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September 2016

World Investment Navigator

Investment Products: Not FDIC Insured ● Not CDIC Insured ● Not Government Insured ● No Bank Guarantee ● May Lose Value

Table of Contents

1. Tactical Outlook 3

2. Quadrant in Charts: Is it Risk or Reality? 8

3. Asset Class Views in Charts 31

4. Appendix 38

2

1. Tactical Outlook

Opinions expressed herein may differ from the opinions expressed by other businesses or affiliates of Citigroup, Inc., and are not intended to be a forecast of future events, a guarantee of future results for investment advice, and are subject to change based on market and other conditions.

4

2.0

0.0

16.0

1.0

2.0

10.4

16.6

6.7

6.1

1.7

3.6

9.1

24.8

2.5

0.5

16.0

1.3

2.7

12.3

12.7

6.9

5.9

1.6

3.6

9.1

24.8

0 10 20 30

Cash

Gold

Hedge Funds

Emerging market debt

Developed high yield

Developed IG corp

Developed sovereign

Emerging all cap equities

Developed SMID equities

Developed Asia ex. Japan

Japan Large Cap

Europe large cap equities

NAM large cap equities

GIC Level 3 Asset Allocation

Tactical

Strategic

Global Investment Committee (GIC) Views The Citi Private Bank Global Investment Committee left its asset allocation unchanged. Global equities remain neutral with fixed income underweight by 1.0%. Cash and gold have small tactical over-weights. Beneath the overall fixed income allocation, we have highly distinct overweights and underweights given wide divergences in bond yields across regions and market segments. Over the past year, we have gradually shifted EM weightings above DM weightings after a long period overweight DM.

Developed markets sovereign bond yields spiked up and subsequently retrenched again during the past month. With correlations across most asset markets and regions unusually high, the event drove declines in assets we favor as well as those we underweight. However, the driver of the spike in yields – concern that DM central banks would move away from easy monetary policies – appears unfounded in our view. We would expect significant relative value differentials in emerging markets bonds and some US credit assets to reassert. Similarly, the relative value of equities versus DM sovereign bonds is likely to drive a recovery in performance.

Nonetheless, unusual risks abound. The US presidential election could result in significant policy uncertainty both in anticipation of the vote and in actual policies thereafter. The transition to a new US president has historically had a costly and under-rated impact on the US and world economy. At the same time, technical aspects of both the Presidential election (i.e. the impact of the Electoral College) and Congressional elections suggests a higher probability of a political status quo than polls of the popular vote suggest.

If election anxiety builds, it could easily give way to a relief rally if the status quo were maintained. Without substantial evidence of a disruptive regime change, and one that is not discounted in markets, we would argue that hedging tail risks will be far more beneficial to investors than liquidating core portfolios.

The US is not the only source of political uncertainty. An Italian constitutional referendum looms, as do key leadership votes throughout the continent. Brexit implementation creates additional uncertainty. All of the above suggest diminished policy clarity in developed markets. At the margin, EM policy and political stability has risen, at least relatively speaking.

The stabilization in the US dollar after a historic period of strengthening has also removed a headwind from many EM assets and economies. However, after the rally this year, EM performance may be subject to setbacks as just witnessed during the DM bond selloff. The recovery in petroleum and other commodities is also likely to be less swift after a substantial rebound. All told, we see somewhat slower progress in risk assets ahead, even if shocks are avoided.

Asset Allocation (level 3)

Source: Citi Private Bank, as of GIC meeting September 22, 2016. SMID = Size of companies capitalization is classified as small to mid.

5

Asset Class Tactical Positioning

Investment Rationale Underweight Neutral Overweight

North American large cap equity

The GIC maintains its neutral weighting on U.S. large cap equities. The year-to-date return for large cap U.S. equities roughly matches the scope of the U.S. corporate earnings recovery we expect for the coming year. Nonetheless, equity dividends have strong relative value across regions given exceptionally low global bond yields. We now carry a small overweight in emerging market equities at the expense of developed markets.

European large cap equity

Another Eurozone crisis akin to 2011 seems unlikely to be driven by the U.K.’s exit from the E.U. However, uncertain political scenarios may drive European economies. A wider range of possible outcomes should be taken into account. With a higher level of expected volatility, we removed our remaining overweight in all European shares in late June.

Japan large cap equity

In line with broad global de-risking, we remain neutral Japan large caps. Monetary easing in Japan appears likely to weaken the currency over the long run. However, functionally, Japan has run into difficultly in executing its existing easing plans. A surging yen has added an additional challenge to Japan’s economic outlook The domestic economy is also challenged in the long run.

Developed small and mid cap equity (SMID)

To reflect our downward adjustment to the outlook for equities as noted above, we remain underweight developed market SMID, with all of that underweight coming out of the U.K.

Emerging Asia Over the last year we reduced weightings in Asian equities given a less significant currency adjustment in China after a decade of appreciation. We remain our neutral positions allocation to EM Asia. The South of Asia may benefit more from subsiding currency pressures and stabilizing commodities.

Emerging EMEA Since increasing our allocations to South Africa and Turkey in June to a neutral weighting, we kept the rest of the region unchanged. We remain neutral.

Emerging Latin America

EM equities in Latin America remains at a modest overweight driven primarily by the overweights to the commodity-linked Andean markets of Chile, Colombia and Peru. Mexico and Brazil remain at a neutral. While equities in the Latam region have rebounded very quickly in 2016, they have suffered multi-year declines, closely tracking oil and other commodities which we expect to recover. We maintain these positions.

Source: Citi Private Bank, as of GIC meeting September 22, 2016.

GIC Asset Class Views: Equities

For illustrative purposes only. Past performance is no guarantee of future results. Real Results may Vary.

6

Asset class Tactical positioning

Investment rationale Underweight Neutral Overweight

North American sovereign bonds

The committee continues to avoid negative yield bonds, which account for over a third of all investment grade developed market government bond issues globally. The low global interest rate environment should anchor the long-end for US Treasuries as foreign investors continue to bid up safe haven, higher yielding USD assets, despite present difficulties with hedging currency risk. The GIC remains overweight short-term U.S. Treasuries as an alternative to cash.

European sovereign bonds

A negative interest rate policy and slow economic growth continue to push core European bond yields toward or below zero. Though ECB purchases have also supported Spanish and Italian sovereign bonds whose yields have fallen substantially this year, banking concerns and political risks have been elevated. Italian debt is our largest relative underweight position.

Emerging market (EM) sovereign bonds

The relative value proposition in EM bonds remains compelling, especially in Latam which similar to equities, has witnessed a multi-year downturn along with commodity prices. We remain overweight in Latam (hard currency and local), local Asian bonds, and neutral EMEA.

US Inflation-linked In the past two years, our asset allocation deliberately avoided commodity exposure. With a view now that the crude oil price will rise moderately over time, the committee remains overweight U.S. Treasury Inflation Protected Securities (TIPS).

US Agency MBS We remain neutral in agency mortgage backed securities (MBS). The asset class benefits from higher yields relative to other high quality investment grade securities, low correlation to risk assets and relative outperformance during periods of modestly higher interest rates.

Corporate investment grade

US IG credit remains our largest relative overweight. Benefitting from falling sovereign interest rates around the world, relatively high yields, and a senior position in the capital structure of credit worthy firms. Given low yields and ongoing political headwinds, we keep Euro corporates neutral.

Corporate high yield We remain overweight both US and European HY, with a preference for the higher yielding USD market. Energy bonds have bounced back sharply, but selective opportunity remains for lower risk credits within the asset class.

