CitiFX Alpha Strategy 1 Fund

Supplement to the Prospectus

This supplement (the Supplement) contains information in relation to Shares issued in respect of the CitiFX Alpha Strategy 1 Fund (the Fund) created by CitiFirst Investments plc (the Company), an umbrella open-ended investment company with variable capital governed by the laws of Ireland and authorised by the Irish Financial Services Regulatory Authority.

In relation to the Fund and Shares issued in respect of the Fund, this Supplement forms part of, may not be distributed (other than to prior recipients of the Prospectus (as defined below) unless accompanied by, and must be read in conjunction with, the Prospectus dated 10 May 2011 issued by the Company.

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

CitiFirst Investments plc

An umbrella fund with segregated liability between sub-funds

A company incorporated with limited liability as an investment company with variable capital under the laws of Ireland with registered number 452758

Dated 28 June 2011

THE SHARES ISSUED IN RESPECT OF THE FUND ARE A COMPLEX INVESTMENT PRODUCT DESIGNED FOR SOPHISTICATED INVESTORS. IF YOU ARE NOT AN INVESTOR OF THIS TYPE YOU MUST SEEK APPROPRIATE ADVICE BEFORE MAKING AN INVESTMENT IN THE SHARES.

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TABLE OF CONTENTS IMPORTANT INFORMATION........................................................................................................................3 TERMS OF THE SHARES REPRESENTING INTERESTS IN THE FUND .................................................8 RISK FACTORS..............................................................................................................................................23 OTHER INFORMATION................................................................................................................................29 DEFINITIONS .................................................................................................................................................30

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IMPORTANT INFORMATION

THIS DOCUMENT IS IMPORTANT. BEFORE YOU PURCHASE ANY SHARES REPRESENTING INTERESTS IN THE FUND AS DESCRIBED IN THIS SUPPLEMENT YOU SHOULD ENSURE THAT YOU FULLY UNDERSTAND THE NATURE OF SUCH AN INVESTMENT, THE RISKS INVOLVED AND YOUR OWN PERSONAL CIRCUMSTANCES. IF YOU ARE IN ANY DOUBT ABOUT THE CONTENTS OF THIS SUPPLEMENT YOU SHOULD TAKE ADVICE FROM AN APPROPRIATELY QUALIFIED ADVISOR.

It is the intention of the Company to link the Fund to the performance of the Reference Asset (as defined below) by investing on behalf of the Fund in Derivative Contracts. Risks associated with the use of derivatives are generally described in the Prospectus (see the section headed "Risk Factors") and this Supplement (see the section headed "Risk Factors").

The Directors of the Company expect that the Net Asset Value of the Fund will have medium to high volatility through investment in Derivative Contracts.

Suitability of Investment

You should inform yourself as to (a) the possible tax consequences, (b) the legal and regulatory requirements, (c) any foreign exchange restrictions or exchange control requirements and (d) any other requisite governmental or other consents or formalities which you might encounter under the laws of the countries of your incorporation, citizenship, residence or domicile and which might be relevant to your purchase, holding or disposal of the Shares.

The value of the Shares may go up or down and you may not get back the amount you have invested. See the section headed "Risk Factors" of the Prospectus and the section headed "Risk Factors" of this Supplement for a discussion of certain risks that should be considered by you.

An investment in the Shares is only suitable for you if you (either alone or with the help of an appropriate financial or other advisor) are able to assess the merits and risks of such an investment and have sufficient resources to be able to bear any losses that may result from such an investment. The contents of this document are not intended to contain and should not be regarded as containing advice relating to legal, taxation, investment or any other matters.

Responsibility

The Directors (whose names appear under the heading "Management of the Company – Directors of the Company" of the Prospectus) accept responsibility for the information contained in the Prospectus and this Supplement. To the best of the knowledge and belief of the Directors (who have taken all reasonable care to ensure that such is the case) the information contained in this Supplement when read together with the Prospectus (as complemented, modified or supplemented by this Supplement) is in accordance with the facts as at the date of this Supplement and does not omit anything likely to affect the import of such information.

Listing

Application will be made to the Irish Stock Exchange for the listing of the Class A Shares denominated in JPY, Class I Shares denominated in GBP and JPY, Class AD Shares denominated in Euro and GBP and Class ID Shares denominated in Euro issued and available to be issued to be admitted to listing on the Official List and trading on the main market of the Irish Stock Exchange on or about the Initial Issue Date. This Supplement and the Prospectus together comprise listing particulars for the purposes of listing the Class A Shares denominated in JPY, Class I Shares denominated in GBP and JPY, Class AD Shares denominated

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in Euro and GBP and Class ID Shares denominated in Euro on the Official List and trading on the main market of the Irish Stock Exchange.

General

This Supplement sets out information in relation to the Shares and the Fund. You must also refer to the Prospectus, which is separate to this document and describes the Company and provides general information about offers of Shares in the Company. You should not take any action in respect of the Shares unless you have received a copy of the Prospectus. Should there be any inconsistency between the contents of the Prospectus and this Supplement, the contents of this Supplement will, to the extent of any such inconsistency, prevail. This Supplement and the Prospectus should both be carefully read in their entirety before any investment decision with respect to the Shares is made.

This Supplement has been prepared solely for the consideration of potential investors in the Shares. The Shares are not being, nor will they be, offered in any country for subscription or purchase to the public or to any section of the public where the marketing or offer of the Shares may be restricted by applicable law.

Distribution of this Supplement and Selling Restrictions

Distribution of this Supplement is not authorised unless accompanied by a copy of the Prospectus (other than to prior recipients of the Prospectus). The distribution of this Supplement and the offering or purchase of the Shares may be restricted in certain jurisdictions. If you receive a copy of this Supplement and/or the Prospectus you may not treat such document(s) as constituting an offer, invitation or solicitation to you to subscribe for any Shares unless, in the relevant jurisdiction, such an offer, invitation or solicitation could lawfully be made to you without compliance with any registration or other legal requirement or it is clear from the Supplement or addendum for the relevant jurisdiction that all registration and legal requirements for that relevant jurisdiction have been complied with. If you wish to apply for the opportunity to purchase any Shares, it is your duty to inform yourself of, and to observe, all applicable laws and regulations of any relevant jurisdiction. In particular, you should inform yourself as to the legal requirements of so applying, and any applicable exchange control regulations and taxes in the countries of your respective incorporation, citizenship, residence or domicile.

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FUND SUMMARY

Investment Objective

The objective of the Fund is to achieve capital appreciation. The Fund aims to out-perform global equity and global bond investments on a risk-adjusted basis and to provide returns with low correlations to both these asset classes. The Fund will gain exposure to an Index (as defined below) which provides exposure to the foreign exchange market. The Index notionally takes long and/or short positions in Forward Foreign Exchange (FX) Contracts. Forward FX Contracts are transactions in which counterparties agree to exchange a specified amount of different currencies at some future date, with the exchange rate being set at the time the contract is entered into. The Fund aims to generate returns from the FX market by combining four different FX strategies, namely the Strategies, each of which targets a different type of investment opportunity, and which have low correlations to each other. For the Trend Strategy, the Carry Strategy and the Economic Factor Strategy, the Forward FX Contracts will be in relation to a selection from a set of fifteen liquid and traded currency pairs between G10 Currencies. For the Emerging Market Carry Strategy, the Forward FX Contracts will be in relation to a selection from a set of up to twenty Emerging Market Currency Pairs.

