The C-Tracks have complex features and are not suitable for all investors. We have highlighted below some key risks of the C-Tracks and the Index. They are not all the risks. You should read the section entitled “Risk Factors Relating to the C-Tracks” in the pricing supplement, which is accessible via the link on the right, for a more detailed discussion of risks. Certain terms and concepts referred to below are defined and explained more fully in the pricing supplement.

Risks Relating to the C-Tracks Generally

• You may lose some or all of your investment in the C-Tracks. Unlike conventional debt securities, the C-Tracks do not provide for the repayment of a fixed amount of principal at maturity. Instead, your payment at maturity or earlier redemption will depend on the closing indicative value of the C-Tracks on the applicable valuation date, which in turn will depend on the performance of the Index plus any accrued distribution amount minus any accrued investor fee. You should not invest in the C-Tracks if you are unable or unwilling to the bear the risk of losing a significant portion or all of your investment in the C-Tracks.
• The C-Tracks do not provide for regular, fixed interest payments, and you may not receive any coupon payment on one or more coupon payment dates. Any interest payments you receive will depend on the distributions of the MLPs included in the Index and whether they exceed the accrued investor fee. You will not receive a coupon payment on a coupon payment date if the accrued distributions are less than the accrued investor fee.
• The C-Tracks are not suitable for all investors. The C-Tracks are not a suitable investment for you if: you are not willing to be exposed to the potential for significant daily fluctuations in the level of the Index and value of the C-Tracks; you are not willing to be exposed to the potential for a significant decline in the level of the Index and value of the C-Tracks over time; you are not willing to accept the risk that we may redeem the C-Tracks prior to maturity; you seek regular, fixed interest payments; you seek a guaranteed return of principal; you seek the assurance of a liquid market for the C-Tracks; you seek exposure to the MLP asset class as a whole, rather than the 25 Index constituents; you believe the Index will perform adversely or insufficiently beneficially to offset the impact of the accrued investor fee during the term of the C-Tracks; you prefer the lower risk and more predictable returns of fixed income investments with comparable maturities and credit ratings; or you are unwilling to accept exposure to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.
• The C-Tracks are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. defaults on its obligations under the C-Tracks and Citigroup Inc. defaults on its guarantee obligations, you could lose some or all of your investment. In addition, any decline in Citigroup Global Markets Holdings Inc.’s or Citigroup Inc.’s actual or perceived creditworthiness is likely to adversely affect the value of the C-Tracks.
• Even if the level of the Index on the applicable valuation date is greater than it was at the time of your investment, you may receive less than the amount of your investment because of the accrued investor fee. The accrued investor fee reduces the closing indicative value of the C-Tracks on a daily basis.
• To submit your C-Tracks for redemption at your option, you must make the request with respect to at least 25,000 C-Tracks. If you own fewer than 25,000 C-Tracks, you will not be able to submit them for redemption and will instead have to sell them in the secondary market. There can be no assurance that an active secondary market will exist at any time. If you are able to sell your C-Tracks in a secondary market transaction prior to maturity, we can give you no assurance that the C-Tracks will not trade at a discount from the value an investor would have received upon optional early redemption.
• You will not know the repurchase amount you will receive at the time you elect to request that we repurchase your C-Tracks. The repurchase amount will be determined on the business day after your repurchase notice is effective.
• The C-Tracks are subject to our redemption right. The term of the C-Tracks may be limited by our right to redeem the C-Tracks at our option, in whole and not in part, on any business day beginning on January 1, 2017.
• The intraday indicative value and the closing indicative value are not the same as the closing price or any other trading price of the C-Tracks in the secondary market. The trading price of the C-Tracks at any time is the price at which you may be able to sell your C-Tracks in the secondary market at such time, if one exists. The trading price of the C-Tracks at any time may vary significantly from the intraday indicative value of the C-Tracks at such time. Paying a premium purchase price over the intraday indicative value of the C-Tracks could lead to significant losses in the event the investor sells such C-Tracks at a time when such premium is no longer present in the marketplace or such C-Tracks are redeemed (including at our option).
• The market value of the C-Tracks may be influenced by many unpredictable factors. The market value of the C-Tracks may fluctuate significantly between the date you purchase them and the applicable valuation date.
• There may not be an active trading market in the C-Tracks; sales in the secondary market may result in significant losses. Although the C-Tracks have been listed on NYSE Arca, no assurance can be given that a secondary market will exist or that it will provide significant liquidity. If there is insufficient liquidity in the secondary market, the price at which you would be able to sell your C-Tracks would likely be lower than if an active market existed. The liquidity of the market for the C-Tracks may vary materially over time.
• We may stop issuing or selling C-Tracks at any time, which may cause distortions to arise in the market for the C-Tracks. These distortions could lead to the market price of the C-Tracks differing, perhaps significantly, from the intraday indicative value and closing indicative value of the C-Tracks.  If this circumstance occurs, the C-Tracks could become highly volatile and subject to rapid and significant decreases in price, independently of the performance of the Index, resulting in significant losses for any investors that had paid a premium for the C-Tracks over the intraday indicative value.