GIC Asset Class Views: Fixed Income

Hedge Funds

Macro/CTA funds offer an opportunity to exploit greater market volatility. We retain a slight overweight in the segment while keeping our overall allocation to hedge funds at neutral. The GIC has a favorable view of very select private equity and real estate investments, but does not recommend changing these weightings over tactical time periods.

Commodities

With equities and bonds seeing an increase in correlation, the value of diversification is weakening somewhat. In contrast, gold and risk assets have maintained a significant negative correlation. While higher real interest rates and greater confidence would represent a downside risk to the gold price, the much larger part of our portfolio allocations would benefit from such a welcome trend, if it were to emerge. We keep Gold a tactical overweight.

Source: Citi Private Bank, as of GIC meeting September 22, 2016.

GIC Asset Class Views: Alternatives


7

-11.9

-3.3

2.2

5.7

8.1

9.9

13.3

-6.2

3.0

7.0

7.9

14.4

9.1

19.8

-20 -15 -10 -5 0 5 10 15 20 25

MSCI Japan

MSCI Europe ex UK

MSCI World

MSCI World Small Cap

S&P 500

MSCI EM

MSCI UK

Total Return (%)Last 12 monthsYTD Return

3.6

4.6

5.6

5.6

5.7

5.9

6.8

8.6

11.02

13.0

14.0

3.6

4.1

5.7

6.2

6.2

6.0

6.8

7.7

9.70

12.8

9.4

0 2 4 6 8 10 12 14 16

US MBS

US Treasury

Developed Sov

Euro HG Corp

EM (Local) Govt

Global Agg

Euro HY Corp

US HG Corp

Global I-Linked

EM (USD) Govt

US HY Corp

Total Return (%)Last 12 monthsYTD Return

Market Performance

Local Currency Fixed Income index returns, YTD & last 12 mo. Local Currency Equity index returns, YTD & last 12 mo.

Source: Citi Private Bank using Bloomberg, as of September 22, 2016. Source: Citi Private Bank using Bloomberg, as of September 22, 2016. *Global Aggregate, Global inflation linked and Local EM index are in hedged USD terms.

Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment. Index returns do not include any expenses, fees or sales charges, which would lower performance.


2. Quadrant in Charts: Is it Risk or Reality?

9

-1

0

1

2

3

4

5

6

7

8

'11 '12 '13 '14 '15 '16

Yie

ld (%

)

10yr Brazil yield

10yr German Bund yield

-0.4

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4

Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep

Yie

ld (%

)

10yr Japan JGB yield

The Opportunity… …the Risk

Source: Haver Analytics as of September 2016. Source: Haver Analytics as of September 2016.



Wide range of IG sovereign bond yields, yet all moving together

10

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

'01 '04 '07 '10 '13 '16

Cor

rela

tion

90-Day 1-Year

92

96

100

104

108

112

116

120

124

128

Jan-14 Sep-14 May-15 Jan-16 Sep-16

Tota

l Ret

urn

Japan JGBsGerman BundsBrazil USD sovereignGlobal equities

High correlation and extraordinary bond valuations hit home

Correlation between 10yr US Treasury and S&P 500 Brazil finally rallying after years of underperformance

Source: Haver Analytics as of September 2016. Source: The Yield Book, FactSet as of September 2016.



11

Rate worries and economic risk came at same time in past month

US Economic Surprise Index

-80

-60

-40

-20

0

20

40

60

Jan-15 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16

Source: Haver Analytics as of September 2016.



12

-6

-4

-2

0

2

4

6

8

10

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Ave

rage

Per

cent

Cha

nge

in P

rice

Typically oil prices start falling seasonally in August

10 Year Average Monthly Percent Changes in Crude Oil Prices

Source: Haver Analytics, as of September 2016.



13

1

10

100

1000

10000

'80 '85 '90 '95 '00 '05 '10 '15

Log

Sca

le T

otal

Ret

urns

Best 3 Months Full Year Worst 9 Months11.5%10.3%

1.1%

Market timing risks missing gains

S&P 500 Total Returns For Best 3-Months and Worst 9-Months

S&P 500 Total Returns For Best 3-Months and Worst 9-Months Lagged One Month

Note: Percentage figures are annualized returns over the full period. Source: Haver Analytics as of September 2016. Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.

Note: Percentage figures are annualized returns over the full period. Source: Haver Analytics as of September 2016. Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.

1

10

100

1000

10000

100000

'80 '85 '90 '95 '00 '05 '10 '15

Log

Sca

le T

otal

Ret

urns

Best 3 Months Full Year Worst 9 Months17.6%

11.5%

-5.2%

14

15000

10000

5000

0

5000

10000

15000

'13 '14 '15 '16

US Stocks of Crude Oil Excl SPR (Thous.Barrels, Change - Period to Period) 20%

10%

0%

10%

20%

30%

'83 '87 '91 '95 '99 '03 '07 '11 '15

US Stocks of Crude Oil Excl SPR, %y/y

Is this enough inventory progress in the U.S. oil patch?

Source: Haver Analytics, as of September 2016. SPR= Strategic Petroleum Reserve

US Stocks of Crude ex. SPR (Thous. Barrels), Change – Period to Period

US Stocks of Crude ex. SPR, % year-on-year

Source: Haver Analytics, as of September 2016. SPR= Strategic Petroleum Reserve



15

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16

Mon

thly

Per

cent

Cha

nge

Weak August data?

Monthly Real GDP

35

40

45

50

55

60

65

'97 '99 '01 '03 '05 '07 '09 '11 '13 '15

ISM Composite PMI Index

Source: Haver Analytics, as of September 2016. Source: Haver Analytics, as of September 2016. PMI is an indicator of the economic health of the manufacturing sector and is based on five major indicators: new orders, inventory levels, production, supplier deliveries and the employment environment. Over a 50 reading indicates expanding, under 50 is contracting.

US expansion years average 3+ monthly output contractions.



16

Downward seasonal bias in August Payrolls…seasonal extreme

Likely to dampen near term rate pressures

0

50

100

150

200

250

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Firs

t Rel

ease

Cha

nge

in P

ayro

lls Post Revision Figure

Source: Haver Analytics, as of September 2016.



17

25

30

35

40

45

50

55

60

65

'08 '09 '10 '11 '12 '13 '14 '15 '16 '17

U.S.

Japan

China

Euro area

Expansion

Contraction

Global PMI’s hug slow growth, show no decisive trend change

Purchasing Mangers’ Index (PMI), by region

Source: Haver Analytics, as of September 2016. PMI is an indicator of the economic health of the manufacturing sector and is based on five major indicators: new orders, inventory levels, production, supplier deliveries and the employment environment. Over a 50 reading indicates expanding, under 50 is contracting.



18

U.S. labor markets tell us growth remains above (lousy) trend

Initial Jobless Claims (Four-Week Average) S&P 500 and Unemployment Rate


'70 '75 '80 '85 '90 '95 '00 '05 '10 '15200

250

300

350

400

450

500

550

600

650

700

Thou

sand

s

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%-60%

-40%

-20%

0%

20%

40%

60%

'60 '64 '68 '72 '76 '80 '84 '88 '92 '96 '00 '04 '08 '12 '16

Year

-to-Y

ear C

hang

e

Year

-to-Y

ear P

erce

nt C

hang

e

S&P 500 (Left)

Unemployment Rate(Inverted, Right)

Rising Stocks, Falling Unemployment

Falling Stocks, Rising Unemployment




19

'91 '94 '97 '00 '03 '06 '09 '12 '15-40

-20

0

20

40

60

80

100

Net

Tig

hten

ing

(Per

cent

)

0

100

200

300

400

500

600

700

800

900

'11 '12 '13 '14 '15 '16

Spr

ead

US CMBS IG spreadUS CMBS AAA spreadUS CMBS AA spreadUS CMBS A spreadUS CMBS BBB spread

Some small signs of credit distress that could one day be big

Net % of U.S. Banks Tightening Lending Standards on Commercial Real Estate Loans

Commercial Mortgage Backed Securities (CMBS) spread to Treasury, by Rating

Source: Haver Analytics as of September 2016. Source: The Yield Book as of September 2016.



