# EDGAR Filing Document

**Accession Number:** 0000200245
**File Stem:** 0000950103-23-004585
**Filing Date:** 2023-3
**Character Count:** 190137
**Document Hash:** 2b9f0b4c4dc427a007cc438dddb9db8e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000950103-23-004585.hdr.sgml**: 20230323

**ACCESSION NUMBER**: 0000950103-23-004585

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 1

**FILED AS OF DATE**: 20230323

**DATE AS OF CHANGE**: 20230323

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CITIGROUP INC
- **CENTRAL INDEX KEY:** 0000831001
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **IRS NUMBER:** 521568099
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-270327
- **FILM NUMBER:** 23755586

**BUSINESS ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013
- **BUSINESS PHONE:** 2125591000

**MAIL ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS GROUP INC
- **DATE OF NAME CHANGE:** 19950519

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS INC
- **DATE OF NAME CHANGE:** 19940103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRIMERICA CORP /NEW/
- **DATE OF NAME CHANGE:** 19920703
**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Citigroup Global Markets Holdings Inc.
- **CENTRAL INDEX KEY:** 0000200245
- **STANDARD INDUSTRIAL CLASSIFICATION:** SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
- **IRS NUMBER:** 112418067
- **STATE OF INCORPORATION:** NY
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-270327-01
- **FILM NUMBER:** 23755587

**BUSINESS ADDRESS:**
- **STREET 1:** 388 GREENWICH ST
- **STREET 2:** 38TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013
- **BUSINESS PHONE:** 2128166000

**MAIL ADDRESS:**
- **STREET 1:** 388 GREENWICH ST
- **STREET 2:** 38TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CITIGROUP GLOBAL MARKETS HOLDINGS INC
- **DATE OF NAME CHANGE:** 20030404

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SALOMON SMITH BARNEY HOLDINGS INC
- **DATE OF NAME CHANGE:** 19971128

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SALOMON INC
- **DATE OF NAME CHANGE:** 19920703

Filed pursuant to Rule 424(b)(2)<br> Registration Nos. 333-270327 and 333-270327-01

PRODUCT SUPPLEMENT NO. EA-09-02

(To Prospectus Supplement dated March 7, 2023 and Prospectus dated March 7, 2023)

**Citigroup Global Markets Holdings Inc.**

**Medium-Term Notes, Series N**

***Fully and Unconditionally Guaranteed by Citigroup Inc.***

**Notes Linked To One Or More Indices, Exchange-Traded Funds or Equity Securities** 

Citigroup Global Markets Holdings Inc. may, from time to time, offer and sell notes linked to one or more equity indices (each, an "<u>Index</u>" and collectively, the "<u>Indices</u>"), exchange-traded funds (each, a "<u>Fund</u>" and collectively, the "<u>Funds</u>") or common equity securities or American depositary shares ("<u>ADSs</u>") of a company not affiliated with us (each, an "<u>Underlying Stock</u>" and collectively, the "<u>Underlying Stocks</u>"), or any combination thereof. The Indices, Funds and Underlying Stocks are sometimes referred to herein collectively as the "<u>Market Measures</u>" and individually as a "<u>Market Measure</u>." The notes provide for the repayment of principal at maturity regardless of the performance of the relevant Market Measure(s) (subject to issuer credit risk), as well as the potential for a positive return based on the performance of the relevant Market Measure(s). We refer to all notes offered under this product supplement as the "<u>notes</u>."

The notes are unsecured senior debt securities of Citigroup Global Markets Holdings Inc., and the guarantee of the notes is an unsecured obligation of Citigroup Inc. Accordingly, any payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you may not receive any payments that may be owed to you under the notes.

This document, which we refer to as a "<u>product supplement</u>," describes some of the general terms that apply to the notes. This product supplement supplements the disclosure in any pricing supplement that may reference it, the accompanying prospectus supplement and prospectus. A separate pricing supplement will describe terms that apply to specific issuances of the notes and may include changes to the terms specified in this product supplement. A separate underlying supplement or the relevant pricing supplement will describe any Market Measure(s) to which the notes are linked. If the disclosure in the relevant pricing supplement is inconsistent with the disclosure in this product supplement, any accompanying underlying supplement, the prospectus supplement or the prospectus, the disclosure in the relevant pricing supplement will control.

You should carefully review the specific terms of the notes described in the applicable pricing supplement together with the information contained in this product supplement, any applicable underlying supplement and the accompanying prospectus supplement and prospectus before investing in the notes.

The notes will not be listed on any securities exchange or automated quotation system.

**The notes have complex features and investing in the notes involves risks not associated with an investment in conventional debt securities. See "Risk Factors" beginning on page 5 of this product supplement. In addition, see the applicable pricing supplement, which will describe more specifically the risks relating to the particular issuance of notes.**

**The notes are the unsecured obligations of Citigroup Global Markets Holdings Inc., and, accordingly, all payments are subject to credit risk. If Citigroup Global Markets Holdings Inc., as issuer, and Citigroup Inc., as guarantor, default on their obligations, you could lose some or all of your investment. The notes are not savings accounts, deposits or other obligations of a depository institution and are not insured by the Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other governmental agency.** 

**Neither the Securities and Exchange Commission nor any state securities commission or other regulatory body has approved or disapproved of these notes or passed upon the accuracy or adequacy of this product supplement or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.**

---

| | |
|:---|:---|
| **Citigroup** | **Wells Fargo Securities** |

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The date of this product supplement is March 23, 2023.

**TABLE OF CONTENTS** 

**Page**

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| | |
|:---|:---|
| [About This Product Supplement](#about) | [2](#about) |
| [Summary](#summary) | [3](#summary) |
| [Risk Factors](#riskfactors) | [5](#riskfactors) |
| [General Terms of the Notes](#general) | [13](#general) |
| [Plan of Distribution; Conflicts of Interest](#plan) | [27](#plan) |
| [Benefit Plan Investor Considerations](#benefit) | [29](#benefit) |
| [United States Federal Tax Considerations](#united) | [31](#united) |

---

**About This Product Supplement**

You should read this product supplement, together with the accompanying prospectus supplement and the prospectus, any applicable underlying supplement, the applicable pricing supplement and/or other supplement, which together contain a description of the terms of the notes to be offered, and which supersede all prior or contemporaneous oral statements as well as any other written materials.

You should carefully consider, among other things, the matters set forth under "Risk Factors" in this product supplement and the applicable pricing supplement, as the notes have complex features and involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

Defined terms used in this product supplement and not otherwise defined herein shall have the meanings ascribed to them in the accompanying prospectus supplement and prospectus.

You may find the prospectus supplement and prospectus each dated March 7, 2023 here:

[https://www.sec.gov/Archives/edgar/data/831001/000119312523063080/d470905d424b2.htm](https://www.sec.gov/Archives/edgar/data/831001/000119312523063080/d470905d424b2.htm)

When we refer to "<u>we</u>," "<u>us</u>" or "<u>our</u>" in this product supplement, we refer only to Citigroup Global Markets Holdings Inc. and not to any of its affiliates, including Citigroup Inc. All references to "<u>Citigroup Inc.</u>" or "<u>Guarantor</u>" in this product supplement, are only to Citigroup Inc., and not Citigroup Inc. together with any of its subsidiaries, unless the context indicates otherwise.

**Summary**

Below is a summary of some of the key terms used throughout this product supplement. The applicable pricing supplement may use another term to describe the same feature, some of which are identified below.

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| | |
|:---|:---|
| General: | The notes are senior unsecured debt securities issued by Citigroup Global Markets Holdings Inc. under the senior debt indenture described in the accompanying prospectus supplement and prospectus. Any payments due on the notes are fully and unconditionally guaranteed by Citigroup Inc. The notes will constitute part of the senior debt of Citigroup Global Markets Holdings Inc. and will rank equally with all other unsecured and unsubordinated debt of Citigroup Global Markets Holdings Inc. The guarantee of payments due on the notes will constitute part of the senior debt of Citigroup Inc. and will rank equally with all other unsecured and unsubordinated debt of Citigroup Inc. **Accordingly, any payments on the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. If Citigroup Global Markets Holdings Inc. and Citigroup Inc. default on their obligations, you may not receive any payments that may be owed to you under the notes.** |
| Maturity Payment Amount: | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The notes provide for a maturity payment amount that may be greater than or equal to the stated principal amount of the notes, depending on the performance of one or more:<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· equity indices (each, an "<u>Index</u>" and collectively, the "<u>Indices</u>");<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· exchange-traded funds (each, a "<u>Fund</u>" and collectively, the "<u>Funds</u>");<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· common equity securities or American depositary shares of a company not affiliated with us (each, an "<u>Underlying Stock</u>" and collectively, the "<u>Underlying Stocks</u>"); or<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any combination of the foregoing,<br>as specified in the applicable pricing supplement. **Accordingly, although the notes provide for the repayment of principal at maturity, you may not receive any positive return on the notes.** <br>In this product supplement, we sometimes refer to the Indices, Funds and Underlying Stocks to which your notes may be linked collectively as the "<u>Market Measures</u>" and individually as a "<u>Market Measure</u>." The index underlying a Fund is sometimes referred to as a "<u>fund underlying index</u>." We refer to the issuer of an Underlying Stock as an "<u>Underlying Stock Issuer</u>."<br>The applicable pricing supplement may also refer to a Market Measure as an "<u>Underlier</u>" or an "<u>Underlying</u>." In the case of notes linked to an Underlying Stock, references in the applicable pricing supplement to the "Underlying" will mean the applicable Underlying Stock Issuer. In addition, if the notes are linked to a weighted basket composed of two or more Market Measures, the applicable pricing supplement may refer to each Market Measure as a "<u>basket component</u>." The notes may also be linked to the worst performing or best performing of two or more Market Measures, as described in the accompanying pricing supplement.<br>You should carefully read the applicable pricing supplement to understand the circumstances in which the performance of the relevant Market Measure(s) will cause you to not receive any positive return on your investment.<br>|
| Coupon: | The notes will not pay a coupon unless the applicable pricing supplement specifically provides otherwise. If the applicable pricing supplement provides for the payment of a coupon, the coupon rate and the coupon payment date(s) will be specified in the applicable pricing supplement. |
| Stated Principal Amount and Original Offering Price: | The stated principal amount of each note and the original offering price of each note will be specified in the applicable pricing supplement. |
| Pricing Date: | We refer to the date on which a particular issuance of notes is priced for initial sale to the public as the "<u>pricing date</u>." The applicable pricing supplement may also refer to the pricing date as the "<u>trade date</u>." |

---

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| | |
|:---|:---|
| Calculation Day(s): | We refer to each date on which the value of any Market Measure is to be referenced in the determination of any payment on the notes as a "<u>calculation day</u>." If there is a single calculation day for the notes, references to the "<u>final calculation day</u>" herein mean such calculation day.<br>The applicable pricing supplement may also refer to a calculation day as a "<u>valuation date</u>," an "<u>observation date</u>," a "<u>determination date</u>" or such other term as specified in the applicable pricing supplement. The calculation day(s) will be specified in the applicable pricing supplement and will be subject to postponement due to non-trading days and market disruption events. See "General Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a Calculation Day."<br>|
| Payment Date(s): | The relevant pricing supplement will specify the stated maturity date and any other date on which amounts will or may be payable on the notes (each referred to as a "<u>payment date</u>"). Each payment date is subject to postponement as described under "General Terms of the Notes—Payment Dates." |
| Closing Value: | When we refer to the "<u>closing value</u>" of a Market Measure herein we mean, on any date of determination, (i) with respect to an Index, its closing level (as defined herein) on that day; (ii) with respect to a Fund, its fund closing price (as defined herein) on that day; and (iii) with respect to an Underlying Stock, its stock closing price (as defined herein) on that day. In the case of notes linked to an Underlying Stock, references in the applicable pricing supplement to the closing value of the Underlying will mean the closing value of the applicable Underlying Stock. |
| Calculation Agent: | Unless otherwise specified in the applicable pricing supplement, the "<u>calculation agent</u>" for each issuance of notes will be our affiliate, Citigroup Global Markets Inc. ("<u>CGMI</u>"), or any successor appointed by us. The calculation agent will make the determinations specified in this product supplement or in the applicable pricing supplement. All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. The calculation agent is obligated to carry out its duties and functions in good faith and using its reasonable judgment. |
| Trustee: | The Bank of New York Mellon will serve as "<u>trustee</u>" for the notes. |
| No Listing: | The notes will not be listed on any securities exchange or automated quotation system. |
| Material Tax Consequences: | For a discussion of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the notes, see "United States Federal Tax Considerations." |

---

**Risk Factors**

An investment in the notes is significantly riskier than an investment in conventional debt securities. The notes are subject to all of the risks associated with an investment in our conventional debt securities (guaranteed by Citigroup Inc.), including the risk that we and Citigroup Inc. may default on our obligations under the notes, and are also subject to risks associated with the relevant Market Measure(s) because any payment you may receive on the notes will depend on the performance of the relevant Market Measure(s).

The risk factors below describe certain significant risks associated with an investment in the notes. You should read these risk factors together with the risk factors included in the applicable pricing supplement, which will describe more specifically those risks associated with the terms of the particular issuance of notes. You should also read these risk factors together with the risk factors included in the accompanying prospectus supplement and in the documents incorporated by reference into the accompanying prospectus, including Citigroup Inc.'s most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q, which describe risks relating to the business of Citigroup Inc. more generally.

**<u>General Risk Factors Relating To All Notes</u>**

**You May Not Receive Any Positive Return On The Notes.**

The notes provide for a maturity payment amount that may be greater than or equal to the stated principal amount of the notes, depending on the performance of the relevant Market Measure(s) and other terms of the notes, as described in the applicable pricing supplement. If the relevant Market Measure(s) do not perform favorably, you may not receive any positive return on your investment in the notes. Although the notes provide for the repayment of the stated principal amount at maturity regardless of the performance of the relevant Market Measure(s), you may nevertheless suffer a loss on your investment in the notes, in real value terms, if you do not receive a positive return on the notes. This is because inflation may cause the real value of the stated principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents a forgone opportunity to invest in an alternative asset that does generate a positive return. The potential loss in real value terms will be greater the longer the term of the notes.

Even if you do receive a positive return on your investment in the notes, there can be no assurance that your total return at maturity on the notes will compensate you for the effects of inflation and your yield on the notes may be less than the yield you would earn if you bought a traditional interest-bearing debt security of Citigroup Global Markets Holdings Inc. or another issuer with a similar credit rating with the same stated maturity date. You should carefully consider whether an investment that may not provide for any positive return, or may provide a return that is lower than the return on conventional debt securities, is appropriate for you.

**The Notes Are Subject To The Credit Risk Of Citigroup Global Markets Holdings Inc. And Citigroup Inc., The Guarantor Of Any Payments Due On The Notes.**

You are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc. The notes are not guaranteed by any entity other than Citigroup Inc. Any actual or anticipated changes to Citigroup Global Markets Holdings Inc.'s or Citigroup Inc.'s credit ratings or credit spreads may adversely affect the value of the notes. If Citigroup Global Markets Holdings Inc. defaults on its obligations and Citigroup Inc. defaults on its guarantee obligations under the notes, your investment will be at risk and you could lose some or all of your investment. As a result, the value of the notes prior to maturity will be affected by changes in the market's view of Citigroup Global Markets Holdings Inc.'s and Citigroup Inc.'s creditworthiness. Any decline, or anticipated decline, in either of their credit ratings or increase, or anticipated increase, in the credit spreads charged by the market for taking either of their credit risk is likely to adversely affect the value of the notes.

**The Value Of Your Notes Prior To Maturity Will Fluctuate Based On Many Unpredictable Factors.**

The value of your notes prior to maturity will fluctuate based on the value of the Market Measure(s) and a number of other factors, including those described below. Some of these factors are interrelated in complex ways. As a result, the effect of any one factor may be offset or magnified by the effect of one or more other factors. The paragraphs below describe what we expect to be the impact on the value of the notes of a change in a specific factor, assuming all other conditions remain constant. You should understand that the value of your notes at any time prior to maturity may be significantly less than the stated principal amount.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Value of Market Measure(s)*.** We expect that the value of the notes at any time will depend substantially on the value of the Market Measure(s) at that time. If
the value of the Market Measure(s) declines following the pricing date, the value of your notes, if any, will also likely decline, perhaps
significantly. Even at a time when the value of the Market Measure(s) exceeds the applicable value on the pricing date, the value of your
notes may nevertheless be significantly less than the stated principal amount of your notes because of expectations that the value will
continue to fluctuate over the term of the notes, among other reasons.

