●RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR WITH RESPECT TO THE NASDAQ-100
®
TECHNOLOGY SECTOR
INDEX
SM
-
All or substantially all of the equity securities included in the Nasdaq-100
®
Technology Sector Index
SM
are issued by companies
whose primary line of business is directly associated with the technology sector. As a result, the value of the notes may be subject
to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector
than a different investment linked to securities of a more broadly diversified group of issuers. The value of stocks of technology
companies and companies that rely heavily on technology is particularly vulnerable to rapid changes in technology product cycles,
rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition
from foreign competitors with lower production costs. Stocks of technology companies and companies that rely heavily on
technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technology
companies are heavily dependent on patent and intellectual property rights, the loss or impairment of which may adversely affect
profitability. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates
and competition for the services of qualified personnel. These factors could affect the technology sector and could affect the value
of the equity securities included in the Nasdaq-100
®
Technology Sector Index
SM
and the level of the Nasdaq-100
®
Technology
Sector Index
SM
during the term of the notes, which may adversely affect the value of your notes.
●RISKS ASSOCIATED WITH THE OIL SERVICES SECTOR WITH RESPECT TO THE FUND -
All or substantially all of the equity securities held by the Fund are issued by companies whose primary line of business is directly
associated with the oil services sector. As a result, the value of the notes may be subject to greater volatility and be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked to
securities of a more broadly diversified group of issuers. The profitability of oil services companies is related to worldwide energy
prices, including all sources of energy, and exploration and production costs. The price of energy, the earnings of oil services
companies, and the value of these companies' securities are subject to significant volatility. Oil services companies are also
subject to risks of changes in exchange rates and the price of oil and gas, changes in prices for competitive energy services,
changes in the global supply of and demand for oil and gas, the imposition of import controls, world events, actions of OPEC,
negative perception and publicity, depletion of resources and general economic conditions, development of alternative energy
sources, energy conservation efforts, technological developments and labor relations, as well as market, economic, social and
political risks of the countries where oil services companies are located or do business. Oil services companies operate in a highly
competitive and cyclical industry, with intense price competition. Oil services companies are exposed to significant and numerous
operating hazards. Oil services companies can be significantly affected by natural disasters and adverse weather conditions in the
regions in which they operate. The revenues of oil services companies may be negatively impacted by contract termination and
renegotiation. Oil services companies are subject to, and may be adversely affected by, extensive federal, state, local and foreign
laws, rules and regulations. Oil services companies may also be adversely affected by environmental damage claims and other
types of litigation. Changes to environmental protection laws, including the implementation of policies with less stringent
environmental protection standards and those geared away from sustainable energy development, could lead to fluctuations in
supply, demand and prices of oil and gas. The international operations of oil services companies expose them to risks associated
with instability and changes in economic and political conditions, foreign currency fluctuations, changes in interest rates, changes
in foreign regulations and other risks inherent to international business. Additionally, changes to U.S. trading policies could cause
friction with certain oil producing countries and between the governments of the United States and other major exporters of oil to
the United States. Some oil services companies are engaged in other lines of business unrelated to oil services, and they may
experience problems with these lines of business, which could adversely affect their operating results. The operating results of
these companies may fluctuate as a result of these additional risks and events in the other lines of business. In addition, a
company's ability to engage in new activities may expose it to business risks with which it has less experience than it has with the
business risks associated with its traditional businesses. Despite a company's possible success in traditional oil services activities,
there can be no assurance that the other lines of business in which these companies are engaged will not have an adverse effect
on a company's business or financial condition These factors could affect the oil services sector and could affect the value of the
equity securities held by the Fund and the price of one share of the Fund during the term of the notes, which may adversely affect
the value of your notes.
●YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH UNDERLYING -
Payments on the notes are not linked to a basket composed of the Underlyings and are contingent upon the performance of each
individual Underlying. Poor performance by any of the Underlyings over the term of the notes may negatively affect whether you
will receive a Contingent Interest Payment on any Interest Payment Date and your payment at maturity and will not be offset or
mitigated by positive performance by any other Underlying.
●YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
●THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE -
If the Final Value of any Underlying is less than its Trigger Value and the notes have not been redeemed early, the benefit provided
by the Trigger Value will terminate and you will be fully exposed to any depreciation of the Least Performing Underlying.
●THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT -
If we elect to redeem your notes early, the term of the notes may be reduced to as short as approximately three months and you
will not receive any Contingent Interest Payments after the applicable Interest Payment Date. There is no guarantee that you would
be able to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for
a similar level of risk. Even in cases where we elect to redeem your notes before maturity, you are not entitled to any fees and
commissions described on the front cover of this pricing supplement.
●YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING
OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES.
●THERE ARE RISKS ASSOCIATED WITH THE FUND -
The Fund is subject to management risk, which is the risk that the investment strategies of the Fund's investment adviser, the
implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could
adversely affect the market price of the shares of the Fund and, consequently, the value of the notes.