The majority of currency transactions result from international trade, capital flows or tourism. These generate large amounts of currency trades, which are relatively independent of exchange rate considerations. The participants in these trades tend to be less motivated by profits gained from foreign exchange movements, than by the need to mitigate any possible future losses. Additionally international corporations systematically hedge their earnings and central banks pursue their interest rate and currency policies without regard to making short term gains.

Exposure to the Strategies is achieved by a notional exposure to the Reference Asset. The Reference Asset is the CitiFX ALPHA Index (the Index). The Fund will provide Shareholders of each Class with a return linked to the performance of the Reference Asset. The Index and the Index Value will initially be calculated in Euros and will thereafter be calculated in the equivalent currency of the currency of denomination of each Class of Shares (after accounting for applicable fees and expenses and any difference between the Funding Rate and the income generated by the Collateral). The return in the currency of a Class will be achieved through entering into separate Derivative Contracts in respect of each Class.

The Company on behalf of the Fund will enter into a separate Derivative Contract in respect of each Class. Each Derivative Contract will be on similar terms except that each Derivative Contract will provide a return in the currency of denomination of each Class of Shares to which it relates. The Derivative Contracts provide exposure to the Index. The absolute return under the Derivative Contracts may not equal the return on the Index. This tracking error is due to a number of factors including, but not limited to errors and any costs. Any such tracking errors are not expected to be material. In addition, there may be a difference between any income generated on the Collateral (as described below) and any income generated on a notional deposit (as described in more detail in the definition of "Funding" as defined below) which may at times be to the advantage or disadvantage of Shareholders and may mean that the absolute return under the Derivative Contracts may not equal the return on the Index.

The Index has medium to high volatility. Based on back-tested information, the Index returns have on average had stable 6 per cent annualised volatility since 1997.

Details of the Index and the exposure to the Strategies it provides plus the different Currency Pairs are set out below, under the heading "Description of the Index" and in the Index Conditions. Details of how the Fund is exposed to the Index through the Derivative Contracts are set out under "Investment Policy" below.

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The Strategies are as follows:

Trend Strategy

A rules based notional trading strategy which aims notionally to generate capital appreciation by capturing longer term momentum in exchange rates. The Currency Pairs for the Trend Strategy are a selection from a set of fifteen liquid and traded currency pairs between G10 Currencies.

Carry Strategy

A rules based notional trading strategy which aims notionally to generate capital appreciation by investing in currency pairs using interest rate differentials as the signal. Thus the strategy sells lower yielding currencies and uses the proceeds to buy higher yielding currencies. There are approximately eight Currency Pairs for the Carry Strategy.

Emerging Market Carry Strategy

A rules based notional trading strategy which aims notionally to generate capital appreciation by taking long and short positions in a selection of Emerging Market Currency Pairs. The Currency Pairs for the Emerging Market Carry Strategy are a selection from a set of twenty Emerging Market Currency Pairs.

Economic Factor Strategy

A rules based notional trading strategy which aims notionally to generate capital appreciation by attempting to predict the direction in currency pairs using historical economic data. There are approximately six Currency Pairs for the Economic Factor Strategy.

Investment Policy

In order to achieve the investment objective, the Company on behalf of the Fund intends to invest the net proceeds of any issue of Shares (whether on the Initial Issue Date or subsequently) in Fund Assets. The Fund Assets will be Derivative Contracts entered into with an Approved Counterparty (expected to be Citi and/or Citibank N.A. London or any of its New York branches). Such Derivative Contracts will include but not be limited to swaps, futures and/or options entered into with an Approved Counterparty.

The terms of the Derivative Contracts will provide that in return for receiving the net subscription proceeds of the Shares of the relevant Classes, the Derivative Contracts will give exposure to the performance of the Reference Asset (ignoring for this purpose any performance linked to the Funding). The Investment Advisor will advise the Manager in respect of the Derivative Contracts that the Company will enter into on behalf of the Fund in order to achieve its investment objective.

Further details relating to the Derivative Contracts are set out under "Documentation" below.

Leverage

The Index contains notional embedded leverage and such leverage shall be in accordance with the UCITS guidelines. The Fund will not be subject to any shortfall risk. The market risk and leverage of the Fund will be measured using a sophisticated risk-measurement technique, "Value at Risk", in accordance with the requirements of the Financial Regulator (which, for example, would mean that if a daily basis of calculation is used, a Value at Risk of 5% of Net Asset Value of the Fund at a 99% confidence level).

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Legal Structure

Set out below is a simplified structure diagram showing the legal structure underlying the Shares including the Reference Asset.

Shares issued in respect of the

Fund

CitiFirst Investments

plc

CitiFX Alpha

Strategy 1 Fund

Approved Counterparty(2)

Reference Asset

(CITIFX ALPHA INDEX)(3)

Derivative Contracts (1)

(1) The Derivative Contracts through which the Fund will gain exposure to the Reference Asset. The Derivative Contracts may

not exactly match the performance of the Reference Asset. This tracking error is due to, but not limited to, errors, costs and

any differences between the Funding and the income generated on the Collateral. The Derivative Contracts will be

collateralised in order that the investment restrictions applicable in respect of the Fund are complied with.

(2) Citi and/or Citibank N.A London and/or any New York branches.

(3) The Reference Asset is an investment strategy giving notional exposure to leveraged rules-based foreign exchange trading

strategies, namely the Strategies, which aim to generate capital appreciation. This effect will be notionally achieved through

the taking of long and/or short positions in Forward FX Contracts.

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TERMS OF THE SHARES REPRESENTING INTERESTS IN THE FUND

Share Classes

The following Classes of Shares have been or will be issued in respect of the Fund: the Class A Shares in Euros, US dollars, GBP and JPY, the Class I Shares in Euros, US dollars, GBP and JPY, the Class AD Shares in Euros and GBP and the Class ID Shares in Euros and GBP. The terms of each Class of Shares will differ and are described more fully below. The Company in respect of the Fund may create other Classes of Shares in the future.

Valuation

The Net Asset Value of the Fund and the Net Asset Value per Share of each Class will be determined as of the Valuation Point on each Dealing Day in accordance with the rules set out in the Prospectus. The Net Asset Value per Share will differ on each Dealing Day as: (a) the value of the Derivative Contracts will increase or decrease over time by reference to the performance of the Reference Asset; (b) the value of the Fund Assets will increase or decrease over time by reference to a variety of factors including, amongst others, market risks, credit quality, corporate actions, macro economic factors, currency markets, interest rates and speculation; (c) fees and expenses in relation to the Fund will accrue over time and (d) differences between the Funding and the income generated on the Collateral are taken into account (and therefore also the value of the Derivative Contracts may not exactly match the performance of the Reference Asset).

The Net Asset Value per Share will be calculated separately for each Class of Share issued in the currency of the relevant Class. The Net Asset Value of the Fund will be determined separately in USD, Euro, GBP and JPY by reference to the Fund Assets denominated in USD, Euro, GBP or JPY, as applicable. If additional Classes of Shares are issued, the Net Asset Value per Share will also be calculated separately for each such additional Class.

Accordingly, you should note that the Net Asset Value per Share at any time may be less than the original value of your investment and you should be prepared to sustain a loss of some or all of your investment.

Repurchase Price

The Repurchase Price of each Share on any Dealing Day will be the Net Asset Value per Share of the relevant Class as determined on that Dealing Day. If Shares are repurchased by the Company on behalf of the Fund, a proportion of the Fund Assets may be realised by the Company on behalf of the Fund.