20

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

Overnight 1-Month 3-Months 6-Months 1-Year

Libor

Government Bills

Regulation, not bank weakness. But still a rise in debt costs

LIBOR vs U.S. Treasury Bill Yields

Watch October 14 as Final Date for Money Market Reform Implementation. What happens then?




21

Significant policy transitions introduce economic risk

Eight of the eleven post-World War II recessions overlapped a new President’s first year in office. These are the rule not the exception.

Source: Haver Analytics as of September 2016. Party President Inauguration

DateRecession Periods

First Year Recession Overlap?

Comment

D Truman Apr 1945 1 Nov 48-Oct49 NoR Eisenhower Jan 1953 2 Jul 1953-May 54 Yes

3 Aug 57-Apr 58 NoD Kennedy Jan 1961 4 Apr 60-Feb 61 Yes Begins during prior admin.D Johnson Nov 1963R Nixon Jan 1969 5 Dec 69-Nov 70 YesR Ford Aug 1974 6 Nov 73-Mar 75 Yes Spans appointment.D Carter Jan 1977 7 Jan-80-Jul 80 Yes Ends prior to Reagan's election.R Reagan Jan 1981 8 Jul 81-Nov 82 YesR GHW Bush Jan 1989 9 Jul 90-Mar 91 NoD Clinton Jan 1993R GW Bush Jan 2001 10 Mar-2001-Nov 2001Yes

11 Dec 2007-D Obama Jan 2009 --Jun 2009 Yes Begins during prior admin.



22

New POTUS would not take office amid a deeply depressed economy. Returns are highly likely to lag Obama’s tenure.

U.S. “output gap” and presidential party in power Consumer Rating of Labor Market: Net % consumers reporting jobs are easy to get minus hard to find

-60

-40

-20

0

20

40

60

'70 '75 '80 '85 '90 '95 '01 '06 '11 '16




23

35

40

45

50

55

60

65

Sep'15 Nov'15 Jan'16 Mar'16 May'16

"Leave" + 1/2 "Undecided"

Risk Scenarios: Does Brexit tell us politics can’t be predicted? • Our view is that markets failed to believe UK opinion polls that indicated that the public was

evenly divided and leaning towards Brexit.

• Biased expectations and interpretation, rather than polls, were to blame.

Overconfidence U.K. Poll of Polls: Leave the E.U. vs Remain

Source: Bloomberg, as of September 2016.



24

Polls of swing states and implied electoral college votes

Historical Swing States Real Clear Politics Swing States

Source: RealClearPolitics.com and Citi Private Bank as of September 2016.



Clinton%

Trump%

Colorado 9 42.5 40.0Florida 29 43.4 43.5Indiana 11 36.0 45.0Iowa 6 38.7 43.0Nevada 6 42.0 44.0New Hampshire 4 43.7 38.7New Mexico 5 40.5 32.0North Carolina 15 43.3 44.5Ohio 18 39.8 42.3Virginia 13 43.6 39.0

31 85273 265

Swing StatesTotal National Estimate

Current Swing State PollingPercentage of Individuals

Favoring Clinton vs Trump

Clinton%

Trump%

Arizona 11 38.2 40.4Georgia 16 41.0 45.4Michigan 16 43.0 37.8Nevada 6 42.0 44.0North Carolina 15 43.3 44.5Oregon 7 43.0 39.0Virginia 13 43.6 39.0Florida 29 43.4 43.5Iowa 6 38.7 43.0Montana 3New Hampshire 4 43.7 38.7Ohio 18 39.8 42.3Pennsylvania 20 46.8 40.6Wisconsin 10 45.0 39.7

70 101272 255

Swing StatesNational Projection

Current Swing State PollingPercentage of Individuals

Favoring Clinton vs Trump

No polls.

25

0

5

10

15

20

25

30

35

40

45

'20 '30 '41 '52 '62 '73 '84 '94 '05 '160

10

20

30

40

50

60

'56 '62 '68 '74 '80 '86 '92 '98 '04 '10 '16

S&P 500 P/E

10-yr price/yield

High P/E’s once relied on growth. Now, an absence of yield


S&P 500 Cyclically Adjusted Price to Earnings (CAPE)

S&P 500 P/E vs U.S. Long-Term Treasury Market Equivalent




26

Mexican Peso “Trumped”…Likely to reverse if Clinton wins

85

90

95

100

105

110

115

120

125

130

Dec'15 Jan'16 Feb'16 Mar'16 Apr'16 May'16 Jun'16 Jul'16

Inde

x Le

vel

Brazil

Mexico

Peru

Chile

Colombia

Latam Currencies vs U.S. Dollar

Source: Bloomberg as of August 5, 2016. Note:

Mexican peso value has vacillated with Trump/Clinton polling.



27

Fundamental value if economies resists “Uncertainty Shock”

Euro Dividends vs Investment Grade Yield Euro IG Spread vs Dividend Spread

Source: FactSet as of September 2016. Source: FactSet as of September 2016.

0

1

2

3

4

5

6

7

8

'02 '04 '06 '08 '10 '12 '14 '16

Yie

ld (%

)

Euro Stoxx 50 dividend yieldEuro IG corporate bond yield

-2

-1

0

1

2

3

4

5

6

'02 '04 '06 '08 '10 '12 '14 '16

Spr

ead

(%)

Euro Stoxx 50 div. yield premium over global IG govt bond yieldEuro IG corp bond yield premium over global IG govt bond yield



28

-1

0

1

2

3

4

5 Equity Dividend Yield 10-Year Government Yield

Greater bond/stock valuation divergence outside the U.S.


Equity Dividends vs 10-Year Government Bond Yields



29

S&P 500 vs US 10yr Treasury Developed market vs Emerging market equities

Asset Allocation Challenge: Troubling rise in correlations

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

'01 '04 '07 '10 '13 '16

Cor

rela

tion

90-Day 1-Year




-0.2

0.0

0.2

0.4

0.6

0.8

1.0

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16

Cor

rela

tion

30-Day 90-Day

30

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

'02 '05 '08 '11 '14

Cor

rela

tion

30-Day 90-Day

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

'02 '05 '08 '11 '14

Cor

rela

tion

30-Day 90-Day

Troubling rise in correlations

S&P 500 vs WTI Crude oil




Emerging market equities vs WTI Crude oil


3. Asset Class Views in Charts



32

6.1

1.7

3.6 3.0

6.1

1.4

23.5

5.9

1.6

3.6 3.0

6.1

1.4

23.5

0

5

10

15

20

25

30

Small/Mid cap

Asia ex. JPlarge cap

Japanlarge cap

UKlarge cap

Europe(ex UK)

Canadalarge cap

USlarge cap

GIC

Lev

el 3

Ass

et A

lloca

tion Strategic

Tactical

6,000

8,000

10,000

12,000

14,000

16,000

18,000

20,000

22,000

70

80

90

100

110

120

130

'11 '12 '13 '14 '15 '16

Inde

x

Exch

ange

Rat

e

USD/JPY

Japan equities (RHS)

-60

-40

-20

0

20

40

60

80

100-60

-40

-20

0

20

40

60

'76 '81 '86 '91 '96 '01 '06 '11 '16

YoY

%

YoY

%

S&P 500Initial jobless claims (inverted, RHS)

0

2

4

6

8

10

12

14

16

18

20

'66 '71 '76 '81 '86 '91 '96 '01 '06 '11 '16

Yie

ld (%

)

S&P 500 earnings & dividend yield on 10yr trailing EPS avgUS BBB 20+yrs corporate bond yields10yr U.S. Treasury bond yield

Stocks

Corps

Govts

Equities: Developed Markets The GIC maintains its neutral weighting on U.S. large cap equities. In light of the strong recent rally, “full” or neutral allocations now appear more appropriate than overweight. The roughly 7% year-to-date return for large cap U.S. equities roughly matches the scope of the U.S. corporate earnings recovery we expect for the coming year.

