●THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE -
On a weeklyIndex rebalanceday, the Index will employ leverage to increase the exposureof the Index to the Futures Contracts if
the implied volatility of the IWM Fund is below 35%, subject to amaximum exposure of 500%. Under normal market conditionsin
the past, the IWM Fund has tended to exhibit an implied volatility below 35%. Accordingly, the Index has generally employed
leveragein the past, except during periodsof elevatedvolatility. When leverage is employed, any movements in the prices of the
Futures Contracts will result in greater changesin the level of the Index than if leverage were not used. In particular, theuseof
leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect 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 asignificant declinein the value of theFutures Contracts, thelevel of the Index may decline significantly before
the following Index rebalanceday when the Index'sexposure to the Futures Contracts would be reduced.
●THE INDEX MAY BE SIGNIFICANTLY UNINVESTED -
On a weeklyIndex rebalanceday, the Index's exposureto the Futures Contracts will be less than 100% when the implied volatility
of theIWM Fund is above 35%. If the Index's exposure to the Futures Contracts is less than 100%, the Index will not be fully
invested, and any uninvested portion will earn no return. The Indexmay be significantly uninvested on any given day, and will
realize only a portion of any gainsdue to appreciation of the Futures Contracts on anysuch day. The 6.0% per annumdeduction
is deducted daily, even when the Indexisnot fully invested.
●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 Contractsthat expirethree months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expiresthree months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if themarket for
the Futures Contracts is in "contango," where the prices are higher in thedistant deliverymonths than in the nearer delivery
months, thepurchase 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 the market for the Futures Contracts
is in "backwardation," wherethe prices are lower 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 "roll yield."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 frominvestingin futures contracts derives from
three sources: (a) changes in the price of therelevant futures contracts (which is known as the "price return"); (b) anyprofit or loss
realized when rolling the relevant futures contracts (which is known as the "roll return"); and (c) any interest earned on the cash
deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Index measuresthe returns accrued frominvesting in uncollateralized futures contracts (i.e., the sumof the price return and
the roll return associated with an investment in the Futures Contracts). Bycontrast, a total returnindex, in addition to 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 the Futures Contracts). Investing in the notes willnot generate the same return
as would be generated frominvesting in a total return index related to the Futures Contracts.
●AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL-CAPITALIZATION STOCKS -
Small-capitalizationcompanies may be less able to withstand adverse economic, market, trade and competitive conditions relative
to larger companies. Small-capitalization companies are less likely to paydividendson their stocks, and the presence of a
dividend payment could be a factor that limits downward stock price pressure under adverse market conditions.
●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 Russell2000® Index that trades on the Chicago
Mercantile Exchange. Accordingly, the notesare less diversified than other funds, investment portfolios or indices investing in or
tracking a broader range of products and, therefore, couldexperience greater volatility. You should be awarethat other indices
maybemore diversified than the Indexin terms of both the number and variety of futurescontracts. You will not benefit, with
respect to the notes, from anyof theadvantages of a diversified investment and willbear the risksof a highly concentrated
investment.
●THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY -
The Index tracks the returnsof futurescontracts. The price of a futures contract dependsnot only on the price of the underlying
asset referencedbythe futures contract, but also ona range of other factors, includingbut not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypolicies and the policiesof theexchanges on which the futures
contracts trade. In addition, the futuresmarkets aresubject to temporary distortions or other disruptions due to various factors,
including the lack of liquidityin themarkets, the participation of speculators and government regulation and intervention. These
factors and others can cause the prices of futurescontracts to be volatile.
●SUSPENSION OR DISRUPTIONS OF MARKET TRADINGIN FUTURES CONTRACTSMAY ADVERSELY AFFECT THE
VALUE OF YOUR NOTES -
Futures marketslike the Chicago Mercantile Exchange, themarket for theFutures Contracts, are subject to temporary distortions
or other disruptions due to various factors, including thelackof liquidity in themarkets, theparticipation of speculators, and
government regulation and intervention. In addition, futuresexchanges have regulations that limit theamount of fluctuationin
some futures contract prices that mayoccur during a single day. These limits are generally referred to as "daily price fluctuation
limits" andthemaximumor minimum price of a contract on any given day as a result of these limitsis referred toasa "limit price."
Once the limit price hasbeen reached in aparticular contract, no trades may be made at aprice beyond the limit, or trading may
be limited for aset period of time. Limit prices have the effect of precluding tradingin a particular contract or forcing the liquidation
of contractsat potentiallydisadvantageous times or prices. These circumstances could affect the level of theIndex and therefore
could affect adversely the value of your notes.