Dividend Policy

The Directors intend to declare dividends for Class ID Shares denominated in GBP and EUR and for Class AD Shares denominated in GBP and EUR (each such Class of Shares, a Distribution Class). The amount of dividend to be paid will be determined at the discretion of the Directors. Dividends will be paid semi-annually to Shareholders in respect of the Distribution Classes on the register of members as at the close of business on the relevant Dealing Day. Dividends will be declared on the first Dealing Day following the months ending June and December. Distribution Class Shareholders may elect either to receive cash or to reinvest their dividend in additional Shares of the relevant Distribution Class and such election should be made in writing to the Administrator at the time the relevant Distribution Class Shareholder subscribes for the Shares of the relevant Distribution Class. If any Shareholder wishes to withdraw such election they shall give written notification to the Administrator at least 10 Business Days before the due date of any distribution. The Directors may also declare and pay, from time to time, additional interim distributions, at

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their sole discretion. The Directors shall give advance notice to the Distribution Class Shareholders of any such additional interim distributions.

The Directors intend to operate the Fund relating to each Distribution Class Shares with the objective of satisfying the conditions for certification by HMRC as a distributing fund for United Kingdom tax purposes, although no guarantee can be given that this will be the outcome. It is intended that the Company on behalf of the Fund relating to each Distribution Class Shares will make an application for certification by HMRC as a distributing fund. The Directors do not intend to declare any dividends for Class A Shares or Class I Shares. The Company will not apply for "distributing fund" status in respect of these Shares for the purposes of relevant United Kingdom tax legislation.

General Information Relating to the Fund

Initial Offer Period The Initial Offer Period in respect of the Class ID Shares denominated in GBP started at 9.00 a.m. (Dublin time) on 5 March 2008 and ended at 5.00 p.m. (Dublin time) on 2 July 2008. The Initial Offer Period in respect of the Class I Shares denominated in EUR started at 9.00 a.m. (Dublin time) on 5 March 2008 and ended at 5.00 p.m. (Dublin time) on 21 April 2008. The Initial Offer Period for the Class A Shares denominated in EUR started at 9.00 a.m. (Dublin time) on 5 March 2008 and ended at 5.00 p.m. (Dublin time) on 21 May 2008.

The Initial Offer Period of the Class I Shares denominated in USD and the Class A Shares denominated in USD and GBP ended at 5.00 p.m. (Dublin time) on 1 September 2008.

The Initial Offer Period in respect of the Class ID Shares denominated in EUR, the Class AD Shares denominated in EUR and GBP, the Class I Shares denominated in GBP and JPY and the Class A Shares denominated in JPY started at 9.00 a.m.(Dublin time) on 10 September 2008 and ended at 5.00 p.m. (Dublin time) on 10 September 2008.

Initial Issue Price During the relevant Initial Offer Period the Shares were or shall be, as applicable, offered at the Initial Issue Price of:

in respect of any Class of Shares denominated in EUR, EUR 1000 per Share;

in respect of any Class of Shares denominated in USD, USD 1000 per Share;

in respect of any Class of Shares denominated in GBP, GBP 1000 per Share; and

In respect of any Class of Shares denominated in JPY, JPY 100,000 per Share.

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Initial Issue Date The Initial Issue Date in respect of the Class ID Shares denominated in GBP was 3 July 2008, the Class I Shares denominated in EUR was 22 April 2008 and the Class A Shares denominated in EUR was 22 May 2008.

The Initial Issue Date in respect of the Class ID Shares denominated in EUR, the Class AD Shares denominated in EUR and GBP, the Class I Shares denominated in GBP, USD and JPY and the Class A Shares denominated in GBP, USD and JPY was 11 September 2008.

Final Repurchase Date Not applicable.

Business Day A day (other than a Saturday or a Sunday) on which (a) the Trans-European Automated Real-time Gross Settlement Express Transfer (TARGET) system is open; (b) commercial banks and foreign exchange markets are open and settle payments (including dealings in foreign exchange and foreign currency deposits) in Dublin, London and Luxembourg; and (c) CREST, Clearstream, Luxembourg and Euroclear are open for business.

Dealing Day Thursday of each week, or if such day is not a Business Day, the immediately succeeding Business Day.

Valuation Point 4.00 pm, UK time daily, or if such day is not a Index Business Day, the immediately succeeding Index Business Day.

Dealing Deadline 9:30 am, UK time on the Wednesday prior to any Dealing Day. The Directors may elect to extend the Dealing Deadline in their sole and absolute discretion, provided any extension shall be before the relevant Valuation Point.

Settlement Date In the case of subscriptions, this will be two Business Days immediately following the relevant Dealing Day, assuming receipt of the relevant signed subscription application request prior to the Dealing Deadline for such Dealing Day and cleared funds as confirmed by the Administrator.

In the case of repurchases, up to five Business Days after the relevant Dealing Day, assuming receipt of the relevant signed repurchase request prior to the Dealing Deadline for such Dealing Day as confirmed by the Administrator.

Minimum Fund Size USD 50,000,000 (or the equivalent in such other relevant currency) or such other amount as the Directors may determine from time to time at their absolute discretion.

Compulsory Early Repurchase

In the event that the Derivative Contracts entered into in respect of the Fund are terminated early, the Company will give notice to the holders of the Shares of the relevant Classes of such early repurchase and such Shares will be compulsorily repurchased on the date specified for repurchase in such notice.

The Company may compulsorily repurchase all of the Shares if the Net

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Asset Value per Share of any Share is less than 10 per cent. of the Initial Issue Price for such Share by giving notice to the holders of the Shares of such early repurchase and the Shares will be compulsorily repurchased on the date specified for repurchase in such notice.

If, at any time, the total outstanding share holding of a particular Class of Shares is equal to or less than the Minimum Share Class size, the Company may compulsorily repurchase all of the Shares of that particular Class of Shares by giving notice to the holders of that Class of Shares of such early repurchase and those Shares will be compulsorily repurchased on the date specified for repurchase in such notice.

Base Currency Euro.

Investment Advisor Citi. The address and business description of the Investment Advisor are included in the Prospectus.

Manager Capita Financial Managers (Ireland) Limited.

Promoter Citibank International plc.

Distributor Citi.

Custodian J.P. Morgan Bank (Ireland) plc.

Administrator Capita Financial Administrators (Ireland) Limited.

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Description of the Class A Shares and the Class I Shares

Share class description

Class A Class I

Currencies USD/EUR/GBP/JPY USD/EUR/GBP/JPY

Listing Irish Stock Exchange

Initial Issue Price USD1000 / EUR 1000 / GBP 1000 / JPY 100,000

USD1000 / EUR 1000 / GBP 1000 / JPY 100,000

Preliminary Charge During the Initial Offer Period up to 5 per cent. of the Initial Issue Price

On any subsequent Dealing Day, up to 5 per cent. of the Net Asset Value per Share as of the applicable Dealing Day

Administration Fee Up to 0.25 per cent. Up to 0.25 per cent.

Manager Fee Up to 1.25 per cent. Up to 0.60 per cent.