• The concurrent trading of the Parent C-Tracks could adversely affect liquidity and demand for the C-Tracks.  Prior to the offering of the C-Tracks, Citigroup Inc., the parent company of Citigroup Global Markets Holdings Inc. and the guarantor of the C-Tracks, issued a series of exchange-traded notes titled the C-Tracks Exchange-Traded Notes Based on the Performance of the Miller/Howard MLP Fundamental Index Due September 28, 2023.  We refer to these notes as the “Parent C-Tracks”.  The C-Tracks issued by Citigroup Global Markets Holdings Inc. track the same Index as the Parent C-Tracks, have similar terms and are designed to provide similar economic exposure as the Parent C-Tracks.  However, the C-Tracks issued by Citigroup Global Markets Holdings Inc. are not fungible with the Parent C-Tracks.  Investors in the C-Tracks issued by Citigroup Global Markets Holdings Inc. should understand that the trading of the Parent C-Tracks at the same time as the trading of the C-Tracks issued by Citigroup Global Markets Holdings Inc. may have the effect of dividing liquidity and demand between the two instruments, thereby decreasing the liquidity and demand for the C-Tracks issued by Citigroup Global Markets Holdings Inc. that otherwise would have existed if only these C-Tracks were traded.  Because the aggregate outstanding stated principal amount of Parent C-Tracks is initially significantly greater than the aggregate outstanding stated principal amount of the C-Tracks issued by Citigroup Global Markets Holdings Inc., liquidity in the market may be concentrated in the Parent C-Tracks, at least initially.  There can be no assurance that this liquidity will move to the C-Tracks issued by Citigroup Global Markets Holdings Inc.  The decreased liquidity and demand for the C-Tracks resulting from the concurrent trading of the Parent C-Tracks could cause the trading price of the C-Tracks to diverge from the closing or intraday indicative value and to be less than it would be in the absence of the Parent C-Tracks.
• Our offering of the C-Tracks does not constitute a recommendation of the Index, its constituents or MLPs generally. Our offering of the C-Tracks does not mean that we believe that investing in an instrument linked to the Index is likely to achieve favorable returns. In fact, as we are part of a global financial institution, our affiliates may have positions (including short positions) in or related to the Index constituents, and may publish research or express opinions, that in each case are inconsistent with an investment linked to the Index. These and other activities of our affiliates may affect the prices of the Index constituents in a way that negatively affects the value of the C-Tracks.
• The level of the Index may be affected by our or our affiliates’ hedging and other trading activities. We hedge our obligations under the C-Tracks through our affiliates, who take positions in the Index constituents and/or other financial instruments related to those constituents. Our affiliates also trade the Index constituents and other financial instruments related to the Index constituents as part of their regular business activities. These activities could adversely affect the prices of the Index constituents and the value of the C-Tracks.
• We and our affiliates may have economic interests that are adverse to those of the holders of the C-Tracks as a result of our affiliates’ business activities. Our affiliates may from time to time engage in business with the Index constituents. In the course of this business, we or our affiliates may acquire non-public information about the Index constituents, which we will not disclose to you. Moreover, if any of our affiliates is or becomes a creditor of an Index constituent, they may exercise any remedies against the Index constituent that are available to them without regard to your interests.
• There are potential conflicts of interest between you and the C-Tracks calculation agent. As calculation agent for the C-Tracks, Citigroup Global Markets Inc. will, among other things, decide the amount to be paid to you on the C-Tracks on any coupon payment date, at maturity or upon redemption. If the Index sponsor or Index calculation agent were to discontinue or suspend calculation or publication of the Index, or if the level of the Index is not available or cannot be calculated because of a market disruption event, or for any other reason, the C-Tracks calculation agent may be required to make a good faith estimate in its sole discretion of the level of the Index. In addition, the C-Tracks calculation agent may have to determine whether to postpone a valuation date as a result of a market disruption event. Since these determinations by the C-Tracks calculation agent may affect the market value of the C-Tracks, the C-Tracks calculation agent may have a conflict of interest if it needs to make any such decision.
• At maturity or upon earlier redemption at our option, you may receive less cash than expected because the closing level of the Index may fluctuate or decline after the start of the final valuation period or issuer redemption valuation period, as applicable, but before we settle our obligations.
• Your payment at maturity or upon earlier redemption at our option is based upon a declining exposure to the Index over a number of observation days.
• The level of the Index and the interest payments on the C-Tracks could be significantly reduced if the current tax or other regulatory treatment of MLPs changes.  If the tax treatment of MLPs changes in an adverse manner, or if other regulatory authorities enact regulations which negatively affect MLPs’ ability to generate or distribute income, cash flow and after-tax distributions paid to holders of MLP common units could be significantly reduced. Any reduction in distributions made by the Index constituents will reduce the quarterly interest payments on the C-Tracks. In addition, reductions in cash flow or payments made to holders of MLP common units likely would result in a significant reduction in the value of the Index constituents. Any reduction in the value of the Index constituents will reduce the value of the Index and, accordingly, the value of the C-Tracks.
• The U.S. federal tax consequences of an investment in the C-Tracks are unclear. There is no direct legal authority regarding the proper U.S. federal tax treatment of the C-Tracks, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”).  Consequently, significant aspects of the tax treatment of the C-Tracks are uncertain, and the IRS or a court might not agree with the treatment described herein.  If the IRS were successful in asserting an alternative treatment for the C-Tracks, the tax consequences of ownership and disposition of the C-Tracks might be materially and adversely affected.