Figure 2: Yields on equities compare favorably to those on bond markets

Figure 3: Year-to-year percentage change in S&P 500 and initial jobless claims Figure 4: Japanese equities are positively correlated to USD/JPY

Source: Citi Private Bank using Bloomberg, as of September 16, 2016. Source: Citi Private Bank using Haver Analytics, as of September 16, 2016.

Figure 1: GIC Developed market equity tactical & strategic allocations (level 3)

Source: Citi Private Bank as of GIC meeting September 22, 2016. Source: Citi Private Bank using Haver Analytics as of June 30, 2016.

Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment. Index returns do not include any expenses, fees or sales charges, which would lower performance. For illustrative purposes only. Past performance is no guarantee of

future results. Real Results may Vary.

33

6.1

6.2

6.3

6.4

6.5

6.6

6.7760

780

800

820

840

860

880

900

920

940

960

Sep-15 Dec-15 Mar-16 Jun-16 Sep-16

Exh

ange

Rat

e

Inde

x Le

vel

World equitiesCNY/USD (inverted axis, RHS)

0.81.0

4.8

1.1 1.0

4.8

0

1

2

3

4

5

6

Latin America EMEA Asia

GIC

Lev

el 3

Ass

et A

lloca

tion

Strategic

Tactical

-10

-5

0

5

10

15

20

25

'86 '91 '96 '01 '06 '11 '16 '21

ChinaTaiwanIndia

IMFForecast

-100

-50

0

50

100

150

200

'96 '00 '04 '08 '12 '16

YoY

%

WTI Crude Oil

Brazil equities

Equities: Emerging Markets EM equities in Latin America remains at a modest overweight driven primarily by the overweights to the commodity-linked Andean markets of Chile, Colombia and Peru. Mexico and Brazil remain at a neutral. While equities in the Latam region have rebounded very quickly in 2016, they have suffered multi-year declines, closely tracking oil and other commodities which we expect to recover.

Source: Citi Private Bank as of GIC meeting September 22, 2016. Source: Citi Private Bank using Haver Analytics and MSCI, as of September 16, 2016.

Source: Citi Private Bank using Factset and The Yield Book as of September 16, 2016. Source: Citi Private Bank using Haver Analytics and IMF as of September 16, 2016. All forecasts are expressions of opinion and are subject to change without notice and are not intended to be a guarantee of future events

Figure 7: As Yuan (CNY) volatility stabilizes, global equities have benefitted

Figure 6: Tight historical correlation of Brazilian equities and crude oil

Figure 8: China, Taiwan and India Current Account Balance as % of GDP

Figure 5: GIC Emerging market tactical & strategic allocations (level 3)



34

-1

0

1

2

3

4

5

6

'01 '03 '05 '07 '09 '11 '14 '16

Yie

ld (%

)

10yr US Treasury yield10yr German Bund yield1.0

3.6

0.1 0.1

1.4

5.3

0.8

4.9

1.31.0

0.2 0.1

1.3

3.5

0.7

5.6

0

1

2

3

4

5

6

EM Japan Asiaex. JP

Nordic UK Cont.Europe

Canada US

GIC

Lev

el 3

Asse

t Allo

catio

n Strategic

Tactical

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

'06 '08 '10 '12 '14 '16

Yie

ld (%

)

10yr US TIPS

Average:0.84%

100

200

300

400

500

600

700

'11 '12 '13 '14 '15 '16

Spr

ead

(bp)

EM (USD) Latam sov spreadEM (USD) EMEA sov spreadEM (USD) Asia sov spread

Fixed Income: Government Debt We continue to avoid negative yield bonds, which account for over a third of all IG developed market government bond issues globally. The low global interest rate environment should anchor the long-end for US Treasuries as foreign investors continue to bid up “safe haven”, higher yielding USD assets. We remain overweight Treasury debt with short maturities held overweight as an alternative to cash.

Source: Citi Private Bank as of GIC meeting September 22, 2016.

Figure 9: GIC fixed income government tactical & strategic allocations (level 3) Figure 10: U.S. Treasury/German Bund spreads to remain historically wide

Figure 11: EM Latam attractive given multi-year sell off and stabilization of commodity prices Figure 12: Rising oil prices likely to push real yields lower

Source: Citi Private Bank using The Yield Book as of September 16, 2016.

Source: Citi Private Bank using Barclays Capital, Bloomberg of September 16, 2016. Source: Citi Private Bank using Bloomberg, as of September 16, 2016.

Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment. Index returns do not

include any expenses, fees or sales charges, which would lower performance. For illustrative purposes only. Past performance is no guarantee of future results. Real Results may Vary.

35

-5.6

-25.4

-1.4

14.2

28.9

10.4

21.1

54.8

12.3

-40

-30

-20

-10

0

10

20

30

40

50

60

HYM HY Energy related HY ex-energy related

Tota

l ret

urn

(%)

2015YTD 2016Post-Feb 2016 bottom in oil

0.5

1.6

2.9

7.1

0.9

1.9

2.9

9.1

0

2

4

6

8

10

Europehigh yield

UShigh yield

EuropeIG Corp

USIG Corp

GIC

Lev

el 3

Ass

et A

lloca

tion

Strategic

Tactical

0.0

0.00.7 0.9

1.72.1 2.2

2.9

4.1

6.2

-1

0

1

2

3

4

5

6

7

8

10yrJGB

10yrBunds

EURHG Corp

10yrGilts

10yrUST

USCMBS

USDMBS

USDHG Corp

EURHY

USDHY

Yie

ld (%

) Yields

40

90

140

190

240

290

340

390

'11 '12 '13 '14 '15 '16

Spr

ead

(bp)

US corporate bond spreadEuropean corporate bond spread

Fixed Income: Credit US IG credit remains the largest relative overweight in the portfolio. Benefitting from falling sovereign interest rates around the world, relatively high yields, and a senior position in the capital structure of credit worthy firms. Given low yields and ongoing political headwinds, we keep Euro IG corporate bonds at a neutral.


Figure 15: HY energy has rebounded as oil has stabilized

Figure 13: GIC fixed income credit tactical & strategic allocations (level 3) Figure 14: U.S. & European IG corporate spreads are wide compared to historical norms

Figure 16: High yield debt valuations appear relatively attractive amid low sovereign yields

Source: The Yield Book, as of September 16, 2016. Source: Citi Private Bank using Bloomberg, Barclay’s Capital, as of September 16, 2016.

Source: Citi Private Bank using The Yield Book, as of September 16, 2016.



36

Hedge Funds Macro/CTA funds offer an opportunity to exploit greater market volatility. We keep our slight overweight allocation to this segment while keeping our overall allocation to hedge funds at neutral.

