Custom Alpha Indices

¹ The Managed Futures Index is a diversified “all weather” index that seeks to take advantage of price trends in global assets via long and short positions in exchange traded futures contracts. The investment universe includes over 30 exchange-traded futures from four major asset classes: equities, bonds, foreign exchange and commodities.
Allocation among futures contracts is based on trend-following signals that aim to go long rising markets and short falling markets. While there are no formal constraints on the exposure to any one futures contract, the selection model generally results in exposure to between 15-25 futures contracts which receive allocations through an optimizer. The Managed Futures Index is an excess return index which, among other calculation elements that reduce index performance, does not allocate to any interest-bearing cash rate allocations. Because of this, an excess return version of an index will have lower performance than a total return version of the same index would, especially in high interest rate environments.

² The Loomis Sayles Asset Selector Equity Rotation NER JPY Hedged Index (the “LASER Index”) is the exclusive property of Loomis, Sayles & Company, L.P. (Loomis Sayles). Loomis Sayles has contracted with Solactive AG (“Solactive”) to maintain and calculate the LASER Index and to license the underlying component indices to Loomis Sayles. The index is not sponsored, promoted, sold, or supported in any other manner by Solactive,
nor does Solactive offer any express or implicit guarantee or assurance either with regard to the results of using the index and/or trademarks of the LASER Index or the levels of the LASER Index at any time or in any other respect. Loomis Sayles and the Loomis Sayles Asset Selector Equity Rotation NER JPY Hedged Index are trademarks or service marks of Loomis Sayles.

Loomis Sayles does not warrant the accuracy or completeness of any information contained herein and provides no assurance that this information is, in fact, accurate. The information contained herein is subject to change without notice. Any representations, projections and comparisons contained herein may not reflect the opinions of Loomis Sayles and may not be accurate either now or at a future date. Consequently, you should not rely on such representations, projections, comparisons or other opinions when selecting any investment product or making a recommendation to a customer. Current and future economic and other market events concerning an investment product or an index may cause the information provided herein to be incorrect. Past performance is not indicative of future results and should never be relied upon in making an investment decision or recommendation. Any investments or strategies referenced herein do not take into account the investment objectives, financial situation or particular needs of any specific person. Product suitability must be independently determined for each individual investor. Loomis Sayles explicitly disclaims any responsibility for product suitability or suitability determinations related to individual investors.

This document does not constitute an offer, a solicitation, an advice or a recommendation from Loomis Sayles to purchase or sell the LASER Index, which cannot be invested in directly, or any product linked to the LASER Index. This document is provided solely for informational purposes to describe the principles and main financial characteristics of the LASER Index. The information herein does not purport to summarize or explain the methodologies governing the LASER Index. The LASER Index rules define the calculation principles of the LASER Index and the consequences of extraordinary or disruption events which may affect the LASER Index. Loomis Sayles reserves the right to amend or adjust the LASER Index methodology from time to time and accepts no liability for any such amendment or adjustment. Loomis Sayles is not under any obligation to continue the calculation, publication or dissemination of the LASER Index and accepts no liability for any suspension or interruption in the calculation thereof. Loomis Sayles does not accept any liability in connection with the publication or use of the level of the LASER Index at any given time. For any questions about the Index, contact Loomis Sayles.

Loomis Sayles may license the LASER Index to one or more affiliated or unaffiliated third party companies (each, a “Company”) for use in a product offered or issued by the Company (each, a “LASER Index Product”). The LASER Index Products are not, in whole or in part, sponsored, promoted, solicited, negotiated, endorsed, offered, sold, issued, supported, structured or priced by Loomis Sayles, its affiliates or any third party licensor.