  Even if the treatment of the C-Tracks as prepaid forward contracts is respected, the C-Tracks may be treated as “constructive ownership transactions” within the meaning of Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”).  In that case, some or all of the long-term capital gain that you would otherwise recognize upon sale, exchange or retirement of the C-Tracks may be treated as ordinary income and a notional interest charge would apply to any such recharacterized gain, as described below under “United States Federal Tax Considerations.” In addition, in 2007 the U.S. Treasury Department (“Treasury”) and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments, which may include the C-Tracks.  Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the C-Tracks, possibly with retroactive effect.

  You should review carefully the section of the pricing supplement entitled “United States Federal Tax Considerations.”  You should also consult your tax adviser regarding the U.S. federal tax consequences of an investment in the C-Tracks (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

• Non-U.S. Holders will generally be subject to withholding tax in respect of the C-Tracks. Section 871(m) of the Code requires withholding in respect of “dividend equivalents” paid or deemed paid to non-U.S. persons with respect to certain financial instruments.  Regulations applying these rules to “equity linked instruments,” which we expect will include the C-Tracks, are effective for instruments issued beginning in 2017.  However, the amount and timing of required withholding on instruments linked to interests in partnerships are unclear. Moreover, a different withholding regime applicable to "fixed or determinable annual or periodical" income ("FDAP Income") may apply to coupon payments on the C-Tracks.  The interaction between this regime and Section 871(m) are not clear, and therefore the proper amount of withholding tax applicable to the C-Tracks is not certain.