Repurchase Charge Not applicable Not applicable

Right to Exchange/Exchange Charge

No No

Minimum Initial Investment Amount

USD 50,000 / EUR 50,000 / GBP 50,000 / JPY 5,000,000

USD 1,000,000 / EUR 1,000,000 / GBP 1,000,000 / JPY 100,000,000

Minimum Additional Investment Amount

USD 10,000 / EUR 10,000 / GBP 10,000 / JPY 1,000,000

USD 1,000,000 / EUR 1,000,000 / GBP 1,000,000 / JPY 100,000,000

Minimum Repurchase Amount

10 Shares 1000 Shares

Minimum Share Class size

USD 10,000,000 / EUR 10,000,000 / GBP 10,000,000 / JPY 1,000,000,000

USD 10,000,000 / EUR 10,000,000 / GBP 10,000,000 / JPY 1,000,000,000

Minimum Shareholding

10 Shares 1000 Shares

SEDOL Code Euro: B2PWGH3 USD: B2PWGJ5 GBP: B2PWGK6 JPY: B3D0TT9

Euro: B2PWGL7 USD: B2PWGM8 GBP: B3D0TZ5 JPY: B3D0TV1

ISIN Code Euro: IE00B2PWGH38 USD: IE00B2PWGJ51 GBP: IE00B2PWGK66

Euro: IE00B2PWGL73 USD: IE00B2PWGM80 GBP: IE00B3D0TZ53

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JPY: IE00B3D0TT93 JPY: IE00B3D0TV16

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Description of the Class AD Shares and the Class ID Shares

Share class description

Class AD Class ID

Currencies EUR/GBP EUR/GBP

Listing Irish Stock Exchange

Initial Issue Price EUR 1000 / GBP 1000 EUR 1000 / GBP 1000

Preliminary Charge During the Initial Offer Period up to 5 per cent. of the Initial Issue Price

On any subsequent Dealing Day, up to 5 per cent. of the Net Asset Value per Share as of the applicable Dealing Day

Administration Fee Up to 0.25 per cent. Up to 0.25 per cent.

Manager Fee Up to 1.25 per cent. Up to 0.60 per cent.

Repurchase Charge Not applicable Not applicable

Right to Exchange/Exchange Charge

No No

Minimum Initial Investment Amount

EUR 50,000 / GBP 50,000 EUR 1,000,000 / GBP 1,000,000

Minimum Additional Investment Amount

EUR 10,000 / GBP 10,000 EUR 1,000,000 / GBP 1,000,000

Minimum Repurchase Amount

10 Shares 1000 Shares

Minimum Share Class size

EUR 10,000,000 / GBP 10,000,000 EUR 10,000,000 / GBP 10,000,000

Minimum Shareholding

10 Shares 1000 Shares

SEDOL Code Euro: B3D0TW2 GBP: B3D0TX3

Euro: B3D0TY4 GBP: B2PWGN9

ISIN Code Euro: IE00B3D0TW23 GBP: IE00B3D0TX30

Euro: IE00BD0TY47 GBP: IE00B2PWGN97

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Description of the Index

The CITIFX ALPHA INDEX (the Index) represents the global foreign exchange market and uses a leveraged rules-based trading strategy sponsored by the Index Sponsor which aims notionally to generate capital appreciation by a combination of leveraged rules-based foreign exchange trading strategies, namely the Strategies. This effect will be notionally achieved through the taking of long and/or short positions in Forward FX Contracts in relation to particular Currency Pairs (please see the diagram below). The Index is not confined to a restricted number of Currency Pairs but can use the full population of approximately 180 global currencies. It currently uses nineteen currencies from stable economic regimes that are liquid, easily traded and unpegged. These currencies make up approximately 92% of global foreign exchange turnover. The Index is the Reference Asset.

The Index was developed by the Index Sponsor. The Index Sponsor calculates and maintains the Index based on the methodology set out in the Index Conditions and is also responsible for publishing the Index Value on Bloomberg.

The Index is comprised of four leveraged rules-based foreign exchange strategies: the Carry Strategy, the Trend Strategy, the Economic Factor Strategy and the Emerging Market Carry Strategy (together, the Strategies). The daily change in Index Value is driven by the change in value of the Strategies together with Funding. The determination of the Index Value is set out in the Index Conditions.

On the Start Date the Index consists of equal exposures to each of the Strategies. On each Index Month End, the Index Sponsor will calculate the Risk Contribution of each Strategy to the Index using Risk Contribution Methodology and will reweight the Index using the Risk Contribution Methodology in order that the Risk Contribution of each Strategy to the Index for the following month is equal or, in the determination of the Index Sponsor as close to equal as is practicable. The Risk Contribution Methodology uses the returns and correlations of the Strategies from the immediately preceding 6 months to calculate an equal contribution of risk from each Strategy to the Index.

The exposure to each of the Strategies is multiplied by the Leverage Factor, which on the Start Date was 3. The Index Sponsor will calculate the Leverage Factor on each Index Month End for the following calendar month in order to achieve as far as practicable the target volatility of 7% for the Index. The Leverage Factor is 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] (the Volatility) (as denominator), subject to a maximum of 4. Accordingly, the Leverage Factor is adjusted in proportion to the Volatility (subject to a maximum Leverage Factor of 4), with the greater the Volatility, the lower the Leverage Factor for the following calendar month and vice versa.

If the Index Sponsor determines that a Top-Level Risk Control Event has occurred, the Index Sponsor will reduce the Leverage Factor in accordance with Index Condition 7 (Adjustments). Details of such reduction of the Leverage Factor will be available as soon as practicable following such determination on the website: https://www.citigroupcib.com/euprospectus.

The market risk and leverage of the Fund will be measured using a sophisticated risk-measurement technique, "Value at Risk", in accordance with the requirements of the Financial Regulator (which, for example, would mean that if a daily basis of calculation is used, a Value at Risk of 5% of Net Asset Value of the Fund at a 99% confidence level).

If the Index Sponsor determines that a Review Event or Disruption Event has occurred, the Index Sponsor will review and if necessary adjust the weightings of any and all the Strategies of the Index and/or amend or

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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.

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.

While the Index Sponsor currently employs the methodology described in the Index Conditions to calculate the Index, if market, regulatory, juridical or fiscal circumstances or, without limitation, any other circumstances arise that would, in the determination of the Index Sponsor, necessitate a modification or change to such methodology, the Index Sponsor may make such modifications or changes as it considers appropriate to maintain the economic objectives of the Index. For so long as the Financial Regulator so requires, promptly upon becoming aware that any such modifications or changes which would have a material effect on such methodology are to be, or have been, made, the Company shall, if required, on behalf of the Fund, notify the Financial Regulator in accordance with the Financial Regulator's requirements and obtain the approval of the Financial Regulator.

The Index Conditions and any changes to the Index are available on the website of the Index Sponsor at https://www.citigroupcib.com/euprospectus.

CitiFX Alpha Index

17

1 There are approximately eight Currency Pairs for the Carry Strategy. 2 The Currency Pairs for the Trend Strategy are a selection from a set of fifteen liquid and traded currency pairs between G10 Currencies.

3 There are approximately six Currency Pairs for the Economic Factor Strategy.

4 The Currency Pairs for the Emerging Market Carry Strategy are a selection from a set of up to twenty Emerging Market Currency Pairs.

Carry Strategy1

25% 25%

Trend Strategy2 Economic Factor

Strategy3

Emerging Market Carry Strategy4

25% 25%

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Summary Description of the Strategies

The Strategies are leveraged and rules-based and are set out more fully in the Index Conditions. The Strategies comprise various trade signals that are monitored daily as described in the paragraphs below and detailed further in the Index Conditions.

Trend Strategy

The Currency Pairs for the Trend Strategy are a selection from a set of fifteen liquid and traded currency pairs between G10 Currencies.