NEITHER LOOMIS SAYLES, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF ANY DATA INCLUDED IN THE INDEX OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. LOOMIS SAYLES, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. NEITHER LOOMIS SAYLES NOR ANY OF ITS AFFILIATES OR THIRD PARTY LICENSORS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL LOOMIS SAYLES, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE

³ CITI IS A REGISTERED TRADEMARK AND SERVICE MARK OF CITIGROUP INC. OR ITS AFFILIATES (COLLECTIVELY, “CITIGROUP”, WHICH SHALL INCLUDE THEIR RESPECTIVE DIRECTORS, OFFICERS, EMPLOYEES, REPRESENTATIVES, DELEGATES OR AGENTS) AND IS USED AND REGISTERED THROUGHOUT THE WORLD. THE LOOMIS SAYLES DISCOVERY INDEX (THE “INDEX”) IS ADMINISTERED AND PUBLISHED BY CITIGROUP, WHICH HAS CONTRACTED WITH LOOMIS, SAYLES & COMPANY, L.P. (“LOOMIS SAYLES”, WHICH SHALL INCLUDE ITS RESPECTIVE DIRECTORS, OFFICERS, EMPLOYEES, REPRESENTATIVES, DELEGATES OR AGENTS) TO PROVIDE INTELLECTUAL PROPERTY (THE “IP”) THAT IS USED BY CITIGROUP FOR THE CONSTRUCTION AND DESIGN OF THE INDEX. CERTAIN OTHER THIRD PARTIES (TOGETHER, “THIRD-PARTY DATA PROVIDER”) HAVE CONTRIBUTED DATA OR IP FOR USE IN THE INDEX. LOOMIS SAYLES IS A TRADEMARK OF LOOMIS, SAYLES & COMPANY, L.P. REGISTERED WITH THE US PATENT AND TRADEMARK OFFICE. THE TRADEMARKS CITI AND LOOMIS SAYLES ARE BEING UTILIZED UNDER LICENSE AND AGREEMENT. [NAME OF CARRIER] HAS ENTERED INTO A SUBLICENSE AGREEMENT WITH CITIGROUP PROVIDING FOR THE RIGHT TO UTILIZE THE LOOMIS SAYLES TRADEMARKS IN CONNECTION WITH [NAME OF FINANCIAL PRODUCT] (THE “FINANCIAL PRODUCT”). NEITHER CITIGROUP, ACTING IN THE CAPACITY OF INDEX ADMINISTRATOR (THE “INDEX ADMINISTRATOR”) AND/OR INDEX CALCULATION AGENT (THE “INDEX CALCULATION AGENT”) IN RELATION TO THE INDEX NOR LOOMIS SAYLES NOR THIRD-PARTY DATA PROVIDER MAKES ANY EXPRESS OR IMPLIED REPRESENTATION OR WARRANTY AS TO (1) THE ADVISABILITY OF PURCHASING THE FINANCIAL PRODUCT; (2) THE LEVEL(S) OF THE INDEX AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE; (3) THE RESULTS TO BE OBTAINED BY ANY INVESTOR IN THE FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN FOR ANY PURPOSE; (4) THE MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OF THE INDEX; OR (5) ANY OTHER MATTER. THE FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD, UNDERWRITTEN, DISTRIBUTED OR PROMOTED BY CITIGROUP, LOOMIS SAYLES OR THIRD- PARTY DATA PROVIDER. LOOMIS SAYLES, CITIGROUP, AND THIRD-PARTY DATA PROVIDER HEREBY EXPRESSLY DISCLAIM, TO THE FULLEST EXTENT PERMITTED BY APPLICABLE LAW, ALL WARRANTIES OF ACCURACY, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX. NEITHER LOOMIS SAYLES NOR CITIGROUP NOR THIRD-PARTY DATA PROVIDER GUARANTEES THE ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR THE IP, AS APPLICABLE, OR ANY DATA INCLUDED THEREIN OR THE CALCULATION THEREOF OR ANY COMMUNICATIONS WITH RESPECT THERETO. CITIGROUP, LOOMIS SAYLES, AND THIRD-PARTY DATA PROVIDER EXPRESSLY DISCLAIM ANY AND ALL LIABILITY OF WHATEVER NATURE FOR ANY LOSSES, DAMAGES, COSTS, CLAIMS AND EXPENSES (INCLUDING BUT NOT LIMITED TO ANY SPECIAL, PUNITIVE, DIRECT, INDIRECT OR CONSEQUENTIAL DAMAGES, LOST INCOME OR LOST PROFITS OR OPPORTUNITY COSTS) ARISING OUT OF MATTERS RELATING TO THE USE OF THE INDEX, THE IP OR THE FINANCIAL PRODUCT, AS APPLICABLE, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. NEITHER THE INDEX ADMINISTRATOR NOR THE INDEX CALCULATION AGENT IS UNDER ANY OBLIGATION TO CONTINUE THE CALCULATION, PUBLICATION AND DISSEMINATION OF THE INDEX NOR SHALL THEY OR LOOMIS SAYLES OR THIRD-PARTY DATA PROVIDER HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, INTERRUPTIONS OR DELAYS RELATING TO THE INDEX. CITIGROUP, LOOMIS SAYLES, AND THIRD-PARTY DATA PROVIDER SHALL EACH ACT AS PRINCIPAL AND NOT AS AGENT OR FIDUCIARY OF ANY OTHER PERSON. NEITHER LOOMIS SAYLES NOR CITIGROUP NOR THIRD PARTY DATA PROVIDER HAS PUBLISHED OR APPROVED THIS DOCUMENT AND DOES NOT ACCEPT ANY RESPONSIBILITY FOR ITS CONTENTS OR USE. DURING THE NORMAL COURSE OF ITS BUSINESS, CITIGROUP MAY ENTER INTO OR PROMOTE, OFFER OR SELL TRANSACTIONS OR INVESTMENTS (STRUCTURED OR OTHERWISE) LINKED TO ANY INDEX AND/OR ANY OF ITS CONSTITUENTS. IN ADDITION, CITIGROUP MAY HAVE, OR MAY HAVE HAD, LONG OR SHORT PRINCIPAL POSITIONS AND/OR ACTIVELY TRADE, BY MAKING MARKETS TO ITS CLIENTS, POSITIONS IN OR RELATING TO ANY INDEX OR ANY OF ITS CONSTITUENTS, OR MAY INVEST OR ENGAGE IN TRANSACTIONS WITH OTHER PERSONS, OR ON BEHALF OF SUCH PERSONS RELATING TO ANY OF THESE ITEMS. CITIGROUP MAY ALSO UNDERTAKE HEDGING TRANSACTIONS RELATED TO THE INITIATION OR TERMINATION OF FINANCIAL PRODUCTS OR TRANSACTIONS, WHICH MAY ADVERSELY AFFECT THE MARKET PRICE, RATE OR OTHER MARKET FACTOR(S) UNDERLYING ANY CONSTITUENT OR ANY INDEX. CITIGROUP MAY HAVE AN INVESTMENT BANKING OR OTHER COMMERCIAL RELATIONSHIP WITH AND ACCESS TO INFORMATION FROM THE ISSUER(S) OF CONSTITUENTS. SUCH ACTIVITY MAY OR MAY NOT HAVE AN IMPACT ON THE LEVEL OF ANY INDEX, BUT POTENTIAL INVESTORS AND COUNTERPARTIES SHOULD BE AWARE THAT A CONFLICT OF INTEREST COULD ARISE WHERE ANYONE IS ACTING IN MORE THAN ONE CAPACITY, AND SUCH CONFLICT MAY HAVE AN IMPACT (EITHER POSITIVE OR NEGATIVE) ON THE LEVEL OF ANY INDEX.

