The Citi Grandmaster Index

Designed to Adapt to Changing Market Conditions

When Citi designed the Citi Grandmaster Index, they recognized that asset allocation models should seek to anticipate changing market conditions and attempt to incorporate those factors into asset allocation decisions. Citi’s Investment Strategy team focuses on the design and implementation of innovative indexed investment strategies and solutions which leverage Citi’s global capital markets expertise.

The Citi Grandmaster Index Brochure

The Citi Grandmaster Index

Citi utilized this collective expertise in the design of the Citi Grandmaster Index (the Index). The Index is designed to seek more consistent returns through changing market environments, and is founded on three core principles:

Broad Diversification

To help provide more sustainable opportunities for growth, the Index provides global diversification across equities, government bonds, commodities and corporate credit.

Forecasting Return

The Index forecasts 1,000 future market return scenarios by combining recent returns over the last year and comparing recent performance to historical periods where the market exhibited similar behavior.

Dynamic Optimization

The Index then optimizes the asset-class weights by identifying the sequence of consecutive monthly weights expected to deliver the highest risk-adjusted return over the next year.

Benefit from Broad Diversification

The Index provides global diversification in four asset classes spread across 13 constituents and 3 geographies (United States, Eurozone and Japan). Four relatively uncorrelated asset classes across equities, government bonds¹, commodities and corporate credit provide the flexibility to adapt to a wide variety of market conditions and contribute to returns.

Global Growth Opportunities

¹ Government bond asset allocation is dependent on the Dynamic Bond Cap. The Dynamic Bond Cap is the maximum allocation to Government Bonds. Exposure is determined each month based on the U.S. yield curve and breakeven inflation rates.

Citi’s Dynamic Optimization Process

The Citi Grandmaster Index looks at the market performance of each asset class over the last year and at periods of similar historical volatility to simulate hypothetical future return scenarios over the next year. Over time, updated market information continues to be incorporated in the index to simulate potential future return scenarios that drive the asset selection process.

Monthly Optimization Process

The Index applies a dynamic daily risk control overlay that looks at volatility measured by both the VIX and the historical volatility to help stabilize returns through changing markets. If daily volatility falls below 5%, the Index may increase its allocation to the selected asset classes up to 150%. If daily volatility is greater than 5%, exposure can be reduced below 100%.

The index performance is reduced by 0.50% per annum, deducted daily.

Visit investmentstrategies.citi.com/cis/us to learn more about the Citi Grandmaster Index.

An Opportunity for Stable Growth

The Citi Grandmaster Index’s forecasting methodology utilizes additional historical data as it becomes available, adjusting allocations with the aim to deliver the highest risk-adjusted return and adapt through various market environments. The graph below shows how the Citi Grandmaster Index would have provided steady appreciation since 2001.

Citi Grandmaster Index Hypothetical Performance

Important Information about Hypothetical Back-Tested Index Performance Data

*Hypothetical Assumptions: Index value of the Citi Grandmaster Index from 12/31/2001 to 12/31/2023. All Index performance data prior to April 20, 2021 is hypothetical and back-tested, as the Index did not exist prior to that date. Hypothetical back-tested Index performance data is subject to significant limitations. The Index Administrator developed the rules of the Index with the benefit of hindsight – that is, with the benefit of being able to evaluate how the Index rules would have caused the Index to perform had it existed during the hypothetical back-tested period. The fact that the Index generally appreciated over the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the Index methodology. Furthermore, the hypothetical back-tested performance of the Index might look different if it covered a different historical period. The market conditions that existed during the hypothetical back-tested period may not be representative of market conditions that will exist in the future. Moreover, the hypothetical back-tested performance of the Index was based on a particular random distribution of historical returns to construct each hypothetical market simulation, using a different random number generator than the Index currently uses. Each random distribution of returns is different, and so the hypothetical back-tested performance is different from the performance that would have resulted if the Index had actually existed during the back-tested period.

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About Citi

Citi provides a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. With a physical presence in 96 countries, local trading desks in 77 markets and a custody network in 63 markets, Citi facilitates approximately $4 trillion in financial flows daily.