For C-Tracks issued or treated as issued after January 1, 2017, we generally intend to treat each coupon payment on the C-Tracks as the payment of a dividend equivalent under Section 871(m) that is subject to withholding at a rate of up to 30%.  However, because of the uncertainty described above, the IRS or other withholding agents may take the position that additional tax applies to payments on the C-Tracks.  Even if your C-Track was issued before 2017 and therefore "grandfathered" with respect to Section 871(m) withholding, withholding agents may not distinguish between C-Tracks issued prior to 2017 and those issued thereafter, and as a result your C-Tracks may be treated as subject to withholding under Section 871(m).  Moreover, the withholding regime applicable to FDAP Income would potentially apply in that case, and as a result coupon payments received by a Non-U.S. Holder would likely be subject to withholding at rates of up to 30%. Finally, alternative treatments of the C-Tracks could potentially subject a Non-U.S. Holder to different amounts of withholding or income taxes.  As a result, the consequences of holding C-Tracks to a Non-U.S. Holder are unclear and could be adverse.

We will not be required to pay any additional amounts in respect of any withholding taxes.  You should consult your tax adviser about the possible application of withholding tax to the C-Tracks in your circumstances.

Risk Factors Relating to the Index

• The Index methodology may not be effective in predicting the future performance of the MLPs it selects. In fact, the efficient market hypothesis is a well-known theory in academic financial literature that states it is impossible to choose investments that outperform the market, because the market is efficient and current asset prices reflect all available relevant information. If true, the efficient market hypothesis implies that the fundamental factors used by the Index methodology should not be accurate predictors of an MLP’s future performance and that the Index may perform no better than a random allocation among all eligible MLPs.
• The measures of the fundamental factors used to select the Index constituents may not be the most accurate measures of those factors as predictive tools. The particular measures of distribution growth, estimated capital expenditures and distribution coverage used by the Index may not be the most accurate measures of those factors as predictive tools. For example, each of these factors is measured over a period of one year. A longer or shorter observation period may have been a more accurate measure of the relevant factors and may have improved its analytical value in the selection process. It may also be the case that historical, rather than estimated, capital expenditures or net income, rather than EBITDA, would have been better measures to use in the determination of the relevant fundamental factors. These are just a few examples of alternative methods for measuring the fundamental factors used to select the Index constituents that may have been better predictors of the future performance of MLPs.
• The Index methodology may not effectively apply the fundamental factors used to select the Index constituents. Because other filters are applied to the potential Index constituents during the Index constituent selection process, the effectiveness of applying the fundamental factors as selection criteria may be diminished. For example, the methodology may exclude certain MLPs based on their market capitalization that would have otherwise been included in the Index based on their distribution growth, estimated capital expenditures or distribution coverage. There may also be MLPs that would have been selected according to the relevant fundamental factors, but nevertheless may be excluded because they are not midstream MLPs. The order in which the fundamental factors are applied to the large-cap and mid- and small-cap groups of MLPs may also cause certain MLPs to be excluded from the Index that would have otherwise performed well.
• There may be significant daily fluctuations in the level of the Index, which will affect the value of the C-Tracks. The historical hypothetical back-tested performance of the Index has been highly volatile. It is likely that the actual performance of the Index will be highly volatile in the future, with the potential for significant fluctuations in the daily performance of the Index.
• Hypothetical back-tested and historical levels of the Index are limited and should not be taken as an indication of the future performance of the Index during the term of the C-Tracks. The actual performance of the Index over the term of the C-Tracks may bear little relation to the hypothetical back-tested and historical levels of the Index. Moreover, because the Index began publishing on September 16, 2013, there is limited historical information for you to consider in making an independent investigation of the Index.