THE INDEX (INCLUDING THE METHODOLOGY(IES) AND FORMULA(S) THEREFOR) HAS BEEN DESIGNED AND IS COMPILED, CALCULATED, MAINTAINED AND SPONSORED WITHOUT REGARD TO ANY FINANCIAL PRODUCTS THAT REFERENCE THE INDEX (INCLUDING THE FINANCIAL PRODUCT), ANY LICENSEE, SUB-LICENSOR OR SUB-LICENSEE OF THE INDEX, ANY CLIENT OR ANY OTHER PERSON. LOOMIS SAYLES AND CITIGROUP MAY ALSO TRANSACT IN ASSETS REFERENCED IN THE INDEX (OR IN FINANCIAL INSTRUMENTS SUCH AS DERIVATIVES THAT REFERENCE THOSE ASSETS), INCLUDING THOSE WHICH COULD HAVE A POSITIVE OR NEGATIVE EFFECT ON THE VALUE OF THE INDEX AND THE FINANCIAL PRODUCT. THE INDEX IS DESCRIBED IN FULL IN THE INDEX CONDITIONS WHICH ARE AVAILABLE UPON REQUEST. THE INDEX IS PROPRIETARY AND CONFIDENTIAL TO THE INDEX ADMINISTRATOR. NO PERSON MAY USE THE INDEX IN ANY WAY OR REPRODUCE OR DISSEMINATE INFORMATION RELATING TO THE INDEX WITHOUT THE PRIOR WRITTEN CONSENT OF THE INDEX ADMINISTRATOR. THE INDEX IS NOT IN ANY WAY SPONSORED, ENDORSED OR PROMOTED BY THE ISSUER OR SPONSOR OF ANY OF ITS CONSTITUENTS