The value of any Fund or Index to which the notes may be linked will be influenced by the value and volatility of the stocks that are held by the Fund or that constitute the Index, as well as by complex and interrelated political, economic, financial and other factors that affect the capital markets generally. The value of an Underlying Stock to which the notes may be linked will

be influenced by the results of operations of the Underlying Stock Issuer, as well as by the same general market factors. Hedging by us or our counterparties (which may include our affiliates), the issuance of other securities similar to the notes and other trading activities by our affiliates may also affect such values, which could negatively affect the value of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Volatility in the Closing Value of the Market Measure(s)*.** Volatility refers to the average magnitude of daily fluctuations in the closing value of a Market
Measure over any given period. Any change in the expected volatility of the Market Measure(s) may adversely affect the value of the notes.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Changes in Correlation.*** For notes linked to two or more Market Measures, if the correlation (a measure of the extent to which the values of those Market Measures
increase or decrease to the same degree at the same time) between those Market Measures changes, the value of the notes may decrease.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Dividend Yield*.** If the dividend yield on the stocks included in an Index or paid by a Fund or Underlying Stock increases, we expect that the value of
the notes may decrease. You will not be entitled to receive any dividends paid on the stocks included in an Index or paid by a Fund or
Underlying Stock during the term of the notes, and any payment you may receive on the notes will not reflect the value of such dividend
payments except to the extent such dividends reduce the value of the Market Measure(s).

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Currency Exchange Rates.*** If an Index or a Fund includes or holds stocks that are traded in a currency other than U.S. dollars and the
value of such Index or Fund is based on the U.S. dollar value of those stocks, then the value of the notes will be affected by changes
in the exchange rate between the relevant currencies and the U.S. dollar. In general, if the U.S. dollar strengthens relative to such
other currencies, the value of the notes will decline for that reason alone.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Volatility of Currency Exchange Rates and Correlation Between Exchange Rates and an Index.*** If an Index includes stocks that are traded in a currency
other than U.S. dollars and the level of such Index is based on the value of such stocks in such other currency, without conversion into
U.S. dollars, then the value of the notes will be affected by changes in the volatility of the exchange rate between such other currency
and the U.S. dollar and by changes in the correlation between such exchange rate and the level of such Index.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Interest Rates*.** We expect that the value of the notes will be affected by changes in U.S. interest rates. In general, if U.S. interest rates increase,
the value of the notes may decrease.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Time Remaining to Maturity*.** At any given time, a portion of the value of the notes will be attributable to time value, which is based on the amount of time then remaining
to maturity. You should understand that the value of the notes may be adversely affected solely as a result of the passage of time.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Creditworthiness of Citigroup Global Markets Holdings Inc. and Citigroup Inc*.** The notes are subject to the credit risk of Citigroup Global Markets Holdings
Inc. and Citigroup Inc., the guarantor of any payments due on the notes. Therefore, any actual or anticipated changes in either of their
credit ratings or credit spreads may adversely affect the value of the notes.

It is important for you to understand that the impact of one of the factors discussed above may offset, or magnify, some or all of any change in the value of the notes attributable to one or more of the other factors.

**The Notes Will Not Be Listed On A Securities Exchange And You May Not Be Able To Sell Your Notes Prior To Maturity.**

Unless otherwise specified in the applicable pricing supplement, the notes will not be listed on a securities exchange. Accordingly, the notes may have limited or no liquidity, and you should not invest in the notes unless you are willing to hold them to maturity.

<u>CGMI</u> or, if applicable, any other entity named as underwriter or agent in the applicable pricing supplement may, but is not obligated to, make a market in the notes. If CGMI or such other underwriter or agent does make a market in the notes, it may discontinue doing so at any time. Because we do not expect that other broker-dealers will participate significantly in any secondary market for the notes, the price at which you may be able to sell your notes prior to maturity is likely to depend on the price, if any, at which CGMI or such other underwriter or agent is willing to transact. If at any time CGMI or such other underwriter or agent were not to make a market in the notes, it is likely that there would be no secondary market at all for the notes. The price, if any, at which CGMI, such other underwriter or agent or any other buyer may be willing to purchase your notes in any secondary market that may develop may be significantly less than the stated principal amount; therefore, any sale of the notes prior to maturity may result in a substantial loss. As a result, you should be prepared to hold your notes to maturity.

**You Will Not Receive Any Dividends Paid With Respect To The Market Measure(s).**

As an investor in the notes, you will not receive any dividends paid by any Market Measure, or on any shares included in or held by any Index or Fund, to which the notes may be linked. Further, as any payment on the notes will be based on the closing value of the

applicable Market Measure(s) on a particular date, payments on the notes will not reflect the value of any dividends paid over the term of the notes except to the extent dividends reduce the closing value of the Market Measure(s). Over the term of the notes, this forgone dividend yield may cause an investment in the notes to significantly underperform a direct investment in the applicable Market Measure. You should not invest in the notes unless you are willing to forgo dividends in respect of the relevant Market Measure.

**Investing In The Notes Is Not Equivalent To Investing In The Market Measure(s).**

Investing in the notes is not equivalent to investing in any Market Measure to which the notes may be linked. In addition to forgoing dividends, investors in the notes will not have voting rights with respect to any Fund or Underlying Stock Issuer, or any shares included in or held by any Index or Fund, to which the notes may be linked. Moreover, the notes may be subject to a maximum return or other feature that may limit the extent to which an investor in the notes may participate in the performance of the Market Measure(s).

**Our Offering Of The Notes Is Not A Recommendation Of The Market Measure(s).** 

You should not take our offering of the notes as an expression of our views about how any Market Measure to which your notes may be linked will perform in the future or as a recommendation to invest in the Market Measure(s), including through an investment in the notes. As we are part of a global financial institution, our affiliates may, and often do, have positions (including short positions) that conflict with an investment in the notes, including positions in shares included in or held by any Fund or Index to which your notes may be linked or positions in the Underlying Stock to which your notes may be linked. You should undertake an independent determination of whether an investment in the notes is suitable for you in light of your specific investment objectives, risk tolerance and financial resources.

**The Historical Performance Of The Market Measure(s) Is Not An Indication Of Future Performance.**

The historical performance of any Market Measure to which the notes may be linked, which will be included in the applicable pricing supplement, should not be taken as an indication of the future performance of that Market Measure during the term of the notes. Changes in the value of the Market Measure(s) will affect any payments made under, and the value of, the notes, but it is impossible to predict whether the value of the Market Measure(s) will rise or fall.

**A Payment Date And The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.**

A calculation day is subject to postponement for non-trading days and market disruption events as described under "General Terms of the Notes" below. If such a postponement occurs with respect to a calculation day other than the final calculation day (if any), then the related payment date will be postponed. If such a postponement occurs with respect to the final calculation day, the stated maturity date will be the later of (i) the initial stated maturity date and (ii) three business days after the last final calculation day as postponed.

**We And Our Affiliates May Have Economic Interests That Are Adverse To Those Of The Holders Of The Notes As A Result Of Our Affiliates' Business Activities.** 

Our affiliates may currently or from time to time engage in business with any Fund or Underlying Stock to which the notes may be linked or any company that is included in or held by any Fund or Index to which the notes may be linked (each, a "<u>relevant issuer</u>"). These activities may include extending loans to, making equity investments in or providing advisory services to a relevant issuer, including merger and acquisition advisory services. In the course of this business, we or our affiliates may acquire non-public information about a relevant issuer and we will not disclose any such information to you. Any prospective purchaser of the notes should undertake an independent investigation of any relevant issuer as in its judgment is appropriate to make an informed decision with respect to an investment in the notes. We do not make any representation or warranty to any purchaser of the notes with respect to any matters whatsoever relating to our affiliates' business with any relevant issuer.

If any of our affiliates is or becomes a creditor of a relevant issuer or otherwise enters into any transaction with a relevant issuer in the course of its business, such affiliate may exercise remedies against that issuer without regard to the impact on your interests as a holder of the notes.

Additionally, we or one of our affiliates may serve as issuer, agent or underwriter for issuances of other securities or financial instruments with returns linked or related to changes in the value of the Market Measure(s). To the extent that we or one of our affiliates does so, our or their interests with respect to these products may be adverse to those of the holders of the notes. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the value of the notes.

In the case of notes linked to a Fund or Index that is composed primarily of securities issued by non-U.S. companies or to ADSs, our affiliates may currently or from time to time engage in trading activities related to the currency in which the equity securities underlying any such Fund or Index or the ordinary shares represented by the ADSs trade. These trading activities could potentially affect the exchange rate with respect to that currency and, if currency exchange rate calculations are involved in the calculation of the value of the Index, Fund or ADSs, as applicable, could affect the value of the notes.

**The Calculation Agent, Which Is An Affiliate Of Ours, Will Make Important Determinations With Respect To The Notes.**

As calculation agent, CGMI, our affiliate, will determine, among other things, any value required to be determined under the notes and any amounts owed to you under the terms of the notes. In addition, if certain events occur, CGMI will be required to make certain discretionary judgments that could significantly affect your maturity payment amount or, if applicable, any other payment owed to you under the notes. In making these judgments, CGMI's interests as an affiliate of ours could be adverse to your interests as a holder of the notes. Such judgments could include, among other things:

&nbsp;&nbsp;&nbsp;&nbsp;▪ determining whether a market disruption event has occurred;

&nbsp;&nbsp;&nbsp;&nbsp;▪ determining the closing value of a Market Measure under certain circumstances;

&nbsp;&nbsp;&nbsp;&nbsp;▪ determining if adjustments are required to the closing value of a Market
Measure under various circumstances;

&nbsp;&nbsp;&nbsp;&nbsp;▪ if publication of an Index is discontinued, selecting a successor equity
index or, if no successor equity index is available, determining the closing level of such Index;

&nbsp;&nbsp;&nbsp;&nbsp;▪ if a Fund undergoes a liquidation event, selecting a successor fund or, if no successor fund is available,
determining the fund closing price of such Fund;

&nbsp;&nbsp;&nbsp;&nbsp;▪ if a reorganization event occurs with respect to a Fund or an Underlying
Stock, determining the adjustments to be made to the terms of the notes to account for the economic effect on the notes of such event;
and

&nbsp;&nbsp;&nbsp;&nbsp;▪ selecting a replacement stock for an Underlying Stock under certain circumstances.

Any of these determinations made by CGMI, in its capacity as calculation agent, may adversely affect any payment owed to you under the notes.

**Our Affiliates May Have Published Research, Expressed Opinions Or Provided Recommendations That Are Inconsistent With Investing In The Notes And May Do So In The Future, And Any Such Research, Opinions Or Recommendations Could Adversely Affect The Value Of The Market Measure(s).** 

CGMI and other of our affiliates may publish research from time to time relating to the financial markets or any Market Measure to which the notes may be linked. Any research, opinions or recommendations provided by CGMI may influence the value of any such Market Measure and the value of the notes, and they may be inconsistent with purchasing or holding the notes. CGMI and other of our affiliates may have published or may publish research or other opinions that call into question the investment view implicit in an investment in the notes. Any research, opinions or recommendations expressed by such affiliates of ours may not be consistent with each other and may be modified from time to time without notice. Investors should make their own independent investigation of the Market Measure(s) and the merits of investing in the notes.

**The Value Of The Market Measure(s) May Be Affected By Our Or Our Affiliates' Hedging And Other Trading Activities.**

In anticipation of the sale of any issuance of the notes, we expect to hedge our obligations under the notes through certain affiliated or unaffiliated counterparties, who may take positions directly in the Market Measure(s) or in shares or other instruments that may affect the value of the Market Measure(s). For example, for notes linked to an Index, our counterparties may take positions directly in the securities included in the Index, and for notes linked to a Fund or Underlying Stock, our counterparties may take positions directly in the shares of the Fund or Underlying Stock or, in the case of a Fund, in the securities held by the Fund. We or our counterparties may also adjust this hedge during the term of the notes and close out or unwind this hedge on or before any calculation day, which may involve, among other things, our counterparties purchasing or selling such shares or other instruments. This hedging activity on or prior to the pricing date could potentially affect the value of the Market Measure(s) on the pricing date and, accordingly, potentially increase any initial value established on the pricing date, which may adversely affect your return on the notes. Additionally, this hedging activity during the term of the notes, including on or near any calculation day, could negatively affect the value of the Market Measure(s) on that calculation day and, therefore, adversely affect any payment owed to you under the notes. This hedging activity may present a conflict of interest between your interests as a holder of the notes and the interests we and/or our counterparties, which may be our affiliates, have in executing, maintaining and adjusting hedging transactions. These hedging activities could also affect the price, if any, at which CGMI or, if applicable, any other entity named as underwriter or agent in the relevant pricing supplement may be willing to purchase your notes in a secondary market transaction.

CGMI and other of our affiliates may also trade the Market Measure(s) and/or shares or other instruments that may affect the value of the Market Measure(s) on a regular basis (taking long or short positions or both), for their accounts, for other accounts under their management or to facilitate transactions, including block transactions, on behalf of customers. As with our or our affiliates' hedging activity, this trading activity could affect the value of the Market Measure(s) on any calculation day and, therefore, adversely affect the performance of the notes.

CGMI and other of our affiliates may also enter into transactions with investors who hold shares representing significant stakes in the issuer of Underlying Stock or in a company held by a Fund or included in an Index. Those transactions may include margin loans and derivative transactions that may be secured by those shares. In certain circumstances, CGMI or other of our affiliates may foreclose on those shares, which may involve selling a large percentage of the outstanding shares of the relevant company in a short period of time, which may put significant downward pressure on the price of the company's shares.

It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the value of the notes declines.

**We Have No Affiliation With The Sponsor Of Any Index Or With Any Fund Or Underlying Stock To Which The Notes May Be Linked And Are Not Responsible For Its Public Disclosures.**

We are not affiliated with the sponsor of any Index or with any Fund or Underlying Stock to which the notes may be linked, and no such sponsor or issuer will be involved in any of our offerings of the notes in any way. Consequently, we have no control over the actions of any such sponsor or issuer, including any actions that could adversely affect the value of such Index, Fund or Underlying Stock. No such sponsor or issuer has any obligation to consider your interests as an investor in the notes in taking any such actions. None of the money you pay for the notes will go to any such sponsor or issuer.

In addition, as we are not affiliated with the sponsor of any Index or with any Fund or Underlying Stock to which the notes may be linked, we do not assume any responsibility for the accuracy or adequacy of any information about any such Market Measure contained in the public disclosures of any such sponsor or Market Measure. We have made no "due diligence" or other investigation into any such sponsor or Market Measure in connection with the offering of the notes. As an investor in the notes, you should make your own investigation into the applicable Market Measure.

**The U.S. Federal Tax Consequences Of An Assumption Of The Notes Are Unclear.**

The notes may be assumed by Citigroup Inc., as provided in the accompanying prospectus. The law regarding whether or not such an assumption would be considered a taxable modification of the notes is not entirely clear and, if the Internal Revenue Service (the "<u>IRS</u>") were to treat the assumption as a taxable modification, a U.S. Holder (as defined under "United States Federal Tax Considerations — Tax Consequences to U.S. Holders") would generally be required to recognize gain (if any) on the notes and the timing and character of income recognized with respect to the notes after the assumption could be affected significantly. A changed treatment of the notes could have possible withholding tax consequences to Non-U.S. Holders (as defined under "United States Federal Tax Considerations — Tax Consequences to Non-U.S. Holders"). You should read carefully the discussion under "United States Federal Tax Considerations" in this product supplement. You should also consult your tax adviser regarding the U.S. federal tax consequences of an assumption of the notes.

**You Will Generally Be Required To Recognize Taxable Income On The Notes Prior To Maturity.**

If you are a U.S. Holder of a note, you will generally be required to recognize taxable interest income in each year that you hold the note, even though, in the case of certain notes, you will not receive any payment in respect of the note prior to maturity (or earlier sale, exchange or retirement). In addition, any gain you recognize may be treated as ordinary interest income rather than capital gain. You should review the section of this product supplement entitled "United States Federal Tax Considerations."

**<u>Additional Risk Factors Relating to Notes Linked to An Index</u>**

**Adjustments To An Index To Which The Notes May Be Linked Could Adversely Affect The Value Of The Notes.**

The sponsor of any Index to which the notes may be linked (its "<u>sponsor</u>") may add, delete or substitute the stocks that constitute the Index or make other methodological changes that could affect the level of the Index. Moreover, the sponsor may discontinue or suspend calculation or publication of the Index at any time. In this latter case, the calculation agent will have the sole discretion to substitute a successor equity index as described under "General Terms of the Notes—Certain Terms for Notes Linked to an Index—Discontinuance of an Index" below, and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.

