●THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN
EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX -
As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contracts that expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the FuturesContract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excludingother considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher inthe distant deliverymonths than in the nearer delivery
months, the purchase of the later Futures Contract wouldtake place at a price that is higher than the price of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if themarket for the FuturesContracts
is in "backwardation," where the prices arelower in the distant deliverymonths than in the nearer delivery months, the purchase of
the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, therebycreating
a positive "rollyield." The presence of contango in the market for the Futures Contracts could adversely affect the levelof the
Index and, accordingly, any payment on the notes.
●THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT "TOTAL RETURNS" -
The Index is an excess return index that does not reflect total returns. The return from investing in futures contracts derives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) anyprofit or loss
realized when rollingthe relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on thecash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sumof the price return and
the roll returnassociated with an investment in the Futures Contracts). By contrast, a total return index, in additionto reflecting
those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the
collateral return associated with an investment in theFutures Contracts). Investing inthe notes will not generatethe samereturn
as would be generated frominvesting ina total return index related tothe Futures Contracts.
●CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES -
The Index generallyprovides exposure to a single futures contract on the S&P 500®Index that trades on the ChicagoMercantile
Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investingin or tracking a
broader range of products and, therefore, could experience greater volatility. You should be aware that other indicesmay be more
diversified than the Index in terms of both the number and varietyof futures contracts. You will not benefit, with respect tothe
notes, from any of the advantagesof a diversified investment and will bearthe risks of a highly concentrated investment.
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returns of futures contracts. The price of a futures contract depends not only on the price of the underlying
asset referenced bythe futures contract, but also on a range of other factors, including but not limited to changing supply and
demand relationships, interestrates, governmental and regulatorypolicies and the policiesof theexchanges on which the futures
contracts trade. In addition, the futures markets aresubject to temporary distortions or other disruptions due to various factors,
including the lack of liquidityin the markets, the participation of speculators andgovernment regulation and intervention. These
factors and others cancause the prices of futures contracts to bevolatile.
●SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES -
Futures marketslike the Chicago Mercantile Exchange, themarket for the Futures Contracts, are subject to temporary distortions
or other disruptions due to various factors, including thelackof liquidity in themarkets, the participation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit the amount of fluctuation in
some futures contract prices that mayoccur during a single day. These limits aregenerally referred to as "daily price fluctuation
limits" andthe maximumor minimum price of a contract on any given day as a result of these limits is referred toas a "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be madeat aprice beyond the limit, or trading may
be limited for a set period of time. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances couldaffect the level of the Index and therefore
could affect adversely the value of your notes.
●THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY
NOT BE READILY AVAILABLE -
The officialsettlement price and intraday trading prices of the Futures Contractsare calculated and published by the Chicago
Mercantile Exchange and areused to calculate the levels of the Index. Any disruption in trading of the Futures Contracts could
delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent thecalculation
of the Index.
●CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY
ADVERSELY AFFECT THE VALUE OF THE NOTES -
Futures exchanges require market participants to post collateral in order toopen and tokeep open positions in futures contracts. If
an exchange changes the amount of collateral required to be posted to hold positionsin the Futures Contracts, market participants
mayadjust their positions, which mayaffect the prices of the Futures Contracts. As a result, the level of the Indexmay be affected,
whichmay adversely affect the value of the notes.
●HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND
ARE SUBJECT TO INHERENT LIMITATIONS -
The hypothetical back-tested performance of the Index set forth under "Hypothetical Back-Tested Dataand Historical Information"
in thispricingsupplement is purely theoretical and does not represent the actual historical performance of the Index and hasnot
been verified by an independent third party. Hypothetical back-tested performance measures haveinherent limitations.
Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been
designed withthe benefit of hindsight.Alternativemodellingtechniques might producesignificantly different results and may prove
to be more appropriate. Past performance, andespecially hypothetical back-tested performance, is not indicative of future results.
Thistype of information has inherent limitations and you shouldcarefully consider theselimitations before placing reliance on such
information.