Risk Factors

Your investment in the securities will involve certain risks. Investing in the securities is not equivalent to investing in any of the indices or funds described herein or any of their component securities, commodities or commodity futures contracts. You should consider carefully the following discussion of risks as well as the discussion of risks included in the applicable pricing supplement and any applicable product supplement, together with the following discussion of additional risks, before you decide whether an investment in the securities is suitable for you.

Risks Relating to Certain Equity Indices

Citigroup Inc. is currently a component of the Russell 1000 ^® Index, the Russell 3000 ^® Index, the S&P 500 ^® Index, the S&P 100 ^® Index, MSCI World Index ^SM , the Financial Services Select Sector Index, the S&P ^® Banks Select Industry ^TM Index and the Financial Select Sector Index but, to our knowledge, unless otherwise specified in the relevant pricing supplement, we are not currently affiliated with any other company that is a component of an Index.

Citigroup Inc. is currently a component of the Russell 1000 ^® Index, the Russell 3000 ^® Index, the S&P 500 ^® Index, the S&P 100 ^® Index, MSCI World Index ^SM , the Financial Services Select Sector Index, the S&P ^® Banks Select Industry ^TM Index and the Financial Select Sector Index, but, to our knowledge, unless otherwise specified in the relevant pricing supplement, we are not currently affiliated with any other company that is a component of an Index. As a result, we will not have any ability to control the actions of the other issuers that are components of any Index, including actions that could affect the value of the equity securities underlying an Index and, accordingly, the value of your securities. None of the money you pay us will go to the sponsor of any Index or any of the other issuers of the equity securities included in any Index, and no such sponsor or issuer will be involved in the offering of the securities in any way. Neither those issuers nor we will have any obligation to consider your interests as a holder of the securities in taking any corporate actions that might affect the value of any Index or of your securities. Additional information about whether we or our affiliates are a component of an Index may be disclosed in the relevant pricing supplement.

In the event that we become affiliated with any issuers that are components of an Index, we will have no obligation to consider your interests as a holder of the securities in taking any action with respect to such issuer that might affect the value of your securities.

For securities linked in whole or in part to the EURO STOXX ^® Banks Index, the S&P ^® Banks Select IndustryTM Index or the S&P ^® Regional Banks Select Industry™ Index, risks associated with the banking industry will affect the value of the securities.

All or substantially all of the equity securities included in the EURO STOXX ^® Banks Index, the S&P ^® Banks Select IndustryTM Index and the S&P ^® Regional Banks Select Industry™ Index are issued by companies whose primary line of business is directly associated with the banking industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.

The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact banking companies. Banks may also be subject to severe price competition. Competition among banking companies is high and failure to maintain or increase market share may result in lost market share.

These factors could affect the banking industry and could affect the value of the equity securities included in the EURO STOXX ^® Banks Index, the S&P ^® Banks Select IndustryTM Index or the S&P ^® Regional Banks Select Industry™ Index and the level of the EURO STOXX ^® Banks Index, the S&P ^® Banks Select IndustryTM Index or the S&P ^® Regional Banks Select Industry™ Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Russell 2000 ^® Index or the S&P SmallCap 600 ^® Index, an investment in the securities will be subject to risks associated with small-capitalization stocks.

The stocks that constitute the Russell 2000 ^® Index and the S&P SmallCap 600 ^® Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large-capitalization companies. Small-capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. These companies tend to be less well-established than large market capitalization companies. Small-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

For securities linked in whole or in part to the S&P ^® Biotechnology Select Industry ^TM Index, risks associated with the biotechnology industry will affect the value of the securities.

All or substantially all of the equity securities included in the S&P ^® Biotechnology Select Industry ^TM Index are issued by companies whose primary line of business is directly associated with the biotechnology industry.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. 

Biotechnology companies invest heavily in research and development, which may not necessarily lead to commercially successful products.  These companies are also subject to increased governmental regulation, which may delay or inhibit the release of new products.  Many biotechnology companies are dependent upon their ability to use and enforce intellectual property rights and patents.  Any impairment of these rights may have adverse financial consequences.  Biotechnology stocks, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market.  Biotechnology companies can be significantly affected by technological change and obsolescence, product liability lawsuits and consequential high insurance costs. 

These factors could affect the biotechnology industry and could affect the value of the equity securities included in the S&P ^® Biotechnology Select Industry ^TM Index and the level of the S&P ^® Biotechnology Select Industry ^TM Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the S&P ^® Metals & Mining Select Industry™ Index, risks associated with the metals and mining industry will affect the value of the securities.

All or substantially all of the equity securities included in the S&P ^® Metals & Mining Select Industry™ Index are issued by companies whose primary line of business is directly associated with the metals and mining industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.

Metals and mining companies can be significantly affected by events relating to international political and economic developments, energy conservation, the success of exploration projects, commodity prices, and tax and other government regulations. Investments in metals and mining companies may be speculative and may be subject to greater price volatility than investments in other types of companies. Risks of metals and mining investments include: changes in international monetary policies or economic and political conditions that can affect the supply of precious metals and consequently the value of metals and mining company investments; the United States or foreign governments may pass laws or regulations limiting metals investments for strategic or other policy reasons; and increased environmental or labor costs may depress the value of metals and mining investments.

These factors could affect the metals and mining industry and could affect the value of the equity securities included in the S&P ^® Metals & Mining Select Industry™ Index and the level of the S&P ^® Metals & Mining Select Industry™ Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the S&P ^® Oil & Gas Exploration & Production Select Industry™ Index, risks associated with the exploration of oil and gas will affect the value of the securities.

All or substantially all of the equity securities included in the S&P ^® Oil & Gas Exploration & Production Select Industry™ Index are issued by companies whose primary line of business is directly associated with the oil and gas exploration and production industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.

Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels caused by geopolitical events, energy conservation or use of alternative fuel sources, the success of exploration projects, weather or meteorological events, taxes, increased governmental or environmental regulation, resource depletion, rising interest rates, declines in domestic or foreign production, accidents or catastrophic events, or terrorist threats or attacks, among others. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves through exploration of new sources of supply, through the development of existing sources, through acquisitions, or through long-term contracts to acquire reserves. Factors adversely affecting producers, refiners, distributors, or others in the energy sector may affect adversely companies that service or supply those entities, either because demand for those services or products is curtailed, or those services or products come under price pressure.

Oil and gas companies develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products in general. The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these companies. Correspondingly, securities of companies in the energy field are subject to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies. Weak demand for the companies’ products or services or for energy products and services in general, as well as negative developments in these other areas, would adversely impact the S&P ^® Oil & Gas Exploration & Production Select Industry™ Index’s performance. Oil and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims.

These factors could affect the oil and gas exploration and production industry and could affect the value of the equity securities included in the S&P ^® Oil & Gas Exploration & Production Select Industry™ Index and the level of the S&P ^® Oil & Gas Exploration & Production Select Industry™ Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Consumer Discretionary Select Sector Index, risks associated with the consumer discretionary sector will affect the value of the securities.

All or substantially all of the equity securities included in the Consumer Discretionary Select Sector Index are issued by companies whose primary line of business is directly associated with the consumer discretionary sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and global economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Also, companies in the consumer discretionary sector may be subject to severe competition, which may have an adverse impact on their respective profitability. Changes in

demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace.

These factors could affect the consumer discretionary sector and could affect the value of the equity securities included in the Consumer Discretionary Select Sector Index and the level of the Consumer Discretionary Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Consumer Discretionary Select Sector Index, changes to the GICS ^® consumer discretionary sector expected in late September 2018 may adversely affect the value of the securities.

In November 2017, S&P Dow Jones Indices LLC and MSCI Inc. announced that, after the close of business on September 28, 2018, the GICS ^® consumer discretionary sector will be updated to (a) expand the internet & direct marketing retail industry to include companies providing online marketplaces for consumer products and services and e-commerce companies regardless of whether they hold inventory and (b) discontinue the media industry (which will be moved to the renamed GICS ^® communication services sector). The Consumer Discretionary Select Sector Index is designed to measure the performance of the GICS ^® consumer discretionary sector and is expected to reflect these changes to the GICS ^® consumer discretionary sector on or after that date. This change could adversely affect the performance of the Consumer Discretionary Select Sector Index and, in turn, the value of the securities.

For securities linked in whole or in part to the Consumer Staples Select Sector Index, risks associated with the consumer staples sector will affect the value of the securities.

All or substantially all of the equity securities included in the Consumer Staples Select Sector Index are issued by companies whose primary line of business is directly associated with the consumer staples sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Consumer staples companies are subject to government regulation affecting their products, which may negatively impact these companies’ performance. For instance, government regulations may affect the permissibility of using various food additives and production methods of companies that make food products, which could affect company profitability. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of food, beverage, household and personal product companies may be strongly affected by consumer interest, marketing campaigns and other factors affecting supply and demand, including performance of the overall domestic and global economy, interest rates, competition and consumer confidence and spending.

These factors could affect the consumer staples sector and could affect the value of the equity securities included in the Consumer Staples Select Sector Index and the level of the Consumer Staples Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Energy Select Sector Index, risks associated with the energy sector will affect the value of the securities.

All or substantially all of the equity securities included in the Energy Select Sector Index are issued by companies whose primary line of business is directly associated with the energy sector, including the following industries: oil, gas and consumable fuels; and energy equipment and services. The Energy Select Sector Index is concentrated in the energy sector, which means the Energy Select Sector Index will be more affected by the performance of the energy sector than a fund or index that was more diversified.

Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly affected by natural disasters as well as changes

in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims.

These factors could affect the energy sector and could affect the value of the equity securities included in the Energy Select Sector Index and the level of the Energy Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Financial Select Sector Index, risks associated with the financial sector will affect the value of the securities.

All or substantially all of the equity securities included in the Financial Select Sector Index are issued by companies whose primary line of business is directly associated with the financial sector, including the following industries: diversified financial services; insurance; banks; capital markets; real estate investment trusts (“REITs”); consumer finance; thrifts and mortgage finance; and real estate management and development. The Financial Select Sector Index is concentrated in the financial sector, which means the Financial Select Sector Index will be more affected by the performance of the financial sector than a fund or index that was more diversified.

Financial services companies are subject to extensive government regulation which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly when interest rates change or due to increased competition. In addition, deterioration of the credit markets generally may cause an adverse impact in a broad range of markets, including U.S. and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions and markets. Certain events in the financial sector may cause an unusually high degree of volatility in the financial markets, both domestic and foreign, and cause certain financial services companies to incur large losses. Securities of financial services companies may experience a dramatic decline in value when such companies experience substantial declines in the valuations of their assets, take action to raise capital (such as the issuance of debt or equity securities), or cease operations.

Credit losses resulting from financial difficulties of borrowers and financial losses associated with investment activities can negatively impact the financial sector. Insurance companies may be subject to severe price competition. Adverse economic, business or political developments affecting real estate could have a major effect on the value of real estate securities (which include REITs). Declining real estate values could adversely affect financial institutions engaging in mortgage finance or other lending or investing activities directly or indirectly connected with the value of real estate.

These factors could affect the financial sector and could affect the value of the equity securities included in the Financial Select Sector Index and the level of the Financial Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Financial Select Sector Index, in September 2016, the Financial Select Sector Index ceased providing exposure to the real estate sector and this change in exposure could adversely affect the value of the securities.

