●THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE FUTURES CONTRACTS -
No assurancecan be given that theinvestment strategyon which the Index is based will be successfulor that the Indexwill
outperformany alternative strategythat might be employed with respect to the Futures Contracts.
●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 theFutures Contracts is set
equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatilityof the SPY Fund, subject to a maximum
exposure of 500%. The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.
However, there is no guarantee that the methodology used by the Index to determine theimplied volatility of the SPY Fund will be
representative of the implied or realized volatility of the Futures Contracts. The performance of the SPY Fund may not correlate
with the performance of the Futures Contracts, particularlyduring periods of market volatility. In addition, the volatilityof the
Futures Contracts on any daymaychange quicklyand unexpectedly and realized volatilitymaydiffer significantly from implied
volatility. Ingeneral, over time, the realized volatilities of the SPY Fundand the Futures Contracts have tended to be lower than
their respective impliedvolatilities; however, at any time those realized volatilities mayexceed their respectiveimplied volatilities,
particularly during periodsof market volatility. Accordingly, the actual annualized realizedvolatilityof the Index may be greater
than or lessthan 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 Futures Contracts if
the impliedvolatility of the SPY Fund isbelow 35%, subject to amaximum 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 changesin the level of the Index than if leverage were not used. In particular,the use 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 onlyon a weeklybasis, in situations where asignificant increase in volatility is
accompanied by a significant declinein thevalue of the Futures Contracts, thelevel of the Index may decline significantlybefore
the following Index rebalance day 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 exposureto the Futures Contracts will be less than 100% when the implied volatility
of the SPY Fund is above 35%. If the Index'sexposure 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 a portion of any gains due to appreciationof the Futures Contracts on any such day. The 6.0% per annum deduction
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 replacedby Futures Contractsthat 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."Excluding other considerations, if themarket 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 expiringFutures
Contract, thereby creating a negative "roll yield."In addition, excludingother considerations, if themarketfor the Futures Contracts
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 frominvesting 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 willnot generatethe same return
as would be generated frominvesting in a total returnindex 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 Chicago Mercantile
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 bemore
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 bear the risks of a highlyconcentrated investment.