• The Index does not measure the performance of MLPs as an asset class. The Index is designed to measure the performance of 25 energy MLPs selected by a methodology that is based upon quantitative fundamental factors of publicly traded MLPs. It is not designed to measure the performance of MLPs as an asset class, and as such, may underperform the MLP asset class as a whole.
• The Index may be subject to risks associated with small capitalization MLPs. Because the Index is designed to allocate 25% of its weight to mid- or small-cap MLPs, those MLPs may have a greater weight in the Index than they would in a market capitalization-weighted index, and may be riskier than the MLPs included in such an index or in the MLP asset class as a whole. The prices of small capitalization MLPs may be more volatile than the prices of large capitalization MLPs because these MLPs tend to be less well-established than large capitalization MLPs.
• The Index may be subject to concentration risks associated with midstream MLPs. Because the Index methodology generally provides that at least 70%, and potentially 100%, of the Index will be composed of midstream MLPs, you will be exposed to concentration risks associated with midstream MLPs.
• The Index constituents are concentrated in the energy industry. The Index is designed to include MLPs engaged in the exploration, production, transportation, storage or processing of crude oil, natural gas or their derivative products. Accordingly, the C-Tracks will be adversely affected by events and circumstances that adversely affect the energy industry. MLPs in the energy sector are significantly affected by a number of factors including: worldwide and domestic supplies of, and demand for, crude oil, natural gas, natural gas liquids, hydrocarbon products and refined products; changes in tax or other laws affecting MLPs generally; regulatory changes affecting pipeline fees and other regulatory fees in the energy sector; changes in the relative prices of competing energy products; the impact of environmental, health and safety laws and regulations and technological changes affecting the cost of producing and processing, and the demand for, energy products; decreased supply of hydrocarbon products available to be processed due to fewer discoveries of new hydrocarbon reserves, short- or long-term supply disruptions or otherwise; risks of regulatory actions and/or litigation, including as a result of leaks, explosions or other accidents relating to energy products; uncertainty or instability resulting from an escalation or additional outbreak of armed hostilities or further acts of terrorism in the United States, or elsewhere; and general economic and geopolitical conditions in the United States and worldwide.
• The Index calculation agent may, in its sole discretion, discontinue the public disclosure of the intraday levels of the Index and the closing level of the Index. In that event, we may not be able to maintain the listing of the C-Tracks on the relevant securities exchange, which could materially and adversely affect the liquidity of the market for the C-Tracks and result in significant losses if you sell your C-Tracks in the secondary market.
• The Index sponsor and Index calculation agent may exercise their judgment in the calculation of the Index and they may adjust the Index in a way that negatively affects the level of the Index, and neither has any obligation to consider your interests.
• You have no ownership interest in any of the MLPs included in the Index or rights to receive any distributions on, or shares of, the Index constituents.
• You will have no rights against any MLP included in the Index or the entities that calculate the Index.

We have highlighted below some key terms of the C-Tracks and the Index. They are not all the key terms. You should read the section entitled “Description of the C-Tracks” in the pricing supplement, which is accessible via the above link, for a more detailed description of the C-Tracks.

Issuer: Citigroup Global Markets Holdings Inc., a wholly owned subsidiary of Citigroup Inc.

Guarantor: All payments on the C-Tracks are fully and unconditionally guaranteed by Citigroup Inc.

Maturity Date: July 13, 2026, unless earlier redeemed

Closing Indicative Value: For any calendar day, (i) the C-Tracks current value on that day, plus (ii) the accrued distribution amount on that day, minus (iii) the accrued investor fee on that day. The closing indicative value is not the closing price or any other trading price of the C-Tracks in the secondary market, and the trading price of the C-Tracks at any time may vary significantly from this value.