On September 19, 2016, the Financial Select Sector Index was reconstituted to eliminate the stocks of real estate management and development companies and real estate investment trusts (“REITs”) (other than mortgage REITs) (“real estate stocks”). As of September 19, 2016, the Financial Select Sector Index no longer provides exposure to real estate stocks. Consequently, the Financial Select Sector Index is less diversified, and is more concentrated in the financial sector, than it was before this change to its composition. This change could adversely affect the performance of the Financial Select Sector Index and, in turn, the value of the securities.

For securities linked in whole or in part to the Health Care Select Sector Index, risks associated with the health care sector will affect the value of the securities.

All or substantially all of the equity securities included in the Health Care Select Sector Index are issued by companies whose primary line of business is directly associated with the health care sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or

regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Companies in the health care sector are subject to extensive government regulation and their profitability can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure (including price discounting), limited product lines and an increased emphasis on the delivery of healthcare through outpatient services. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents may also adversely affect the profitability of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition, their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be time consuming and costly with no guarantee that any product will come to market.

These factors could affect the health care sector and could affect the value of the equity securities included in the Health Care Select Sector Index and the level of the Health Care Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Industrial Select Sector Index, risks associated with the industrial sector will affect the value of the securities.

All or substantially all of the equity securities included in the Industrial Select Sector Index are issued by companies whose primary line of business is directly associated with the industrial sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Industrial companies are affected by supply and demand both for their specific product or service and for industrial sector products in general. Government regulation, world events, exchange rates and economic conditions, technological developments and liabilities for environmental damage and general civil liabilities will likewise affect the performance of these companies. Aerospace and defense companies, a component of the industrial sector, can be significantly affected by government spending policies because companies involved in this industry rely, to a significant extent, on U.S. and foreign government demand for their products and services. Thus, the financial condition of, and investor interest in, aerospace and defense companies are heavily influenced by governmental defense spending policies, which are typically under pressure from efforts to control the U.S. (and other) government budgets. Transportation securities, a component of the industrial sector, are cyclical and have occasional sharp price movements, which may result from changes in the economy, fuel prices, labor agreements and insurance costs.

These factors could affect the industrial sector and could affect the value of the equity securities held by the Industrial Select Sector Index and the level of the Industrial Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Materials Select Sector Index, risks associated with the materials sector will affect the value of the securities.

All or substantially all of the equity securities included in the Materials Select Sector Index are issued by companies whose primary line of business is directly associated with the materials sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Many materials companies are significantly affected by the level and volatility of commodity prices, exchange rates, import controls, worldwide competition, environmental policies and consumer demand. At times, worldwide production of industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for environmental damage and general civil

liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, technical progress, labor relations and government regulations.

These factors could affect the materials sector and could affect the value of the equity securities included in the Materials Select Sector Index and the level of the Materials Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Real Estate Select Sector Index, risks associated with the real estate sector will affect the value of the securities.

All or substantially all of the equity securities included in the Real Estate Select Sector Index are issued by companies whose primary line of business is directly associated with the real estate sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. There are special risks associated with investment in securities of companies engaged in real property markets, including, without limitation REITs and real estate operating companies.

An investment in a real property company may be subject to risks similar to those associated with direct ownership of real estate, including, by way of example, the possibility of declines in the value of real estate, losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, interest rates, environmental liability, zoning laws, regulatory limitations on rents, property taxes, and operating expenses. An investment in a real property company is subject to additional risks, such as poor performance by the manager of the real property company, adverse changes in tax laws, difficulties in valuing and disposing of real estate, and the effect of general declines in stock prices. Some real property companies have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property. Also, the organizational documents of a real property company may contain provisions that make changes in control of the company difficult and time-consuming.

REITs are subject to the risks associated with investing in the securities of real property companies. In particular, REITs may be affected by changes in the values of the underlying properties that they own or operate. Further, REITs are dependent upon specialized management skills, and their investments may be concentrated in relatively few properties, or in a small geographic area or a single property type. REITs are also subject to heavy cash flow dependency and, as a result, are particularly reliant on the proper functioning of capital markets, as well as defaults by borrowers and self-liquidation. A variety of economic and other factors may adversely affect a lessee’s ability to meet its obligations to a REIT. In the event of a default by a lessee, the REIT may experience delays in enforcing its rights as a lessor and may incur substantial costs associated with protecting its investments. In addition, a REIT could possibly fail to qualify for favorable tax treatment under the Internal Revenue Code, or to maintain its exemptions from registration under the 1940 Act, which could have adverse consequences for the Real Estate Select Sector Index. Investments in REITs are also subject to the risks affecting equity markets generally.

These factors could affect the real estate sector and could affect the value of the equity securities included in the Real Estate Select Sector Index and the level of the Real Estate Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Technology Select Sector Index, risks associated with the technology sector will affect the value of the securities.

All or substantially all of the equity securities included in the Technology Select Sector Index are issued by companies whose primary line of business is directly associated with the technology sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially those

of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel.

These factors could affect the technology sector and could affect the value of the equity securities included in the Technology Select Sector Index and the level of the Technology Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Technology Select Sector Index, changes to the GICS ^® telecommunication services sector expected in late September 2018 may adversely affect the value of the securities.

In November 2017, S&P Dow Jones and MSCI announced that, after the close of business on September 28, 2018, the GICS ^® telecommunication services sector will be broadened and renamed the communication services sector to include companies that facilitate communication and offer related content and information through various media, resulting in the addition of three GICS ^® industries within the renamed communication services sector: media; entertainment; and interactive media & services.  The Technology Select Sector Index is designed to measure the performance of the GICS ^® information technology sector and telecommunication services sector and is expected to reflect these changes to the GICS ^® telecommunication services sector on or after that date.  This change could adversely affect the performance of the Technology Select Sector Index and, in turn, the value of the securities.

For securities linked in whole or in part to the Utilities Select Sector Index, risks associated with the utilities sector will affect the value of the securities.

All or substantially all of the equity securities included in the Utilities Select Sector Index are issued by companies whose primary line of business is directly associated with the utilities sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil liabilities and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings and dividends in times of decreasing costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability.

Among the risks that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated with compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power plants, the effects of energy conservation and the effects of regulatory changes.

These factors could affect the utilities sector and could affect the value of the equity securities included in the Utilities Select Sector Index and the level of the Utilities Select Sector Index during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to S&P MidCap 400 ^® Index, an investment in the securities will be subject to risks associated with mid-capitalization stocks.

The stocks that constitute the S&P MidCap 400 ^® Index are issued by mid-capitalization companies. Mid-capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

Risks Relating to Certain Commodity Indices

We and our affiliates have no affiliation with S&P Dow Jones Indices LLC (“S&P Dow Jones”), UBS Securities LLC (“UBS”) or Bloomberg Finance L.P. (“Bloomberg”) and are not responsible for their public disclosure of information.

We and our affiliates are not affiliated with S&P Dow Jones, UBS or Bloomberg in any way (except for arrangements discussed below in “Commodity Index Descriptions — The S&P GSCI ^® Indices — License Agreement” and “Commodity Index Descriptions — The Bloomberg Commodity Indices — License Agreement”) and have no ability to control S&P Dow Jones, UBS or Bloomberg, including any errors in or discontinuation of disclosure regarding its methods or policies relating to the calculation of the Bloomberg Commodity Indices (as defined under “Commodity Index Descriptions — The Bloomberg Commodity Indices” in this underlying supplement) or the S&P GSCI ^® Indices (as defined under “Commodity Index Descriptions — The S&P GSCI ^® Indices” in this underlying supplement). None of S&P Dow Jones, UBS or Bloomberg is under any obligation to continue to calculate any of the S&P GSCI ^® Indices or Bloomberg Commodity Indices nor are they required to calculate any successor index. If any of S&P Dow Jones, UBS or Bloomberg discontinues or suspends the calculation of a relevant index, it may become difficult to determine the market value of the securities or the amount payable at maturity. The calculation agent may designate a successor index selected in its sole discretion. If the calculation agent determines in its sole discretion that no successor index comparable to such index exists, the amount you receive at maturity may be determined by the calculation agent in its sole discretion.

S&P Dow Jones or Bloomberg may be required to replace a contract underlying an S&P GSCI ^® Index or a Bloomberg Commodity Index if the existing futures contract is terminated or replaced.

A futures contract known as a “Designated Contract” has been selected as the reference contract for the underlying physical commodity included in each S&P GSCI ^® Index or Bloomberg Commodity Index. Data concerning this Designated Contract will be used to calculate each S&P GSCI ^® Index and Bloomberg Commodity Index. The termination or replacement of a futures contract on an established exchange occurs infrequently; however, if one or more Designated Contracts were to be terminated or replaced by an exchange, a comparable futures contract would be selected by the S&P GSCI ^® Index Committee or Bloomberg, as the case may be, if available, to replace each such Designated Contract. The termination or replacement of any Designated Contract may have an adverse impact on the level of the relevant S&P GSCI ^® Index or Bloomberg Commodity Index. Suspension or disruptions of market trading in the commodity and related futures markets may adversely affect the value of the securities.

For securities linked in whole or in part to a Bloomberg Commodity Index, you may in the future have exposure to contracts that are not traded on regulated futures exchanges.

At present, the Bloomberg Commodity Indices are composed exclusively of regulated futures contracts; however, the Bloomberg Commodity Indices may in the future include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections afforded by, the Commodity Exchange Act, as amended, or other applicable statutes and related regulations that govern trading on regulated futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities and the

inclusion of such contracts in a Bloomberg Commodity Index may expose you to certain risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.

For securities linked to a Bloomberg Commodity Index, risks associated with that Bloomberg Commodity Index may adversely affect the market price of the securities.

Because the Bloomberg Commodity Index ^SM and the Bloomberg Commodity Index 3 Month Forward ^SM reflect the return on exchange-traded futures contracts on 20 different physical commodities and because the single-commodity sub-indices and the forward-month single-commodity sub-indices of Bloomberg Commodity Index ^SM each reflect the return on exchange-traded futures contract on a single physical commodity, securities linked to one or more of the Bloomberg Commodity Indices may be less diversified than other funds or investment portfolios investing in a broader range of products and, therefore, could experience greater volatility. Additionally, the annual composition of the Bloomberg Commodity Indices will be calculated in reliance upon historical price, liquidity and production data that are subject to potential errors in data sources or errors that may affect the weighting of components of the Bloomberg Commodity Indices. Any discrepancies that require revision are not applied retroactively but will be reflected in the weighting calculations of the Bloomberg Commodity Indices for the following year. However, Bloomberg may not discover every discrepancy. Furthermore, the annual weightings for the Bloomberg Commodity Indices are determined each year in the third or fourth quarter and announced as promptly as practicable following the calculation by Bloomberg under the supervision of the Bloomberg Commodity Index Oversight Committee, which has a significant degree of discretion in exercising its supervisory duties with respect to the Bloomberg Commodity Indices and has no obligation to take the needs of any parties to transactions involving the Bloomberg Commodity Indices into consideration when reweighting or making any other changes to the Bloomberg Commodity Indices. Finally, subject to the minimum/maximum diversification limits described in “Commodity Index Descriptions — The Bloomberg Commodity Indices — Diversification Rules,” the commodities underlying the exchange-traded futures contracts included in the Bloomberg Commodity Index ^SM and the Bloomberg Commodity Index 3 Month Forward ^SM from time to time are concentrated in a limited number of sectors, particularly energy and agriculture, and the single-commodity sub-indices and the forward-month single-commodity sub-indices of Bloomberg Commodity Index ^SM are each limited to a single commodity. An investment in the securities may therefore carry risks similar to a concentrated securities investment in a limited number of industries or sectors or in a single commodity.