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This web page was designed to provide information on the Citi Grandmaster Index,and should only be used in conjunction with materials for the BCA suite of fixed indexed annuities (FIAs) from Athene Annuity and Life Company, including BCA 2.0. Citi is not the issuer or producer of the BCA suite of FIAs. Citi’s relationship to the BCA products described in this brochure is only licensing of the Index to Athene Life and Annuity Company, in exchange for a fee, for use in connection with the BCA suite of FIAs. Fixed indexed annuities are not an investment and do not directly invest in the stock market or any index. It is not possible to invest directly in an index. Please ask your insurance professional and refer to a specific BCA suite of FIAs product brochure and inserts for more information on fees, restrictions and limitations.

Citi and Citi and Arc design are trademarks and service marks of Citigroup Inc. or its affiliates, are used and registered throughout the world, and are used under license for certain purposes by Athene Annuity and Life Company or its affiliates (the “Licensee”). Citigroup Global Markets Limited (“Citigroup”) has licensed the Citi Grandmaster Index (the “Index”) to the Licensee for its sole benefit. Neither the Licensee nor the Licensee’s fixed indexed annuity product (the “Product”) is sponsored, endorsed, sold or promoted by Citigroup or any of its affiliates. Citigroup makes no representation or warranty, express or implied, to persons purchasing the Product. Such persons should seek appropriate advice before making any purchase. The Index has been designed and is compiled, calculated, maintained and sponsored by Citigroup without regard to Licensee, the Product or any purchaser of the Product. Citigroup is under no obligation to continue sponsoring or calculating the Index. CITIGROUP DOES NOT GUARANTEE THE ACCURACY OR PERFORMANCE OF THE INDEX, THE INDEX METHODOLOGY, THE CALCULATION OF THE INDEX OR ANY DATA SUPPLIED BY CITIGROUP FOR USE IN CONNECTION WITH THE PRODUCT AND DISCLAIMS ALL LIABILITY FOR ANY SPECIAL, INDIRECT, CONSEQUENTIAL DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. Please see https://investmentstrategies.citi.com/cis/us for additional important information about The Citi Grandmaster Index.

Citigroup is not the issuer or producer of the Product and Citigroup has no responsibilities, obligations or duties to purchasers of the Product. The Index is a trademark owned by Citigroup and licensed for use by Licensee as the issuer of the Product. Citigroup’s only relationship with the Licensee in respect of the Index is the licensing of the Index, which is determined, composed and calculated by Citigroup without regard to the issuer or the Product or the owners of the Product. Additionally, Licensee as issuer of the product may for itself execute transactions with Citigroup or its affiliates in or relating to the Index in connection with the Product. Purchasers acquire the Product from Licensee and purchasers neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Citigroup or any of its affiliates upon making a purchase of the Product. The Product is not sponsored, endorsed, sold or promoted by Citigroup or any of its affiliates. Citigroup does not make any representation or warranty, express or implied regarding the advisability of purchasing the Product or the ability of the Index to track corresponding or relative market performance. Citigroup has not passed on the legality or suitability of the Product with respect to any person or entity. Citigroup is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Product to be issued. Citigroup has no obligation to take the needs of the Licensee or the owners of the Product or any other third party into consideration in determining, composing or calculating the Index. Citigroup has no obligation or liability in connection with administration or marketing of the Product.

CITIGROUP SHALL HAVE NO LIABILITY TO THE LICENSEE, PURCHASERS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. CITIGROUP MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, THE PURCHASERS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. CITIGROUP MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. CITIGROUP RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE INDEX, AND CITIGROUP SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE INDEX. CITIGROUP SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE PRODUCT.

This document may contain historical and forward looking in-formation. Past performance is not a guarantee or indication of future results. Any prices, values or estimates provided in this communication (other than those that are identified as being historical) are indicative only, may change without notice and do not represent firm quotes as to either price or size, nor reflect the value Citi may assign a security in its inventory. Forward looking information does not indicate a level at which Citi is prepared to do a trade and may not account for all relevant assumptions and future conditions. Actual conditions may vary substantially from estimates which could have a negative impact on the value of an instrument. You should contact your local representative directly if you are interested in buying or selling any financial instrument or other product or pursuing any trading strategy that may be mentioned in this communication.

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