•THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE-
On a weeklyIndex rebalance day, the Index will employleverage to increase the exposureof theIndex to the Futures Contracts if
the impliedvolatility of the SPY Fundis below 35%, subject to a maximum exposure of 500%. Under normal market conditionsin
the past, the SPY 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. When leverage is employed, any movementsin the prices of the
Futures Contracts will result in greater changes in the level of the Index than if leverage were not used. In particular, theuse of
leverage willmagnify 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 only on a weekly basis, in situations where asignificant increase in volatility is
accompanied by asignificant decline in the value of the Futures 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 rebalance day, the Index's exposure to the Futures Contracts will be less than 100% when the implied volatility
of the SPY 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 uninvestedportion will earn no return. The Index may be significantly uninvested on any given day, and will
realize only aportion of any gainsdue to appreciation of theFutures Contracts on any such day.The 6.0% per annum deduction
is deducted daily, even when the Index isnot 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 replacedby Futures Contractsthat expire three months
later. This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract
that expires three months from that time. Thisprocess is referred to as "rolling."Excluding other considerations, if the market for
the Futures Contracts is in "contango," where the prices arehigher in the distant delivery months than in the nearer delivery
months, the purchase of the later Futures Contract would take place at a price that is higher than theprice of the expiring Futures
Contract, thereby creating a negative "roll yield."In addition, excluding other considerations, if the market for the FuturesContracts
is in "backwardation," where the 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 level of 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 anexcess returnindex that does not reflect total returns.The return from investing in futures contractsderives from
three sources: (a) changes in the price of the relevant futures contracts (which isknown as the "price return"); (b) any profit or loss
realized when rolling the 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 "collateralreturn").
The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and
the roll return associated withan investment in the Futures Contracts).By contrast, a total return index, 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 will not generate the same return
as would be generated frominvesting in a total return index related tothe Futures Contracts.
•CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES-
The Index generallyprovidesexposure 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 to the
notes, from any of the advantages of a diversified investment and will bear the risks of a highlyconcentrated 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 depends not only on the price of the underlying
asset referencedby the futures contract, but also on a range of other factors, including but not limited to changing supplyand
demand relationships, interestrates, governmentaland regulatorypoliciesand the policiesof theexchanges on which the futures
contracts trade. In addition, the futuresmarkets are subject to temporary distortions or other disruptions due to various factors,