For securities linked to a Bloomberg Commodity Index, trading and other transactions by UBS and its affiliates in the futures contracts constituting the Bloomberg Commodity Indices and the underlying commodities may affect the level of the Bloomberg Commodity Indices.

UBS and its affiliates actively trade futures contracts and options on futures contracts on the commodities underlying the Bloomberg Commodity Indices. UBS and its affiliates also actively enter into or trade market securities, swaps, options, derivatives, and related instruments that are linked to the performance of the Bloomberg Commodity Indices, the futures contracts underlying the Bloomberg Commodity Indices or the commodities underlying these futures contracts. Certain of UBS’s affiliates may underwrite or issue other securities or financial instruments indexed to the Bloomberg Commodity Indices and related indices, and UBS and certain of its affiliates may license the Bloomberg Commodity Indices for publication or for use by unaffiliated third parties.

These activities could present conflicts of interest and could affect the levels of the Bloomberg Commodity Indices. For instance, a market maker in a financial instrument linked to the performance of a Bloomberg Commodity Index may expect to hedge some or all of its position in that financial instrument. Purchase (or selling) activity in the underlying components of a Bloomberg Commodity Index in order to hedge the market maker’s position in the financial instrument may affect the market price of the futures contracts included in such Bloomberg Commodity Index, which in turn may affect the level of such Bloomberg Commodity Index and the value of your securities. With respect to any of the activities described above, none of UBS or its respective affiliates has any obligation to take the needs of any buyers, sellers or holders of the securities into consideration at any time.

For securities linked to one or more S&P GSCI Component Indices, any such index may be more volatile and susceptible to price fluctuations of commodities than a broader commodities index.

Each of the S&P GSCI Component Indices (as defined under “Commodity Index Descriptions — The S&P GSCI ^® Indices” in this underlying supplement) may be more volatile and susceptible to price fluctuations than a broader commodities index, such as the S&P GSCI™ or the Bloomberg Commodity Index ^SM . In contrast to the S&P GSCI™ and Bloomberg Commodity Index ^SM , which include contracts on the principal physical commodities that are actively traded, each of the S&P GSCI Component Indices is composed of contracts covering only a single physical commodity or only physical commodities in a single sector. As a result, price volatility in the contracts included in the S&P GSCI™ or the Bloomberg Commodity Index ^SM will likely have a greater impact on each S&P GSCI Component Index than it would on the broader S&P GSCI™ or Bloomberg Commodity Index ^SM , and each S&P GSCI Component Index individually will be more susceptible to fluctuations and declines in value of the physical commodities included in such index. In addition, the S&P GSCI Component Indices may be less representative of the economy and commodity markets as a whole and might therefore not serve as a reliable benchmark for commodity market performance generally.

For securities linked to an S&P GSCI ^® Index, changes in the composition and valuation of the S&P GSCI™ may adversely affect the market value and/or the payment at maturity.

The composition of the S&P GSCI ^® Indices may change over time, as additional futures contracts satisfy the eligibility criteria of the S&P GSCI™ or futures contracts currently included in the S&P GSCI™ fail to satisfy such criteria. Those changes could impact the composition and valuation of the S&P GSCI ^® Indices. The weighting factors applied to each commodity included in the S&P GSCI™ change annually, based on changes in commodity production statistics. In addition, S&P Dow Jones may modify the methodology for determining the composition and weighting of the S&P GSCI™ and for calculating their value in order to assure that the S&P GSCI™ represents a measure of the performance over time of the markets for the underlying commodities represented by the S&P GSCI™ and its sub-indices. A number of modifications to the methodology for determining the contracts to be included in each S&P GSCI ^® Index, and for valuing each S&P GSCI ^® Index, have been made in the past several years and further modifications may be made in the future. Such changes could adversely affect the market value and/or the payment at maturity.

Risks Relating to Certain Funds

Citigroup Inc. is currently one of the issuers of equity securities held by the Financial Select Sector SPDR ^® Fund, the SPDR ^® S&P ^® Bank ETF, the SPDR ^® S&P 500 ^® ETF Trust, the iShares ^® Russell 3000 ETF and the Vanguard Total Stock Market ETF but, to our knowledge, unless otherwise specified in the relevant pricing supplement, we are not currently affiliated with any other company the equity securities of which are held by any other Fund.

Citigroup Inc. is currently one of the companies that make up the Financial Select Sector SPDR ^® Fund and the SPDR ^® S&P 500 ^® ETF Trust, but, unless otherwise specified in the relevant pricing supplement, to our knowledge, we are not currently affiliated with any other issuers the equity securities of which are held by a Fund. As a result, we will not have any ability to control the actions of the other issuers of such equity securities, including actions that could affect the value of the equity securities underlying an Index and, accordingly, your securities. None of the money you pay us will go to the investment adviser of any Fund or any of the other issuers of the equity securities held by any Fund, and none of those issuers will be involved in the offering of the securities in any way. Neither those issuers nor we will have any obligation to consider your interests as a holder of the securities in taking any corporate actions that might affect the value of your securities. Additional information about whether we or our affiliates are one of the companies held by a Fund may be disclosed in the relevant pricing supplement.

In the event we become affiliated with any issuers the equity securities of which are held by a Fund, we will have no obligation to consider your interests as a holder of the securities in taking any action with respect to such issuer that might affect the price of the Fund or the value of your securities.

For securities linked in whole or in part to the iShares ^® Nasdaq Biotechnology ETF, an investment in the securities will be subject to risks associated with the biotechnology and pharmaceutical industries.

All or substantially all of the equity securities held by the iShares ^® Nasdaq Biotechnology ETF are issued by companies whose primary line of business is directly associated with the biotechnology or pharmaceutical industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting these industries than a different investment linked to securities of a more broadly diversified group of issuers.

Companies in the biotechnology industry spend heavily on research and development, and their products or services may not prove commercially successful or may become obsolete quickly. The biotechnology industry is subject to a significant amount of governmental regulation, and changes in governmental policies and the need for regulatory approvals may have a material adverse effect on this industry. Companies in the biotechnology industry are subject to risks of new technologies and competitive pressures and are heavily dependent on patents and intellectual property rights. The loss or impairment of these rights may adversely affect the profitability of these companies.

Companies in the pharmaceutical industry are subject to competitive forces that may make it difficult to raise prices of their products and, in fact, may result in price discounting. The profitability of some companies in the pharmaceutical industry may be dependent on a relatively limited number of products. In addition, their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products in the pharmaceutical industry are subject to government approvals, regulation and reimbursement rates. The process of obtaining government approvals may be long and costly. Many companies in the pharmaceutical industry are heavily dependent on patents and intellectual property rights. The loss or impairment of these rights may adversely affect the profitability of these companies. Companies in the pharmaceutical industry may be subject to extensive litigation based on product liability and similar claims.

These factors could affect these industries and could affect the value of the equity securities held by the iShares ^® Nasdaq Biotechnology ETF and the price of the iShares ^® Nasdaq Biotechnology ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the iShares ^® Russell 2000 ETF, an investment in the securities is subject to risks associated with small capitalization stocks.

The stocks that are held by the iShares ^® Russell 2000 ETF are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.

For securities linked in whole or in part to the iShares ^® U.S. Real Estate ETF, an investment in the securities is subject to risks associated with real estate companies.

All or substantially all of the equity securities held by the iShares ^® U.S. Real Estate ETF are issued by companies that invest in real estate, which we refer to as real estate companies, such as real estate investment trusts (“REITs”) or real estate holding companies.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting these companies than a different investment linked to securities of a more broadly diversified group of issuers.   The iShares ^® U.S. Real Estate ETF invests in companies that invest in real estate, which we refer to as real estate companies, such as REITs or real estate holding companies, which expose investors to the risks of owning real estate directly, as well as to risks that relate specifically to the way in which real estate companies are organized and operated.  Real estate is highly sensitive to general and local economic conditions and developments and is characterized by intense competition and periodic overbuilding.  Many real estate companies, including REITs, utilize leverage (and some may be highly leveraged), which increases investment risk and the risk normally associated with debt financing, and could potentially magnify the iShares ^® U.S. Real Estate ETF’s losses.  The U.S.

residential and commercial real estate markets may, in the future, experience and have, in the past, experienced a decline in value, with certain regions experiencing significant losses in property values.  Exposure to such real estate may adversely affect the iShares ^® U.S. Real Estate ETF’s performance.  Specific risks relevant to investment in real estate companies include:

Concentration Risk . Real estate companies may own a limited number of properties and concentrate their investments in a particular geographic region, industry or property type. Economic downturns affecting a particular region, industry or property type may lead to a high volume of defaults within a short period.

Equity REITs Risk . Certain REITs may make direct investments in real estate. These REITs are often referred to as “Equity REITs.” Equity REITs invest primarily in real properties and may earn rental income from leasing those properties. Equity REITs may also realize gains or losses from the sale of properties. Equity REITs will be affected by conditions in the real estate rental market and by changes in the value of the properties they own. A decline in rental income may occur because of extended vacancies, limitations on rents, the failure to collect rents, increased competition from other properties or poor management. Equity REITs also can be affected by rising interest rates. Rising interest rates may cause investors to demand a high annual yield from future distributions that, in turn, could decrease the market prices for such REITs and for the properties held by such REITs. In addition, rising interest rates also increase the costs of obtaining financing for real estate projects. Because many real estate projects are dependent upon receiving financing, this could cause the value of the Equity REITs in which the iShares ^® U.S. Real Estate ETF invests to decline.

Interest Rate Risk . Rising interest rates could result in higher costs of capital for real estate companies, which could negatively affect a real estate company’s ability to meet its payment obligations. Declining interest rates could result in increased prepayment on loans and require redeployment of capital in less desirable investments.

Leverage Risk . Real estate companies may use leverage (and some may be highly leveraged), which increases investment risk and the risks normally associated with debt financing and could adversely affect a real estate company’s operations and market value in periods of rising interest rates. Financial covenants related to a real estate company’s leveraging may affect the ability of the real estate company to operate effectively. In addition, investments may be subject to defaults by borrowers and tenants. Leveraging may also increase repayment risk.

Liquidity Risk . Investing in real estate companies may involve risks similar to those associated with investing in small-capitalization companies. Real estate company securities may be volatile. There may be less trading in real estate company shares, which means that purchase and sale transactions in those shares could have a magnified impact on share price, resulting in abrupt or erratic price fluctuations. In addition, real estate is relatively illiquid and, therefore, a real estate company may have a limited ability to vary or liquidate its investments in properties in response to changes in economic or other conditions.

Loan Foreclosure Risk . Real estate companies may foreclose on loans that the real estate company originated and acquired. Foreclosure may generate negative publicity for the underlying property that affects its market value. In addition to length and expense, foreclosure proceedings may not fully uphold the validity of all of the terms of the applicable loan.

