The STOXX Single Stock Decrement Indices are a suite of indices which have been designed to offer a systematic and robust exposure to single stock names commonly used within structured investments. The Indices reference single name European, Swiss and US blue-chip companies.

Each of the 138 indices within the suite replicates the gross return of one of 23 liquid stocks at one of three decrement levels to cater to different objectives:

• Defensive (Cash): decrement is equal to the minimum cash dividend (in stock points) paid over the last 5 years
• Balanced (Cash): decrement is equal to the average cash dividend (in stocks points) paid over the last 5 years
• Balanced (%): decrement is equal to the average dividend yield (as a percentage of the stock performance) paid over the last 5 years

The decrement feature helps to support more attractive product terms as it helps to manage dividend risks by establishing a constant dividend markdown.

These STOXX Single Stock Decrement Indices were developed with, and are marketed exclusively by, Citi. Citi’s multi asset group business designs and distributes an array of structured investments which may reference these as an underlying. These investment products are subject to regulation and approvals. Further information is available from Citi.