Event Time frame MSCI DM (Local, %)

MSCI EM (Local, %)

DJ UBS Commodities (%) HFRI Macro (%) Barclay CTA

(%)

Federal Reserve rate hike Feb 1994 to Jun 1994 -5.0 7.2 9.4% -2.3 5.6

Asian financial crisis Jul 1997 to Aug 1998 -2.6 -46.6 -31.1 7.0 2.4

Tech bubble to ‘02 recession Aug 2000 to Sep 2002 -47.2 -25.3 -1.7 15.5 23.1

Global financial crisis Oct 2007 to Feb 2009 -52.2 -53.2 -42.2 4.7 16.1

European Debt Crisis Jan 2011 to Dec 2011 -7.6 -14.9 -13.4 -4.2 -3.1

Low growth environment Jan 2012 to Dec 2012 13.1 13.9 -1.1 -0.1 -1.7

Current period Trailing 12-month 4.2 7.9 -9.0 1.8 0.2*

Table 1: Macro/CTA strategy in risk-on environment

Strategies August 2016 (%)

Trailing 12-Month 2015 Q1 2015 (%) Q2 2015 (%) Q3 2015 (%) Q4 2015 (%)

HFRI Fund of Funds Composite Index 0.2 -2.0 -0.3 2.5 0.2 -3.6 0.6

HFRI Event-Driven (Total) Index 1.8 3.1 -3.6 1.8 0.6 -5.5 0.3

HFRI Relative Value (Total) Index 0.8 3.4 -0.3 1.8 0.8 -2.6 -0.2

HFRI Equity Hedge (Total) Index 1.3 3.2 -1.0 2.0 1.8 -6.3 2.3

HFRI Macro (Total) Index -1.6 1.8 -1.3 3.3 -3.5 -0.8 -0.2

Barclay Trader Indexes CTA* 0.4 0.2 -1.5 3.5 -3.9 -0.3 -0.7

Table 2: Hedge fund strategies comparison

Source: Citi Private Bank using Bloomberg, as of August 31, 2016. *For the index noted, data is lagged one month. Therefore total returns are as of July 31, 2016. Indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment. Index returns do not include any expenses, fees or sales charges, which would lower performance. For illustrative purposes only. Past performance is no guarantee of future results. Real Results may Vary.

37

-600

-100

400

900

1400

1900

3

4

5

6

7

8

9

10

11

12

'88 '92 '96 '00 '04 '08 '12 '16

Uni

ts

Mill

ions

of B

arre

ls/d

ay

U.S. crude oil production (millions ofbarrels/day)Active oil rig count (units, RHS)

250

300

350

400

450

500

550

600

'84 '88 '92 '96 '00 '04 '08 '12 '16

Mill

ions

of B

arre

ls

U.S. stocks of crude oil(millions of barrels)

-40%

-30%

-20%

-10%

0%

10%

20%

700

750

800

850

900

950

1000

1050

1100

Sep-13 Sep-14 Sep-15 Sep-16

YoY

%Inde

x

Emerging market equitiesBase metals (YoY, RHS)

Commodities With equities and bonds seeing an increase in correlation, the value of diversification is weakening somewhat. In contrast, gold and risk assets have maintained a significant negative correlation. While higher real interest rates and greater confidence would represent a downside risk to the gold price, the much larger part of our portfolio allocations would benefit from such a welcome trend, if it were to emerge. We keep Gold to a tactical overweight.

Figure 18: Base metal prices are positively correlated to emerging market equities

Figure 20: Current U.S. oil production high despite declines in new drilling activity Figure 19: Crude oil inventories still at troubling levels

0.5% Precious metals

0.0% Industrial metals

0.0% Agriculture

0.0% Energy

Figure 17: GIC commodities tactical allocation (level 3)

0.5%


Source: Citi Private Bank using Haver Analytics, as of September 16, 2016.

Source: Citi Private Bank using Bloomberg, as of September 16, 2016. MSCI Emerging Markets index is used.

Source: Citi Private Bank using Haver Analytics, as of September 16, 2016.



4. Appendix

39

Contacts North America/Latin America EMEA ASIA

Steven Wieting Global Chief Investment Strategist +1.212.559.0499 [email protected] Kris Xippolitos Head of Fixed Income Strategy +1.212.559.1277 [email protected] Chris Dhanraj NAM Investment Strategist +1.212.559.6251 [email protected] Jorge Amato Latin America Investment Strategist +1.212.559.0114 [email protected] Joseph Kaplan Global Investment Strategy +1.212.559.3772 [email protected] Malcolm Spittler Global Investment Strategy +1.212.559.8651 [email protected]

Jeffrey Sacks EMEA Investment Strategist +44.207.508.7325 [email protected] Shan Gnanendran EMEA Capital Markets +44.207.508.0631 [email protected] Maya Issa Global Investment Strategy [email protected]

Ken Peng Asia Investment Strategist +852.2868.8904 [email protected] Shirley Wong Asia Investment Strategy +852.2298.6119 [email protected]

40

Glossary Li Ke Qiang Index (or Keqiang Index) measures China’s economy using three indicators; railway cargo volume, electricity consumption and loans disbursed by banks. Asia Pacific ex Japan equities are measured against the MSCI Asia Pacific ex Japan Large Cap Index, which is free-float adjusted and weighted by market capitalization. The index is designed to measure the performance of large cap stocks in Australia, Hong Kong, New Zealand and Singapore. Cash is measured against the three-month LIBOR, which is the interest rate that banks charge each other in the international inter-bank market for three-month loans (usually denominated in Eurodollars). CBOE Volatility Index (VIX) is a key measure of market expectations of near-term volatility conveyed by Standard & Poor’s 500 stock index option prices. CBOE Crude Oil Volatility Index (OVX) measures the market’s expectation of 30-day volatility of crude oil prices MOVE index: The Merrill lynch Option Volatility Estimate Index is a yield curve weighted index of the normalized implied volatility US Treasury options CBOE SKEW Index ("SKEW") is an index derived from the price of S&P 500 tail risk. Similar to VIX, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. SKEW typically ranges from 100 to 150. A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. Citigroup GRAMI (Global Risk Aversion Macro Index) measures risk aversion across asset classes. It is an equally weighted index of developed and emerging market sovereign spreads, US credit spreads, TED spread and implied FX, equity and swap volatility. GRAMI is shown as standard deviations from the mean. Citi Economic Surprise Index cover all G10 economies and are available by each country. They are defined as weighted historical standard deviations of data surprises (actual releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance beating consensus. The indexes are calculated daily in a rolling three-month window. The weights of economic indicators are derived from relative high-frequency spot FX impacts of 1 standard deviation data surprises. The indexes also employ a time decay function to replicate the limited memory of markets. Commodities are measured against the Dow Jones-UBS Commodity Index, which is composed of futures contracts on physical commodities traded on exchanges, with the exception of aluminum, nickel and zinc, which trade on the London Metal Exchange (LME). The major commodity sectors are represented, including energy, petroleum, precious metals, industrial metals, grains, livestock, softs, agriculture and ex. energy. Corporate high yield is measured against the Citigroup US High Yield Market Index, which includes all issues rated between CCC and BB+. The minimum issue size is $50 million. All issues are individually trader priced monthly. Corporate investment grade is measured against the Citi World Broad Investment Grade Index (WBIG) – Corporate, a subsector of the WBIG. This index includes fixed rate global investment grade corporate debt within the finance, industrial and utility sectors, denominated in the domestic currency. The index is rebalanced monthly. Developed market large cap equities are measured against the MSCI World Large Cap Index. This is a free-float adjusted, market-capitalization weighted index designed to measure the equity market performance of the large cap stocks in 23 developed markets. Large cap is defined as stocks representing roughly 70% of each market’s capitalization. Developed market small and mid cap equities are measured against the MSCI World Small Cap Index, a capitalization-weighted index that measures small cap stock performance in 23 developed equity markets. Developed sovereign is measured against the Citi World Government Bond Index (WGBI), which consists of the major global investment grade government bond markets and is composed of sovereign debt, denominated in the domestic currency. To join the WGBI, the market must satisfy size, credit and barriers-to-entry requirements. In order to ensure that the WGBI remains an investment grade benchmark, a minimum credit quality of BBB–/Baa3 by either S&P or Moody's is imposed. The index is rebalanced monthly. World Government bond index-ex US is measured against the Citi World Government Bond Index (WGBI), which consists of the major global investment grade government bond markets excluding the United States and is composed of sovereign debt, denominated in the domestic currency. To join the WGBI, the market must satisfy size, credit and barriers-to-entry requirements. In order to ensure that the WGBI remains an investment grade benchmark, a minimum credit quality of BBB–/Baa3 by either S&P or Moody's is imposed. The index is rebalanced monthly. Emerging sovereign is measured against the Citi Emerging Market Sovereign Bond Index (ESBI). This index includes Brady bonds and US dollar-denominated emerging market sovereign debt issued in the global, Yankee and Eurodollar markets, excluding loans. It is composed of debt in Asia, Latin America (Latam), Europe/Middle East/Africa (EMEA) We classify an emerging market as a sovereign with a maximum foreign debt rating of BBB+/Baa1 by S&P or Moody's. Defaulted issues are excluded. Sub-indices for these regions are also used for greater detail.