**<u>Additional Risk Factors Relating to Notes Linked to A Fund</u>**

**The Price And Performance Of The Shares Of A Fund May Not Completely Track The Performance Of The Index Underlying The Fund Or The Net Asset Value Per Share Of The Fund.**

A Fund may not fully replicate its underlying index (the "<u>fund underlying index</u>") and may hold securities different from those included in the fund underlying index. In addition, the performance of a Fund will reflect transaction costs and fees that are not included in the calculation of the fund underlying index. All of these factors may lead to a lack of correlation between the performance of a Fund and its fund underlying index. In addition, if a Fund holds equity securities, corporate actions with respect to such equity securities (such as mergers and spin-offs) may impact the variance between the performances of the Fund and its fund underlying index. Finally, if a Fund is traded on a securities exchange and is subject to market supply and investor demand, the market value of the shares of the Fund may differ from the net asset value per share of the Fund.

During periods of market volatility, securities held by a Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the Fund and the liquidity of the shares of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem the shares of a Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell the shares of a Fund. As a result, under these circumstances, the market value of the shares of a Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the shares of a Fund may not correlate with the performance of its fund underlying index and/or the net asset value per share of the Fund, which could materially and adversely affect the value of the notes and/or reduce your return on the notes.

**A Fund That Invests In Non-U.S. Companies May Be Subject To Currency Exchange Rate Risk.**

If the notes are linked to a Fund that invests in non-U.S. companies, holders of the notes will be exposed to currency exchange rate risk with respect to the currency in which the stocks of such non-U.S. companies trade. An investor's net exposure will depend on the extent to which the non-U.S. currency strengthens or weakens against the U.S. dollar and the relative weight of each stock in the Fund's portfolio. If, taking into account such weighting, the U.S. dollar strengthens against the non-U.S. currency, the price of the stocks in which a Fund invests will be adversely affected and the value of the notes may decrease.

**A Fund That Invests In Non-U.S. Companies Is Subject To Risks Associated With Non-U.S. Markets.**

Investments in notes linked to the price of equity securities of non-U.S. companies involve certain risks. Where the stock of a company in which a Fund invests principally trades on a non-U.S. market, that market may be more volatile than U.S. markets. Also, there is generally less publicly available information about non-U.S. companies than U.S. companies, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. companies.

In addition, share prices of companies located in emerging markets, or whose principal operations are located in emerging markets, are subject to political, economic, financial and social factors that affect emerging markets. These factors, which could negatively affect the value of such shares, include the possibility of changes in local or national economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to such companies or to investments in equity securities of companies located, or whose principal operations are located, in emerging markets. Specifically, political and/or legal developments in emerging markets could include forced divestiture of assets; restrictions on production, imports and exports; war or other international conflicts; civil unrest and local security concerns that threaten the safe operation of company facilities; price controls; tax increases and other retroactive tax claims; expropriation of property; cancellation of contract rights; and environmental regulations. Moreover, the economies of emerging nations may differ unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital investment, resources and self-sufficiency.

**Changes Made By The Investment Adviser To A Fund To Which The Notes May Be Linked Or By The Sponsor Of The Index Underlying That ETF Could Adversely Affect The Value Of The Notes.**

We are not affiliated with the investment adviser to any Fund to which the notes may be linked or with the sponsor of the applicable fund underlying index (each, a "<u>sponsor</u>" of the Fund or the fund underlying index, as applicable). Accordingly, we have no control over any changes any such sponsor may make to such Fund or fund underlying index. Any such sponsor may make changes to such Fund or fund underlying index, in methodology or otherwise, at any time. Any such changes may adversely affect the performance of the Fund and, as a result, the performance of your notes.

**<u>Additional Risk Factors Relating to Notes Linked to ADSs</u>**

**The Price Of ADSs May Not Completely Track The Price Of The Underlying Ordinary Shares.**

In the case of notes linked to ADSs, you should be aware that the price of the ADSs may not completely track the price of the underlying ordinary shares represented by such ADSs. Active trading volume and efficient pricing for the underlying ordinary shares on the stock exchange(s) on which those ordinary shares principally trade will not necessarily indicate similar characteristics in respect of the ADSs. Factors such as the number of the ordinary shares that are available in ADS form outside the country in which those ordinary shares principally trade may affect the liquidity of the ADSs, which may be less than that of the underlying ordinary shares. In addition, the terms and conditions of the applicable depositary facility may result in less liquidity or a lower market price of the ADSs than for the ordinary shares.

**Fluctuations In Exchange Rates Will Affect The Price Of ADSs.**

There are significant risks related to an investment in notes that are linked to ADSs that are quoted and traded in U.S. dollars and represent ordinary shares that are quoted and traded in a foreign currency. Such ADSs will trade differently from the ordinary shares they represent as a result of fluctuations in the currency exchange rate between the U.S. dollar and the applicable foreign currency. In recent years, the rates of exchange between the U.S. dollar and some other currencies have been highly volatile and this volatility may continue in the future. These risks generally depend on economic and political events over which we have no control. You should

understand that, if the U.S. dollar strengthens relative to the currency in which the applicable ordinary shares trade, the price of the ADSs will likely decline for that reason alone.

**Notes Linked To Non-U.S. Companies Are Subject To Risks Associated With Non-U.S. Markets.**

Investments in notes linked to non-U.S. companies involve certain risks. Where the underlying ordinary shares principally trade on a non-U.S. market, that market may be more volatile than U.S. markets. Also, there is generally less publicly available information about non-U.S. companies than U.S. companies, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. companies.

In addition, share prices of companies located in emerging markets, or whose principal operations are located in emerging markets, are subject to political, economic, financial and social factors that affect emerging markets. These factors, which could negatively affect the value of such shares, include the possibility of changes in local or national economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to such companies or to investments in equity securities of companies located, or whose principal operations are located, in emerging markets. Specifically, political and/or legal developments in emerging markets could include forced divestiture of assets; restrictions on production, imports and exports; war or other international conflicts; civil unrest and local security concerns that threaten the safe operation of company facilities; price controls; tax increases and other retroactive tax claims; expropriation of property; cancellation of contract rights; and environmental regulations. Moreover, the economies of emerging nations may differ unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital investment, resources and self-sufficiency.

**<u>Additional Risk Factors Relating to Notes Linked to A Fund or An Underlying Stock</u>**

**If The Notes Are Linked To A Market Measure That Is A Fund Or Underlying Stock, You Will Have No Rights Against The Market Measure, And You Will Not Receive Dividends On Its Shares.**

As a holder of the notes, you will not be entitled to any rights with respect to any Market Measure or its shares, including voting rights and rights to receive any dividends or other distributions on the shares, but you will be subject to all changes affecting the shares. No Market Measure is involved in the offering of the notes in any way, and no Market Measure has any obligation to consider your interests as a holder of notes.

For example, in the event that an amendment is proposed to an Underlying Stock Issuer's certificate of incorporation or by-laws requiring stockholder approval, you will not be entitled to vote on the amendment. Any such change to any Underlying Stock may adversely affect its market price, which will adversely affect the value of the notes and increase the likelihood that you do not receive any positive return on your investment.

**The Notes Will Not Be Adjusted For All Events That Could Affect The Value Of The Shares Of Any Fund or Underlying Stock To Which The Notes Are Linked.**

For notes linked to a Market Measure that is a Fund or an Underlying Stock, certain events may occur during the term of the notes that have a dilutive effect on the value of the shares of such Market Measure or otherwise adversely affect the market price of such shares. The calculation agent will make certain adjustments for some of these events, as described under "General Terms of the Notes." However, an adjustment will not be made for all events that could have a dilutive or adverse effect on such shares or their market price, such as ordinary dividends, partial tender offers or additional public offerings of shares, and the adjustments that are made may not fully offset the dilutive or adverse effect of the particular event. Accordingly, the occurrence of any event that has a dilutive or adverse effect on the shares of any Fund or Underlying Stock to which the notes are linked may adversely affect what you receive at maturity or, if applicable, any other payment owed to you under the notes. Unlike an investor in the notes, a direct holder of such shares may receive an offsetting benefit from any such event that may not be reflected in an adjustment to the terms of the notes; therefore, you may experience dilution or adverse consequences in a circumstance in which a direct holder would not.

**If A Reorganization Event Occurs With Respect To A Fund Or An Underlying Stock, The Calculation Agent May Make Adjustments To The Terms Of The Notes That Adversely Affect Your Return On The Notes.**

If a reorganization event occurs with respect to a Fund or an Underlying Stock to which the notes are linked, the calculation agent will have discretion to make such adjustments to the terms of the notes as the calculation agent determines appropriate to account for the economic effect on the notes of such event. In such an event, the calculation agent may, but is not required to, select a successor fund or stock to which the notes may become linked thereafter. In any case, the adjustments made by the calculation agent to the terms of the notes may adversely affect the value of and your return on the notes.

**<u>Additional Risk Factors Relating to Notes Linked to a Basket</u>**

**Changes In The Values Of The Basket Components May Offset Each Other.**

Changes in the values of the Market Measures included in a basket may not correlate with each other. At a time when the value of one or more of the basket components increases, the value of one or more other basket components may not increase as much or may even

decline. In such event, increases in the value of one or more of the components may be moderated, wholly offset or more than offset by lesser increases or declines in the value of the other components, particularly if the components that appreciate are of relatively low weight in the basket.

**An Investment In Notes Linked To A Basket Is Not A Diversified Investment.**

The fact that the notes may be linked to a basket of Market Measures does not mean that the notes represent a diversified investment. First, although the applicable Market Measures may differ in certain respects, they may bear similarities that cause them to perform in similar ways. For example, notes linked to a basket of U.S. equity indices will have exposure to U.S. equity markets, and such indices may respond in similar ways to economic events that affect the U.S. equity markets generally. Second, the notes are subject to the credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc., the guarantor of any payments due on the notes. No amount of diversification that may be represented by the basket components will offset the risk that we may default on our obligations and Citigroup Inc. may default on its guarantee obligations under the terms of the notes.

**Changes In The Values Of The Basket Components May Be Highly Correlated.**

Changes in the values of the Market Measures included in a basket may become highly correlated during periods of decline in the value of such Market Measures. This may occur because of events that have broad effects on markets generally or for other reasons. If changes in the values of the basket components become correlated in decline, a decline in the value of one basket component will not be offset by the performance of any other basket component and, in fact, each basket component will contribute to an overall decline in the level of the basket.

**The Basket Components May Not Be Equally Weighted.**

The Market Measures included in a basket may be assigned different weights, if specified in the applicable pricing supplement. Market Measures that are assigned greater weights in the basket will have a greater impact on the performance of the basket than Market Measures that are assigned lesser weights, and you will accordingly be subject to greater risk associated with the basket components that have such greater weights.

**General Terms of the Notes**

Citigroup Global Markets Holdings Inc. will issue the notes as part of a series of senior unsecured debt securities entitled "Medium-Term Notes, Series N," which is more fully described in the accompanying prospectus supplement. Information included in this product supplement supersedes information in the accompanying prospectus supplement and prospectus to the extent that it is different from that information.

The specific terms of the notes will be described in the applicable pricing supplement. If the terms described in the applicable pricing supplement are inconsistent with those described herein or in the accompanying prospectus supplement, the terms described in the applicable pricing supplement shall control. Defined terms used in this product supplement and not otherwise defined herein shall have the meanings ascribed to them in the accompanying prospectus supplement.

**Certain Terms for Notes Linked to an Index** 

***Certain Definitions***

A "<u>multiple exchange index</u>" means the EURO STOXX 50<sup>®</sup> Index, the MSCI ACWI Index, the MSCI EAFE<sup>®</sup> Index, the MSCI Emerging Markets Index, and any other equity index designated as a multiple exchange index in the applicable pricing supplement.

A "<u>trading day</u>" with respect to an Index (other than a multiple exchange index) means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security underlying such Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures or options exchange with respect to such Index is scheduled to be open for trading for its regular trading session.

A "<u>trading day</u>" with respect to a multiple exchange index means a day, as determined by the calculation agent, on which (i) the relevant index sponsor is scheduled to publish the level of such Index and (ii) each related futures or options exchange with respect to such Index is scheduled to be open for trading for its regular trading session.

The "<u>relevant stock exchange</u>" for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined by the calculation agent.

The "<u>related futures or options exchange</u>" for an Index means an exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to such Index.

The "<u>closing level</u>" with respect to an Index on any trading day means the official closing level of that Index reported by the relevant index sponsor on such trading day, as obtained by the calculation agent on such trading day from the licensed third-party market data vendor contracted by the calculation agent at such time; in particular, taking into account the decimal precision and/or rounding convention employed by such licensed third-party market data vendor on such date. Currently, the calculation agent obtains market data from Thomson Reuters Ltd., but the calculation agent may change its market data vendor at any time without notice. The foregoing provisions of this definition of "closing level" are subject to the provisions set forth below under "—Market Disruption Events," "—Adjustments to an Index," "—Discontinuance of an Index" and "General Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a Calculation Day."

***Market Disruption Events***

A "<u>market disruption event</u>" with respect to an Index (other than a multiple exchange index) means any of the following events as determined by the calculation agent in its sole discretion:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) The occurrence or existence of a material suspension of or limitation imposed
on trading by the relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of such Index
or any successor equity index at any time during the one-hour period that ends at the close of trading on that day, whether by reason
of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) The occurrence or existence of a material suspension of or limitation imposed
on trading by any related futures or options exchange or otherwise in futures or options contracts relating to such Index or any successor
equity index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that
day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) The occurrence or existence of any event, other than an early closure, that
materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, securities
that then comprise 20% or more of the level of such Index or any successor equity index on their relevant stock exchanges at any time
during the one-hour period that ends at the close of trading on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(D) The occurrence or existence of any event, other than an early closure, that
materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures
or options contracts relating to such

Index or any successor equity index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(E) The closure on any exchange business day of the relevant stock exchanges
on which securities that then comprise 20% or more of the level of such Index or any successor equity index are traded or any related
futures or options exchange with respect to such Index or any successor equity index prior to its scheduled closing time unless the earlier
closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior
to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options
exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures
or options exchange, as applicable, system for execution at such actual closing time on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(F) The relevant stock exchange for any security underlying such Index or successor
equity index or any related futures or options exchange with respect to such Index or successor equity index fails to open for trading
during its regular trading session.

For purposes of determining whether a market disruption event has occurred with respect to an Index (other than a multiple exchange index):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) the relevant percentage contribution of a security to the level of such
Index or any successor equity index will be based on a comparison of (x) the portion of the level of such index attributable to that security
and (y) the overall level of such Index or successor equity index, in each case immediately before the occurrence of the market disruption
event;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) the " <u>close of trading</u> " on any trading day for such Index
or any successor equity index means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying
such Index or successor equity index on such trading day; *provided* that, if the actual closing time of the regular trading session
of any such relevant stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A)
and (C) of the definition of "market disruption event" above, with respect to any security underlying such Index or successor
equity index for which such relevant stock exchange is its relevant stock exchange, the "close of trading" means such actual
closing time and (y) for purposes of clauses (B) and (D) of the definition of "market disruption event" above, with respect
to any futures or options contract relating to such Index or successor equity index, the "close of trading" means the latest
actual closing time of the regular trading session of any of the relevant stock exchanges, but in no event later than the scheduled closing
time of the relevant stock exchanges;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) the " <u>scheduled closing time</u> " of any relevant stock exchange
or related futures or options exchange on any trading day for such Index or any successor equity index means the scheduled weekday closing
time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any
other trading outside the regular trading session hours; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) an " <u>exchange business day</u> " means any trading day for
such Index or any successor equity index on which each relevant stock exchange for the securities underlying such Index or any successor
equity index and each related futures or options exchange with respect to such Index or any successor equity index are open for trading
during their respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange
closing prior to its scheduled closing time.