The Trend Strategy captures longer term momentum in exchange rates. The Trend Strategy notionally trades in Currency Pairs that have historically seen large and persistent moves. The Trend Strategy includes a cut-out mode should the volatility of a Currency Pair exceed a specified level, in which case the position is eliminated.

Carry Strategy

There are approximately eight Currency Pairs for the Carry Strategy selected from a set of fifteen liquid and traded currency pairs between G10 Currencies.

The Carry Strategy uses interest rate differentials as the signal to invest in high yielding and borrow in low yielding currencies. In addition to the rate differential the Carry Strategy benefits from spot moves away from the forward rates. Forward rates have no predictive power for future spot rates in the short and medium term. Therefore, by selling lower yielding currencies and using the proceeds to buy higher yielding ones, positive returns may be generated. The Carry Strategy benefits from diversification and two risk filters, which control the drawdowns.

Emerging Market Carry Strategy

The Currency Pairs for the Emerging Market Carry Strategy are a selection from a set of up to twenty Emerging Market Currency Pairs.

The Emerging Market Carry Strategy uses signals from two models, the Emerging Market State Contingent Carry Model and the Emerging Market Long Short Model, to invest in high yielding currencies and borrow in low yielding currencies.

The Emerging Market State Contingent Carry Model includes a "long only" rule . Should the short-dated emerging market rate drop below the G10 Financing Currency, the position is eliminated. The Emerging Market Long Short Model takes long and short positions in the currency pairs based on deposit rates, forward rates and the volatility of the currency pairs.

Returns may be derived from the forward rate bias in emerging markets. Emerging market carry trades often tend to be more attractive due to higher interest rate differentials and a greater degree of diversification among currency pairs. Profits from an emerging market carry trade are largely dependent on the rate differential.

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Economic Factor Strategy

There are approximately six Currency Pairs for the Economic Factor Strategy selected from a set of fifteen liquid and traded currency pairs between G10 Currencies.

The Economic Factor Strategy is an economic forecasting model based on historical economic data consisting of figures relating to interest rates, inflation, exports, unemployment and retail sales. The Economic Factor Strategy attempts to predict the direction in currency pairs using such historical economic data.

If the month-end calculation predicts that a currency will weaken against the USD over the next month then the Index notionally sells the currency at the next month-end forward date and vice a versa.

Historical economic data may be presented in a currency other than the currency of the country in which potential investors reside. The actual return on this product may increase or decrease with fluctuations between currencies.

Fees and Expenses

The following fees will be incurred by the Company on behalf of the Fund and will affect the Net Asset Value per Share of each Class issued in respect of the Fund.

(a) Manager and Administration Fee

Up to 1.50 per cent. per annum in respect of the Class A Shares and the Class AD Shares and up to 0.85 per cent. per annum in respect of the Class I Shares and the Class ID Shares of the aggregate Net Asset Value per Share (plus VAT, if any) is payable by the Company out of the assets of the Fund attributable to the Shares to the Manager. Such fee will be calculated and accrued daily using the relevant Net Asset Value per Share. The Manager Fee will be paid monthly in arrears.

The Manager will pay out of the Manager and Administration Fee (and not out of the assets of the Fund) the fees of the Investment Advisor, Administrator, Distributor and the Custodian.

The Manager is not entitled to be reimbursed out of the assets of the Fund for its out-of-pocket expenses. Each of the Administrator, Investment Advisor, Distributor and the Custodian (including the expenses of any sub-custodian) is entitled to be repaid by the Manager its agreed upon transaction and other charges (which will be at normal commercial rates) and other reasonable out-of-pocket expenses out of the assets of the Fund (plus VAT if any).

(b) Performance Fee

The Investment Advisor will be entitled to receive from the Fund Assets a performance fee (Performance Fee) calculated at the rate of 20 per cent. of any increase in the Net Asset Value per Share of the Fund, prior to the deduction of any Performance Fee, in excess of 1 month's LIBOR Rate for the relevant currency of the share class.

The Performance Fee will be calculated and accrued on a monthly basis (commencing on and including the Initial Issue Date) and payable quarterly in arrears. The Performance Fee will be verified by the Custodian. In the event of a fall in the Net Asset Value per Share, the

19 M-4709066-27 ELK/ 281313/8849520v5

Performance Fee will only be payable to the extent that: (1) the Net Asset Value per Share of the Fund at the time of the last Performance Fee payment is exceeded, and (2) the performance per Share of the Fund exceeds the 1 month's LIBOR Rate for the relevant currency of the share class since the time of the last performance fee payment. For the avoidance of doubt, the first time that the Performance Fee is calculated, the Net Asset Value per Share of the Fund will be the Initial Issue Price of each Share.

For the avoidance of doubt, to ensure all investors are treated fairly, at each Valuation Point an accrual is made for Performance Fees, where applicable, in calculating the Net Asset Value of each class.

(c) Other Fees and Charges

Shareholders should also note that a Preliminary Charge may be charged by the Distributor, some of which may be paid by the Distributor to Sub-Distributors, on the subscription of any Share of the relevant Class as set out in the section headed "Description of the Shares" above.

This section headed "Fees and Expenses" should be read in conjunction with the section headed "Fees and Expenses" in the Prospectus.

Risk Management

The Company has filed with the Financial Regulator a risk management policy statement setting out how it intends to measure, monitor and manage the various risks associated with Derivative Contracts it intends to enter into with Approved Counterparties. The Company on behalf of the relevant Fund will only enter into Derivative Contracts of the type listed in the risk management policy statement. The Company will, on request, provide supplementary information to Shareholders relating to the risk management methods employed, including the quantitative limits that are applied and any recent developments in the risk and yield characteristics of the main categories of investments held by the Company on behalf of the Fund.

Documentation

The Derivative Contracts to be entered into by the Approved Counterparty and the Company on behalf of the Fund will comprise the Fund Assets and give exposure to the Reference Asset. The Derivative Contracts may not exactly match the performance of the Reference Asset. This tracking error is due to, but not limited to, errors, costs and any differences between the Funding and the income generated on the Collateral.

Each Derivative Contract will be collateralised to comply with applicable investment restrictions and will comprise an ISDA Master Agreement (including the Schedule and, if applicable, the Credit Support Annex) and confirmation. The Derivative Contracts will be dated as of a date on or before the Initial Issue Date. On or shortly prior to the first issue of Shares of any other Class created in respect of the Fund, the existing Derivative Contracts will be amended or new Derivative Contracts will be entered into by the Company with an Approved Counterparty to take account of the relevant new Class.

From time to time, appropriate modifications (for example, additional confirmations) may be made in relation to repurchases and subscriptions of Shares. In addition, the Derivative Contracts will include provisions relating to their termination.

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Collateral

The Approved Counterparty to each Derivative Contract will be required under the terms of the relevant Derivative Contract to provide collateral as described below (the Collateral) to the Company so that the Company's risk exposure to the relevant Approved Counterparty is in compliance with the Financial Regulator's UCITS Notices 9 and 10. For the purposes of efficient portfolio management as well as for investment purposes, the Company may enter into repurchase (repo) transactions with respect to any cash provided to it as Collateral by the Approved Counterparty. Any such repo transactions will be undertaken subject to the conditions and limits set out in the Financial Regulator Notices and the Collateral obtained under such repo transactions must equal or exceed in value at all times the value of the amount invested.