41

Glossary Europe ex UK equities are measured against the MSCI Europe ex UK Large Cap Index, which is free-float adjusted and weighted by market capitalization. The index is designed to measure the performance of large cap stocks in each of Europe’s developed markets, excluding the United Kingdom. Global bonds are measured against the Citigroup Broad Investment Grade Bond. The index is weighted by market capitalization and includes fixed rate Treasury, government sponsored, mortgage, asset backed, and investment grade (BBB–/Baa3) issues with a maturity of one year or longer and a minimum amount outstanding of $1 billion for Treasuries, $5 billion for mortgages, and $200 million for credit, asset-backed and government-sponsored issues. Global equities are measured against the MSCI All Country World Index, which represents 48 developed and emerging equity markets. Index components are weighted by market capitalization. Japan equities are measured against the MSCI Japan Large Cap Index. A free-float-adjusted market-capitalization-weighted index designed to measure large-cap stock performance in Japan. Topix is the Tokyo Stock Exchange Tokyo Price Index. Along with the Nikkei 225, is an important stock market index for the Tokyo Stock Exchange in Japan, tracking all domestic companies of the exchange's First Section Nikke Index is a price-weighted average of the top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange LDXY Index is a spot index of emerging Asia's most actively traded currency pairs valued against the US dollar. MSCI EM (Emerging Markets) Index is free-float adjusted and weighted by market capitalization. The index is designed to measure equity market performance in regions of Asia, Latin America, Europe, and Africa MSCI North America Index is free-float adjusted and weighted by market capitalization. The index is designed to measure equity market performance in the US and Canada. MSCI World Index (Gross) is free-float adjusted and weighted by market capitalization. The index is designed to measure global developed market equity performance. Emerging markets equities are measured against the MSCI Emerging Markets Index, which is free-float adjusted and weighted by market capitalization. The index is designed to measure equity market performance of 22 emerging markets in Asia, Latin America, Europe, and Africa. Sub-indices are also available for these regions and by country. Shanghai Shenzhen CSI 300 Index (CSI 300) Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Hang Seng Composite Index (HSI) is a market-cap weighted index that covers about 95% of the total market capitalisation of companies listed on the Main Board of the Hong Kong Stock Exchange. TWSE, or TAIEX, Index is capitalization-weighted index of all listed common shares traded on the Taiwan Stock Exchange. German DAX is a blue chip stock market consisting of the 30 major German companies trading on the Frankfurt Stock Exchange. FTSE 100 is a share index of the 100 companies listed on the London Stock Exchange with the highest market capitalization. S&P/TSX Composite is the headline index for the Canadian equity market. Securitized: Citi World Broad Investment Grade Index (WBIG) – Securitized is a subsector of the WBIG. This index includes global investment grade collateralized debt denominated in the domestic currency, including mortgage-backed securities, covered bonds (Pfandbriefe) and asset-backed securities. The index is rebalanced monthly. Supranationals: Citi World Broad Investment Grade Index (WBIG) – Government Related is a subsector of the WBIG. This index includes fixed rate investment grade agency, supranational and regional government debt, denominated in the domestic currency. The index is rebalanced monthly. UK equities are measured against the MSCI UK Large Cap Index, which is free-float adjusted and weighted by market capitalization. The index is designed to measure large-cap stock performance in the United Kingdom. Europe STOXX 600 Index is a consists of 600 companies which represents large, mid and small capitalization companies across 18 countries of the European region: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.

42

Glossary S&P 100 index is a subset of the S&P 500,and includes 100 leading U.S. stocks with exchange-listed options. Constituents of the S&P 100 are selected for sector balance and represent about 57% of the market capitalization of the S&P 500 and almost 45% of the market capitalization of the U.S. equity markets. The stocks in the S&P 100 tend to be the largest and most established companies in the S&P 500. US Dollar Index (DXY) indicates the general international value of the USD. The USDX does this by averaging the exchange rates between the USD and six major world currencies. The ICE US computes this by using the rates supplied by some 500 banks. Thomson Reuters/Core Commodity CRB index (CRY) is a commodity futures index which comprises 19 commodities: Aluminium, Cocoa, Coffee, Copper, Corn, Cotton, Crude Oil, Gold, Heating Oil, Lean Hogs, Live Cattle, Natural Gas, Nickel, Orange Juice, Silver, Soybeans, Sugar, Unleaded Gas and Wheat. US equities are measured against the Standard & Poor’s 500 Index, a capitalization-weighted index which includes a representative sample of 500 leading companies in leading industries of the US economy. Although the S&P 500 focuses on the large cap segment of the market, with over 80% coverage of US equities, it is also an ideal proxy for the total market. Wells Fargo Hybrid & Preferred Securities Financial Index: The Wells Fargo Hybrid and Preferred Securities Aggregate Index is a modified market-capitalization weighted index composed of preferred stock and securities that are functionally equivalent to preferred stock including, but not limited to, depositary preferred securities, perpetual subordinated debt and certain securities issued by banks and other financial institutions that are eligible for capital treatment with respect to such instruments akin to that received for issuance of straight preferred stock. Hedge funds are measured against the HFRI Fund Weighted Composite Index. This is an equally weighted composite index including both domestic and offshore funds, with no fund of funds. The index includes over 2,000 constituent funds. All funds report assets in USD and all funds report net of all fees returns on a monthly basis. Fund must have at least $50 million under management or have been actively trading for at least 12 months. HFRI Fund of Funds Composite Index – Fund of Funds invest with multiple managers through funds or managed accounts. The strategy designs a diversified portfolio of managers with the objective of significantly lowering the risk (volatility) of investing with an individual manager. The Fund of Funds manager has discretion in choosing which strategies to invest in for the portfolio. A manager may allocate funds to numerous managers within a single strategy, or with numerous managers in multiple strategies. The minimum investment in a Fund of Funds may be lower than an investment in an individual hedge fund or managed account. The investor has the advantage of diversification among managers and styles with significantly less capital than investing with separate managers. HFRI Event-Driven (Total) Index: event driven is also known as ‘corporate life cycle’ investing. This involves investing in opportunities created by significant transactional events, such as spin-offs, mergers and acquisitions, bankruptcy reorganizations, recapitalizations and share buybacks. Returns for HFRI indices are to be considered estimated returns for the previous stated quarter as HFRI may revise index data from time to time, as necessary. Generally final index returns are made available by HFRI four months after a particular month end. HFRI Relative Value (Total) Index – Investment Managers who maintain positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative or other security types. Fixed income strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. RV position may be involved in corporate transactions also, but as opposed to ED exposures, the investment thesis is predicated on realization of a pricing discrepancy between related securities, as opposed to the outcome of the corporate transaction. HFRI Equity Hedge (Total) Index – Equity Hedge: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short. HFRI Macro (Total) Index – Macro: Investment Managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which the fundamental characteristics on the company are the most significant are integral to investment thesis. Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 565 programs included in the calculation of the Barclay CTA Index for the year 2011, which is unweighted and rebalanced at the beginning of each year. LIBOR (London Inter-Bank Offered Rate) is based on rates that contributor banks in London offer each other for inter-bank deposits. From a bank's perspective, deposits are simply funds that are loaned to them. So in effect, a LIBOR is a rate at which a fellow London bank can borrow money from other banks. LIBOR is offered in various durations (i.e. overnight, one month, 3 month, 6 month, 1 year).