Operational Risk . Real estate companies are dependent upon management skills and may have limited financial resources. Real estate companies are generally not diversified and may be subject to heavy cash flow dependency, default by borrowers and self-liquidation. In addition, transactions between real estate companies and their affiliates may be subject to conflicts of interest, which may adversely affect a real estate company’s shareholders. A real estate company may also have joint ventures in certain of its properties and, consequently, its ability to control decisions relating to such properties may be limited.

Property Risk . Real estate companies may be subject to risks relating to functional obsolescence or reduced desirability of properties; extended vacancies due to economic conditions and tenant bankruptcies; catastrophic events such as earthquakes, hurricanes, tornadoes and terrorist acts; eminent domain seizures; and casualty or condemnation losses. Real estate income and values also may be greatly affected by demographic trends, such as population shifts, changing tastes and values, increasing vacancies or declining rents resulting from legal, cultural, technological, global or local economic developments.

Regulatory Risk . Real estate income and values may be adversely affected by applicable domestic and foreign laws (including tax laws). Government actions, such as tax increases, zoning law changes or environmental regulations also may have a major impact on real estate.

Repayment Risk . The prices of real estate company securities may drop because of the failure of borrowers to repay their loans, poor management, or the inability to obtain financing either on favorable terms or at all. If the properties do not generate sufficient income to meet operating expenses, including, where applicable, debt service, ground lease payments, tenant improvements, third-party leasing commissions and other capital expenditures, the income and ability of the real estate companies to make payments of interest and principal on their loans will be adversely affected.

U.S. Tax Risk . Certain U.S. real estate companies are subject to special U.S. federal tax requirements. A REIT that fails to comply with such tax requirements may be subject to U.S. federal income taxation, which may affect the value of the REIT and the characterization of the REIT’s distributions. The U.S. federal tax requirement that a REIT distributes substantially all of its net income to its shareholders may result in the REIT having insufficient capital for future expenditures. A REIT that successfully maintains its qualification may still become subject to U.S. federal, state and local taxes, including excise, penalty, franchise, payroll, mortgage recording, and transfer taxes, both directly and indirectly through its subsidiaries.

These factors could affect real estate companies and could affect the value of the equity securities held by the iShares ^® U.S. Real Estate ETF and the price of the iShares ^® U.S. Real Estate ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Consumer Discretionary Select Sector SPDR ^® Fund, risks associated with the consumer discretionary sector will affect the value of the securities.

All or substantially all of the equity securities held by the Consumer Discretionary Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the consumer discretionary sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and global economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Also, companies in the consumer discretionary sector may be subject to severe competition, which may have an adverse impact on their respective profitability. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace.

These factors could affect the consumer discretionary sector and could affect the value of the equity securities held by the Consumer Discretionary Select Sector SPDR ^® Fund and the price of the Consumer Discretionary Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Consumer Discretionary Select Sector SPDR ^® Fund, changes to the underlying index for the Consumer Discretionary Select Sector SPDR ^® Fund expected in late September 2018 may adversely affect the value of the securities.

In November 2017, S&P Dow Jones Indices LLC and MSCI Inc. announced that, after the close of business on September 28, 2018, the GICS ^® consumer discretionary sector will be updated to (a) expand the internet & direct marketing retail industry to include companies providing online marketplaces for consumer products and services and e-commerce companies regardless of whether they hold inventory and (b) discontinue the media industry (which will be moved to the renamed GICS ^® communication services sector). The underlying index for the Consumer Discretionary Select Sector SPDR ^® Fund, the Consumer Discretionary Select Sector Index is designed to measure the performance of the GICS ^® consumer discretionary sector and is expected to reflect these changes to the GICS ^® consumer discretionary sector on or after that date. As a result, the Consumer Discretionary Select Sector SPDR ^® Fund is expected to change its holdings on or after that date to reflect the changes to its underlying index. This

change could adversely affect the performance of the Consumer Discretionary Select Sector SPDR ^® Fund and, in turn, the value of the securities.

For securities linked in whole or in part to the Consumer Staples Select Sector SPDR ^® Fund, risks associated with the consumer staples sector will affect the value of the securities.

All or substantially all of the equity securities held by the Consumer Staples Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the consumer staples sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Consumer staples companies are subject to government regulation affecting their products, which may negatively impact these companies’ performance. For instance, government regulations may affect the permissibility of using various food additives and production methods of companies that make food products, which could affect company profitability. Tobacco companies may be adversely affected by the adoption of proposed legislation and/or by litigation. Also, the success of food, beverage, household and personal product companies may be strongly affected by consumer interest, marketing campaigns and other factors affecting supply and demand, including performance of the overall domestic and global economy, interest rates, competition and consumer confidence and spending.

These factors could affect the consumer staples sector and could affect the value of the equity securities held by the Consumer Staples Select Sector SPDR ^® Fund and the price of the Consumer Staples Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Energy Select Sector SPDR ^® Fund, risks associated with the energy sector will affect the value of the securities.

All or substantially all of the equity securities held by the Energy Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the energy sector, including the following industries: oil, gas and consumable fuels; and energy equipment and services. The Energy Select Sector SPDR ^® Fund is concentrated in the energy sector, which means the Energy Select Sector SPDR ^® Fund will be more affected by the performance of the energy sector than a fund or index that was more diversified.

Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions. These companies may be at risk for environmental damage claims.

These factors could affect the energy sector and could affect the value of the equity securities held by the Energy Select Sector SPDR ^® Fund and the value of the Energy Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Financial Select Sector SPDR ^® Fund, risks associated with the financial sector will affect the value of the securities.

All or substantially all of the equity securities held by the Financial Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the financial sector, including the following industries: diversified financial services; insurance; banks; capital markets; real estate investment trusts (“REITs”); consumer finance; thrifts and mortgage finance; and real estate management and development. The Financial Select Sector SPDR ^® Fund is concentrated in the financial sector, which means the Financial Select Sector SPDR ^® Fund will be more affected by the performance of the financial sector than a fund or index that was more diversified.

Financial services companies are subject to extensive government regulation which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly when interest rates change or due to increased competition. In addition, deterioration of the credit markets generally may cause an adverse impact in a broad range of markets, including U.S. and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions and markets. Certain events in the financial sector may cause an unusually high degree of volatility in the financial markets, both domestic and foreign, and cause certain financial services companies to incur large losses. Securities of financial services companies may experience a dramatic decline in value when such companies experience substantial declines in the valuations of their assets, take action to raise capital (such as the issuance of debt or equity securities), or cease operations.

Credit losses resulting from financial difficulties of borrowers and financial losses associated with investment activities can negatively impact the financial sector. Insurance companies may be subject to severe price competition. Adverse economic, business or political developments affecting real estate could have a major effect on the value of real estate securities (which include REITs). Declining real estate values could adversely affect financial institutions engaging in mortgage finance or other lending or investing activities directly or indirectly connected with the value of real estate.

These factors could affect the financial sector and could affect the value of the equity securities held by the Financial Select Sector SPDR ^® Fund and the value of the Financial Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Financial Select Sector SPDR ^® Fund, in September 2016, the Financial Select Sector SPDR ^® Fund ceased providing exposure to the real estate sector and this change in exposure could adversely affect the value of the securities.

The Financial Select Sector SPDR ^® Fund seeks to track the Financial Select Sector Index. On September 19, 2016, the Financial Select Sector Index was reconstituted to eliminate the stocks of real estate management and development companies and real estate investment trusts (“REITs”) (other than mortgage REITs) (“real estate stocks”). In order to implement a corresponding change to its portfolio, the Financial Select Sector SPDR ^® Fund exchanged its real estate stocks for shares of the Real Estate Select Sector SPDR ^® Fund and then distributed those shares to its holders as a special share distribution with an ex-date of September 19, 2016. As of September 19, 2016, the Financial Select Sector SPDR ^® Fund no longer holds real estate stocks. The Financial Select Sector SPDR® Fund now tracks the performance of only those financial company stocks that remain in the Financial Select Sector Index following its reconstitution, which exclude real estate stocks. Consequently, the Financial Select Sector SPDR ^® Fund is less diversified, and is more concentrated in the financial sector, than it was before this change to its portfolio.

The net asset value of the shares of the Real Estate Select Sector SPDR ^® Fund distributed for each share of the Financial Select Sector SPDR ^® Fund represented approximately 18.8% of the net asset value of the Fund as of September 16, 2016. Accordingly, the changes to the Financial Select Sector SPDR ^® Fund described above represent a significant change in the nature of the Fund and its holdings. These changes could adversely affect the performance of the Financial Select Sector SPDR ^® Fund and, in turn, the value of the securities.

For securities linked in whole or in part to the Health Care Select Sector SPDR ^® Fund, risks associated with the health care sector will affect the value of the securities.

All or substantially all of the equity securities held by the Health Care Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the health care sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Companies in the health care sector are subject to extensive government regulation and their profitability can be significantly affected by restrictions on government reimbursement for medical expenses, rising costs of medical products and services, pricing pressure (including price discounting), limited product lines and an increased

emphasis on the delivery of healthcare through outpatient services. Companies in the health care sector are heavily dependent on obtaining and defending patents, which may be time consuming and costly, and the expiration of patents may also adversely affect the profitability of these companies. Health care companies are also subject to extensive litigation based on product liability and similar claims. In addition, their products can become obsolete due to industry innovation, changes in technologies or other market developments. Many new products in the health care sector require significant research and development and may be subject to regulatory approvals, all of which may be time consuming and costly with no guarantee that any product will come to market.

These factors could affect the health care sector and could affect the value of the equity securities held by the Health Care Select Sector SPDR ^® Fund and the price of the Health Care Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Industrial Select Sector SPDR ^® Fund, risks associated with the industrial sector will affect the value of the securities.

All or substantially all of the equity securities held by the Industrial Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the industrial sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Industrial companies are affected by supply and demand both for their specific product or service and for industrial sector products in general. Government regulation, world events, exchange rates and economic conditions, technological developments and liabilities for environmental damage and general civil liabilities will likewise affect the performance of these companies. Aerospace and defense companies, a component of the industrial sector, can be significantly affected by government spending policies because companies involved in this industry rely, to a significant extent, on U.S. and foreign government demand for their products and services. Thus, the financial condition of, and investor interest in, aerospace and defense companies are heavily influenced by governmental defense spending policies, which are typically under pressure from efforts to control the U.S. (and other) government budgets. Transportation securities, a component of the industrial sector, are cyclical and have occasional sharp price movements, which may result from changes in the economy, fuel prices, labor agreements and insurance costs.

These factors could affect the industrial sector and could affect the value of the equity securities held by the Industrial Select Sector SPDR ^® Fund and the price of the Industrial Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Materials Select Sector SPDR ^® Fund, risks associated with the materials sector will affect the value of the securities.

All or substantially all of the equity securities held by the Materials Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the materials sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

Many materials companies are significantly affected by the level and volatility of commodity prices, exchange rates, import controls, worldwide competition, environmental policies and consumer demand. At times, worldwide production of industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for environmental damage and general civil liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, technical progress, labor relations, and government regulations.

These factors could affect the materials sector and could affect the value of the equity securities held by the Materials Select Sector SPDR ^® Fund and the price of the Materials Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Real Estate Select Sector SPDR ^® Fund, risks associated with the real estate sector will affect the value of the securities.

All or substantially all of the equity securities held by the Real Estate Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the real estate sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers. There are special risks associated with investment in securities of companies engaged in real property markets, including, without limitation REITs and real estate operating companies.