Collateral obtained from an Approved Counterparty must be in the form of one or more of the following:

(i) cash;

(ii) government or other public securities;

(iii) certificates of deposit issued by Relevant Institutions;

(iv) bonds and commercial paper issued by Relevant Institutions; or

(v) equity securities traded on stock exchanges in the EEA Member States, Switzerland, Canada, Japan, the United States, Jersey, Guernsey, the Isle of Man, Australia or New Zealand, the market value of which shall represent at least 120% of the related risk exposure to the relevant Approved Counterparty, subject to all other requirements of the Financial Regulator.

In respect of the Collateral:

(i) it must be marked to market daily;

(ii) it must be transferred to the Custodian, the sub-custodian or any of its other agents – it cannot be sold or pledged; and

(iii) the Company must have instant access to the Collateral, without recourse to the relevant Approved Counterparty, in the event of a default by such Approved Counterparty.

In respect of the non-cash Collateral:

(vi) it cannot be sold or pledged;

(vii) it must have a minimum credit rating of "A" or equivalent;

(viii) it must be held at the credit risk of the relevant Approved Counterparty; and

(ix) it must be issued by an entity independent of the Approved Counterparty.

In respect of the cash collateral, it may not be invested other than in the following:

(i) deposits with Relevant Institutions, which are capable of being withdrawn within 5 working days;

(ii) government or other public securities which have a minimum credit rating of A or equivalent;

21 M-4709066-27 ELK/ 281313/8849520v5

(iii) certificates of deposit issued by Relevant Institutions, which have a minimum credit rating of A or equivalent;

(iv) repurchase agreements, in accordance with the provisions of Notice UCITS 12, provided the collateral received under the agreements meets with the requirements of this paragraph; or

(v) daily dealing money market funds which have a minimum credit rating of AAA or equivalent. If investment is made in a linked fund, as described in paragraph 1.3.2, UCITS 9, no subscription, conversion or redemption charge can be made by the underlying money market fund.

Invested Cash collateral which is held at the credit risk of the Fund, other than cash collateral invested in government or other public securities or money market funds, must be diversified so that no more than 20 per cent of the collateral is invested in the securities of, or placed on deposit with, one institution. Invested cash collateral may not be placed on deposit with, or invested in securities issued by the Approved Counterparty or a related entity.

Investment Restrictions

The general investment restrictions set out under "Funds – Investment Restrictions" in the Prospectus apply to the Fund.

In addition to the general investment restrictions set out in the paragraph above, the Fund will not invest more than 10 per cent in aggregate of its Net Asset Value in either UCITS and/or any CIS.

Limited Recourse

The Company is a limited liability investment company. A Shareholder will solely be entitled to look to the Fund Assets (which will only consist of payments made to the Company under the Derivative Contracts) in respect of all payments in respect of its Shares. Accordingly, the ability of the Company to make payments in respect of the Shares is highly dependent on the credit risk of the Approved Counterparty to the Derivative Contracts (expected to be Citi and/or Citibank N.A. London and/or any New York branches).

If the realised net assets of the Fund are insufficient to pay any amounts payable in respect of the Shares, the Shareholder will have no further right of payment in respect of such Shares nor any claim against or recourse to any of the assets of any other Fund or any other asset of the Company.

Borrowings

In accordance with the general provisions set out in the Prospectus under the heading "Funds – Borrowing and Lending Powers", the Company on behalf of the Fund may borrow up to 10 per cent. of the Net Asset Value of the Fund on a temporary basis.

Leverage

The leverage utilised in the Fund shall be in accordance with the UCITS guidelines and the Fund will not be subject to any shortfall risk.

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RISK FACTORS

GENERAL

Overview

An investment in the Shares involves certain risks and the description of the risks that follows is not, and does not purport to be, exhaustive. More than one investment risk may have simultaneous effects with respect to the value of the Shares and the effect of any single investment risk may not be predictable. In addition, more than one investment risk may have a compounding effect and no assurance can be given as to the effect that any combination of investment risks may have on the value of the Shares. The statements in these Risk Factors are qualified in their entirety by the remaining contents of this Supplement and the Prospectus. Capitalised terms used but not defined in these Risk Factors have the meanings given to them elsewhere in this Supplement.

Suitability

Prospective investors should determine whether an investment in the Shares is appropriate in their particular circumstances and should consult with their legal, business and tax advisors to determine the consequences of an investment in the Shares and to arrive at their own evaluation of the investment. Investment in the Shares is only suitable for investors who:

(a) have the requisite knowledge and experience in financial and business matters to evaluate the merits and risks associated with an investment in the Shares;

(b) have access to, and knowledge of, appropriate analytical tools to evaluate such merits and risks in the context of their financial situation; and

(c) are capable of bearing the economic risk of an investment in the Shares.

Prospective investors should make their own independent decision to invest in Shares.

Prospective investors should not rely on any information communicated (in any manner) by the Company, the Directors, the Manager or Citi or any of their respective Affiliates as investment advice or as a recommendation to invest in the Shares, which shall include, amongst other things, any such information, explanations or discussions concerning the terms and conditions of the Shares, or related features. No information communicated (in any manner) by the Company, the Directors, the Manager, Citi or any of their respective Affiliates shall be regarded as an assurance or guarantee regarding the expected performance of the Index, the Strategies or the Shares.

Prospective investors should understand that the amounts payable in respect of the Shares will depend on the performance of the Index.

Prospective investors may lose part or all of their originally invested capital. Furthermore, any return on the Shares may be less than the amount that might have been achieved had the capital invested in the Shares been placed on deposit or invested in fixed income investment grade bonds for the same period.

The Company, the Directors, the Manager or Citi or any of their respective Affiliates will not act as a fiduciary or trustee for, or as an advisor to, investors in the Shares.

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Potential conflicts of interest

Citi and its Affiliates have various roles that may give rise to potential conflicts of interest in relation to the Shares. In particular, Citi and/or its Affiliates act as Investment Advisor, Distributor and Promoter in respect of the Shares, Citi and/or one of its Affiliates is expected to act as the Approved Counterparty and Calculation Agent in respect of the Derivative Contracts and Citi will act as Index Sponsor for the Index.

Citi and its Affiliates will only have the duties and responsibilities expressly agreed to by them in their relevant capacities and will not be deemed to have other duties or responsibilities or be deemed to have a standard of care other than as expressly provided in respect of each capacity in which they act. Citi and its Affiliates may, for their own account (including for the purpose of hedging the Approved Counterparty's obligations under the Derivative Contracts) or on behalf of their customers, trade in financial instruments, including derivatives, linked to the Index. These activities may result in conflicts of interest for Citi and its Affiliates and may, directly or indirectly, affect the level (either positively or negatively) of the Index and in turn the Net Asset Value of the Shares.

Citi and/or its Affiliates may, for their own account or the account of others, enter into transactions relating to the Index. Any of these activities could result in conflicts of interest for Citi and/or its Affiliates and may directly or indirectly affect the value (positively or negatively) of the Shares. Furthermore, Citi and/or its Affiliates may from time to time acquire non-public information relating to the Index, interest rates, exchange rates and/or other factors that may affect the value of the Shares. Any such information will not be disclosed to the Company, the Manager or the Shareholders.

Citi and/or its Affiliates may from time to time express views as to the Index, interest rates, exchange rates and other factors that may affect the value of the Shares. Any such views may not be taken into account by Citi in the performance of its role as Calculation Agent, Investment Advisor or any other role held by it in respect of the Shares.

Citi and/or its Affiliates may from time to time subscribe or request that Shares held by them be repurchased. Any such subscriptions or repurchases may adversely affect the value of the other Shares then in issue.