43

Important Information In any instance where distribution of this communication (“Communication”) is subject to the rules of the US Commodity Futures Trading Commission (“CFTC”), this communication constitutes an invitation to consider entering into a derivatives transaction under US CFTC Regulations §§ 1.71 and 23.605, where applicable, but is not a binding offer to buy/sell any financial instrument.

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44

Important Information OTC derivative transactions involve risk and are not suitable for all investors. Investment products are not insured, carry no bank or government guarantee and may lose value. Before entering into these transactions, you should: (i) ensure that you have obtained and considered relevant information from independent reliable sources concerning the financial, economic and political conditions of the relevant markets; (ii) determine that you have the necessary knowledge, sophistication and experience in financial, business and investment matters to be able to evaluate the risks involved, and that you are financially able to bear such risks; and (iii) determine, having considered the foregoing points, that capital markets transactions are suitable and appropriate for your financial, tax, business and investment objectives.

This material may mention options regulated by the US Securities and Exchange Commission. Before buying or selling options you should obtain and review the current version of the Options Clearing Corporation booklet, Characteristics and Risks of Standardized Options. A copy of the booklet can be obtained upon request from Citigroup Global Markets Inc., 390 Greenwich Street, 3rd Floor, New York, NY 10013 or by clicking the following links, http://www.theocc.com/components/docs/riskstoc.pdf or http://www.theocc.com/components/docs/about/publications/november_2012_supplement.pdf.

If you buy options, the maximum loss is the premium. If you sell put options, the risk is the entire notional below the strike. If you sell call options, the risk is unlimited. The actual profit or loss from any trade will depend on the price at which the trades are executed. The prices used herein are historical and may not be available when you order is entered. Commissions and other transaction costs are not considered in these examples. Option trades in general and these trades in particular may not be appropriate for every investor. Unless noted otherwise, the source of all graphs and tables in this report is Citi. Because of the importance of tax considerations to all option transactions, the investor considering options should consult with his/her tax advisor as to how their tax situation is affected by the outcome of contemplated options transactions. None of the financial instruments or other products mentioned in this Communication (unless expressly stated otherwise) is (i) insured by the Federal Deposit Insurance Corporation or any other governmental authority, or (ii) deposits or other obligations of, or guaranteed by, Citi or any other insured depository institution.

Citi often acts as an issuer of financial instruments and other products, acts as a market maker and trades as principal in many different financial instruments and other products, and can be expected to perform or seek to perform investment banking and other services for the issuer of such financial instruments or other products. The author of this Communication may have discussed the information contained therein with others within or outside Citi, and the author and/or such other Citi personnel may have already acted on the basis of this information (including by trading for Citi's proprietary accounts or communicating the information contained herein to other customers of Citi). Citi, Citi's personnel (including those with whom the author may have consulted in the preparation of this communication), and other customers of Citi may be long or short the financial instruments or other products referred to in this Communication, may have acquired such positions at prices and market conditions that are no longer available, and may have interests different from or adverse to your interests.

IRS Circular 230 Disclosure: Citi and its employees are not in the business of providing, and do not provide, tax or legal advice to any taxpayer outside Citi. Any statement in this Communication regarding tax matters is not intended or written to be used, and cannot be used or relied upon, by any taxpayer for the purpose of avoiding tax penalties. Any such taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor.

Neither Citi nor any of its affiliates can accept responsibility for the tax treatment of any investment product, whether or not the investment is purchased by a trust or company administered by an affiliate of Citi. Citi assumes that, before making any commitment to invest, the investor and (where applicable, its beneficial owners) have taken whatever tax, legal or other advice the investor/beneficial owners consider necessary and have arranged to account for any tax lawfully due on the income or gains arising from any investment product provided by Citi. This Communication is for the sole and exclusive use of the intended recipients, and may contain information proprietary to Citi which may not be reproduced or circulated in whole or in part without Citi’s prior consent. The manner of circulation and distribution may be restricted by law or regulation in certain countries. Persons who come into possession of this document are required to inform themselves of, and to observe such restrictions. Citi accepts no liability whatsoever for the actions of third parties in this respect. Any unauthorized use, duplication, or disclosure of this document is prohibited by law and may result in prosecution.

The views expressed in this document by the Global Investment Committee do not constitute research, investment advice or trade recommendations, and are not tailored to meet the individual investment circumstances or objectives of any investor. Recipients of this document should not rely on the views expressed or the information included in this document as the primary basis for any investment decision. Investors are urged to consult with their financial advisors before buying or selling securities. Some or all of the content of this document, including expressions of opinion and data, may be provided to other businesses within Citigroup Inc. or affiliates of Citigroup Inc. for their own use and benefit or for the benefit of their customers prior to dissemination to the recipients of this document. If such other businesses and affiliates act on the information before the recipients of this document, the actions of these businesses may minimize or negate certain investment opportunities of the recipients of this document.

Other businesses within Citigroup Inc. and affiliates of Citigroup Inc. may give advice, make recommendations, and take action in the interest of their clients, or for their own accounts, that may differ from the views expressed in this document. All expressions of opinion are current as of the date of this document and are subject to change without notice. Citigroup Inc. is not obligated to provide updates or changes to the information contained in this document.

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Important Information The expressions of opinion are not intended to be a forecast of future events or a guarantee of future results. Past performance is not a guarantee of future results. Real results may vary.

Although information in this document has been obtained from sources believed to be reliable, Citigroup Inc. and its affiliates do not guarantee its accuracy or completeness and accept no liability for any direct or consequential losses arising from its use. Throughout this publication where charts indicate that a third party (parties) is the source, please note that the attributed may refer to the raw data received from such parties. No part of this document may be copied, photocopied or duplicated in any form or by any means, or distributed to any person that is not an employee, officer, director, or authorized agent of the recipient without Citigroup Inc.’s prior written consent.

Citigroup Inc. may act as principal for its own account or as agent for another person in connection with transactions placed by Citigroup Inc. for its clients involving securities that are the subject of this document or future editions of the Quadrant and Quadrant Asia.