An investment in a real property company may be subject to risks similar to those associated with direct ownership of real estate, including, by way of example, the possibility of declines in the value of real estate, losses from casualty or condemnation, and changes in local and general economic conditions, supply and demand, interest rates, environmental liability, zoning laws, regulatory limitations on rents, property taxes, and operating expenses. An investment in a real property company is subject to additional risks, such as poor performance by the manager of the real property company, adverse changes in tax laws, difficulties in valuing and disposing of real estate, and the effect of general declines in stock prices. Some real property companies have limited diversification because they invest in a limited number of properties, a narrow geographic area, or a single type of property. Also, the organizational documents of a real property company may contain provisions that make changes in control of the company difficult and time-consuming. As a shareholder in a real property company, the Real Estate Select Sector SPDR ^® Fund would bear their ratable shares of the real property company’s expenses and would at the same time continue to pay their own fees and expenses.

REITs are subject to the risks associated with investing in the securities of real property companies. In particular, REITs may be affected by changes in the values of the underlying properties that they own or operate. Further, REITs are dependent upon specialized management skills, and their investments may be concentrated in relatively few properties, or in a small geographic area or a single property type. REITs are also subject to heavy cash flow dependency and, as a result, are particularly reliant on the proper functioning of capital markets, as well as defaults by borrowers and self-liquidation. A variety of economic and other factors may adversely affect a lessee’s ability to meet its obligations to a REIT. In the event of a default by a lessee, the REIT may experience delays in enforcing its rights as a lessor and may incur substantial costs associated with protecting its investments. In addition, a REIT could possibly fail to qualify for favorable tax treatment under the Internal Revenue Code, or to maintain its exemptions from registration under the 1940 Act, which could have adverse consequences for the Real Estate Select Sector SPDR ^® Fund. Investments in REITs are also subject to the risks affecting equity markets generally.

These factors could affect the real estate sector and could affect the value of the equity securities held by the Real Estate Select Sector SPDR ^® Fund and the price of the Real Estate Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Technology Select Sector SPDR ^® Fund, risks associated with the technology sector will affect the value of the securities.

All or substantially all of the equity securities held by the Technology Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the technology sector. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The value of stocks of technology companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel.

These factors could affect the technology sector and could affect the value of the equity securities held by the Technology Select Sector SPDR ^® Fund and the price of the Technology Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Technology Select Sector SPDR ^® Fund, changes to the underlying index for the Technology Select Sector SPDR ^® Fund expected in late September 2018 may adversely affect the value of the securities.

In November 2017, S&P Dow Jones and MSCI announced that, after the close of business on September 28, 2018, the GICS ^® telecommunication services sector will be broadened and renamed the communication services sector to include companies that facilitate communication and offer related content and information through various media, resulting in the addition of three GICS ^® industries within the renamed communication services sector: media; entertainment; and interactive media & services.  The underlying index for the Technology Select Sector SPDR ^® Fund, the Technology Select Sector Index is designed to measure the performance of the GICS ^® information technology sector and telecommunication services sector and is expected to reflect these changes to the GICS ^® telecommunication services sector on or after that date.  As a result, the Technology Select Sector SPDR ^® Fund is expected to change its holdings on or after that date to reflect the changes to its underlying index.  This change could adversely affect the performance of the Technology Select Sector SPDR ^® Fund and, in turn, the value of the securities.

For securities linked in whole or in part to the Utilities Select Sector SPDR ^® Fund, risks associated with the utilities sector will affect the value of the securities.

All or substantially all of the equity securities held by the Utilities Select Sector SPDR ^® Fund are issued by companies whose primary line of business is directly associated with the utilities sector. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The performance of companies in the utilities sector is affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil liabilities, and rate caps or rate charges. Although rate changes of a utility usually fluctuate in approximate correlation with financing costs due to political and regulatory factors, rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings and dividends in times of decreasing costs, but conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company’s equipment unusable or obsolete and negatively impact profitability.

Among the risks that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated with compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power plants, the effects of energy conservation and the effects of regulatory changes

The factors described above affect the utilities sector generally and could affect the value of the securities held by the Utilities Select Sector SPDR ^® Fund and thus the value of the Utilities Select Sector SPDR ^® Fund during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the SPDR ^® Gold Trust, the performance and market value of the SPDR ^® Gold Trust, particularly during periods of market volatility, may not correlate with the performance of the SPDR ^® Gold Trust’s underlying commodity as well as the net asset value per share.

The SPDR ^® Gold Trust does not fully replicate the performance of gold, its “Underlying Commodity,” due to the fees and expenses charged by the SPDR ^® Gold Trust or by restrictions on access to its Underlying Commodity due to other circumstances. The SPDR ^® Gold Trust does not generate any income, and as the SPDR ^® Gold Trust regularly sells its Underlying Commodity to pay for ongoing expenses, the amount of its Underlying Commodity represented by each share gradually declines over time. The SPDR ^® Gold Trust sells its Underlying Commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in the price of its Underlying Commodity. The sale by SPDR ^® Gold Trust of its Underlying Commodity to pay expenses at a time of low prices for its Underlying Commodity could adversely affect the value of the securities. Additionally, there is a risk that part or all of the SPDR ^® Gold Trust’s holdings in its Underlying Commodity could be lost, damaged or stolen due to war, terrorism, theft, natural disaster or otherwise. All of these factors may lead to a lack of correlation between the performance of the SPDR ^® Gold Trust and its Underlying Commodity. In addition, because the shares of the SPDR ^® Gold Trust are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the SPDR ^® Gold Trust may differ from the net asset value per share of the SPDR ^® Gold Trust.

During periods of market volatility, the SPDR ^® Gold Trust’s Underlying Commodity may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the SPDR ^® Gold Trust and the liquidity of the SPDR ^® Gold Trust may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the SPDR ^® Gold Trust. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the SPDR ^® Gold Trust. As a result, under these circumstances, the market value of shares of the SPDR ^® Gold Trust may vary substantially from the net asset value per share of the SPDR ^® Gold Trust. For all of the foregoing reasons, the performance of the SPDR ^® Gold Trust may not correlate with the performance of its Underlying Commodity as well as the net asset value per share of the SPDR ^® Gold Trust, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.

For securities linked in whole or in part to the SPDR ^® Gold Trust, the price of gold is volatile and is affected by numerous factors.

The value of the SPDR ^® Gold Trust is closely related to the price of gold. A decrease in the price of gold may have a material adverse effect on the value of the securities and your return on your investment in the securities. Gold is subject to the effect of numerous factors. The following describes some of the factors affecting gold.

The price of gold is primarily affected by the global demand for and supply of gold. The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors, including macroeconomic factors, such as the structure of and confidence in the global monetary system, expectations regarding the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is usually quoted), interest rates, gold borrowing and lending rates and global or regional economic, financial, political, regulatory, judicial or other events, especially those of unexpected nature. Gold prices may be affected by industry factors, such as industrial and jewelry demand as well as lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions that hold gold. Additionally, gold prices may be affected by levels of gold production, production costs and short-term changes in supply and demand due to trading activities in the gold market. From time to time, above-ground inventories of gold may also influence the market. It is not possible to predict the aggregate effect of all or any combination of these factors. The price of gold has recently been, and may continue to be, extremely volatile.

For securities linked in whole or in part to the SPDR ^® Gold Trust, economic or political events or crises, especially those of unexpected nature, could result in large-scale purchases or sales of gold, which could affect the price of gold and may adversely affect the value of your securities.

Many investors, institutions, governments and others purchase and sell gold as a hedge against inflation, market turmoil or uncertainty or political events. Under such circumstances, significant large-scale purchases or sales of gold by market participants may affect the price of gold, which could adversely affect the value of your securities. Crises in the future may impair gold’s price performance which would, in turn, adversely affect the shares of the SPDR ^® Gold Trust and your investment in the securities.

For securities linked in whole or in part to the SPDR ^® Gold Trust, gold is traded on the London Bullion Market Association, so an investment in the securities may be subject to risks associated with the London Bullion Market Association.

The SPDR ^® Gold Trust is closely related to its underlying commodity ( e.g. , gold), the price of which is determined by an independent service provider appointed by the London Bullion Market Association (the “LBMA”). Investments in securities indexed to the value of commodities the prices of which are determined by non-U.S. markets involve risks associated with the markets in those countries, including risks of volatility in those markets and governmental intervention in those markets.

The final price of gold will be determined by reference to fixing prices reported by an independent service provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other form of regulation currently not in place, the role of LBMA price fixings as a global benchmark for the value of gold may be adversely affected. The LBMA is a principals’ market which operates in a manner more closely analogous to an over-the-counter physical commodity market than regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA which would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining or rising market, it is possible that prices would continue to decline or rise without limitation within a trading day or over a period of trading days. The LBMA, or an independent service provider appointed by the LBMA, may alter, discontinue or suspend calculation or dissemination of the LBMA gold price, which could adversely affect the value of the securities.  The LBMA, or an independent service provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising the LBMA gold price.

For securities linked in whole or in part to the SPDR ^® Gold Trust, the relevant exchange for gold has no obligation to consider your interests.

The price of the SPDR ^® Gold Trust is closely related to the price of gold. The relevant exchange for gold is responsible for calculating the official settlement price or fixing level, as applicable, for gold. The relevant exchange may alter, discontinue or suspend calculation or dissemination of the official settlement price or fixing level, as applicable, for gold. Any of these actions could adversely affect the value of the securities. The relevant exchange has no obligation to consider your interests in calculating or revising the official settlement price or fixing level, as applicable, for gold.

For securities linked in whole or in part to the SPDR ^® Gold Trust, termination of the SPDR ^® Gold Trust could affect adversely the value of the securities.

The SPDR ^® Gold Trust may be required to terminate and liquidate at a time that is disadvantageous to you. If the SPDR ^® Gold Trust is required to terminate and liquidate, such termination and liquidation could occur at a time that is disadvantageous to you, such as when the price of gold is higher than the price of gold at the time when you purchased your securities.

For securities linked in whole or in part to the SPDR ^® Gold Trust, single commodity prices, such as gold prices, tend to be more volatile than, and may not correlate with, the prices of commodities generally.

The SPDR ^® Gold Trust is linked to a single commodity and not to a diverse basket of commodities or a broad-based commodity index. The SPDR ^® Gold Trust’s Underlying Commodity may not correlate to the price of commodities generally and may diverge significantly from the prices of commodities generally. As a result, the

securities carry greater risk and may be more volatile than securities linked to the prices of more commodities or a broad-based commodity index.

For securities linked in whole or in part to the SPDR ^® S&P ^® Bank ETF or the SPDR ^® S&P ^® Regional Banking ETF, risks associated with the banking industry will affect the value of the securities.

All or substantially all of the equity securities held by the SPDR ^® S&P ^® Bank ETF and the SPDR ^® S&P ^® Regional Banking ETF are issued by companies whose primary line of business is directly associated with the banking industry.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. 

The performance of bank stocks may be affected by extensive governmental regulation, which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge and the amount of capital they must maintain.  Profitability is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change.  Credit losses resulting from financial difficulties of borrowers can negatively impact banking companies.  Banks may also be subject to severe price competition.  Competition among banking companies is high and failure to maintain or increase market share may result in lost market share. 