Calculation Agent discretion

The Net Asset Value per Share of each Class will depend on the value of the Derivative Contracts through which the Shares will be exposed to the Index. If events occur that affect the composition of the Index or its valuation, the Calculation Agent to the Derivative Contracts may make changes to the terms of the Derivative Contracts to take account of these events which may be adverse to Shareholders. Furthermore, any such changes may be made by the Calculation Agent without the consent of Shareholders and the Calculation Agent is under no obligation to take into account the interests of Shareholders.

RISKS RELATING TO THE SHARES

Capital at risk

The Shares are not capital protected. Accordingly, investors may lose part or all of the capital originally invested by them.

Early repurchase

Investors should note that although there is no Final Repurchase Date in respect of each Class of Shares, the outstanding Shares of each Class of Shares will be compulsorily repurchased early in certain circumstances, for example:

24 M-4709066-27 ELK/ 281313/8849520v5

(a) if the Derivative Contracts are terminated early for any reason, the outstanding Shares of the relevant Classes may be compulsorily repurchased;

(b) if the Derivative Contracts are terminated early as a result of an adjustment or Disruption Event, the outstanding Shares of the relevant Classes will be compulsorily repurchased;

(c) if, at any time, the Net Asset Value per Share of any Share is less than 10 per cent. of the Initial Issue Price of the relevant Share, all of the outstanding Shares will be compulsorily repurchased; or

(d) if, at any time, the total outstanding share holding of a particular Class of Shares is equal to or less than the Minimum Share Class size, the Company may compulsorily repurchase all of the Shares of that particular Class of Shares by giving notice to the holders of that Class of Shares of such early repurchase and those Shares will be compulsorily repurchased on the date specified for repurchase in such notice.

Cross liability between Classes

On the Initial Issue Date there will be more than one Class of Shares issued in respect of the Fund (the Shares). Additional Classes of Shares may be created at any time without the consent of the then existing Shareholders in accordance with the Financial Regulator's requirements. If additional Classes of Shares are created, each Class of Shares issued in respect of the Fund will perform differently as a result of differences in currency and fees. The Company on behalf of the Fund will enter into Derivative Contracts that are designed to generate the cashflows payable in respect of the Shares of the relevant Classes. There is no legal segregation of the assets and liabilities attributable to each Class. Accordingly, if more than one Class of Shares has been issued and there is a shortfall attributable to one Class, this will adversely affect the other Classes of Shares issued in respect of the Fund. See the paragraphs entitled "Allocation of shortfalls among Classes of a Fund" and "Segregated Liability between Funds" in the section headed "Risk Factors" of the Prospectus.

Fees and expenses

The Net Asset Value of the Shares will be reduced by certain fees and expenses as described under "Fees and Expenses" in the section of this document headed "Terms of the Shares Representing Interests in the Fund".

The Performance Fee is based on net realised and net unrealised gains and losses as at the end of each calculation period and as a result, the Performance Fee may be paid on unrealised gains which may never be subsequently realised.

Taxation

Each Shareholder will assume and be solely responsible for any and all taxes of any jurisdiction or governmental or regulatory authority, including, without limitation, any state or local taxes or other like assessment or charges that may be applicable to any payment to it in respect of the Shares.

In the event that withholding or deduction of any taxes from payments of principal or interest, if any, in respect of the Shares is required by law in any jurisdiction, the Company is not under any obligation to make any additional payments to the Shareholders in respect of such withholding or deduction.

25 M-4709066-27 ELK/ 281313/8849520v5

Collateral

The Approved Counterparty is required to provide Collateral in accordance with the UCITS Guidelines. The Approved Counterparty is required to provide Collateral under each Derivative Contract to which the Company will have recourse if the Approved Counterparty defaults in its obligations under such Derivative Contract. The Collateral may comprise, or in the case of cash collateral be invested in, assets which are not admitted to any public trading market and may therefore be illiquid and not readily realisable, and from time to time the value of such assets may be less than the amount of the termination payment under such Derivative Contract. In such circumstances, the amount realisable by investors in respect of the Shares may be limited to the amount realisable on the Collateral which may be less than the expected Net Asset Value per Share.

RISKS RELATING TO THE REFERENCE ASSET

The performance of the Shares will depend on the Index

The Index was developed by Citi. Citi calculate and maintain the Index based on the methodology set out in the Index Conditions and are also responsible for publishing the Index Values on Bloomberg.

The Shares are linked to the Index through the Derivative Contracts. The Index gives notional exposure to a combination of leveraged rules-based foreign exchange trading strategies, namely the Strategies, through notionally taking long and short positions in Forward FX Contracts.

Accordingly, potential investors in the Shares should determine whether an investment linked to the Index is suitable for them in light of their individual circumstances and investment objectives. In particular, prospective investors should ensure that they understand the nature of the Index's exposure to the Strategies, how each Strategy is composed and calculated in accordance with its rules and how their investment will be linked to the Index.

Prospective investors should be aware that although the Shares will be affected by the performance of the Strategies, the Shares will perform differently to the performance of the Strategies.

There can be no assurance that the Index will reflect a successful investment strategy. Neither the Index nor the Strategies are designed to be representative of any currency market or a segment of any such market.

Prospective investors should note that the past performance of the Index or Strategies or any similar index or trading strategy should not be used as a guide to the future performance of the Index or the Strategies, as applicable.

The Index Value in respect of each Index Business Day represents the value determined by the Index Sponsor at such date of USD100, EUR100, GBP 100, JPY 100 invested in the Index on the Start Date. Such value will reflect the value of the positions a unit of the Index is designed to represent (i.e. the mark-to-market value determined by the Index Sponsor of the Forward FX Contracts (which may be a positive or negative value) plus the Funding Rate. The Funding Rate will not be reflected in the Derivative Contracts. Instead income from the Collateral will be received under the Derivative Contracts. Prospective investors should note that the income generated by the Collateral may be more or less than the Funding Rate.

Exposure to the Reference Asset is achieved through an investment in Derivative Contracts, which seek to provide Shareholders of each Class with a return linked to the Reference Asset. Given the nature of Derivative Contracts and the costs that may be involved in their utilisation, the value of the Derivative Contracts (which ultimately determine the return Shareholders will receive) may not exactly track the value

26 M-4709066-27 ELK/ 281313/8849520v5

of the Reference Asset. Shareholders should thus be familiar with the risks associated with such an approach to investment.

Index Sponsor Discretion

The Net Asset Value per Share will largely depend on the Index Value to which the Shares will be exposed through the Derivative Contracts. Potential investors in the Shares should note that the methodology for calculating the Index confers on the Index Sponsor broad discretions in making certain determinations, calculations and decisions which could adversely affect the Index Value and the Shares. Furthermore, the Index Sponsor shall not have any responsibility to consider the interests of Shareholders when exercising its discretion nor any liability in respect of any decisions taken.

Periodic Review

If the Index Sponsor determines that a Review Event has occurred, the Index Sponsor will review the Index and if necessary adjust 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 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.

Top-Level Risk Control Review

If the Index Sponsor determines that a Top-Level Risk Control Event has occurred, the Index Sponsor will adjust the Leverage Factor by applying the Leverage Factor Reduction Multiplier in accordance with Index Condition 7.

Any reduction to the Leverage Factor will be available as soon as practicable following such determination on website: https://www.citigroupcib.com/euprospectus.