Bonds are affected by a number of risks, including fluctuations in interest rates, credit risk and prepayment risk. In general, as prevailing interest rates rise, fixed income securities prices will fall. Bonds face credit risk if a decline in an issuer’s credit rating, or creditworthiness, causes a bond’s price to decline. High yield bonds are subject to additional risks such as increased risk of default and greater volatility because of the lower credit quality of the issues. Finally, bonds can be subject to prepayment risk. When interest rates fall, an issuer may choose to borrow money at a lower interest rate, while paying off its previously issued bonds. As a consequence, underlying bonds will lose the interest payments from the investment and will be forced to reinvest in a market where prevailing interest rates are lower than when the initial investment was made.

Mortgage-backed securities ("MBS"), which include collateralized mortgage obligations ("CMOs"), also referred to as real estate mortgage investment conduits ("REMICs"), may not be suitable for all investors. There is the possibility of early return of principal due to mortgage prepayments, which can reduce expected yield and result in reinvestment risk. Conversely, return of principal may be slower than initial prepayment speed assumptions, extending the average life of the security up to its listed maturity date (also referred to as extension risk).

Additionally, the underlying collateral supporting non-Agency MBS may default on principal and interest payments. In certain cases, this could cause the income stream of the security to decline and result in loss of principal. Further, an insufficient level of credit support may result in a downgrade of a mortgage bond's credit rating and lead to a higher probability of principal loss and increased price volatility. Investments in subordinated MBS involve greater credit risk of default than the senior classes of the same issue. Default risk may be pronounced in cases where the MBS security is secured by, or evidencing an interest in, a relatively small or less diverse pool of underlying mortgage loans. MBS are also sensitive to interest rate changes which can negatively impact the market value of the security. During times of heightened volatility, MBS can experience greater levels of illiquidity and larger price movements. Price volatility may also occur from other factors including, but not limited to, prepayments, future prepayment expectations, credit concerns, underlying collateral performance and technical changes in the market. Alternative investments referenced in this report are speculative and entail significant risks that can include losses due to leveraging or other speculative investment practices, lack of liquidity, volatility of returns, restrictions on transferring interests in the fund, potential lack of diversification, absence of information regarding valuations and pricing, complex tax structures and delays in tax reporting, less regulation and higher fees than mutual funds and advisor risk. Asset allocation does not assure a profit or protect against a loss in declining financial markets. The indexes are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment. Index returns do not include any expenses, fees or sales charges, which would lower performance. Past performance is no guarantee of future results. International investing entails greater risk, as well as greater potential rewards compared to US investing. These risks include political and economic uncertainties of foreign countries as well as the risk of currency fluctuations. These risks are magnified in countries with emerging markets, since these countries may have relatively unstable governments and less established markets and economics. Investing in smaller companies involves greater risks not associated with investing in more established companies, such as business risk, significant stock price fluctuations and illiquidity.

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Important Information Factors affecting commodities generally, index components composed of futures contracts on nickel or copper, which are industrial metals, may be subject to a number of additional factors specific to industrial metals that might cause price volatility. These include changes in the level of industrial activity using industrial metals (including the availability of substitutes such as man-made or synthetic substitutes); disruptions in the supply chain, from mining to storage to smelting or refining; adjustments to inventory; variations in production costs, including storage, labor and energy costs; costs associated with regulatory compliance, including environmental regulations; and changes in industrial, government and consumer demand, both in individual consuming nations and internationally. Index components concentrated in futures contracts on agricultural products, including grains, may be subject to a number of additional factors specific to agricultural products that might cause price volatility. These include weather conditions, including floods, drought and freezing conditions; changes in government policies; planting decisions; and changes in demand for agricultural products, both with end users and as inputs into various industries. The information contained herein is not intended to be an exhaustive discussion of the strategies or concepts mentioned herein or tax or legal advice. Readers interested in the strategies or concepts should consult their tax, legal, or other advisors, as appropriate.

In Hong Kong, this document is issued by CPB operating through Citibank, N.A., Hong Kong branch, which is regulated by the Hong Kong Monetary Authority. Any questions in connection with the contents in this document should be directed to registered or licensed representatives of the aforementioned entity. In Singapore, this document is issued by CPB operating through Citibank, N.A., Singapore branch, which is regulated by the Monetary Authority of Singapore. Any questions in connection with the contents in this document should be directed to registered or licensed representatives of the aforementioned entity. In the United Kingdom, Citibank N.A., London Branch (registered branch number BR001018), Citigroup Centre, Canada Square, Canary Wharf, London, E14 5LB, is authorised and regulated by the Office of the Comptroller of the Currency (USA) and authorised by the Prudential Regulation Authority. Subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. Details about the extent of our regulation by the Prudential Regulation Authority are available from us on request. The contact number for Citibank N.A., London Branch is +44 (0)20 7508 8000. Citibank Europe plc is regulated by the Central Bank of Ireland. It is authorised by the Central Bank of Ireland and by the Prudential Regulation Authority. It is subject to supervision by the Central Bank of Ireland, and subject to limited regulation by the Financial Conduct Authority and the Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. Citibank Europe plc, UK Branch is registered as a branch in the register of companies for England and Wales with registered branch number BR017844. Its registered address is Citigroup Centre, Canada Square, Canary Wharf, London E14 5LB. VAT No.: GB 429 6256 29. Citibank Europe plc is registered in Ireland with number 132781, with its registered office at 1 North Wall Quay, Dublin 1. Citibank Europe plc is regulated by the Central Bank of Ireland. Ultimately owned by Citigroup Inc., New York, USA.

In Jersey, this document is communicated by Citibank N.A., Jersey Branch which has its registered address at PO Box 104, 38 Esplanade, St Helier, Jersey JE4 8QB. Citibank N.A., Jersey Branch is regulated by the Jersey Financial Services Commission. Citibank N.A. Jersey Branch is a participant in the Jersey Bank Depositors Compensation Scheme. The Scheme offers protection for eligible deposits of up to £50,000. The maximum total amount of compensation is capped at £100,000,000 in any 5 year period. Full details of the Scheme and banking groups covered are available on the States of Jersey website www.gov.je/dcs, or on request.

In Canada, Citi Private Bank is a division of Citibank Canada, a Schedule II Canadian chartered bank. Certain investment products are made available through Citibank Canada Investment Funds Limited (“CCIFL”), a wholly owned subsidiary of Citibank Canada. Investment Products are subject to investment risk, including possible loss of principal amount invested. Investment Products are not insured by the CDIC, FDIC or depository insurance regime of any jurisdiction and are not guaranteed by Citigroup or any affiliate thereof.

CCIFL is not currently a member, and does not intend to become a member of the Mutual Fund Dealers Association of Canada (“MFDA”); consequently, clients of CCIFL will not have available to them investor protection benefits that would otherwise derive from membership of CCIFL in the MFDA, including coverage under any investor protection plan for clients of members of the MFDA. This document is for information purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any securities to any person in any jurisdiction. The information set out herein may be subject to updating, completion, revision, verification and amendment and such information may change materially. Citigroup, its affiliates and any of the officers, directors, employees, representatives or agents shall not be held liable for any direct, indirect, incidental, special, or consequential damages, including loss of profits, arising out of the use of information contained herein, including through errors whether caused by negligence or otherwise. Copyright 2016, Citigroup Inc. Citi, Citi and Arc Design and other marks used herein are service marks of Citigroup Inc. or its affiliates, used and registered throughout the world.

http://www.gov.je/dcs

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