These factors could affect the banking industry and could affect the value of the equity securities held by the SPDR ^® S&P ^® Bank ETF and the SPDR ^® S&P ^® Regional Banking ETF and the prices of the SPDR ^® S&P ^® Bank ETF and the SPDR ^® S&P ^® Regional Banking ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the SPDR ^® S&P ^® Biotech ETF, risks associated with the biotechnology industry will affect the value of the securities.

All or substantially all of the equity securities held by the SPDR ^® S&P ^® Biotech ETF are issued by companies whose primary line of business is directly associated with the biotechnology industry.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. 

Biotechnology companies invest heavily in research and development, which may not necessarily lead to commercially successful products.  These companies are also subject to increased governmental regulation, which may delay or inhibit the release of new products.  Many biotechnology companies are dependent upon their ability to use and enforce intellectual property rights and patents.  Any impairment of these rights may have adverse financial consequences.  Biotechnology stocks, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market.  Biotechnology companies can be significantly affected by technological change and obsolescence, product liability lawsuits and consequential high insurance costs. 

These factors could affect the biotechnology industry and could affect the value of the equity securities held by the SPDR ^® S&P ^® Biotech ETF and the price of the SPDR ^® S&P ^® Biotech ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the SPDR ^® S&P ^® Homebuilders ETF, risks associated with the homebuilding industry will affect the value of the securities.

All or substantially all of the equity securities held by the SPDR ^® S&P ^® Homebuilders ETF are issued by companies whose primary line of business is directly associated with the homebuilding industry.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. 

Homebuilding companies can be significantly affected by the national, regional and local real estate markets.  This industry is also sensitive to interest rate fluctuations which can cause changes in the availability of

mortgage capital and directly affect the purchasing power of potential homebuyers.  The building industry can be significantly affected by changes in government spending, consumer confidence, demographic patterns and the level of new and existing home sales.

These factors could affect the homebuilding industry and could affect the value of the equity securities held by the SPDR ^® S&P ^® Homebuilders ETF and the price of the SPDR ^® S&P ^® Homebuilders ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the SPDR ^® S&P ^® Metals & Mining ETF, risks associated with the metals and mining industry will affect the value of the securities.

All or substantially all of the equity securities held by the SPDR ^® S&P ^® Metals & Mining ETF are issued by companies whose primary line of business is directly associated with the metals and mining industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers.

Metals and mining companies can be significantly affected by events relating to international political and economic developments, energy conservation, the success of exploration projects, commodity prices, and tax and other government regulations. Investments in metals and mining companies may be speculative and may be subject to greater price volatility than investments in other types of companies. Risks of metals and mining investments include: changes in international monetary policies or economic and political conditions that can affect the supply of precious metals and consequently the value of metals and mining company investments; the United States or foreign governments may pass laws or regulations limiting metals investments for strategic or other policy reasons; and increased environmental or labor costs may depress the value of metals and mining investments.

These factors could affect the metals and mining industry and could affect the value of the equity securities held by the SPDR ^® S&P ^® Metals & Mining ETF and the price of the SPDR ^® S&P ^® Metals & Mining ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the SPDR ^® S&P ^® Oil & Gas Exploration & Production ETF, risks associated with the oil and gas exploration and production industry will affect the value of the securities.

All or substantially all of the equity securities held by the SPDR ^® S&P ^® Oil & Gas Exploration & Production ETF are issued by companies whose primary line of business is directly associated with the oil and gas exploration and production industry.  As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers. 

Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy fuels caused by geopolitical events, energy conservation or use of alternative fuel sources, the success of exploration projects, weather or meteorological events, taxes, increased governmental or environmental regulation, resource depletion, rising interest rates, declines in domestic or foreign production, accidents or catastrophic events, or terrorist threats or attacks, among others.  Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers.  Companies in the energy sector may need to make substantial expenditures, and to incur significant amounts of debt, in order to maintain or expand their reserves through exploration of new sources of supply, through the development of existing sources, through acquisitions, or through long-term contracts to acquire reserves.  Factors adversely affecting producers, refiners, distributors, or others in the energy sector may affect adversely companies that service or supply those entities, either because demand for those services or products is curtailed, or those services or products come under price pressure.

Oil and gas companies develop and produce crude oil and natural gas and provide drilling and other energy resources production and distribution related services.  Stock prices for these types of companies are affected by supply and demand both for their specific product or service and for energy products in general.  The price of oil and gas, exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these companies.  Correspondingly, securities of companies in the energy field

are subject to swift price and supply fluctuations caused by events relating to international politics, energy conservation, the success of exploration projects, and tax and other governmental regulatory policies.  Weak demand for the companies’ products or services or for energy products and services in general, as well as negative developments in these other areas, would adversely impact the SPDR ^® S&P ^® Oil & Gas Exploration & Production ETF’s performance.  Oil and gas exploration and production can be significantly affected by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions.  These companies may be at risk for environmental damage claims. 

These factors could affect the oil and gas exploration and production industry and could affect the value of the equity securities held by the SPDR ^® S&P ^® Oil & Gas Exploration & Production ETF and the price of the SPDR ^® S&P ^® Oil & Gas Exploration & Production ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the United States Oil Fund, LP, the performance and market value of the United States Oil Fund, LP, particularly during periods of market volatility, may not correlate with the performance of its Underlying Commodity or its benchmark oil futures contract as well as the net asset value per share.

The United States Oil Fund, LP does not fully replicate the performance of its Underlying Commodity or its benchmark oil futures contract (each as defined under “Fund Descriptions — The United States Oil Fund, LP” below).  The United States Oil Fund, LP does not hold its Underlying Commodity directly and investing primarily in futures contracts for its Underlying Commodity, oil futures contracts and other oil interests.  In addition, the performance of the United States Oil Fund, LP will reflect its expenses and transaction costs, including those incurred in connection with its trading activities.  All of these factors may lead to a lack of correlation between the performance of the United States Oil Fund, LP and its Underlying Commodity and its benchmark oil futures contract.  

The investment objective of the United States Oil Fund, LP is for the daily changes in percentage terms of the net asset value of its shares to reflect the daily changes in percentage terms of its Underlying Commodity, as measured by the daily changes in the price of its benchmark oil futures contract, less its expenses.  The United States Oil Fund, LP’s investment objective is not for its net asset value or market price of its shares to equal, in dollar terms, the spot price of light, sweet crude oil or any particular futures contract based on light, sweet crude oil, nor is the United States Oil Fund, LP’s investment objective for the percentage change in its net asset value to reflect the percentage change of the price of any particular futures contract as measured over a time period greater than one day.  There is the risk that the daily changes in the price of the United States Oil Fund, LP’s shares on a percentage basis will not closely track the daily changes in the spot price of light, sweet crude oil on a percentage basis. This could happen if the price of United States Oil Fund, LP s shares traded on its primary exchange does not correlate closely with the net asset value per share of the United States Oil Fund, LP; the changes in net asset value per share of the United States Oil Fund, LP do not correlate closely with the changes in the price of the benchmark oil futures contract; or the changes in the price of the benchmark oil futures contract do not closely correlate with the changes in the cash or spot price of crude oil.  In addition, disruptions in the market for light, sweet crude oil, the imposition of position or accountability limits by regulators or exchanges or other extraordinary circumstances may impact the variance between the performances of the United States Oil Fund, LP and its benchmark oil futures contract.  Further, the correlation between the prices of the benchmark oil futures contract and the spot price of the Underlying Commodity may at time be only approximate.  The degree of imperfection of correlation depends upon circumstance such as variations in the speculative oil market, supply of and demand for oil futures contracts (including the benchmark oil futures contract) and other oil-related investments, and technical influences in oil futures trading.  Finally, because the shares of the United States Oil Fund, LP are traded on a securities exchange and are subject to market supply and investor demand, the market value of one share of the United States Oil Fund, LP may differ from the net asset value per share of the United States Oil Fund, LP.

During periods of market volatility, the United States Oil Fund, LP’s benchmark oil futures contract may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the United States Oil Fund, LP and the liquidity of the United States Oil Fund, LP may be adversely affected.  This kind of market volatility may also disrupt the ability of market participants to create and redeem shares of the United States Oil Fund, LP.  Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the United State Oil Fund, LP.  As a result,

under these circumstances, the market value of shares of the United State Oil Fund, LP may vary substantially from the net asset value per share of the United State Oil Fund, LP.  For all of the foregoing reasons, the performance of the United State Oil Fund, LP may not correlate with the performance of its Underlying Commodity or its benchmark oil futures contract as well as the net asset value per share of the United State Oil Fund, LP, which could materially and adversely affect the value of the securities in the secondary market and/or reduce any payment on the securities.

For securities linked in whole or in part to the United States Oil Fund, LP, the market price of crude oil will affect the value of the securities.

Because the securities are linked in whole or in part to the performance of the United States Oil Fund, LP, which invests primarily in futures contracts on light, sweet crude oil, we expect that generally the market value of the securities will depend in part on the market price of crude oil.  The price of crude oil is primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates.  Crude oil prices are volatile and subject to dislocation.  Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil.  Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel.  Potential for substitution in most areas exists, although considerations, including relative cost, often limit substitution levels.  Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions.  Demand is also influenced by government regulations, such as environmental or consumption policies.  In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world.  Such events tend to affect oil prices worldwide, regardless of the location of the event.  Supply for crude oil may increase or decrease depending on many factors.  These include production decisions by the Organization of the Petroleum Exporting Countries (“OPEC”) and other crude oil producers.  Crude oil prices are determined with significant influence by OPEC.  OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of the world’s oil supply.  In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable.  Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities.  Crude oil prices may also be affected by short-term changes in supply and demand because of trading activities in the oil market and seasonality ( e.g. , weather conditions such as hurricanes).  It is not possible to predict the aggregate effect of all or any combination of these factors.

For securities linked in whole or in part to the United States Oil Fund, LP, the United States Oil Fund, LP may be more volatile and more susceptible to price fluctuations of commodity futures contracts than an index or fund that provides broad commodity exposure.

In contrast to an index or fund that includes or holds contracts on crude oil and non-crude oil commodities, the United States Oil Fund, LP primarily invests on contracts only on crude oil.  As a result, price volatility in the contracts held by the United States Oil Fund, LP will likely have a greater impact on the United State Oil Fund, LP than it would on an index or fund with broad commodity exposure.  In addition, because the United State Oil Fund, LP omits principal market sectors composing the commodity market, it will be less representative of the economy and commodity markets as a whole and will therefore not serve as a reliable benchmark for commodity market performance generally.

For securities linked in whole or in part to the VanEck Vectors ^® Gold Miners ETF, risks associated with the gold and silver mining industries will affect the value of the securities.

All or substantially all of the equity securities held by the VanEck Vectors ^® Gold Miners ETF are issued by companies whose primary line of business is directly associated with the gold and/or silver mining industries.   As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting these industries than a different investment linked to securities of a more broadly diversified group of issuers.

Investments related to gold and silver are considered speculative and are affected by a variety of factors.  Competitive pressures may have a significant effect on the financial condition of gold mining and silver mining companies.  Also, gold and silver mining companies are highly dependent on the price of gold bullion and silver bullion, respectively, but may also be adversely affected by a variety of worldwide economic, financial and political factors.  Therefore, the securities of companies involved in the gold or silver mining industry may under- or over-perform commodities themselves over the short-term or long-term.  Gold bullion and silver bullion prices may fluctuate substantially over short periods of time, even during periods of rising prices, so the VanEck Vectors ^® Gold Miners ETF’s share price may be more volatile than other types of investments.