A "<u>market disruption event</u>" with respect to a multiple exchange index means, any of (A), (B), (C) or (D) below, as determined by the calculation agent in its sole discretion:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) Any of the following events occurs or exists with respect to any security
included in such Index or any successor equity index, and the aggregate of all securities included in such Index or successor equity index
with respect to which any such event occurs comprise 20% or more of the level of such Index or successor equity index:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a
material suspension of or limitation imposed on trading by the relevant stock exchange for such security or otherwise at any time during
the one-hour period that ends at the scheduled closing time for the relevant stock exchange for such security on that day, whether by
reason of movements in price exceeding limits permitted by the relevant stock exchange or otherwise;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any
event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions
in, or obtain market values for, such security on its relevant stock exchange at any time during the one-hour period that ends at the
scheduled closing time for the relevant stock exchange for such security on that day; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
closure on any exchange business day of the relevant stock exchange for such security prior to its scheduled closing time unless the
earlier closing is announced by such relevant stock exchange at least one hour prior to the earlier of (i) the actual closing time for
the regular trading session on such relevant stock exchange and (ii) the

submission deadline for orders to be entered into the relevant stock exchange system for execution at the scheduled closing time for such relevant stock exchange on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) Any of the following events occurs or exists with respect to futures or
options contracts relating to such Index or any successor equity index:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a material suspension of or
limitation imposed on trading by any related futures or options exchange or otherwise at any time during the one-hour period that ends
at the close of trading on such related futures or options exchange on that day, whether by reason of movements in price exceeding limits
permitted by the related futures or options exchange or otherwise;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any event, other than an early
closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market
values for, futures or options contracts relating to such Index or successor equity index on any related futures or options exchange at
any time during the one-hour period that ends at the close of trading on such related futures or options exchange on that day; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the closure on any exchange
business day of any related futures or options exchange prior to its scheduled closing time unless the earlier closing time is announced
by such related futures or options exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading
session on such related futures or options exchange and (ii) the submission deadline for orders to be entered into the related futures
or options exchange system for execution at the close of trading for such related futures or options exchange on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) The relevant index sponsor fails to publish the level of such Index or any
successor equity index (other than as a result of the relevant index sponsor having discontinued publication of such Index or successor
equity index and no successor equity index being available).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(D) Any related futures or options exchange fails to open for trading during
its regular trading session.

For purposes of determining whether a market disruption event has occurred with respect to a multiple exchange index:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) the relevant percentage contribution of a security included in such Index or any successor equity index
to the level of such Index will be based on a comparison of (x) the portion of the level of such Index or any successor equity index attributable
to that security to (y) the overall level of such index, in each case using the official opening weightings as published by the relevant
index sponsor as part of the market opening data;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) the " <u>scheduled closing time</u> " of any relevant stock exchange or related futures or options
exchange on any trading day means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange
on such trading day, without regard to after hours or any other trading outside the regular trading session hours; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) an " <u>exchange business day</u> " means any trading day on which (i) the relevant index sponsor
publishes the level of such index or any successor equity index and (ii) each related futures or options exchange is open for trading
during its regular trading session, notwithstanding any related futures or options exchange closing prior to its scheduled closing time.

**Adjustments to an Index**

If at any time the method of calculating an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor equity index is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent the level of such index had those changes or modifications not been made, then the calculation agent will, at the close of business in New York, New York, on each date that the closing level of such index is to be calculated, make such calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an index comparable to such Index or successor equity index as if those changes or modifications had not been made, and the calculation agent will calculate the closing level of such Index or successor equity index with reference to such index, as so adjusted. Accordingly, if the method of calculating an Index or successor equity index is modified so that the level of such index is a fraction or a multiple of what it would have been if it had not been modified (*e.g.*, due to a split or reverse split in such equity index), then the calculation agent will adjust such Index or successor equity index in order to arrive at a level of such index as if it had not been modified (*e.g.*, as if the split or reverse split had not occurred).

***Discontinuance of an Index***

If an index sponsor discontinues publication of an Index, and such index sponsor or another entity publishes a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to such Index (a "<u>successor equity index</u>"), then, upon the calculation agent's notification of that determination to the trustee and to us, the calculation agent will substitute the successor equity index as calculated by the relevant index sponsor or any other entity for purposes of calculating the closing level of such

Index on any date of determination. Upon any selection by the calculation agent of a successor equity index, we will cause notice to be given to holders of the notes.

In the event that an index sponsor discontinues publication of an Index prior to, and the discontinuance is continuing on, a calculation day and the calculation agent determines that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for such Index in accordance with the formula for and method of calculating such Index last in effect prior to the discontinuance, but using only those securities that comprised such Index immediately prior to that discontinuance. If a successor equity index is selected or the calculation agent calculates a level as a substitute for such Index, the successor equity index or level will be used as a substitute for such Index for all purposes, including the purpose of determining whether a market disruption event exists.

If on a calculation day an index sponsor fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of such Index in accordance with the formula for and method of calculating such Index last in effect prior to the failure, but using only those securities that comprised such Index immediately prior to that failure; *provided* that, if a market disruption event occurs or is continuing on such day with respect to such Index, then the provisions set forth below under "General Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a Calculation Day" shall apply in lieu of the foregoing.

Notwithstanding these alternative arrangements, discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index may adversely affect the value of the notes.

**Certain Terms for Notes Linked to a Fund**

***Certain Definitions***

A "<u>trading day</u>" with respect to a Fund means a day, as determined by the calculation agent, on which the relevant stock exchange and each related futures or options exchange with respect to such Fund or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular trading sessions.

The "<u>relevant stock exchange</u>" for a Fund means the primary exchange or quotation system on which shares (or other applicable securities) of such Fund are traded, as determined by the calculation agent.

The "<u>related futures or options exchange</u>" for a Fund means each exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to such Fund.

The "<u>closing price</u>" for one share of a Fund (or one unit of any other security for which a closing price must be determined) on any trading day means the official closing price on such day published by the principal United States securities exchange registered under the Securities and Exchange Act of 1934 (the "<u>Exchange Act</u>"), on which such Fund (or any such other security) is listed or admitted to trading.

The "<u>fund closing price</u>" with respect to a Fund on any trading day means the product of (i) the closing price of one share of such Fund (or one unit of any other security for which a fund closing price must be determined) on such trading day and (ii) the adjustment factor applicable to such Fund on such trading day.

The "<u>adjustment factor</u>" means, with respect to a share of a Fund (or one unit of any other security for which a fund closing price must be determined), 1.0, subject to adjustment in the event of certain events affecting the shares of such Fund. See "—Anti-dilution Adjustments Relating to a Fund; Alternate Calculation" below.

***Market Disruption Events***

A "<u>market disruption event</u>" with respect to a Fund means any of the following events as determined by the calculation agent in its sole discretion:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) The occurrence or existence of a material suspension of or limitation
imposed on trading by the relevant stock exchange or otherwise relating to the shares (or other applicable securities) of such Fund or
any successor fund on the relevant stock exchange at any time during the one-hour period that ends at the close of trading on such day,
whether by reason of movements in price exceeding limits permitted by such relevant stock exchange or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) The occurrence or existence of a material suspension of or limitation
imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to the shares (or
other applicable securities) of such Fund or any successor fund on any related futures or options exchange at any time during the one-hour
period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related
futures or options exchange or otherwise.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) The occurrence or existence of any event, other than an early closure,
that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for,
shares (or other applicable securities) of

such Fund or any successor fund on the relevant stock exchange at any time during the one-hour period that ends at the close of trading on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(D) The occurrence or existence of any event, other than an early
 closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain
 market values for, futures or options contracts relating to shares (or other applicable securities) of such Fund or any successor fund on any related futures
or options exchange at any time during the one-hour period that ends at the close of trading on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(E) The closure of the relevant stock exchange or any related futures
or options exchange with respect to such Fund or any successor fund prior to its scheduled closing time unless the earlier closing time
is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier
of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange,
as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or options
exchange, as applicable, system for execution at the close of trading on that day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(F) The relevant stock exchange or any related futures or options exchange
with respect to such Fund or any successor fund fails to open for trading during its regular trading session.

For purposes of determining whether a market disruption event has occurred with respect to a Fund:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) " <u>close of trading</u> " means the scheduled closing
time of the relevant stock exchange with respect to such Fund or any successor fund; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) the " <u>scheduled closing time</u> " of the relevant
stock exchange or any related futures or options exchange on any trading day for such Fund or any successor fund means the scheduled weekday
closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours
or any other trading outside the regular trading session hours.

**Anti-dilution Adjustments Relating to a Fund; Alternate Calculation** 

***Anti-dilution Adjustments***

The calculation agent will adjust the adjustment factor with respect to a Fund as specified below if any of the events specified below occurs with respect to such Fund and the effective date or ex-dividend date, as applicable, for such event is after the pricing date and on or prior to the final calculation day for such Fund.

The adjustments specified below do not cover all events that could affect a Fund, and there may be other events that could affect a Fund for which the calculation agent will not make any such adjustments, including, without limitation, an ordinary cash dividend. Nevertheless, the calculation agent may, in its sole discretion, make additional adjustments to any terms of the notes upon the occurrence of other events that affect or could potentially affect the market price of, or shareholder rights in, a Fund, with a view to offsetting, to the extent practical, any such change, and preserving the relative investment risks of the notes. In addition, the calculation agent may, in its sole discretion, make adjustments or a series of adjustments that differ from those described herein if the calculation agent determines that such adjustments do not properly reflect the economic consequences of the events specified in this product supplement or would not preserve the relative investment risks of the notes. All determinations made by the calculation agent in making any adjustments to the terms of the notes, including adjustments that are in addition to, or that differ from, those described in this product supplement, will be made in good faith and a commercially reasonable manner, with the aim of ensuring an equitable result. In determining whether to make any adjustment to the terms of the notes, the calculation agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the affected Fund.

For any event described below, the calculation agent will not be required to adjust the adjustment factor for a Fund unless the adjustment would result in a change to such adjustment factor then in effect of at least 0.10%. The adjustment factor resulting from any adjustment will be rounded up or down, as appropriate, to the nearest one-hundred thousandth.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) *Stock Splits and Reverse Stock Splits* 

If a stock split or reverse stock split has occurred with respect to a Fund, then once such split has become effective, the adjustment factor for such Fund will be adjusted to equal the product of the prior adjustment factor for such Fund and the number of securities which a holder of one share (or other applicable security) of such Fund before the effective date of such stock split or reverse stock split would have owned or been entitled to receive immediately following the applicable effective date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) *Stock Dividends* 

If a dividend or distribution of shares (or other applicable securities) of a Fund has been made by such Fund ratably to all holders of record of such shares (or other applicable security), then the adjustment factor for such Fund will be adjusted on the ex-

dividend date to equal the prior adjustment factor for such Fund plus the product of the prior adjustment factor for such Fund and the additional number of shares (or other applicable security) of such Fund which a holder of one share (or other applicable security) of such Fund before the ex-dividend date would have been entitled to receive immediately following that date; *provided*, however, that no adjustment will be made for a distribution for which the number of securities of such Fund paid or distributed is based on a fixed cash equivalent value.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) *Extraordinary Dividends* 

If an extraordinary dividend (as defined below) has occurred with respect to a Fund, then the adjustment factor for such Fund will be adjusted on the ex-dividend date to equal the product of the prior adjustment factor for such Fund and a fraction, the numerator of which is the closing price per share (or other applicable security) of such Fund on the trading day preceding the ex-dividend date, and the denominator of which is the amount by which the closing price per share (or other applicable security) of such Fund on the trading day preceding the ex-dividend date exceeds the extraordinary dividend amount (as defined below).

For purposes of determining whether an extraordinary dividend has occurred:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· " <u>extraordinary dividend</u> "
means any cash dividend or distribution (or portion thereof) that the calculation agent determines, in its sole discretion, is extraordinary
or special; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· " <u>extraordinary dividend amount</u> " with respect to an extraordinary dividend for the securities of a Fund will equal the amount per share (or other applicable
security) of such Fund of the applicable cash dividend or distribution that is attributable to the extraordinary dividend, as determined
by the calculation agent in its sole discretion.

A distribution on the securities of a Fund described below under the section entitled "—Reorganization Events" below that also constitutes an extraordinary dividend will only cause an adjustment pursuant to that "—Reorganization Events" section.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(D) *Other Distributions* 

If a Fund declares or makes a distribution to all holders of the shares (or other applicable security) of such Fund of any non-cash assets, excluding dividends or distributions described under the section entitled "—Stock Dividends" above, then the calculation agent may, in its sole discretion, make such adjustment (if any) to the adjustment factor as it deems appropriate in the circumstances. If the calculation agent determines to make an adjustment pursuant to this paragraph, it will do so with a view to offsetting, to the extent practical, any change in the economic position of a holder of the notes that results solely from the applicable event.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(E) *Reorganization Events* 

If a Fund, or any successor fund, is subject to a merger, combination, consolidation or statutory exchange of securities with another exchange traded fund, and such Fund is not the surviving entity (a "<u>reorganization event</u>"), then, on or after the date of such event, the calculation agent shall, in its sole discretion, make an adjustment to the adjustment factor for such Fund or the method of determining the maturity payment amount or any other terms of the notes as the calculation agent determines appropriate to account for the economic effect on the notes of such event, and determine the effective date of that adjustment. If the calculation agent determines that no adjustment that it could make will produce a commercially reasonable result, then the calculation agent may deem such event a liquidation event (as defined below).

***Liquidation Events***

If a Fund is de-listed, liquidated or otherwise terminated (a "<u>liquidation event</u>"), and a successor or substitute exchange traded fund exists that the calculation agent determines, in its sole discretion, to be comparable to such Fund, then, upon the calculation agent's notification of that determination to the trustee and us, any subsequent fund closing price for such Fund will be determined by reference to the fund closing price of such successor or substitute exchange traded fund (such exchange traded fund being referred to herein as a "<u>successor fund</u>"), with such adjustments as the calculation agent determines are appropriate to account for the economic effect of such substitution on holders of the notes.

If a Fund undergoes a liquidation event prior to, and such liquidation event is continuing on, the date that any fund closing price of such Fund is to be determined and the calculation agent determines that no successor fund is available at such time, then the calculation agent will, in its discretion, calculate the fund closing price for such Fund on such date by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate such Fund, *provided* that if the calculation agent determines in its discretion that it is not practicable to replicate such Fund (including but not limited to the instance in which a fund underlying index sponsor discontinues publication of the relevant fund underlying index), then the calculation agent will calculate the fund closing price for such Fund in accordance with the formula last used to calculate such fund closing price before such liquidation event, but using only those securities that were held by such Fund immediately prior to such liquidation event without any rebalancing or substitution of such securities following such liquidation event. Notwithstanding the foregoing, in the case of a Fund that does not track an index of equity securities, if such Fund undergoes a liquidation event prior to, and such liquidation event is continuing on, the date that any fund

closing price of such Fund is to be determined and the calculation agent determines (i) that no successor fund is available at such time and (ii) that it is not practicable to replicate such Fund, then the calculation agent will, in its discretion, calculate the fund closing price for such Fund on such date in good faith and in a commercially reasonable manner.

If a successor fund is selected or the calculation agent calculates the fund closing price as a substitute for a Fund, such successor fund or fund closing price will be used as a substitute for such Fund for all purposes, including for purposes of determining whether a market disruption event exists with respect to such Fund. Notwithstanding these alternative arrangements, a liquidation event with respect to a Fund may adversely affect the value of the notes.

If any event is both a reorganization event and a liquidation event, such event will be treated as a reorganization event for purposes of the notes unless the calculation agent makes the determination referenced in the last sentence of the section entitled "—Anti-dilution Adjustments—Reorganization Events" above.

***Alternate Calculation***

If at any time the method of calculating a Fund or a successor fund, or the related fund underlying index, is changed in a material respect, or if a Fund or a successor fund is in any other way modified so that such fund does not, in the opinion of the calculation agent, fairly represent the price of the securities of such Fund or such successor fund had such changes or modifications not been made, then the calculation agent may, at the close of business in New York City on the date that any fund closing price is to be determined, make such calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a closing price of an exchange traded fund comparable to such Fund or such successor fund, as the case may be, as if such changes or modifications had not been made, and calculate the fund closing price of such Fund and determine the maturity payment amount and any other terms of the notes with reference to such adjusted closing price of such Fund or such successor fund, as applicable.

**Certain Terms for Notes Linked to an Underlying Stock** 

***Certain Definitions***

A "<u>trading day</u>" with respect to an Underlying Stock means a day, as determined by the calculation agent, on which trading is generally conducted on the principal trading market for such Underlying Stock (as determined by the calculation agent, in its sole discretion), the Chicago Mercantile Exchange and the Chicago Board Options Exchange and in the over-the-counter market for equity securities in the United States.