Adjustment to Index Methodology

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 the methodology for calculating the Index as described in the Index Conditions, the Index Sponsor may make such modifications or changes as it considers appropriate to maintain the economic objectives of the Index. For so long as the Financial Regulator so requires, promptly upon becoming aware that any such modifications or changes which would have a material effect on such methodology are to be, or have been, made, the Company shall, if required, on behalf of the Fund, notify the Financial Regulator in accordance with the Financial Regulator's requirements and obtain the approval of the Financial Regulator. Any changes will be available on the website: https://www.citigroupcib.com/euprospectus.

Decline in Index Value

The Net Asset Value of the Shares of each Class on any Business Day will be largely dependent on the Index Value on the corresponding Index Business Day. The performance of the Strategies will affect the performance of the Index and the Index Value.

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Exposure to the Index is notional

Prospective investors should understand that the "investments" made in the Index are notional investments each with no separate legal personality, and that adjustments to the level of investment in them will be made solely in books and records kept on behalf of the Index Sponsor. Shareholders claims are limited to the Fund Assets held by the Company on behalf of the Fund which will comprise Derivative Contracts.

The Net Asset Value of the Shares will therefore be impacted by the change in value of the Derivative Contracts. Factors that could impact the value of Derivatives Contracts include conditions in currency markets, interest rates, volatilities (realised and implied by the market), supply and demand factors and such other modelling and quantitative assumptions that the Approved Counterparty and/or the market may take into consideration when valuing derivatives.

Prospective investors should understand that due to Funding, costs and expenses at the various levels of the structure underlying the Shares, the performance of the Shares will not fully correlate to changes in the value of the Index over the life of the Shares.

THE CONSIDERATIONS SET OUT ABOVE ARE NOT, AND ARE NOT INTENDED TO BE, A COMPREHENSIVE LIST OF ALL CONSIDERATIONS RELEVANT TO A DECISION TO PURCHASE OR HOLD THE SHARES. THE ATTENTION OF INVESTORS IS ALSO DRAWN TO THE SECTION HEADED "RISK FACTORS" IN THE PROSPECTUS.

Disclaimers THE DIRECTORS OF THE COMPANY, THE MANAGER AND INVESTMENT ADVISOR TOGETHER THE "RESPONSIBLE PARTIES" DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY DESCRIPTION RELATING TO THE INDEX OR ANY STRATEGY OR ANY DATA INCLUDED THEREIN AND THE RESPONSIBLE PARTIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS HEREIN. THE APPROVED RESPONSIBLE PARTIES MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE FUND, ANY SHAREHOLDER IN THE FUND, OR TO ANY OTHER PERSON OR ENTITY IN RESPECT OF THE INDEX DESCRIBED HEREIN.

THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY STRATEGY OR ANY DATA INCLUDED HEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES OR FOR ANY LOST PROFITS, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

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OTHER INFORMATION

Miscellaneous

1. Save as disclosed in this Supplement, there has been no significant change and no significant new matter has arisen since publication of the Prospectus.

2. Save as disclosed in this Supplement or the Prospectus, no Director has any interest, direct or indirect, in the promotion of, or in any assets which have been or are proposed to be acquired or disposed of by, or leased to, the Company in respect of the Fund and no Director is materially interested in any contract or arrangement subsisting at the date hereof which is unusual in its nature or condition or which is significant in relation to the business of the Company in respect of the Fund.

3. At the date hereof, no Director, nor any connected person, has any interest, direct or indirect, in the Shares. Although none of the Directors are required to be investors, all of the Directors and any associates may invest in the Shares issued by the Company in respect of the Fund. The level of any investment is likely to vary over time.

4. At the date of this Supplement, the Company has seven other funds established and existing, namely:

(a) Citi Global Interest Rates Strategy Index Fund

(b) Citi Global Interest Rates Strategy USD Index Fund

(c) Citi COMET Index Fund

(d) UK Structured Growth Fund

(e) UK Autocall Fund

(f) Citi CUBES Diversified Commodities Fund

(g) Citi 80% Dynamic Allocation Fund

5. As at 8 January 2010, there were 489.35 Shares in issue in the Class I Shares denominated in Euro,

1,444.02 Shares in issue in the Class A Shares denominated in Euro, 63.90 Shares in issue in the Class ID Shares denominated in GBP, 100 Shares in issue in the Class I Shares denominated in JPY and 17,036.01 Shares in issue in the Class I Shares denominated in USD. As at 8 January 2010, the unaudited Net Asset Value per share for the Class I Shares denominated in Euro was EUR 986.03, for the Class A Shares denominated in Euro was EUR 964.57, for the Class ID Shares denominated in GBP was 957.01, for the Class I Shares denominated in JPY was 96,986.12 and for the Class I Shares denominated in USD was USD 977.39 There were no other Shares in issue.

6. As at the date of these Listing Particulars, the Fund has no loan capital (including term loans) outstanding or created but unissued, and no outstanding mortgages, charges or other borrowings or indebtedness in the nature of borrowings, including bank overdrafts and liabilities under acceptances or acceptance credits, hire purchase or finance lease commitments, guarantees or other contingent liabilities.

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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 investing in currency pairs using interest rate differentials as signals and by selling lower yielding currencies and using the proceeds to buy higher yielding currencies;

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:

(i) 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

(ii) 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 = )r)/(1r(1S 21t

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;

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;

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;

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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 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 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 sixteen Emerging Market Currency Pairs, chosen on a monthly basis by the Index Sponsor as further described in Index Condition 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 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;

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;

EC Treaty means the Treaty establishing the European Community (signed in Rome on March 25, 1957), as amended by the Treaty on European Union (signed in Maastricht on February 7, 1992), the Treaty of Amsterdam (signed in Amsterdam on October 2, 1997) and the Treaty of Nice (signed in Nice on February 26, 2001);

Economic Factor Strategy means a rules based notional trading strategy which aims notionally to generate capital appreciation by predicting direction USD crosses from a statistical relationship from logged economic variables;

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

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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 FX Contract means, in respect of each Currency Pair and the applicable Currency Pair Business Day, a cash settled forward fx 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 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 EUR or USD depending on the applicable Currency Pair;

GBP means the lawful currency of the United Kingdom;

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 recognised statistical methods to simulate the properties of such Unfunded Strategy Index Values as more fully described in the Index Conditions;

Index Business Day means a day (other than 24 December or 31 December in any year) that is a Currency Pair Business Day in respect of each Currency Pair in the Index;

Index Conditions means the detailed index conditions of the Index as published on the website on the Index Sponsor;

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 the Index Conditions;

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Interest Rate means an annualised rate, which is charged or paid for the use of money;

JPY means the lawful currency of Japan;

Leverage Factor has the meaning given to such term in the 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;

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 occurrence of 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 Drawdown for such Strategy or Emerging Market Model, as the case may be;

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 RateFixingSpot

BenchFXCitigroup

RateFixingForward

BenchFXCitigroup

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 Reuters Spot Rate at the time of the Citigroup FX bench fixing from the Reuters Forward Rate;

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;

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:

One Month Forward Points =

tt RateFixingSpot

BenchFXCitigroup

RateFixingForward

BenchFXCitigroup

Where:

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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 Reuters Spot Rate at the time of the Citigroup FX bench fixing from the Reuters Forward Rate;

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;

Prospectus means the prospectus for CitiFirst Investments plc dated 16 December 2009;

Review Events means 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.

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.

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;

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

Top-Level Risk Control Event has the meaning given to such term in the 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 in the Index Conditions;

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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 has the meaning given to such term in the Index Conditions;

Unfunded Strategy Index Value has the meaning given to such term in the Index Conditions; and USD or US dollar means the lawful currency of the United States of America.