A drop in the price of gold and/or silver bullion would particularly adversely affect the profitability of small- and medium-capitalization mining companies and their ability to secure financing.  Furthermore, companies that are only in the exploration stage are typically unable to adopt specific strategies for controlling the impact of the price of gold or silver.  The price of gold has fluctuated in recent years and may continue to fluctuate.  These prices may fluctuate substantially over short periods of time so the VanEck Vectors ^® Gold Miners ETF’s share price may be more volatile than other types of investments. Fluctuation in the prices of gold and silver may be due to a number of factors, including the changes in inflation and changes in industrial and commercial demand for metals.  Additionally, increased environmental or labor costs may depress the value of metal investments.  In times of significant inflation or great economic uncertainty, gold, silver and other precious metals may outperform traditional investments such as bonds and stocks.  However, in times of stable economic growth, traditional equity and debt investments could offer greater appreciation potential and the value of gold, silver and other precious metals may be adversely affected, which could in turn affect the VanEck Vectors ^® Gold Miners ETF’s returns.

A significant portion of the world’s gold reserves are held by governments, central banks and related institutions.  The production, purchase and sale of precious metals by governments or central banks or other larger holders can be negatively affected by various economic, financial, social and political factors, which may be unpredictable and may have a significant adverse impact on the supply and prices of precious metals.  Additionally, the United States or foreign governments may pass laws or regulations limiting metal investments for strategic or other policy reasons.

The principal supplies of metal industries also may be concentrated in a small number of countries and regions.  Economic, social and political conditions in those countries that are the largest producers of gold and silver may have a direct negative effect on the production and marketing of gold and silver and on sales of central bank gold holdings.  Some gold, silver and precious metals mining operation companies may hedge their exposure to declines in gold, silver and precious metals prices by selling forward future production, which may result in lower returns during periods when the prices of gold, silver and precious metals increase.

The gold, silver and precious metals industries can be significantly adversely affected by events relating to international political developments, the success of exploration projects, commodity prices, tax and government regulations and intervention (including government restrictions on private ownership of gold and mining land), changes in inflation or expectations regarding inflation in various countries and investment speculation. If a natural disaster or other event with a significant economic impact occurs in a region where the companies in which the VanEck Vectors ^® Gold Miners ETF invests operate, that disaster or event could negatively affect the profitability of such companies and, in turn, the VanEck Vectors ^® Gold Miners ETF’s investment in them.  Gold and silver mining companies may also be significantly adversely affected by import controls, worldwide competition, environmental hazards, liability for environmental damage, depletion of resources, industrial accidents, underground fires, seismic activity, labor disputes, unexpected geological formations, availability of appropriately skilled persons, unanticipated ground and water conditions and mandated expenditures for safety and pollution control devices.

These factors could affect the gold and silver mining industries and could affect the value of the equity securities held by the VanEck Vectors ^® Gold Miners ETF and the price of the VanEck Vectors ^® Gold Miners ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the VanEck Vectors ^® Oil Services ETF, risks associated with the oil services sector will affect the value of the securities.

All or substantially all of the equity securities held by the VanEck Vectors ^® Oil Services ETF are issued by companies whose primary line of business is directly associated with the oil services sector.   As a result, the value

of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The profitability of companies in the oil services sector is related to worldwide energy prices, including all sources of energy, and exploration and production costs.  The price of energy, the earnings of companies in the oil services sector, and the value of these companies’ securities have recently experienced significant volatility.  Additionally, the price of oil has also recently experienced significant volatility and has declined significantly, which may materially impact companies operating in the oil services sector.  These companies are also subject to risks of changes in exchange rates and the price of oil and gas, changes in prices for competitive energy services, changes in the global supply of and demand for oil and gas, the imposition of import controls, world events, actions of the Organization of Petroleum Exporting Countries, negative perception and publicity, depletion of resources and general economic conditions, development of alternative energy sources, energy conservation efforts, technological developments and labor relations, as well as market, economic, social and political risks of the countries where oil services companies are located or do business.  The values of securities of oil services companies are subject to swift price and supply fluctuations caused by events relating to international politics, including political instability, expropriation, social unrest and acts of war, energy conservation, the success of exploration projects and tax and other governmental regulatory policies.  Oil services companies operate in a highly competitive and cyclical industry, with intense price competition.

The oil services sector is exposed to significant and numerous operating hazards.  Oil services companies’ operations are subject to hazards inherent in the oil and gas industry, such as fire, explosion, blowouts, loss of well control, oil spills, pipeline and equipment leaks and ruptures and discharges or releases of toxic or hazardous gases.  Oil and gas exploration and production can be significantly affected by natural disasters and adverse weather conditions in the regions in which they operate.  The revenues of oil services companies may be negatively affected by contract termination and renegotiation.  In the oil services sector, it is customary for contracts to provide for either automatic termination or termination at the option of the customer if the drilling unit is destroyed or lost or if drilling operations are suspended for a specified period of time as a result of events beyond the control of either party or because of equipment breakdowns.  In periods of depressed market conditions, the customers of oil services companies may not honor the terms of existing contracts and may terminate contracts or seek to renegotiate contract rates and terms to reduce their obligations.

Oil services companies are subject to, and may be adversely affected by, extensive federal, state, local and foreign laws, rules and regulations.  Oil exploration and production companies may also be adversely affected by environmental damage claims and other types of litigation.  Laws and regulations protecting the environment may expose oil services companies to liability for the conduct of or conditions caused by others or for acts that were in compliance with all applicable laws at the time they were performed.  Changes to environmental protection laws, including the implementation of policies with less stringent environmental protection standards and those geared away from sustainable energy development, could lead to fluctuations in supply, demand and prices of oil and gas.  The international operations of oil services companies expose them to risks associated with instability and changes in economic and political conditions, foreign currency fluctuations, changes in interest rates, changes in foreign regulations and other risks inherent to international business.  Additionally, changes to U.S. trading policies could cause friction with certain oil producing countries and between the governments of the United States and other major exporters of oil to the United States.  Some of the companies in the oil services sector are engaged in other lines of business unrelated to oil services, and they may experience problems with these lines of business, which could adversely affect their operating results.  The operating results of these companies may fluctuate as a result of these additional risks and events in the other lines of business.  In addition, a company’s ability to engage in new activities may expose it to business risks with which it has less experience than it has with the business risks associated with its traditional businesses.  Despite a company’s possible success in traditional oil services activities, there can be no assurance that the other lines of business in which these companies are engaged will not have an adverse effect on a company’s business or financial condition.

These factors could affect the oil services sector and could affect the value of the equity securities held by the VanEck Vectors ^® Oil Services ETF and the price of the VanEck Vectors ^® Oil Services ETF during the term of the securities, which may adversely affect the value of your securities.

For securities linked in whole or in part to the Vanguard FTSE Emerging Markets ETF, the index tracked by the Vanguard FTSE Emerging Markets ETF has changed over time.

The Vanguard FTSE Emerging Markets ETF tracked the Select Emerging Markets Index through August 23, 2006; the MSCI Emerging Markets Index through January 9, 2013; the FTSE Emerging Transition Index through June 27, 2013; the FTSE Emerging Index through November 1, 2015; the FTSE Emerging Markets All Cap China A Transition Index through September 18, 2016.  Since September 19, 2016, the Vanguard FTSE Emerging Markets ETF has tracked the FTSE Emerging Markets All Cap China A Inclusion Index.  Korean companies were first included  as part of the transition to the FTSE Emerging Index, and small-capitalization stocks and China A-shares were first included as part of the transition to the FTSE Emerging Markets All Cap China A Inclusion Index.  China A-shares, which are securities of Chinese-incorporated companies that trade on either the Shanghai or Shenzhen stock exchange, are quoted in Renminbi and can be traded only either by residents of the People’s Republic of China or under the qualified foreign institutional investor (“QFII”) and/or Renminbi QFII (“RQFII”) rules and stock connect schemes.  These changes could adversely affect the performance of the Vanguard FTSE Emerging Markets ETF and, in turn, your return on the securities.  In addition, there is limited historical information that reflects the Vanguard FTSE Emerging Markets ETF’s tracking of the FTSE Emerging Markets All Cap China A Inclusion Index.

For securities linked in whole or in part to the WisdomTree Japan Hedged Equity Fund, the currency hedge strategy employed by the WisdomTree Japan Hedged Equity Fund may not sufficiently reduce its exposure to currency fluctuations.

The price of the WisdomTree Japan Hedged Equity Fund is related to the U.S. dollar value of equity securities that trade in Japanese yen.  The WisdomTree Japan Hedged Equity Fund attempts to mitigate the impact of currency fluctuations on its performance by entering into forward currency contracts or futures contracts designed to offset its exposure to the Japanese yen.  The amount of forward contracts and futures contracts in the WisdomTree Japan Hedged Equity Fund is based on the aggregate exposure of the WisdomTree Japan Hedged Equity Fund to the Japanese yen.  However, this approach may not eliminate the exposure of the WisdomTree Japan Hedged Equity Fund to the Japanese yen.  The return of the forward currency contracts and currency futures contracts may not offset the actual fluctuations between the Japanese yen and the U.S. dollar.

As a result, the holders of the securities will still likely be exposed to currency exchange rate risk with respect to the Japanese yen.  Exchange rate movements for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand for, that currency, as well as relevant government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant region.  An investor’s net exposure will depend on the extent to which the currency hedge strategy employed by the WisdomTree Japan Hedged Equity Fund is able to mitigate currency fluctuations and the extent to which the Japanese yen strengthens or weakens against the U.S. dollar.  If the U.S. dollar strengthens against the Japanese yen, the price of the WisdomTree Japan Hedged Equity Fund could be adversely affected and the payment at maturity on the securities may be reduced.

For securities linked in whole or in part to the WisdomTree Japan Hedged Equity Fund, the performance of the WisdomTree Japan Hedged Equity Fund likely will not benefit from any appreciation of the Japanese yen relative to the U.S. dollar.

The currency hedge strategy of the WisdomTree Japan Hedged Equity Fund will likely result in lower returns in the WisdomTree Japan Hedged Equity Fund than an equivalent unhedged investment when the Japanese yen is rising relative to the U.S. dollar.  Consequently, the weakening of the U.S. dollar relative to the Japanese yen is not expected to have any positive impact on the WisdomTree Japan Hedged Equity Fund (as compared to returns of an equivalent unhedged investment).

Equity Index Descriptions

The Dow Jones Industrial Average ^TM

All information contained in this underlying supplement regarding the Dow Jones Industrial Average ^TM , including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC (“S&P Dow Jones”). The Dow Jones Industrial Average ^TM is calculated, published and disseminated by S&P Dow Jones. S&P Dow Jones has no obligation to continue to publish, and may discontinue publication of, the Dow Jones Industrial Average ^TM .

The Dow Jones Industrial Average ^TM is reported by Bloomberg L.P. under the ticker symbol “INDU.”