C-Tracks Current Value: Set to $25.00 on the inception date.

• For each calendar day thereafter prior to the final valuation period or the issuer redemption valuation period, as the case may be, the C-Tracks current value on the immediately preceding calendar day multiplied by the daily return factor on the current calendar day; and
• For each calendar day during the final valuation period or issuer redemption valuation period, as applicable, the sum of (a) the index exposure and (b) the notional cash amount.

  Accrued Distribution Amount: Set to $0.00 on the inception date. For each calendar day thereafter,

• prior to the final valuation period or the issuer redemption valuation period, (i) the accrued distribution amount on the immediately preceding calendar day, plus (ii) the index distribution divided by the index factor, each as of the current calendar day, minus (iii) the coupon distribution adjustment amount as of the current calendar day; and
• during the final valuation period or the issuer redemption valuation period, as applicable, (i) the accrued distribution amount on the immediately preceding calendar day, plus (ii)(a) the index distribution multiplied by a fraction equal to the index exposure divided by the C-Tracks current value, each as of the immediately preceding calendar day divided by (b) the index factor as of the current calendar day, minus (iii) the coupon distribution adjustment amount as of the current calendar day.

Payment at Maturity: Unless earlier redeemed, for each $25.00 stated principal amount C-Track you then hold, you will receive a cash payment at maturity equal to the closing indicative value of the C-Tracks on the final valuation period end date. The closing indicative value on the final valuation period end date will be adjusted down by any final coupon amount otherwise due at maturity.

Coupon Amounts: The coupon amount will equal the accrued distribution amount, which is based on the ordinary cash distributions that a hypothetical holder of Index constituents would have been entitled to receive in respect of the Index constituents during the relevant period, reduced by the accrued investor fee.

Coupon Determination Dates: Calculation of coupon amounts will occur on the 4th day of each January, April, July and October, beginning October 4, 2016 and ending on the final valuation period end date or issuer redemption period end date, as applicable, subject to postponement for non-business days and, in the case of the coupon determination date that is on the final valuation period end date or issuer redemption period end date, as applicable, non-observation days.

Coupon Payment Dates: For any coupon determination date, the fifth business day after such date, except that the coupon payment date for the final valuation period end date or the issuer redemption valuation period end date, as applicable, will be the maturity date or the redemption date, as applicable.

Coupon Record Dates: Each coupon payment will be made to the holders of record of the C-Tracks as of the business day immediately prior to the coupon payment date, except that any final coupon payment for the maturity date or, in the event of a redemption at our option, the redemption date, will be payable to persons who receive the payment of the closing indicative value at maturity or early redemption at our option, as applicable.

Coupon Ex-Dates: For any coupon record date other than the final valuation period end date or issuer redemption period end date, as applicable, the second scheduled trading day immediately preceding that coupon record date.

Coupon Distribution Adjustment Amount: For any calendar day that is not a coupon ex-date: $0.00. For any calendar day that is a coupon ex-date: the accrued distribution amount as of the close of the immediately preceding coupon determination date.

Coupon Fee Adjustment Amount: For any calendar day that is not a coupon ex-date: $0.00. For any calendar day that is a coupon ex-date: (i) if the coupon amount as calculated on the most recent coupon determination date is greater than zero, the accrued investor fee as of the immediately preceding coupon determination date and (ii) if the coupon amount in respect of such coupon ex-date is zero, the coupon distribution adjustment amount as of that coupon ex-date.

