:

(a) in respect of the Start Date, 100; and

(b) in respect of each Index Business Day after the Start Date, (i) the Unfunded Strategy Index Value on the previous Index Month End PLUS (ii) the mark-to-market values, as determined by the Index Sponsor at or around 11:00 London time of the Forward Contracts in respect of the Currency Pairs comprising the relevant Strategy or

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Emerging Market Model, as the case may be, notionally entered into by the Index in respect of a unit of the Index, expressed in the Index Currency and where appropriate having been converted into the Index Currency amount using the applicable Citigroup FX Bench Spot Fixing Rate at or around 11:00 London time in respect of the applicable Currency Pair Business Day;

USD or US dollar means the lawful currency of the United States of America; and

Valuation Date means any day on which any information relating to a Currency Pair is required to be determined for the purposes of the Index. ICM:9579591.5

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