Index Composition and Maintenance

The Dow Jones Industrial Average ^TM is a price-weighted index composed of 30 common stocks selected by a committee (for purposes of this section, the “Averages Committee”). The index universe consists of securities in the S&P 500 ^® Index, excluding stocks classified under Global Industry Classification Standard (GICS ^® ) code 2030 (Transportation) and 55 (Utilities). The definition of industrial is kept intentionally broad to provide an indicator that reflects the performance of the entire U.S. economy, excluding the transportation and utilities sectors.

While there are no rules for component selection, a stock typically is added only if it has an excellent reputation, demonstrates sustained growth, is of interest to a large number of investors and accurately represents the sector(s) covered by the average. Companies should be incorporated and headquartered in the U.S. In addition, a plurality of revenues should be derived from the U.S. The Dow Jones Industrial Average ^TM serves as a measure of the entire U.S. market such as financial services, technology, retail, entertainment and consumer goods and is not limited to traditionally defined industrial stocks.

The Dow Jones Industrial Average ^TM is maintained by the Averages Committee comprised of S&P Dow Jones staff as well as non- S&P Dow Jones staff as minority members. The Dow Jones Industrial Average ^TM is reviewed as needed, and composition changes are rare for the sake of continuity. There is no annual or semi-annual reconstitution. Rather, changes in response to corporate actions and market developments can be made at any time. Constituent changes are typically announced one to five days before they are scheduled to be implemented. When such an event necessitates that one component be replaced, the entire index is reviewed. As a result, when changes are made they typically involve more than one component.

Corporate actions (such as stock splits, stock dividends, and rights offerings) are applied after the close of trading on the day prior to the ex-date.  Any potential impact of a spin-off on constituents of the Dow Jones Industrial Average ^TM is evaluated by the Averages Committee on a case-by-case basis.

Index Calculation

The Dow Jones Industrial Average ^TM is price weighted rather than market capitalization weighted. Therefore, the component stock weightings are affected only by changes in the stocks’ prices, in contrast with the weightings of other indices that are affected by both price changes and changes in the number of shares outstanding. The value of the Dow Jones Industrial Average ^TM is the sum of the primary exchange prices of each of the 30 common stocks included in the Dow Jones Industrial Average ^TM , divided by a divisor. The divisor is changed in accordance with a mathematical formula to adjust for stock dividends, stock splits and other corporate actions. The current divisor of the Dow Jones Industrial Average ^TM is published daily in newspapers, on television and radio, and over the internet. Some companies may have more than one listing of common stock outstanding. In the Dow Jones Averages Indices, each company is represented once by the primary listing. While this methodology reflects current practice in calculating the Dow Jones Industrial Average ^TM , no assurance can be given that S&P Dow Jones will not modify or change this methodology in a manner that may affect the return on your investment.

Computation of the Dow Jones Industrial Average ^TM . The level of the Dow Jones Industrial Average ^TM is the sum of the primary exchange prices of each of the 30 component stocks included in the Dow Jones Industrial Average ^TM , divided by a divisor that is designed to provide a meaningful continuity in the level of the Dow Jones Industrial Average ^TM . Because the Dow Jones Industrial Average ^TM is price-weighted, stock splits or changes in the component stocks could result in distortions in the Dow Jones Industrial Average ^TM level. In order to prevent these distortions related to extrinsic factors, the divisor is periodically changed in accordance with a mathematical formula that reflects adjusted proportions within the Dow Jones Industrial Average ^TM . The current divisor of the Dow Jones Industrial Average ^TM is published daily in the Wall Street Journal and other publications. In addition, other statistics based on the Dow Jones Industrial Average ^TM may be found in a variety of publicly available sources.

The current formula used to calculate divisor adjustments is as follows: the new divisor ( i.e. , the divisor on the next trading session) is equal to (1) the divisor on the current trading session times (2) the quotient of (a) the sum of the adjusted (for stock dividends, splits, spin-offs and other applicable corporate actions) closing prices of the Dow Jones Industrial Average ^TM components on the current trading session and (b) the sum of the unadjusted closing prices of the Dow Jones Industrial Average ^TM components on the current trading session. The formula used to calculate divisor adjustments is:

Averages Committee

The Dow Jones Industrial Average ^TM is maintained by the Averages Committee. The Averages Committee is composed of three representatives of S&P Dow Jones Indices and two representatives of The Wall Street Journal.

The Averages Committee meets regularly. At each meeting, the Averages Committee reviews pending corporate actions that may affect index constituents, statistics comparing the composition of the Dow Jones Industrial Average ^TM to the market, companies that are being considered as candidates for addition to the Dow Jones Industrial Average ^TM , and any significant market events. In addition, the Averages Committee may revise index policy covering rules for selecting companies, treatment of dividends, share counts or other matters.

License Agreement

The Dow Jones Industrial Average ^TM is a registered trademark of Dow Jones Trademark Holdings LLC and has been licensed for use. “Dow Jones ^® ,” “Dow Jones Industrial Average ^TM ,” “DJIA ^SM ” and “Dow Jones Indexes” are service marks of Dow Jones and have been licensed for use for certain purposes by Citigroup Global Markets Inc. and its affiliates. S&P Dow Jones, Dow Jones & Company, Inc. (“Dow Jones”), CME Group Inc. (“CME Group”) and their respective affiliates have no relationship with the Issuer and its affiliates, other than the licensing of the Dow Jones Industrial Average ^TM (“DJIA”) and their respective service marks for use in connection with the certain financial products, including the securities.

S&P Dow Jones, Dow Jones, CME Group or their respective affiliates do not :

Notwithstanding the foregoing, CME Group and its affiliates may independently issue and/or sponsor financial products unrelated to the securities currently being issued by the Issuer, but which may be similar to and competitive with the securities. In addition, CME Group and its affiliates actively trade financial products which are linked to the performance of the DJIA. It is possible that this trading activity will affect the value of the DJIA and the securities.

The EURO STOXX 50 ^® Index

All information contained in this underlying supplement regarding the EURO STOXX 50 ^® Index, including, without limitation, its make-up, method of calculation and changes in its components, has been derived from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, STOXX Limited. The EURO STOXX 50 ^® Index is calculated, maintained and published by STOXX Limited. STOXX Limited has no obligation to continue to publish, and may discontinue publication of, the EURO STOXX 50 ^® Index.

The EURO STOXX 50 ^® Index is reported by Bloomberg L.P. under the ticker symbol “SX5E.”

The EURO STOXX 50 ^® Index was created by STOXX Limited, a wholly owned subsidiary of Deutsche Börse AG. Publication of the EURO STOXX 50 ^® Index began on February 26, 1998, based on an initial EURO STOXX 50 ^® Index value of 1,000 on December 31, 1991. The EURO STOXX 50 ^® Index is disseminated on the STOXX Limited website: http://www.stoxx.com, which sets forth, among other things, the country and industrial sector weightings of the securities included in the EURO STOXX 50 ^® Index. Information contained in the STOXX Limited website is not incorporated by reference in, and should not be considered a part of, this underlying supplement or the relevant terms supplement.

Index Composition and Maintenance

The EURO STOXX 50 ^® Index is composed of 50 component stocks of market sector leaders in terms of free-float market capitalization from within the 19 EURO STOXX ^® Supersector indices, which includes stocks selected from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. At any given time, some eligible countries may not be represented in the EURO STOXX 50 ^® Index.

The composition of the EURO STOXX 50 ^® Index is reviewed annually in September, based on the closing stock data on the last trading day in August. Changes to the component stocks are implemented on the third Friday in September and are effective the following trading day.  For each of the 19 EURO STOXX Supersector indices, the stocks are ranked in terms of free-float market capitalization.  The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding EURO STOXX Total Market Indices (TMI) Supersector Index.  If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list.  All current EURO STOXX 50 ^® Index stocks are added to the selection list.  All the stocks on the selection list are then ranked in terms of free-float market capitalization to produce the final index selection list.  The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50 stocks.

In addition, stocks must meet the following minimum liquidity criteria to be eligible for inclusion in the EURO STOXX 50 ^® Index.  For each company, only the most liquid stock is considered.  Stocks must have a minimum liquidity of greater than €1 million measured over 3-month average daily trading volume.

Components of the EURO STOXX 50 ^® Index are capped at a maximum weight of 10% quarterly. 

The composition of the EURO STOXX 50 ^® Index is also reviewed on an ongoing basis as follows:

Replacements .  A deleted stock is replaced immediately to maintain the fixed number of stocks.  The replacement is based on the latest selection list that is updated monthly.  In case of merger and acquisition where a blue-chip stock is involved, the original stock is replaced by the new stock.  If a stock is deleted from the EURO STOXX Index in between the regular review dates but is still a component of the EURO STOXX Total Market Index, then this stock will remain in the EURO STOXX 50 ^® Index until the next regular review.

Fast exit.  The components are monitored for any changes based on the monthly selection list ranking ( i.e. , on an ongoing monthly basis).  A component is deleted if it ranks 75 or below on the monthly selection list and it ranked 75 or below or below on the selection list of the previous month.  The announcement will be on the first

trading day of the month after close of markets.  The addition will be announced based on the monthly selection list ( i.e. , the highest-ranked non-component will be selected).  Changes will be implemented on the close of the fifth trading day and are effective the next trading day.

Fast entry.   All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis.  A stock is added, if it qualifies for the latest blue-chip selection list generated at the end of February, May, August or November, and it ranks within the lower buffer (ranks 1 – 25) on this selection list.  If it is added, the stock replaces the smallest stock in the EURO STOXX 50 ^® Index.  The announcement will be on the first trading day of the month after close of markets.

Spin-offs .  Each spin-off stock qualifies for addition if it lies within the lower buffer (ranks 1 – 40) on the latest selection list for the EURO STOXX 50 ^® Index.  The spin-off replaces the lowest ranked stock in the EURO STOXX 50 ^® Index as determined by the selection list.  Qualifying spin-off stocks are added in sequence: The largest qualifying spin-off stock replaces the original stock in the EURO STOXX 50 ^® Index.  The next qualifying spin-off stock replaces the lowest ranked stock in the EURO STOXX 50 ^® Index.  Likewise for the other qualifying spin-off stocks.

Free float factors and weighting cap factors . The free float factors for each component stock used to calculate the EURO STOXX 50 ^® Index, as described below, are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. The weighting cap factors are published on Wednesday two trading days prior to quarterly review using Tuesday’s closing prices.

Corporate actions. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings and bankruptcy) that affect the EURO STOXX 50 ^® Index composition are immediately reviewed. Any changes are announced, implemented and effective in line with the type of corporate action and the magnitude of the effect.

EURO STOXX 50 ^® Index Calculation

The EURO STOXX 50 ^® Index is calculated with the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating the EURO STOXX 50 ^® Index value at any time can be expressed as follows:

The “free float market capitalization of the EURO STOXX 50 ^® Index” is equal to the sum of the products of the price, number of shares, free float factor and weighting cap factor for each component stock as of the time the EURO STOXX 50 ^® Index is being calculated. Each component’s weight is capped at 10% of the free float market capitalization of the EURO STOXX 50 ^® Index.

The divisor for the EURO STOXX 50 ^® Index is adjusted to maintain the continuity of EURO STOXX 50 ^® Index values despite changes due to corporate actions. The following is a summary of the adjustments to any component stock made for corporate actions and the effect of such adjustment on the divisor, where shareholders of the component stock will receive “B” number of shares for every “A” share held (where applicable).