The "<u>closing price</u>" for one share of an Underlying Stock (or one unit of any other security for which a closing price must be determined) on any trading day means:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· if such Underlying Stock (or
any such other security) is listed or admitted to trading on a national securities exchange, the official closing price on such day published
by the principal United States securities exchange registered under the Exchange Act on which such Underlying Stock (or any such other
security) is listed or admitted to trading; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· if such Underlying Stock (or
any such other security) is not listed or admitted to trading on any national securities exchange but is included in the OTC Bulletin
Board Service operated by the Financial Industry Regulatory Authority, Inc. (" <u>FINRA</u> "), the last reported sale price
of the principal trading session on the OTC Bulletin Board Service on such day.

If such Underlying Stock (or any such other security) is listed or admitted to trading on any national securities exchange but the official closing price is not available pursuant to the preceding sentence, then the closing price for one share of such Underlying Stock (or one unit of any such other security) on any trading day will mean the last reported sale price of the principal trading session on the over-the-counter market as reported on the OTC Bulletin Board Service on such day.

If the official closing price or the last reported sale price, as applicable, for such Underlying Stock (or any such other security) is not available pursuant to either of the two preceding sentences, then the closing price per share for any trading day will be the mean, as determined by the calculation agent, of the bid price for such Underlying Stock (or any such other security) obtained from as many recognized dealers in such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids of Citigroup Global Markets Inc. or any of its affiliates may be included in the calculation of such mean, but only to the extent that any such bid is the highest of the bids obtained. The term "<u>OTC Bulletin Board Service</u>" will include any successor service thereto or, if the OTC Bulletin Board Service is discontinued and there is no successor service thereto, the OTC Reporting Facility operated by FINRA.

The "<u>stock closing price</u>" with respect to an Underlying Stock on a trading day, means the product of the closing price of such Underlying Stock and the adjustment factor for such Underlying Stock, each on such trading day.

The "<u>adjustment factor</u>" for an Underlying Stock is initially 1.0. The adjustment factor for an Underlying Stock will remain constant for the term of the notes, subject to adjustment for certain corporate events relating to the applicable Underlying Stock Issuer as described in the section entitled "—Adjustment Events" below.

***Market Disruption Events***

A "<u>market disruption event</u>" means, with respect to an Underlying Stock, the occurrence or existence of any of the following events:

&nbsp;&nbsp;&nbsp;&nbsp;· a
suspension, absence or material limitation of trading in such Underlying Stock on its primary market for more than two hours of trading
or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion;

&nbsp;&nbsp;&nbsp;&nbsp;· a
suspension, absence or material limitation of trading in option or futures contracts relating to such Underlying Stock, if available,
in the primary market for those contracts for more than two hours of trading or during the one-half hour before the close of trading
in that market, as determined by the calculation agent in its sole discretion;

&nbsp;&nbsp;&nbsp;&nbsp;· such
Underlying Stock does not trade on the New York Stock Exchange, the Nasdaq Global Select Market, the Nasdaq Global Market or what was
the primary market for such Underlying Stock, as determined by the calculation agent in its sole discretion; or

&nbsp;&nbsp;&nbsp;&nbsp;· any
other event, if the calculation agent determines in its sole discretion that the event materially interferes with our ability or the
ability of any of our affiliates to unwind all or a material portion of a hedge with respect to the notes that we or our affiliates have
effected or may effect.

The following events will not be a market disruption event with respect to an Underlying Stock:

&nbsp;&nbsp;&nbsp;&nbsp;· a
limitation on the hours or number of days of trading in such Underlying Stock in its primary market, but only if the limitation results
from an announced change in the regular business hours of the relevant market; and

&nbsp;&nbsp;&nbsp;&nbsp;· a
decision to permanently discontinue trading in the option or futures contracts relating to such Underlying Stock.

For this purpose, a "suspension, absence or material limitation of trading" in the applicable market will not include any time when that market is itself closed for trading under ordinary circumstances. In contrast, a "suspension, absence or material limitation of trading" in the applicable market for such Underlying Stock or option or futures contracts relating to such Underlying Stock, as applicable, by reason of any of:

&nbsp;&nbsp;&nbsp;&nbsp;· a
price change exceeding limits set by that market;

&nbsp;&nbsp;&nbsp;&nbsp;· an
imbalance of orders relating to such Underlying Stock or those contracts; or

&nbsp;&nbsp;&nbsp;&nbsp;· a
disparity in bid and asked quotes relating to such Underlying Stock or those contracts

will constitute a "suspension, absence or material limitation of trading" in such Underlying Stock or those contracts, as the case may be, in the applicable market.

**Adjustment Events**

The adjustment factor for an Underlying Stock is initially 1.0. However, the adjustment factor for an Underlying Stock is subject to adjustment by the calculation agent as a result of the dilution and reorganization events described in this section. The adjustments described below do not cover all events that could affect the Underlying Stocks and, consequently, the value of your notes, such as a tender or exchange offer by the applicable Underlying Stock Issuer for such Underlying Stock at a premium to its market price or a tender or exchange offer made by a third party for less than all outstanding shares of such Underlying Stock. We describe the risks relating to dilution above under "Risk Factors—Additional Risk Factors Relating to Notes Linked to An Underlying Stock—You Have Limited Anti-dilution Protection."

***How adjustments will be made***

If one of the events described below occurs with respect to an Underlying Stock and the calculation agent determines that the event has a dilutive or concentrative effect on the market price of such Underlying Stock, the calculation agent will calculate a corresponding adjustment to the adjustment factor for such Underlying Stock as the calculation agent deems appropriate to account for that dilutive or concentrative effect. For example, if an adjustment is required because of a two-for-one stock split, then the adjustment factor for such Underlying Stock will be adjusted by the calculation agent by multiplying the existing adjustment factor by a fraction whose numerator is the number of shares of such Underlying Stock outstanding immediately after the stock split and whose denominator is the number of shares of such Underlying Stock outstanding immediately prior to the stock split. Consequently, the adjustment factor for such Underlying Stock will be adjusted to double the prior adjustment factor, due to the corresponding decrease in the market price of such Underlying Stock. Adjustments to the adjustment factor for an Underlying Stock will be made for events with an effective date or ex-dividend date, as applicable, from but excluding the pricing date to and including the applicable calculation day for such Underlying Stock (the "<u>adjustment period</u>").

The calculation agent will also determine the effective date of that adjustment, and the replacement of an Underlying Stock, if applicable, in the event of a consolidation or merger or certain other events in respect of the applicable Underlying Stock Issuer. Upon making any such adjustment, the calculation agent will give notice as soon as practicable to the trustee and the paying agent, stating the adjustment to the adjustment factor of such Underlying Stock. The calculation agent will not be required to make any adjustments to the adjustment factor for purposes of calculating the stock closing price for a calculation day after the close of business on such calculation day; *provided* that any such adjustments to the adjustment factor will be taken into account for purposes of determining the stock closing price for any subsequent calculation day. In no event, however, will an anti-dilution adjustment to the adjustment factor of an Underlying Stock during the term of the notes be deemed to change the stated principal amount per note.

If more than one event requiring adjustment occurs with respect to an Underlying Stock, the calculation agent will make an adjustment for each event in the order in which the events occur, and on a cumulative basis. Thus, having made an adjustment for the first event, the calculation agent will adjust the adjustment factor for such Underlying Stock for the second event, applying the required adjustment to the adjustment factor for such Underlying Stock as already adjusted for the first event, and so on for any subsequent events.

For any dilution event described below, other than a consolidation or merger, the calculation agent will not have to adjust the adjustment factor for an Underlying Stock unless the adjustment would result in a change to the adjustment factor of such Underlying Stock then in effect of at least 0.10%. The adjustment factor of such Underlying Stock resulting from any adjustment will be rounded up or down, as appropriate, to the nearest one-hundred thousandth.

If an event requiring an anti-dilution adjustment occurs with respect to an Underlying Stock, the calculation agent will make the adjustment with a view to offsetting, to the extent practical, any change in your economic position relative to your notes that results solely from that event. The calculation agent may, in its sole discretion, modify the anti-dilution adjustments as necessary to ensure an equitable result.

The calculation agent will make all determinations with respect to anti-dilution adjustments, including any determination as to whether an event requiring adjustment has occurred with respect to an Underlying Stock, as to the nature of the adjustment required for such Underlying Stock and how it will be made or as to the value of any property distributed in a reorganization event, and will do so in its sole discretion. In the absence of manifest error, those determinations will be conclusive for all purposes and will be binding on you and us, without any liability on the part of the calculation agent. You will not be entitled to any compensation from us for any loss suffered as a result of any of these determinations by the calculation agent. The calculation agent will provide information about the adjustments that it makes upon your written request.

If any of the adjustments specified below is required to be made with respect to an amount or value of any cash or other property that is distributed by an Underlying Stock Issuer organized outside the United States, such amount or value will be converted to U.S. dollars, as applicable, and will be reduced by any applicable foreign withholding taxes that would apply to such distribution if such distribution were paid to a U.S. person that is eligible for the benefits of an applicable income tax treaty, if any, between the United States and the jurisdiction of organization of such Underlying Stock Issuer, as determined by the calculation agent, in its sole discretion.

No adjustments will be made for certain other events, such as offerings of common stock by an Underlying Stock Issuer for cash or in connection with the occurrence of a partial tender or exchange offer for an Underlying Stock by the Underlying Stock Issuer of such Underlying Stock or any other person.

***Stock Splits and Reverse Stock Splits***

A stock split is an increase in the number of a corporation's outstanding shares of stock without any change in its stockholders' equity. Each outstanding share will be worth less as a result of a stock split.

A reverse stock split is a decrease in the number of a corporation's outstanding shares of stock without any change in its stockholders' equity. Each outstanding share will be worth more as a result of a reverse stock split.

If an Underlying Stock is subject to a stock split or a reverse stock split, then once the split has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock to equal the product of the prior adjustment factor of such Underlying Stock and the number of shares issued in such stock split or reverse stock split with respect to one share of such Underlying Stock.

***Stock Dividends***

In a stock dividend, a corporation issues additional shares of its stock to all holders of its outstanding stock in proportion to the shares they own. Each outstanding share will be worth less as a result of a stock dividend.

If an Underlying Stock is subject to a stock dividend payable in shares of such Underlying Stock that is given ratably to all holders of shares of such Underlying Stock, then once the dividend has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock on the ex-dividend date to equal the sum of the prior adjustment factor for such Underlying Stock and the product of:

&nbsp;&nbsp;&nbsp;&nbsp;· the
number of shares issued with respect to one share of such Underlying Stock, and

&nbsp;&nbsp;&nbsp;&nbsp;· the
prior adjustment factor for such Underlying Stock.

The "<u>ex-dividend date</u>" for any dividend or other distribution is the first day on and after which such Underlying Stock trades without the right to receive that dividend or distribution.

***No Adjustments for Other Dividends and Distributions***

Unless otherwise specified in the applicable pricing supplement, the adjustment factor for an Underlying Stock will not be adjusted to reflect dividends, including cash dividends, or other distributions paid with respect to such Underlying Stock, other than:

&nbsp;&nbsp;&nbsp;&nbsp;· stock
dividends described above,

&nbsp;&nbsp;&nbsp;&nbsp;· issuances
of transferable rights and warrants as described in " —Transferable Rights and Warrants" below,

&nbsp;&nbsp;&nbsp;&nbsp;· distributions
that are spin-off events described in " —Reorganization Events" below, and

&nbsp;&nbsp;&nbsp;&nbsp;· extraordinary
dividends described below.

For purposes of determining whether an extraordinary dividend has occurred with respect to an Underlying Stock:

&nbsp;&nbsp;&nbsp;&nbsp;· " <u>extraordinary dividend</u> "
means any cash dividend or distribution (or portion thereof) that the calculation agent determines, in its sole discretion, is extraordinary
or special;

&nbsp;&nbsp;&nbsp;&nbsp;· " <u>extraordinary dividend amount</u> " with respect to an extraordinary dividend for an Underlying Stock will equal the amount per share (or other applicable
security) of such Underlying Stock of the applicable cash dividend or distribution that is attributable to the extraordinary dividend,
as determined by the calculation agent in its sole discretion; and

&nbsp;&nbsp;&nbsp;&nbsp;· " <u>extraordinary dividend base closing price</u> " means the closing price of such Underlying Stock on the trading day preceding the ex-dividend date for the
payment of such cash dividend or other cash distribution.

If an Underlying Stock is subject to an extraordinary dividend, then once the extraordinary dividend has become effective the calculation agent will adjust the adjustment factor for such Underlying Stock on the ex-dividend date to equal the product of:

&nbsp;&nbsp;&nbsp;&nbsp;· the
prior adjustment factor for such Underlying Stock, and

&nbsp;&nbsp;&nbsp;&nbsp;· a
fraction, the numerator of which is the extraordinary dividend base closing price of such Underlying Stock on the trading day preceding
the ex-dividend date and the denominator of which is the amount by which the extraordinary dividend base closing price of such Underlying
Stock on the trading day preceding the ex-dividend date exceeds the extraordinary dividend amount.

Notwithstanding anything herein, the initiation by an Underlying Stock Issuer of an ordinary dividend on such Underlying Stock or any announced increase in the ordinary dividend on such Underlying Stock will not constitute an extraordinary dividend requiring an adjustment.

To the extent an extraordinary dividend is not paid in cash or is paid in a currency other than U.S. dollars, the value of the non-cash component or non-U.S. currency will be determined by the calculation agent, in its sole discretion. A distribution on an Underlying Stock that is a dividend payable in shares of such Underlying Stock, an issuance of rights or warrants or a spin-off event and also an extraordinary dividend will result in an adjustment to the number of shares of such Underlying Stock only as described in "—Stock Dividends" above, "—Transferable Rights and Warrants" below or "—Reorganization Events" below, as the case may be, and not as described here.

***Transferable Rights and Warrants***

If an Underlying Stock Issuer issues transferable rights or warrants to all holders of such Underlying Stock to subscribe for or purchase such Underlying Stock at an exercise price per share that is less than the closing price of such Underlying Stock on the trading day before the ex-dividend date for the issuance, then the adjustment factor for such Underlying Stock will be adjusted to equal the product of:

&nbsp;&nbsp;&nbsp;&nbsp;· the
prior adjustment factor for such Underlying Stock, and

&nbsp;&nbsp;&nbsp;&nbsp;· a
fraction, (1) the numerator of which will be the number of shares of such Underlying Stock outstanding at the close of trading on the
trading day before the ex-dividend date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the total number
of shares of such Underlying Stock offered for subscription or purchase pursuant to the rights or warrants

and (2) the denominator of which will be the number of shares of such Underlying Stock outstanding at the close of trading on the trading day before the ex-dividend date (as adjusted for any subsequent event requiring an adjustment hereunder) plus the number of additional shares of such Underlying Stock (referred to herein as the "<u>additional shares</u>") that the aggregate offering price of the total number of shares of such Underlying Stock so offered for subscription or purchase pursuant to the rights or warrants would purchase at the closing price on the trading day before the ex-dividend date for the issuance.

The number of additional shares will be equal to:

&nbsp;&nbsp;&nbsp;&nbsp;· the
product of (1) the total number of shares of such Underlying Stock offered for subscription or purchase pursuant to the rights or warrants
and (2) the exercise price of the rights or warrants, divided by

&nbsp;&nbsp;&nbsp;&nbsp;· the
closing price of such Underlying Stock on the trading day before the ex-dividend date for the issuance.

If the number of shares of such Underlying Stock actually delivered in respect of the rights or warrants differs from the number of shares of such Underlying Stock offered in respect of the rights or warrants, then the adjustment factor for such Underlying Stock will promptly be readjusted to the adjustment factor for such Underlying Stock that would have been in effect had the adjustment been made on the basis of the number of shares of such Underlying Stock actually delivered in respect of the rights or warrants.

***Reorganization Events***

Each of the following is a reorganization event with respect to an Underlying Stock:

&nbsp;&nbsp;&nbsp;&nbsp;· such
Underlying Stock is reclassified or changed (other than in a stock split or reverse stock split),

&nbsp;&nbsp;&nbsp;&nbsp;· the
applicable Underlying Stock Issuer has been subject to a merger, consolidation or other combination and either is not the surviving entity
or is the surviving entity but all outstanding shares of such Underlying Stock are exchanged for or converted into other property,

&nbsp;&nbsp;&nbsp;&nbsp;· a
statutory share exchange involving outstanding shares of such Underlying Stock and the securities of another entity occurs, other than
as part of an event described above,

&nbsp;&nbsp;&nbsp;&nbsp;· the
applicable Underlying Stock Issuer sells or otherwise transfers its property and assets as an entirety or substantially as an entirety
to another entity,

&nbsp;&nbsp;&nbsp;&nbsp;· the
applicable Underlying Stock Issuer effects a spin-off, other than as part of an event described above (in a spin-off, a corporation issues
to all holders of its common stock equity securities of another issuer), or

&nbsp;&nbsp;&nbsp;&nbsp;· the
applicable Underlying Stock Issuer is liquidated, dissolved or wound up or is subject to a proceeding under any applicable bankruptcy,
insolvency or other similar law, or another entity completes a tender or exchange offer for all the outstanding shares of such Underlying
Stock.