Accrued Investor Fee: Set to $0.00 on the inception date. For each calendar day thereafter, (i) the accrued investor fee on the immediately preceding calendar day, plus (ii)(a) 0.85% multiplied by (b) the closing indicative value on the immediately preceding calendar day divided by 365, minus (iii) the coupon fee adjustment amount on the current calendar day. If the C-Tracks undergo any subsequent split or reverse split, the accrued investor fee will be adjusted accordingly. Because the accrued investor fee reduces the amount of your return at maturity or upon redemption, and in addition the redemption charge reduces the amount of your return upon early redemption at your option, the level of the Index will need to increase significantly in order for you to receive at least the amount of your initial investment at maturity or upon redemption. If the increase in the level of the Index is insufficient to offset the negative effect of the accrued investor fee (and, in the case of early redemption at your option, the redemption charge), or if the level of the Index decreases, you will receive less than your initial investment at maturity or upon redemption.

Daily Return Factor: For any calendar day, the closing level of the Index on that day, divided by the closing level of the Index on the immediately preceding calendar day. The closing level of the Index on any day that is not a trading day will be deemed to be the same as on the immediately preceding trading day and, during the final valuation period or issuer redemption valuation period, as applicable, the closing level of the Index on any trading day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

Early Redemption at Your Option: Subject to the notification and minimum redemption requirements set forth herein, you may submit your C-Tracks for redemption on any redemption date during the term of the C-Tracks. If you submit your C-Tracks for redemption, you will receive a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the valuation date following the business day on which we receive an investor’s notice of redemption by 4:00 pm, New York City time, minus the redemption charge of 0.10%. You must submit for redemption at least 50,000 C-Tracks at one time to exercise your redemption right on any holder redemption date.

Early Redemption at Our Option: Beginning January 1, 2017, we may call the C-Tracks for redemption, in whole and not in part on any redemption date during the term of the C-Tracks. If we redeem the C-Tracks, you will receive on the applicable redemption date a cash payment per C-Track equal to the closing indicative value of the C-Tracks on the issuer redemption valuation period end date. The closing indicative value on the issuer redemption valuation period end date will be adjusted down by any final coupon amount otherwise due on the applicable redemption date.

Redemption Charge: 0.10%, multiplied by the closing indicative value on the applicable valuation date.

Index Exposure: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the product of (i) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day and (ii) a fraction equal to (a) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, excluding the current observation day divided by (b) the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The index exposure on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

Notional Cash Amount: For each observation day during the final valuation period or the issuer redemption valuation period, as applicable, the sum of (i) the notional cash amount on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, $0.00) and (ii) the index exposure on the immediately preceding observation day (or, in the case of the final valuation period start date or issuer redemption valuation period start date, as applicable, the C-Tracks current value on the immediately preceding observation day) multiplied by the daily return factor on the current observation day divided by the number of scheduled observation days left in the final valuation period or issuer redemption valuation period, as applicable, including the current observation day. The notional cash amount on any day that is not an observation day will be deemed to be the same as on the immediately preceding observation day.

Index Distribution: For each calendar day, the sum of the products of (i) the value of ordinary cash distributions of each of the Index constituents, net of any dividend withholding tax, that a hypothetical holder of one unit of each Index constituent on such calendar day would have been entitled to receive in respect of that Index constituent for those ordinary cash distributions whose “ex-dividend” date occurs on such calendar day and (ii) the number of units represented by each Index constituent’s applicable weight in the Index. Any special distributions of an Index constituent will not be included in the index distribution and will instead be reinvested in that Index constituent.

Index Factor: Initially equal to the closing level of the Index on the inception date divided by $25.00, which we refer to as the “initial index factor.” The index factor will be reset on each coupon determination date and will equal the greater of (i) the initial index factor and (ii) the closing level of the Index divided by the closing indicative value, each calculated as of that coupon determination date. If the C-Tracks undergo any subsequent split or reverse split, the index factor will be adjusted accordingly.

Final Valuation Period: The consecutive observation day period commencing on, and including, the final valuation period start date (July 1, 2026) and ending on, and including, the final valuation period end date (July 6, 2026).

Issuer Redemption Valuation Period: The consecutive observation day period commencing on, and including, the issuer redemption valuation period start date and ending on, and including, the issuer redemption valuation period end date, as specified in the issuer redemption notice.