Important Disclosure

This marketing communication is provided for informational purposes only and should not be construed as investment advice. Investment decisions should consider the individual circumstances of the particular investor. Any opinions or forecasts contained herein, reflect the subjective judgments and assumptions of the authors only, and do not necessarily reflect the views of Loomis, Sayles & Company, L.P. Investment recommendations may be inconsistent with these opinions. There is no assurance that developments will transpire as forecasted and actual results will be different. Information, including that obtained from outside sources, is believed to be correct, but we cannot guarantee its accuracy. This information is subject to change at any time without notice.

Risk factors and other considerations

General Considerations. Neither Loomis Sayles nor its affiliates make any recommendation as to the suitability of investment in the index or any products or strategies based partly or wholly on the index. Loomis Sayles reserves the right to amend or adjust the index methodology from time to time and accepts no liability for any such amendment or adjustment. Loomis Sayles is not under any obligation to continue the calculation, publication or dissemination of the index and accepts no liability for any suspension or interruption in the calculation thereof. Neither Loomis Sayles nor any of its affiliates accepts any liability in connection with the publication or use of the level of the index at any given time. This is neither an offer to sell securities or other instruments nor a solicitation of an offer to buy securities or other instruments, nor shall it be deemed to provide investment, tax, accounting or other advice. Please consult with your investment and tax advisors before making any investment

The index is comprised of notional assets. The index tracks the excess return of the underlying assets and is purely notional . There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest.

Strategies relying on the levels of the index may not be successful. Neither the index nor any of the assets comprising the index are guaranteed to yield specific results. There can be no assurance that the index will be successful. There is a risk that the rules-based methodology of the index does not meet its stated objectives, including meeting its target volatility of 6%, which may result in underperformance.

There are risks associated with the index methodology. The calculation of the index employs a mathematical model that employs an equity rotation regime-based strategy which seeks to capitalize on correlations of equities to trends and changes in market regimes. The assumptions behind identifying these regimes and their anticipated impact on the various index components may be incorrect or inaccurate. There is no guarantee that the equity rotation or allocations dictated by the regime signals will be successful, and they may have the opposite of the desired effect. As the regime signals are based on historical events, the timing of the rotation may occur too late or at inopportune times. The index methodology differs from a portfolio that seeks diversified long-term exposure to components with fixed weights. These risks will also affect indirectly the performance of any product or strategy based in part or wholly on the levels of the index.

Correlation of performance among the index components may reduce the levels of the index. The thesis underlying the index’s allocation methodology is that, if the specific equity components are likely to underperform, the index may avoid losses and even potentially generate positive returns by shifting its exposure to the other equity component, cash or the fixed income market via US Treasury futures. If the equity and fixed income components decline at the same time – in other words, if they prove to be positively correlated – the index’s allocation methodology will not be successful, and the index may experience significant declines. This could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the index.

The index may have significant exposure to US Treasury futures, which have limited return potential and significant downside potential, particularly in times of rising interest rates. The US Treasury Futures component (represented by the Solactive 10-Year US Treasury Futures Index) will represent between 50% and 100% of the index depending on the regime. US Treasurys, and futures thereon, are generally viewed as low risk, low reward assets. Accordingly, the US Treasury Futures component offers only limited return potential, which in turn limits the return potential of the index. Moreover although US Treasurys themselves are generally viewed as safe assets, the Solactive 10-Year US Treasury Futures Index tracks the value of a futures contract on 10-Year US Treasury Notes, which may be subject to significant fluctuations and declines. In particular, the value of a futures contract on 10-Year US Treasury Notes is likely to decline if there is a general rise in interest rates. A general rise in interest rates is likely to lead to particularly large losses on the US Treasury Futures component because, in addition to reducing the value of the underlying US Treasury notes, the rise in interest rates will increase the implicit financing cost associated with that index, as described below. As a futures-based index, the Solactive 10-Year US Treasury Futures Index is expected to reflect not only the performance of its corresponding underlying reference asset but also the implicit cost of a financed position in that reference asset. As a result, this index will underperform a direct investment in the relevant reference asset. Any increase in market interest rates would be expected to further increase this implicit financing cost, increasing the negative effect on the level of this index and, therefore, the index.