***Adjustments for Reorganization Events***

If a reorganization event occurs with respect to an Underlying Stock, then, on or after the date of such event, the calculation agent shall, in its sole discretion, make an adjustment to the adjustment factor for such Underlying Stock or the method of determining the maturity payment amount or any other terms of the notes as the calculation agent determines appropriate to account for the economic effect on the notes of such event, and determine the effective date of that adjustment. If the calculation agent determines in its sole discretion (which, for the avoidance of doubt, it is not required to do) that such adjustment shall include the selection of a successor Underlying Stock other than the common equity securities of the surviving or acquiring entity in such reorganization event or of the entity whose securities are issued in a spin-off reorganization event (such determination, a "<u>replacement stock event</u>"), such successor Underlying Stock shall be selected in accordance with "Replacement Stock Events" below.

If a reorganization event occurs with respect to the shares of an Underlying Stock and the calculation agent selects a successor Underlying Stock, the calculation agent will make further anti-dilution adjustments for any later events that affect such successor Underlying Stock. The calculation agent will do so to the same extent that it would make adjustments if the shares of such Underlying Stock were outstanding and were affected by the same kinds of events.

***Replacement Stock Events***

Following the occurrence of a replacement stock event described in "Adjustments for Reorganization Events" above or in "—Delisting of an Underlying Stock or Termination of an American Depositary Receipt Facility" below with respect to an Underlying Stock, the calculation agent shall select the replacement stock in accordance with the following paragraphs.

The "<u>replacement stock</u>" will be the stock having the closest implied volatility to the applicable original Underlying Stock among the stocks that then comprise the replacement stock selection index (or, if publication of such index is discontinued, any successor or substitute index selected by the calculation agent in its sole discretion) with the same GICS Code (as defined below) as the applicable original Underlying Stock Issuer, where the manner of determining and timing of observing the implied volatility of each prospective replacement stock and the applicable original Underlying Stock will be determined by the calculation agent in good faith and in a commercially reasonable manner; *provided*, however, that a replacement stock will not include (i) any stock that is subject to a trading restriction under the trading restriction policies of Citigroup Global Markets Holdings Inc., any of its hedging counterparties or any of their affiliates that would materially limit the ability of Citigroup Global Markets Holdings Inc., any of its hedging counterparties or any of their affiliates to hedge the notes with respect to such stock, (ii) any stock for which the aggregate number of shares to be referenced by the notes (equal to the product of (a) (i) the aggregate stated principal amount outstanding *divided by* (ii) the starting value of the applicable Underlying Stock and (b) the adjustment factor that would be in effect immediately after selection of such stock as the replacement stock) exceeds 25% of the ADTV (as defined in Rule 100(b) of Regulation M under the Exchange Act) for such stock as of the effective date of the replacement stock event or (iii) any stock that the calculation agent determines differs materially from the original Underlying Stock in terms of dividend yield or the cost of borrowing such stock (any stock excluded under clause (i), (ii) or (iii), an "<u>excluded stock</u>"). For the avoidance of doubt, the calculation agent may observe the implied volatility of each prospective replacement stock and the applicable original Underlying Stock at different times. For example, the calculation agent may observe the implied volatility of each replacement stock at or about the time of the replacement, and observe the implied volatility of the applicable original Underlying Stock on the pricing date or immediately prior to the public announcement of the applicable replacement stock event, in each case as determined by the calculation agent in good faith and in a commercially reasonable manner.

If a replacement stock event occurs, the calculation agent shall determine the adjustment factor with respect to the replacement stock in such manner as the calculation agent determines appropriate to account for the economic effect on the notes of such replacement stock event.

"<u>GICS Code</u>" means the Global Industry Classification Standard ("<u>GICS</u>") sub-industry code assigned to the applicable Underlying Stock Issuer; *provided*, however, if (i) there is no other stock in the replacement stock selection index in the same GICS sub-industry or (ii) a replacement stock that is not an excluded stock cannot be identified from the replacement stock selection index in the same GICS sub-industry, the GICS Code will mean the GICS industry code assigned to such original Underlying Stock Issuer. If no GICS Code has been assigned to such original Underlying Stock Issuer, the applicable GICS Code will be determined by the calculation agent to be the GICS sub-industry code assigned to companies in the same sub-industry (or, subject to the proviso in the preceding sentence, industry, as applicable) as such original Underlying Stock Issuer at the time of the relevant replacement stock event.

The "<u>replacement stock selection index</u>" means the S&P 500<sup>®</sup> Index.

*Delisting of an Underlying Stock or Termination of an American Depositary Receipt Facility*. If an Underlying Stock is no longer listed or admitted to trading on a U.S. securities exchange registered under the Exchange Act, or if an Underlying Stock is an American Depositary Share and the American depositary receipt facility between the applicable Underlying Stock Issuer and the depositary is terminated for any reason, then, in any such case, the calculation agent may (but is not required to) determine that a replacement stock event shall be deemed to occur.

**Consequences of a Market Disruption Event; Postponement of a Calculation Day** 

As used in this section, the "<u>final disrupted calculation day</u>" means, with respect to a calculation day, (i) for an Index or a Fund, the eighth trading day for that Index or Fund after such originally scheduled calculation day or (ii) for an Underlying Stock, the eighth scheduled trading day for that Underlying Stock after such originally scheduled calculation day.

***Notes Linked to a Single Market Measure***

If any calculation day is not a trading day with respect to the Market Measure, such calculation day will be postponed to the next succeeding day that is a trading day with respect to the Market Measure.

If a market disruption event occurs or is continuing with respect to the Market Measure on any calculation day, then such calculation day will be postponed to the first succeeding trading day for the Market Measure on which a market disruption event for the Market Measure has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the final disrupted calculation day for the Market Measure, that final disrupted calculation day shall be deemed to be the calculation day. If a calculation day has been postponed to the final disrupted calculation day and a market disruption event occurs or is continuing with respect to the Market Measure on such final disrupted calculation day, the calculation agent will determine the closing value of the Market Measure on such final disrupted calculation day:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) in the case of an Index, in accordance with the formula for and method of
calculating the closing level of such Index last in effect prior to commencement of the market disruption event, using the closing price
(or, with respect to any relevant security, if trading in such security has been materially suspended or materially limited, its good
faith estimate of the value of such security at (a) with respect to an Index that is not a multiple exchange index, the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant
stock exchange

or (b) with respect to a multiple exchange index, the time at which the official closing level of such Index is calculated and published by the relevant index sponsor) on such date of each security included in such Index;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) in the case of a Fund, based on its good faith estimate of the value of
the shares (or other applicable securities) of such Fund as of the close of trading on such date; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) in the case of an Underlying Stock, by using its good faith estimate of
the closing price that would have prevailed for such Underlying Stock on such day.

As used in (i) above, "<u>closing price</u>" means, with respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of (a) with respect to an Index that is not a multiple exchange index, the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or (b) with respect to a multiple exchange index, the time at which the official closing level of such Index is calculated and published by the relevant index sponsor.

***Notes Linked to Multiple Market Measures***

If any calculation day is not a trading day with respect to any Market Measure, such calculation day for each Market Measure will be postponed to the next succeeding day that is a trading day with respect to each Market Measure.

If a market disruption event occurs or is continuing with respect to any Market Measure on any calculation day, then such calculation day for such Market Measure will be postponed to the first succeeding trading day for such Market Measure on which a market disruption event for such Market Measure has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the final disrupted calculation day for such Market Measure, that final disrupted calculation day shall be deemed to be the calculation day for such Market Measure. If a calculation day for a Market Measure has been postponed to the final disrupted calculation day for that Market Measure and a market disruption event occurs or is continuing with respect to such Market Measure on such final disrupted calculation day, the calculation agent will determine the closing value of such Market Measure on such final disrupted calculation day:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) in the case of an Index, in accordance with the formula for and method of
calculating the closing level of such Index last in effect prior to commencement of the market disruption event, using the closing price
(or, with respect to any relevant security, if trading in such security has been materially suspended or materially limited, its good
faith estimate of the value of such security at (a) with respect to an Index that is not a multiple exchange index, the scheduled closing
time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant
stock exchange or (b) with respect to a multiple exchange index, the time at which the official closing level of such Index is calculated
and published by the relevant index sponsor) on such date of each security included in such Index;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) in the case of a Fund, based on its good faith estimate of the value of
the shares (or other applicable securities) of such Fund as of the close of trading on such date; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) in the case of an Underlying Stock, by using its good faith estimate of
the closing price that would have prevailed for such Underlying Stock on such day.

As used in (i) above, "<u>closing price</u>" means, with respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of (a) with respect to an Index that is not a multiple exchange index, the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange or (b) with respect to a multiple exchange index, the time at which the official closing level of such Index is calculated and published by the relevant index sponsor.

Notwithstanding the postponement of a calculation day for a Market Measure due to a market disruption event with respect to such Market Measure on such calculation day, the originally scheduled calculation day will remain the calculation day for any Market Measure not affected by a market disruption event on such day.

**Payment Dates**

The applicable pricing supplement will specify the stated maturity date as well as any other date on which amounts will or may be payable on the notes (each referred to in this section as a "<u>payment date</u>").

If any scheduled payment date is not a business day, the payment (if any) required to be made on the notes on such payment date will be made on the next succeeding business day. If a calculation day with respect to any payment date preceding the stated maturity date is postponed, the relevant payment date will be the business day that follows such postponed calculation day by a number of business days equal to the number of business days between the originally scheduled calculation day and the originally scheduled payment date. If the final calculation day is postponed, the stated maturity date will be the later of (i) the originally scheduled stated maturity date and (ii) three business days after the final calculation day as postponed. If the notes are linked to more than one Market Measure and a calculation day is postponed, the related payment date will be postponed as described in this paragraph after the last such calculation day as postponed.

If any payment date is postponed due to a non-business day, a market disruption event on the related calculation day or otherwise, the payment, if any, due on that payment date will be made on that payment date as so postponed with the same force and effect as if it had been made on the originally scheduled payment date, that is, with no additional amount accruing or payable as a result of the postponement.

**Calculations and Calculation Agent**

Unless otherwise specified in the applicable pricing supplement, the "<u>calculation agent</u>" for each issuance of notes will be our affiliate, CGMI, or any successor appointed by us. The calculation agent will make the determinations specified in this product supplement or in the applicable pricing supplement.

The calculation agent will determine any amounts payable on the notes. In addition, the calculation agent will, among other things:

· determine whether a market disruption
event has occurred;

· determine the closing value
of a Market Measure under certain circumstances;

· determine if adjustments are
required to the closing value of a Market Measure under various circumstances;

· if publication of an Index is
discontinued, select a successor equity index or, if no successor equity index is available, determine the closing level of such Index;

· if a Fund undergoes a liquidation
event, select a successor fund or, if no successor fund is available, determine the fund closing price of such Fund;

· if a reorganization event occurs
with respect to a Fund or an Underlying Stock, determine the adjustments to be made to the terms of the notes to account for the economic
effect on the notes of such event; and

· select a replacement stock for
an Underlying Stock under certain circumstances.

All calculations with respect to the maturity payment amount will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (e.g., 0.000005 would be rounded to 0.00001); and the maturity payment amount will be rounded to the nearest cent, with one-half cent rounded upward.

All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest error, be conclusive for all purposes and binding on Citigroup Global Markets Holdings Inc., Citigroup Inc. and the holders of the notes. The calculation agent is obligated to carry out its duties and functions in good faith and using its reasonable judgment.

**Events of Default and Acceleration** 

If an event of default with respect to an issue of notes has occurred and is continuing, the amount payable to a holder of a note upon any acceleration permitted by such notes, with respect to each note, will be equal to the maturity payment amount, calculated as provided in the applicable pricing supplement. If the applicable pricing supplement specifies that the notes will pay a coupon, then the amount described in the immediately preceding sentence will also include a portion of a final coupon payment, if any. The maturity payment amount and any final coupon payment will be calculated as though the date of acceleration were the calculation day (or the final calculation day, if there is more than one calculation day). The final coupon payment, if any, will be prorated from and including the immediately preceding coupon payment date to, but excluding, the date of acceleration.

**Plan of Distribution; Conflicts of Interest**

Pursuant to the terms of the Amended and Restated Global Selling Agency Agreement, dated April 7, 2017, CGMI, acting as principal, will purchase the notes from Citigroup Global Markets Holdings Inc. CGMI, as the lead agent for each offering of notes, expects to sell the notes to Wells Fargo Securities, LLC ("<u>Wells Fargo</u>"), as agent.

Unless otherwise specified in the applicable pricing supplement, Wells Fargo will receive an underwriting discount and commission for each note it sells. Wells Fargo will pay selected dealers, which may include Wells Fargo Advisors ("<u>WFA</u>"), a fixed selling commission for each note they sell. In addition to the selling commission allowed to WFA, Wells Fargo may pay a portion of the underwriting discount and commission to WFA as a distribution expense fee for each note sold by WFA.

In addition, in respect of certain notes sold in an offering, CGMI may pay a fee to selected securities dealers in consideration for marketing and other services in connection with the distribution of the notes to other securities dealers.

For the avoidance of doubt, any fees or selling concessions described in the applicable pricing supplement will not be rebated if the notes are redeemed prior to maturity pursuant to the terms in the applicable pricing supplement.

The public offering price of the notes includes any underwriting discount and commission described on the cover page of the applicable pricing supplement and the estimated cost of hedging our obligations under the notes. We expect to hedge our obligations under the notes through affiliated or unaffiliated counterparties, which may include our affiliates and affiliates of Wells Fargo. Our cost of hedging will include the projected profit that such counterparties, which may include our affiliates and affiliates of Wells Fargo, expect to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Because hedging our obligations entails risks and may be influenced by market forces beyond the control of any counterparty, which may include our affiliates and affiliates of Wells Fargo, such hedging may result in a profit that is more or less than expected, or could result in a loss.

The applicable pricing supplement, this product supplement, the accompanying prospectus supplement and prospectus may be used by Wells Fargo or an affiliate of Wells Fargo in connection with offers and sales related to market-making or other transactions in the notes. Wells Fargo or an affiliate of Wells Fargo may act as principal or agent in such transactions. Such sales will be made at prices related to prevailing market prices at the time of sale or otherwise.

No action has been or will be taken by Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them that would permit a public offering of the notes or possession or distribution of the applicable pricing supplement, this product supplement, the accompanying prospectus supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries of the notes, or distribution of the applicable pricing supplement, this product supplement, the accompanying prospectus supplement or prospectus, may be made in or from any jurisdiction except in circumstances that will result in compliance with any applicable laws and regulations and will not impose any obligations on Citigroup Global Markets Holdings Inc., Wells Fargo or any broker-dealer affiliates of any of them.

CGMI is an affiliate of Citigroup Global Markets Holdings Inc. Accordingly, each offering will conform with the requirements addressing conflicts of interest when distributing the securities of an affiliate set forth in Rule 5121 of the Financial Industry Regulatory Authority. Client accounts over which Citigroup Inc. or its subsidiaries have investment discretion will not be permitted to purchase the notes, either directly or indirectly, without the prior written consent of the client.

Citigroup Global Markets Holdings Inc. has agreed to indemnify CGMI against liabilities relating to material misstatements and omissions with respect to the notes, or to contribute to payments that CGMI may be required to make relating to these liabilities. Citigroup Global Markets Holdings Inc. will reimburse CGMI for customary legal and other expenses incurred by CGMI in connection with the offer and sale of the notes.

Currently, secondary market sales of securities typically settle two business days after the date on which the parties agree to the sale. Beginning May 28, 2024, secondary market sales of securities will typically settle on the next business day after the parties agree to the sale. Prior to May 28, 2024, if the issue date for the notes is more than two business days after the pricing date, investors who wish to sell the notes at any time prior to the second business day preceding the issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Beginning May 28, 2024, if the issue date for the notes is more than one business day after the pricing date, investors who wish to sell the notes at any time prior to the business day preceding the issue date will be required to specify an alternative settlement date for the secondary market sale to prevent a failed settlement. Investors should consult their own investment advisors in this regard.

