●THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY -
No assurancecan be given that theIndex will maintain an annualized realized volatility that approximatesitstarget volatility of
35%. The Index's target volatilityis a level of implied volatility and therefore the actual realized volatility of the Index maybe
greater or less than the target volatility.On each weekly Index rebalance day, the Index'sexposure to the Underlying Asset isset
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatilityof the QQQ Fund, subject to amaximum
exposure of 500%. The Index uses the implied volatility of the QQQ Fund as a proxy for the realized volatilityof the Underlying
Asset. However, there isno guarantee that the methodology used by the Index to determine the implied volatilityof the QQQ Fund
will be representative of the realized volatility of the QQQ Fund. The volatilityof the Underlying Asset on any daymay change
quickly and unexpectedly andrealizedvolatility maydiffer significantly from implied volatility. In general, over time, the realized
volatilityof the QQQ Fundhas tended to belower than its implied volatility; however, at any time that realized volatility may exceed
its implied volatility, particularly during periodsof market volatility. Accordingly, the actual annualized realized volatility of the Index
maybe greater than or less than the target volatility, which mayadversely affect the level of the Index and the value of the notes.
●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalance day, the Index will employ leverage to increase the exposure of the Index to the UnderlyingAsset if
the impliedvolatility of the QQQ Fund is below 35%, subject to a maximum exposure of 500%. Under normal market conditionsin
the past, the QQQ Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leverage in the past, except during periods of elevatedvolatility. Whenleverage is employed, any movementsin the prices of the
Underlying Asset will result in greater changes in the level of the Index than if leverage were not used. In particular, the use of
leverage willmagnify any negative performance of the Underlying Asset, which, in turn, would negativelyaffect the performance of
the Index. Because the Index's leverage is adjusted onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant declinein the price of the Underlying Asset, the level of the Index may decline significantly beforethe
following Index rebalance day when the Index'sexposure to the Underlying Asset would be reduced. In addition, the notional
financing cost deducted daily will bemagnified by any leverage provided by the Index.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalance day, the Index's exposureto the Underlying Asset will be less than 100% when theimplied volatility
of the QQQ Fund is above 35%. If the Index's exposure to the Underlying Asset is less than 100%, the Index will not be fully
invested, and any uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only a portion of any gains due to appreciationof the Underlying Asset on any such day. The 6.0% per annum deduction is
deducted daily, even when the Index is not fullyinvested.
●AN INVESTMENT IN THE NOTES WILL BE SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES -
Some of the equity securitiesheld by the QQQ Fund are issued by non-U.S. companies. Investments insecurities linked to the
value of such non-U.S. equitysecuritiesinvolve risks associated with the homecountries ofthe issuersof those non-U.S. equity
securities.The prices of securities issued by non-U.S. companies maybe affectedby political, economic, financial and social
factors in the home countries of thoseissuers, or global regions, including changes in government, economicand fiscalpolicies
and currency exchange laws.
●THERE ARE RISKS ASSOCIATED WITH THE QQQ FUND-
The QQQ Fund issubject to management risk, which is the risk that the investment strategies of the QQQ Fund's investment
adviser, theimplementation ofwhich issubject to a number of constraints, maynot produce the intended results. These constraints
could adversely affect the market price of the shares of the QQQ Fund and, consequently, the value of the notes.
●THE PERFORMANCE AND MARKET VALUE OF THE QQQ FUND, PARTICULARLY DURING PERIODS OF MARKET
VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE QQQ FUND'S UNDERLYING INDEX AS WELL AS
THE NET ASSET VALUE PER SHARE -
The QQQ Fund does not fullyreplicateits underlying index and may hold securities different fromthose included in its underlying
index. In addition, the performance of the QQQ Fund will reflect additional transaction costs and fees that are not included in the
calculation of its underlying index. All of these factors may lead to alack of correlation between the performance of the QQQ Fund
and its underlying index. In addition, corporate actions with respect to the equity securities underlying the QQQ Fund (such as
mergers and spin-offs) mayimpact thevariance between the performances of the QQQ Fund and its underlying index. Finally,
because theshares of the QQQ Fund are traded on asecuritiesexchange and are subject to market supply and investor demand,
the market value of one share of the QQQ Fund maydiffer from the net asset valueper share of the QQQ Fund.
During periodsof market volatility, securities underlying the QQQ Fund may be unavailable in the secondary market, market
participants may be unable tocalculate accurately the net asset value per share of the QQQ Fund and the liquidity of the QQQ
Fund may be adversely affected. Thiskind of market volatility may also disrupt the ability of market participants to createand
redeem shares of the QQQ Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market
participants are willing to buyandsell shares of the QQQ Fund. As a result, under these circumstances, themarket value of shares
of the QQQ Fund may vary substantially from the net asset value per share of the QQQ Fund. For all of the foregoing reasons, the
performance of the QQQ Fund may not correlate with the performance of its underlying index as well asthe net asset value per
share of the QQQ Fund, which could materiallyand adversely affect the value of the notesin thesecondarymarket and/or reduce
any payment on the notes.