The index’s Daily Volatility Control mechanism may reduce the appreciation potential of the index and may not equal the target volatility. The index’s daily volatility control mechanism allows the index to dynamically adjust the level of the hypothetical exposure to the index components and hypothetical cash position, depending on the risk environment. However, the volatility control mechanism might limit overall levels of the index in rising markets and may provide imperfect, limited protection in falling markets, particularly against sudden, large market losses. There can be no assurance that the mechanism will be the most effective way to accurately assess volatility or to predict patterns of volatility. There can also be no assurance that the index will achieve its target volatility of 6%. Index components that typically have lower volatility may have lower return potential than components that typically have higher volatility, and any allocation to cash will earn no return at all. If the index has a relatively high allocation to components that provide exposure to fixed-income assets, it will be particularly sensitive to factors that adversely affect the value of fixed-income instruments, such as increases in interest rates or declining perceptions of credit quality. A high allocation to the fixed-income component may also cause the index to underperform a portfolio more heavily weighted with higher volatility assets under certain circumstances.

Portions of the index may be effectively uninvested and earn no return. The index, on each day on which it is calculated, adjusts its exposure to the index components in an attempt to maintain a historical volatility approximately equal to an annualized volatility of 6%.If the aggregate weight of the index components is less than 100%, the index will allocate exposure to a hypothetical cash position. As a result, the index may underperform a similar index that provides 100% exposure to the index components. The hypothetical cash position is an uninvested position that does not earn interest or any other return.

The index value will include the deduction of a daily maintenance fee and a notional interest rate. The index will include a deduction from the aggregate levels of its components of a Maintenance Fee equal to 0.50% per annum as well as a notional interest rate equal to 3-month USD SOFR. As a result of these deductions, the level of the index will trail the level of a hypothetical identical portfolio from which no such amounts are deducted.

The index has limited historical data. The index was launched on September 18, 2018, and therefore the performance shown before that date is hypothetical performance based on back-tested information. The index wouldn’t reflect liquidity constraints, fees (other than the maintenance fee) and transaction costs or the impact of actual trading, even when live. Actual historical or back-tested past performance does not constitute an indication of future results. The actual performance of the index may bear little relation to the hypothetical historical results.

The index has limited public information. The index is a custom index developed by Loomis Sayles. There is limited information relating to the index that is publicly available. In addition, publicly available information on the index, its methodology and the constituent indices is limited.

Solactive AG is the Calculation Agent and is responsible for calculating the index. The policies and calculations for which the Calculation Agent is responsible could have a negative impact, on the level of the index. Neither the Calculation Agent nor Loomis Sayles and its affiliates are under any obligation to consider your interest as an investor in a product linked to the index.

Reliance on Underlying Indices. The index allocates among three sub-indices maintained by Solactive, the Solactive 10-Year US Treasury Futures Index, the Solactive US Momentum Index TR and the Solactive US Free Cash Flow Yield Index TR pursuant to a license from Solactive. Solactive is under no obligation to continue to maintain these indices for any length of time. Solactive reserves the right to amend or adjust the index methodology from time to time and accepts no liability for any such amendment or adjustment. Neither Loomis Sayles nor Solactive under any obligation to continue the calculation, publication or dissemination of the indices and accepts no liability for any suspension or interruption in the calculation thereof.

While our research and investment process incorporate AI and/or machine learning models, the investment decisions are made by the SIS team. As AI models make predictions based on defined datasets and assumptions, their results carry a risk of being skewed due to error and bias. The use of AI automation does not equate to accuracy or objectivity.

Commodity, interest and derivative trading involves substantial risk of loss

Investment vehicles may not be available to all investors and are subject to eligibility.

Any investment that has the possibility for profits also has the possibility of losses, including the loss of principal.

Diversification does not ensure a profit or guarantee against a loss.

Market conditions are extremely fluid and change frequently.

Past performance is no guarantee of future results.