**Certain Selling Restrictions**

***Prohibition of Sales to European Economic Area Retail Investors***

The notes may not be offered, sold or otherwise made available to any retail investor in the European Economic Area ("EEA"). For the purposes of this provision:

&nbsp;&nbsp;&nbsp;&nbsp;(a) the expression "retail investor" means a person who is one (or
more) of the following:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU
(as amended, "MiFID II"); or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) a customer within the meaning of Directive (EU) 2016/97 (the "Insurance
Distribution Directive"), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1)
of MiFID II; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) not a qualified investor as defined in Regulation (3)(e) (EU) 2017/1129
(as amended, the "Prospectus Regulation"); and

&nbsp;&nbsp;&nbsp;&nbsp;(b) the expression an "offer" includes the communication in any
form and by any means of sufficient information on the terms of the offer and the notes to be offered so as to enable an investor to decide
to purchase or subscribe for the notes.

Consequently no key information document required by Regulation (EU) No 1286/2014 (the "PRIIPs Regulation") for offering or selling the notes or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling the notes or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.

***Prohibition of Sales to United Kingdom Retail Investors***

The notes may not be offered, sold or otherwise made available to any retail investor in the United Kingdom. For the purposes of this provision:

&nbsp;&nbsp;&nbsp;&nbsp;(a) the expression "retail investor" means a person who is one (or
more) of the following:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) a retail client, as defined in point (8) of Article 2 of Regulation (EU)
No 2017/565 as it forms part of United Kingdom domestic law by virtue of the European Union (Withdrawal) Act 2018 (the "EUWA")
and the regulations made under the EUWA; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) a customer within the meaning of the provisions of the Financial Services
and Markets Act 2000 (as amended) (the "FSMA") and any rules or regulations made under the FSMA to implement Directive (EU)
2016/97, where that customer would not qualify as a professional client, as defined in point (8) of Article 2(1) of Regulation (EU) No
600/2014 as it forms part of United Kingdom domestic law by virtue of the EUWA and the regulations made under the EUWA; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) not a qualified investor as defined in Regulation (3)(e) of the Prospectus
Regulation; and

&nbsp;&nbsp;&nbsp;&nbsp;(b) the expression an "offer" includes the communication in any
form and by any means of sufficient information on the terms of the offer and the notes to be offered so as to enable an investor to decide
to purchase or subscribe for the notes.

Consequently no key information document required by Regulation (EU) No 1286/2014 as it forms part of domestic law by virtue of the EUWA (the "UK PRIIPs Regulation") for offering or selling any notes or otherwise making them available to retail investors in the United Kingdom has been prepared and therefore offering or selling any notes or otherwise making them available to any retail investor in the United Kingdom may be unlawful under the UK PRIIPs Regulation.

**Benefit Plan Investor Considerations**

A fiduciary of a pension, profit-sharing or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended ("<u>ERISA</u>"), including entities such as collective investment funds, partnerships and separate accounts whose underlying assets include the assets of such plans (collectively, "<u>ERISA Plans</u>"), should consider the fiduciary standards of ERISA in the context of the ERISA Plan's particular circumstances before authorizing an investment in the notes. Among other factors, the fiduciary should consider whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the ERISA Plan.

Section 406 of ERISA and Section 4975 of the Internal Revenue Code of 1986, as amended (the "<u>Code</u>"), prohibit ERISA Plans, as well as plans (including individual retirement accounts and Keogh plans) subject to Section 4975 of the Code (together with ERISA Plans, "<u>Plans</u>"), from engaging in certain transactions involving the "plan assets" with persons who are "parties in interest" under ERISA or "disqualified persons" under Section 4975 of the Code (in either case, "<u>Parties in Interest</u>") with respect to such Plans. As a result of our business, we, and our current and future affiliates, may be Parties in Interest with respect to many Plans. Where we (or our affiliate) are a Party in Interest with respect to a Plan (either directly or by reason of our ownership interests in our directly or indirectly owned subsidiaries), the purchase and holding of the notes by or on behalf of the Plan could be a prohibited transaction under Section 406 of ERISA and/or Section 4975 of the Code, unless exemptive relief were available under an applicable exemption (as described below).

Certain prohibited transaction class exemptions ("<u>PTCEs</u>") issued by the U.S. Department of Labor may provide exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of the notes. Those class exemptions are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified asset managers). In addition, ERISA Section 408(b)(17) and Section 4975(d)(20) of the Code may provide a limited exemption for the purchase and sale of the notes and related lending transactions, provided that neither the issuer of the notes nor any of its affiliates have or exercise any discretionary authority or control or render any investment advice with respect to the assets of the Plan involved in the transaction and provided further that the Plan pays no more, and receives no less, than adequate consideration in connection with the transaction (the so-called "service provider exemption"). There can be no assurance that any of these statutory or class exemptions will be available with respect to transactions involving the notes.

Accordingly, the notes may not be purchased or held by any Plan, any entity whose underlying assets include "plan assets" by reason of any Plan's investment in the entity (a "<u>Plan Asset Entity</u>") or any person investing "plan assets" of any Plan, unless such purchaser or holder is eligible for the exemptive relief available under PTCE 96-23, 95-60, 91-38, 90-1 or 84-14 or the service provider exemption or there is some other basis on which the purchase and holding of the notes will not constitute a non-exempt prohibited transaction under ERISA or Section 4975 of the Code. Each purchaser or holder of the notes or any interest therein will be deemed to have represented by its purchase or holding of the notes that (a) it is not a Plan and its purchase and holding of the notes is not made on behalf of or with "plan assets" of any Plan or (b) its purchase and holding of the notes will not result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code.

Certain governmental plans (as defined in Section 3(32) of ERISA), church plans (as defined in Section 3(33) of ERISA) and non-U.S. plans (as described in Section 4(b)(4) of ERISA) ("<u>Non-ERISA Arrangements</u>") are not subject to these "prohibited transaction" rules of ERISA or Section 4975 of the Code, but may be subject to similar rules under other applicable laws or regulations ("<u>Similar Laws</u>"). Accordingly, each such purchaser or holder of the notes shall be required to represent (and deemed to have represented by its purchase of the notes) that such purchase and holding is not prohibited under applicable Similar Laws.

Due to the complexity of these rules, it is particularly important that fiduciaries or other persons considering purchasing the notes on behalf of or with "plan assets" of any Plan consult with their counsel regarding the relevant provisions of ERISA, the Code or any Similar Laws and the availability of exemptive relief under PTCE 96-23, 95-60, 91-38, 90-1, 84-14, the service provider exemption or some other basis on which the acquisition and holding will not constitute a non-exempt prohibited transaction under ERISA or Section 4975 of the Code or a violation of any applicable Similar Laws.

The notes are contractual financial instruments. The financial exposure provided by the notes is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized investment management or advice for the benefit of any purchaser or holder of the notes. The notes have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of any purchaser or holder of the notes.

Each purchaser and holder of the notes has exclusive responsibility for ensuring that its purchase, holding and subsequent disposition of the notes does not violate the fiduciary or prohibited transaction rules of ERISA, the Code or any applicable Similar Laws. The sale of any notes to any Plan is in no respect a representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements with respect to investments by Plans or Non-ERISA Arrangements generally or any particular Plan or Non-ERISA Arrangement, or that such an investment is appropriate for Plans or Non-ERISA Arrangements generally or any particular Plan or Non-ERISA Arrangement.

However, individual retirement accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to purchase or hold the notes if the account, plan or annuity is for the benefit of an employee of CGMI or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of notes by the account, plan or annuity.

**United States Federal Tax Considerations**

The following is a discussion of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the notes. It applies to you only if you purchase a note for cash in the initial offering at the "issue price," which is the first price at which a substantial amount of the notes is sold to the public (not including sales to bond houses, brokers or similar persons or organizations acting in the capacity of underwriters, placement agents or wholesalers), and hold it as a capital asset within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the "Code"). Purchasers of notes at another time or price should consult their tax advisers regarding the U.S. federal tax consequences to them of the ownership and disposition of the notes. This discussion does not address all of the tax consequences that may be relevant to you in light of your particular circumstances or if you are a holder subject to special rules, such as:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a financial institution;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a "regulated investment
company";

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a tax-exempt entity, including
an "individual retirement account" or "Roth IRA";

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a dealer or trader subject to
a mark-to-market method of tax accounting with respect to the notes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a person holding a note as part
of a "straddle" or conversion transaction or one who enters into a "constructive sale" with respect to a note;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a person subject to special
tax accounting rules under Section 451(b) of the Code;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a U.S. Holder (as defined below)
whose functional currency is not the U.S. dollar; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· an entity classified as a partnership
for U.S. federal income tax purposes.

If an entity that is classified as a partnership for U.S. federal income tax purposes holds the notes, the U.S. federal income tax treatment of a partner will generally depend on the status of the partner and the activities of the partnership. If you are a partnership holding the notes or a partner in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the notes to you.

We will not attempt to ascertain whether any issuer of any Underlying Stock, or shares that underlie an Index, to which the notes relate (collectively, the "<u>Underlying Equity</u>") should be treated as a "U.S. real property holding corporation" ("<u>USRPHC</u>") within the meaning of Section 897 of the Code or a "passive foreign investment company" ("<u>PFIC</u>") within the meaning of Section 1297 of the Code. If any issuer of the Underlying Equity were so treated, certain adverse U.S. federal income tax consequences might apply to you in the case of a USRPHC if you are a Non-U.S. Holder (as defined below), and in the case of a PFIC if you are a U.S. Holder, upon a sale, exchange or other disposition of the notes. If a U.S. Holder owns or is deemed to own an equity interest in a PFIC for any taxable year, the U.S. Holder would generally be required to file IRS Form 8621 with its annual U.S. federal income tax return for that year, subject to certain exceptions. Failure to timely file the form may extend the time for tax assessment by the IRS. You should refer to information filed with the Securities and Exchange Commission or another governmental authority by the issuers of the Underlying Equity and consult your tax adviser regarding the possible consequences to you if any issuer of Underlying Equity is or becomes a USRPHC or PFIC.

This discussion is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this product supplement, changes to any of which subsequent to the date of this product supplement may affect the tax consequences described herein, possibly with retroactive effect. This discussion does not address the effects of any applicable state, local or non-U.S. tax laws or the potential application of the Medicare contribution tax or the alternative minimum tax. You should consult your tax adviser about the application of the U.S. federal income and estate tax laws (including the possibility of alternative treatments of the notes) to your particular situation, as well as any tax consequences arising under the laws of any state, local or non-U.S. jurisdiction.

This discussion may be supplemented, modified or superseded by disclosure regarding U.S. federal tax consequences set out in an applicable pricing supplement, which you should read before making a decision to invest in the relevant notes.

**Tax Treatment of the Notes**

Unless otherwise indicated in the applicable pricing supplement, we intend to treat the notes as debt instruments for U.S. federal income tax purposes, and the discussion herein is based on this treatment. With respect to notes with a term of longer than one year (calculated as described below), the applicable pricing supplement will specify whether we intend to treat such notes as "variable rate debt instruments" or as "contingent payment debt instruments," each as discussed below.

The discussion below is subject to, and should be read in conjunction with, the discussion below under "Possible Taxable Event."

**Tax Consequences to U.S. Holders**

This section applies only to U.S. Holders. You are a "U.S. Holder" if for U.S. federal income tax purposes you are a beneficial owner of a note that is:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a citizen or individual resident
of the United States;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a corporation created or organized
in or under the laws of the United States, any state thereof or the District of Columbia; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· an estate or trust the income
of which is subject to U.S. federal income taxation regardless of its source.

***Short-Term Notes***

The following discussion applies only to notes with a term of one year or less, from but excluding the issue date to and including the last possible date that the notes could be outstanding pursuant to their terms ("<u>short-term notes</u>"). Generally, a short-term note is treated as issued at a discount equal to the sum of all payments required on the note minus its issue price.

If you are a cash-method U.S. Holder, you generally will not be required to recognize income with respect to a short-term note prior to maturity, other than with respect to the receipt of interest payments, if any, or pursuant to a sale or other taxable disposition of the note. If you are an accrual-method U.S. Holder (or a cash-method U.S. Holder who elects to accrue income on the note currently), you will be subject to rules that generally require accrual of discount on short-term notes on a straight-line basis, unless you elect a constant-yield method of accrual based on daily compounding. In the case of short-term notes that provide for one or more contingent payments, it is not clear whether or how any accrual should be determined prior to the time at which the related payment is calculated. You should consult your tax adviser regarding the amount and timing of any accruals on such notes.

Upon a taxable disposition (including a sale, exchange, early redemption, or retirement) of a short-term note, you will generally recognize gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and your tax basis in the note. Your tax basis in the note should equal the amount you paid to acquire the note increased, if you accrue income on the notes currently, by any previously accrued but unpaid discount. The amount of any resulting loss generally will be treated as a short-term capital loss, the deductibility of which is subject to limitations. Additionally, if you recognize a loss above certain thresholds, you may be required to file a disclosure statement with the IRS, as described below under "Reportable Transactions." The excess of the amount received at maturity over your tax basis in the note generally should be treated as ordinary income. If you sell a short-term note providing for a contingent payment at maturity prior to the time the contingent payment has been fixed, it is not clear whether any gain you recognize should be treated as ordinary income, short-term capital gain, or a combination of ordinary income and short-term capital gain. You should consult your tax adviser regarding the treatment of a taxable disposition of short-term notes providing for contingent payments.

If you are a cash-method U.S. Holder, unless you make the election to accrue income currently on a short-term note, you will generally be required to defer deductions for interest paid on indebtedness incurred to purchase or carry the note in an amount not exceeding the accrued discount that you have not included in income. As discussed above, in the case of a short-term note providing for a contingent payment, it is unclear whether or how accrual of discount should be determined prior to the time at which the related payment is calculated. If you make the election to accrue income currently, that election will apply to all short-term debt instruments acquired by you on or after the first day of the first taxable year to which that election applies. You should consult your tax adviser regarding these rules.

***Notes Treated as Variable Rate Debt Instruments***

The following discussion applies only to notes treated as variable rate debt instruments for U.S. federal income tax purposes ("<u>VRDIs</u>") and that provide for stated interest at a single variable rate. The treatment of other VRDIs will be addressed in the applicable pricing supplement.

*Interest on a VRDI.* Stated interest on a VRDI will be treated as "qualified stated interest" ("<u>QSI</u>") and will be taxable to you as ordinary interest income at the time it accrues or is received, in accordance with your method of accounting for U.S. federal income tax purposes. If the stated principal amount of a VRDI exceeds its issue price by at least a specified de minimis amount, this excess will be treated as "original issue discount" ("<u>OID</u>") that you must include in income as it accrues, in accordance with a constant-yield method based on compounding of interest before the receipt of cash payments attributable to this income. The constant-yield accrual of OID on a VRDI is determined by substituting a fixed rate that reflects the yield that is reasonably expected for the VRDI for each scheduled payment of the variable rate.

*Sale or Other Taxable Disposition of a VRDI*. Upon the sale or other taxable disposition of a VRDI, you generally will recognize capital gain or loss equal to the difference between the amount realized (other than amounts attributable to accrued QSI, which will be treated

as described above) and your tax basis in the VRDI. Your tax basis in a VRDI will equal the amount you paid to purchase the VRDI, increased by the amounts of OID (if any) you previously included in income with respect to the VRDI and reduced by any payments other than QSI you received. Such gain or loss generally will be long-term capital gain or loss if you held the VRDI for more than one year at the time of disposition. The deductibility of capital losses is subject to limitations.

***Notes Treated as Contingent Payment Debt Instruments***

The following discussion applies only to notes treated as contingent payment debt instruments for U.S. federal income tax purposes ("<u>CPDIs</u>").

*Interest Accruals on the CPDIs.* We are required to determine a "comparable yield" for each issuance of CPDIs. The comparable yield is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the CPDIs, including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity of the CPDIs. Solely for purposes of determining the amount of interest income that you will be required to accrue, we are also required to construct a "projected payment schedule" in respect of the CPDIs representing a payment or a series of payments the amount and timing of which would produce a yield to maturity on the CPDIs equal to the comparable yield.

**Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual amounts that we will pay on the CPDIs.**

For U.S. federal income tax purposes, you are required to use our determination of the comparable yield and projected payment schedule in determining interest accruals and adjustments in respect of the CPDIs, unless you timely disclose and justify the use of other estimates to the IRS. Regardless of your method of accounting for U.S. federal income tax purposes, you will be required to accrue, as interest income, OID on the CPDIs at the comparable yield, adjusted upward or downward to reflect the difference, if any, between the actual and the projected payments on the CPDIs during the year (as described below).

You will be required for U.S. federal income tax purposes to accrue an amount of OID, for each accrual period prior to and including the maturity (or earlier sale or other taxable disposition) of a CPDI, that equals the product of (i) the "adjusted issue price" of the CPDI (as defined below) as of the beginning of the accrual period, (ii) the comparable yield of the CPDI, adjusted for the length of the accrual period and (iii) the number of days during the accrual period that you held the CPDI divided by the number of days in the accrual period. The adjusted issue price of a CPDI is its issue price increased by any interest income you have previously accrued (determined without regard to adjustments due to differences between projected and actual payments) and decreased by the projected amounts of any payments previously made on the CPDI (without regard to actual amounts paid).

*Adjustments to Interest Accruals on the CPDIs.* In addition to interest accrued based upon the comparable yield as described above, you will be required to recognize interest income equal to the amount of any net positive adjustment (*i.e.*, the excess of actual payments over projected payments) in respect of a CPDI for a taxable year. A net negative adjustment (*i.e.*, the excess of projected payments over actual payments) in respect of a CPDI for a taxable year:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· will first reduce the amount
of interest in respect of the CPDI that you would otherwise be required to include in income in the taxable year; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· to the extent of any excess,
will give rise to an ordinary loss, but only to the extent that the amount of all previous interest inclusions under the CPDI exceeds
the total amount of the net negative adjustments treated as ordinary loss on the CPDI in prior taxable years.

A net negative adjustment is not treated as a miscellaneous itemized deduction (for which deductions would be unavailable or, beginning in 2026, available only to a limited extent). Any net negative adjustment in excess of the amounts described above may be carried forward to offset future interest income in respect of the CPDI or to reduce the amount realized on a sale or other taxable disposition of the CPDI.

*Sale or Other Taxable Disposition of the CPDIs.* Upon a sale or other taxable disposition of a CPDI, you generally will recognize taxable income or loss equal to the difference between the amount received and your tax basis in the CPDI. Your tax basis in the CPDI will equal your purchase price for the CPDI, increased by any interest income you have previously accrued (determined without regard to adjustments due to differences between projected and actual payments) and decreased by the projected amounts of any payments previously made on the CPDI (without regard to actual amounts paid). At maturity, you will be treated as receiving the projected amount for that date (reduced by any carryforward of a net negative adjustment), and any difference between the amount actually received and that projected amount will be treated as a positive or negative adjustment governed by the rules described above. You generally must treat any income realized on the sale or other taxable disposition of a CPDI as interest income and any loss as ordinary loss to the extent of previous interest inclusions (reduced by the total amount of net negative adjustments previously taken into account as ordinary losses), and the balance as capital loss, the deductibility of which is subject to limitations. Additionally, if you recognize a loss above certain thresholds, you may be required to file a disclosure statement with the IRS, as described below under "Reportable Transactions." You should consult your tax adviser regarding this reporting obligation.

*Special Rules for Contingent Payments that Fix Early.* Special rules may apply if all the remaining payments on a CPDI become fixed substantially contemporaneously. For this purpose, payments will be treated as fixed if the remaining contingencies with respect to them are remote or incidental. Under these rules, you would be required to account for the difference between the originally projected payments and the fixed payments in a reasonable manner over the period to which the difference relates. In addition, you would be required to make adjustments to, among other things, your accrual periods and your tax basis in the CPDI. The character of any gain or loss on a sale or other taxable disposition of your CPDI also might be affected. If one or more (but not all) contingent payments on a CPDI became fixed more than six months prior to the relevant payment dates, you would be required to account for the difference between the originally projected payments and the fixed payments on a present value basis. You should consult your tax adviser regarding the application of these rules.

**Tax Consequences to Non-U.S. Holders**

This section applies only to Non-U.S. Holders. You are a "Non-U.S. Holder" if for U.S. federal income tax purposes you are a beneficial owner of a note that is:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· an
individual who is classified as a nonresident alien;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a
foreign corporation; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· a
foreign trust or estate.

You are not a Non-U.S. Holder for purposes of this discussion if you are (i) an individual who is present in the United States for 183 days or more in the taxable year of disposition, or (ii) a former citizen or resident of the United States and certain conditions apply. If you are or may become such a person during the period in which you hold a note, you should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the notes.

Subject to the possible application of Section 897 of the Code (see "— FIRPTA" below) and the discussions below under "— Dividend Equivalents Under Section 871(m) of the Code" and "FATCA," you generally should not be subject to U.S. federal withholding or income tax in respect of payments on or amounts you receive on a sale or other taxable disposition of a note, provided that (i) income in respect of the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you provide an appropriate IRS Form W-8 to the applicable withholding agent certifying under penalties of perjury that you are not a United States person. We will not be required to pay any additional amounts with respect to U.S. federal withholding taxes.

If you are engaged in a U.S. trade or business, and if income (including gain) from the notes is effectively connected with the conduct of that trade or business, you generally will be subject to regular U.S. federal income tax with respect to that income in the same manner as if you were a U.S. Holder, subject to the provisions of an applicable income tax treaty. If you are a corporation, you should also consider the potential application of a 30% (or lower treaty rate) branch profits tax. You would be required to provide an IRS Form W-8ECI to the applicable withholding agent to establish an exemption from withholding for amounts, otherwise subject to withholding, paid on a note.

***Dividend Equivalents Under Section 871(m) of the Code***

Section 871(m) of the Code and the Treasury regulations thereunder ("<u>Section 871(m)</u>") impose a 30% (or lower treaty rate) withholding tax on "dividend equivalents" paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities ("<u>Underlying Securities</u>"), as defined under the applicable Treasury regulations, or indices that include Underlying Securities. Section 871(m) generally applies to "specified equity-linked instruments" ("<u>Specified ELIs</u>"), which are financial instruments that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations and discussed further below. Section 871(m) provides certain exceptions to this withholding regime, in particular for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations ("<u>Qualified Indices</u>") as well as securities that track such indices ("<u>Qualified Index Securities</u>").

Although the Section 871(m) regime became effective in 2017, the applicable Treasury regulations, as modified by an IRS notice, phase in the application of Section 871(m) as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· For financial instruments issued
prior to 2025, Section 871(m) will generally apply only to financial instruments that have a "delta" of one.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· For financial instruments issued
in 2025 and thereafter, Section 871(m) will apply if either (i) the "delta" of the relevant financial instrument is at least
0.80, if it is a "simple" contract, or (ii) the financial instrument meets a "substantial equivalence" test, if
it is a "complex" contract.

"Delta" is generally defined as the ratio of the change in the fair market value of a financial instrument to a small change in the fair market value of the number of shares of the Underlying Security. The "substantial equivalence" test measures whether a complex

contract tracks its "initial hedge" (shares of the Underlying Security that would fully hedge the contract) more closely than would a "benchmark" simple contract with a delta of 0.80.

The calculations are generally made at the "calculation date," which is the earlier of (i) the time of pricing of the note, i.e., when all material terms have been agreed on, and (ii) the issuance of the note. However, if the time of pricing is more than 14 calendar days before the issuance of the note, the calculation date is the date of the issuance of the note. In those circumstances, information regarding our final determinations for purposes of Section 871(m) may be available only after the time of pricing of the note. As a result, you should acquire such a note only if you are willing to accept the risk that the note is treated as a Specified ELI subject to withholding under Section 871(m).

If the terms of a note are subject to a "significant modification" (for example, upon an event discussed below under "Possible Taxable Event"), the note generally will be treated as reissued for this purpose at the time of the significant modification, in which case the note could become a Specified ELI at that time.

If a note is a Specified ELI, withholding in respect of dividend equivalents will, depending on the applicable withholding agent's circumstances, generally be required either (i) on the underlying dividend payment date or (ii) when cash payments are made on the note or upon the date of maturity, lapse or other disposition of the note by you, or possibly upon certain other events. Depending on the circumstances, the applicable withholding agent may withhold the required amounts from coupons or other payments on the note, from proceeds of the retirement or other disposition of the note, or from your other cash or property held by the withholding agent.

The dividend equivalent amount will include the amount of any actual or, under certain circumstances, estimated dividend. If the dividend equivalent amount is based on the actual dividend, it will be equal to the product of: (i) in the case of a "simple" contract, the per-share dividend amount, the number of shares of an Underlying Security and the delta; or (ii) in the case of a "complex" contract, the per-share dividend amount and the initial hedge. The dividend equivalent amount for Specified ELIs issued prior to 2025 that have a "delta" of one will be calculated in the same manner as (i) above, using a "delta" of one. The per-share dividend amount will be the actual dividend (including any special dividends) paid with respect to a share of the Underlying Security. If the dividend equivalent amount is based on an estimated dividend, the pricing supplement will generally state the estimated amounts.

Depending on the terms of a note and whether or not it is issued prior to 2025, the pricing supplement may contain additional information relevant to Section 871(m), such as whether the note references a Qualified Index or Qualified Index Security; whether it is a "simple" contract; the "delta" and the number of shares multiplied by delta (for a simple contract); and whether the "substantial equivalence test" is met and the initial hedge (for a complex contract).

Our determination is binding on Non-U.S. Holders and withholding agents, but it is not binding on the IRS. The Section 871(m) regulations require complex calculations to be made with respect to notes linked to U.S. equities and their application to a specific issue of notes may be uncertain. Accordingly, even if we determine that certain notes are not Specified ELIs, the IRS could challenge our determination and assert that withholding is required in respect of those notes.

Moreover, your consequences under Section 871(m) may depend on your particular circumstances. For example, if you enter into other transactions relating to an Underlying Security, you could be subject to withholding tax or income tax liability under Section 871(m) even if the notes are not Specified ELIs subject to Section 871(m) as a general matter. Non-U.S. Holders should consult their tax advisers regarding the application of Section 871(m) in their particular circumstances.

Prospective purchasers of notes that are Specified ELIs should consult their tax advisers regarding whether they are eligible for a refund of any part of the withholding tax discussed above on the basis of an applicable U.S. income tax treaty, as well as the process for obtaining such a refund (which will generally require the filing of a U.S. federal income tax return). In some circumstances, including when we or another intermediary performs the withholding required under Section 871(m), it may not be possible for you to obtain the documentation necessary to support a refund claim under an applicable treaty.

***FIRPTA***

Section 897 of the Code, commonly referred to as "FIRPTA," applies to certain interests in entities that beneficially own significant amounts of United States real property interests (each, a "USRPI"). As discussed above, we will not attempt to ascertain whether any issuer of the Underlying Equity should be treated as a USRPHC for purposes of Section 897 of the Code (including a non-corporate entity treated for relevant purposes of Section 897 of the Code as a USRPHC). If a relevant issuer were so treated, it is possible that, subject to the exceptions discussed in the following paragraph, a note could be treated as a USRPI, in which case any gain from the disposition of the note would generally be subject to U.S. federal income tax and would be required to be reported by the Non-U.S. Holder on a U.S. federal income tax return, generally in the same manner as if the Non-U.S. Holder were a U.S. Holder, and would in certain cases be subject to withholding in the amount of 15% of the gross proceeds of such disposition.

An exception to the FIRPTA rules applies in respect of interests in entities that have a regularly traded class of interests outstanding. Under this exception, a note that is not "regularly traded" on an established securities market generally should not be subject to the

FIRPTA rules unless its fair market value upon acquisition exceeds 5% of the relevant issuer's regularly traded class of interests as specified in the applicable Treasury regulations. In the case of notes that are regularly traded, a holding of 5% or less of the outstanding notes of that class or series generally should not be subject to the FIRPTA rules. Certain attribution and aggregation rules apply, and prospective purchasers are urged to consult their tax advisers regarding whether their ownership interest in the notes will be subject to an exemption from the FIRPTA rules in light of their circumstances, including any other interest they might have in a relevant issuer.

***U.S. Federal Estate Tax***

If you are an individual Non-U.S. Holder or an entity the property of which is potentially includible in such an individual's gross estate for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), you should be aware that a note that is treated as debt for U.S. federal estate tax purposes generally will not be treated as U.S.-situs property subject to U.S. federal estate tax if payments on the note, if received by the decedent at the time of death, would not have been subject to U.S. federal withholding or income tax because of the exemption from withholding of "portfolio interest." If you are such an individual or entity, you should consult your tax adviser regarding the U.S. federal estate tax consequences of investing in the notes.

**Possible Taxable Event**

A change in the methodology by which an Index is calculated, a change in the components of an Index, the designation of a successor Market Measure, the designation of a substitute or successor rate, an assumption of the notes (as discussed in the paragraph below) or other similar circumstances resulting in a material change to a Market Measure or to the method by which amounts payable are determined on the notes could result in a "significant modification" of the affected notes.

As provided in the accompanying prospectus under "Description of Debt Securities — Citigroup Guarantees," our obligations under the notes may be assumed by Citigroup Inc. We intend that Citigroup Inc. will assume the notes pursuant to this provision only in circumstances in which we expect to treat such an assumption as not giving rise to a significant modification of the notes and have been advised by our counsel that such treatment is reasonable under the circumstances and the law in effect at the time of such assumption. However, in light of the lack of clear authority regarding the treatment of such an assumption, there may be uncertainty regarding the correctness of this treatment. As a result, it is possible that the IRS may treat an assumption of the notes as a significant modification.

A significant modification of the notes would generally result in the notes being treated as terminated and reissued for U.S. federal income tax purposes. In that event, you might be required to recognize gain or loss (subject to the possible application of the wash sale rules) with respect to the notes, and your holding period for your notes could be affected. Moreover, depending on the facts at the time of the significant modification, the reissued notes could be characterized for U.S. federal income tax purposes in a manner different from their original treatment, which could have a significant and potentially adverse effect on the timing and character of income you recognize with respect to the notes after the significant modification if you are a U.S. Holder, and potentially adverse withholding consequences if you are a Non-U.S. Holder.

You should consult your tax adviser regarding the consequences of a significant modification of the notes. Except where stated otherwise, the discussion herein assumes that there has not been a significant modification of the notes.

**Reportable Transactions**

A taxpayer that participates in a "reportable transaction" is subject to information reporting requirements under Section 6011 of the Code. "Reportable transactions" include, among other things, certain transactions identified by the IRS as well as certain losses recognized in an amount that exceeds a specified threshold level. You should consult your tax adviser regarding these rules.

**Information Reporting and Backup Withholding**

Payments on the notes, as well as the proceeds of a sale, exchange or other disposition (including retirement) of the notes, may be subject to information reporting and, if you fail to provide certain identifying information (such as an accurate taxpayer identification number if you are a U.S. Holder) or meet certain other conditions, may also be subject to backup withholding at the rate specified in the Code. If you are a Non-U.S. Holder that provides the applicable withholding agent with the appropriate IRS Form W-8, you will generally establish an exemption from backup withholding. Amounts withheld under the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability, provided the relevant information is timely furnished to the IRS.

**FATCA** 

Legislation commonly referred to as "FATCA" generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to certain financial instruments, unless various U.S. information reporting and due diligence requirements (that are in addition to, and potentially significantly more onerous than, the requirement to deliver an IRS Form

W-8) have been satisfied. An intergovernmental agreement between the United States and the non-U.S. entity's jurisdiction may modify these requirements. This legislation generally applies to payments of U.S.-source "fixed or determinable annual or periodical" ("FDAP") income, which includes, among other things, interest and certain dividend equivalents (as defined above) under Section 871(m). While existing Treasury regulations would also require withholding on payments of gross proceeds from the disposition (including upon retirement) of financial instruments that provide for U.S.-source interest or certain dividend equivalents, the U.S. Treasury Department has indicated in subsequent proposed regulations its intent to eliminate this requirement. The U.S. Treasury Department has stated that taxpayers may rely on these proposed regulations pending their finalization. If you are a Non-U.S. Holder, or a U.S. Holder holding notes through a non-U.S. intermediary, you should consult your tax adviser regarding the potential application of FATCA to the notes, including the availability of certain refunds or credits.

**WE WILL NOT BE REQUIRED TO PAY ANY ADDITIONAL AMOUNTS WITH RESPECT TO U.S. FEDERAL WITHHOLDING TAXES.**